FIX Latest as of EP295

FIX.Latest

FIX Application Layer

FIX Global Technical Committee

FIX Latest as of EP295

FIX Latest as of EP295

Message Set Overview

AccountSummaryReport

AdjustedPositionReport

Advertisement

AlgoCertificateReport

AlgoCertificateReportAck

AlgoCertificateRequest

AlgoCertificateRequestAck

AllocationInstruction

AllocationInstructionAck

AllocationInstructionAlert

AllocationInstructionAlertRequest

AllocationInstructionAlertRequestAck

AllocationReport

AllocationReportAck

ApplicationMessageReport

ApplicationMessageRequest

ApplicationMessageRequestAck

AssignmentReport

BidRequest

BidResponse

BusinessMessageReject

CollateralAssignment

CollateralInquiry

CollateralInquiryAck

CollateralReport

CollateralReportAck

CollateralRequest

CollateralResponse

Confirmation

ConfirmationAck

ConfirmationRequest

ContraryIntentionReport

CrossOrderCancelReplaceRequest

CrossOrderCancelRequest

CrossRequest

CrossRequestAck

DerivativeSecurityList

DerivativeSecurityListRequest

DerivativeSecurityListUpdateReport

DontKnowTrade

Email

ExecutionAck

ExecutionReport

Heartbeat

IOI

ListCancelRequest

ListExecute

ListStatus

ListStatusRequest

ListStrikePrice

Logon

Logout

MarginRequirementInquiry

MarginRequirementInquiryAck

MarginRequirementReport

MarketDataIncrementalRefresh

MarketDataReport

MarketDataRequest

MarketDataRequestReject

MarketDataSnapshotFullRefresh

MarketDataStatisticsReport

MarketDataStatisticsRequest

MarketDefinition

MarketDefinitionRequest

MarketDefinitionUpdateReport

MassOrder

MassOrderAck

MassQuote

MassQuoteAck

MultilegOrderCancelReplace

NetworkCounterpartySystemStatusRequest

NetworkCounterpartySystemStatusResponse

NewOrderCross

NewOrderList

NewOrderMultileg

NewOrderSingle

News

OrderCancelReject

OrderCancelReplaceRequest

OrderCancelRequest

OrderMassActionReport

OrderMassActionRequest

OrderMassCancelReport

OrderMassCancelRequest

OrderMassStatusRequest

OrderStatusRequest

PartyActionReport

PartyActionRequest

PartyDetailsDefinitionRequest

PartyDetailsDefinitionRequestAck

PartyDetailsListReport

PartyDetailsListRequest

PartyDetailsListUpdateReport

PartyEntitlementsDefinitionRequest

PartyEntitlementsDefinitionRequestAck

PartyEntitlementsReport

PartyEntitlementsRequest

PartyEntitlementsUpdateReport

PartyRiskLimitCheckRequest

PartyRiskLimitCheckRequestAck

PartyRiskLimitsDefinitionRequest

PartyRiskLimitsDefinitionRequestAck

PartyRiskLimitsReport

PartyRiskLimitsReportAck

PartyRiskLimitsRequest

PartyRiskLimitsUpdateReport

PayManagementReport

PayManagementReportAck

PayManagementRequest

PayManagementRequestAck

PositionMaintenanceReport

PositionMaintenanceRequest

PositionReport

PositionTransferInstruction

PositionTransferInstructionAck

PositionTransferReport

Quote

QuoteAck

QuoteCancel

QuoteRequest

QuoteRequestReject

QuoteResponse

QuoteStatusReport

QuoteStatusRequest

RFQRequest

RegistrationInstructions

RegistrationInstructionsResponse

Reject

RequestForPositions

RequestForPositionsAck

ResendRequest

SecurityDefinition

SecurityDefinitionRequest

SecurityDefinitionUpdateReport

SecurityList

SecurityListRequest

SecurityListUpdateReport

SecurityMassStatus

SecurityMassStatusRequest

SecurityRiskMetricsReport

SecurityStatus

SecurityStatusRequest

SecurityTypeRequest

SecurityTypes

SequenceReset

SettlementInstructionRequest

SettlementInstructions

SettlementObligationReport

SettlementStatusReport

SettlementStatusReportAck

SettlementStatusRequest

SettlementStatusRequestAck

StreamAssignmentReport

StreamAssignmentReportACK

StreamAssignmentRequest

TestActionReport

TestActionRequest

TestActionRequestAck

TestRequest

TestSuiteDefinitionRequest

TestSuiteDefinitionRequestAck

TradeAggregationReport

TradeAggregationRequest

TradeCaptureReport

TradeCaptureReportAck

TradeCaptureReportRequest

TradeCaptureReportRequestAck

TradeMatchReport

TradeMatchReportAck

TradingSessionList

TradingSessionListRequest

TradingSessionListUpdateReport

TradingSessionStatus

TradingSessionStatusRequest

UserNotification

UserRequest

UserResponse

XMLnonFIX

Message Elements

Data Types

Data Dictionary

Account

AccountSummaryReportID

AccountType

AccruedInterestAmt

AccruedInterestRate

AcctIDSource

AccumulatedReturnModifiedVariationMargin

AdditionalDividendsIndicator

AdditionalTermBondCouponFrequencyPeriod

AdditionalTermBondCouponFrequencyUnit

AdditionalTermBondCouponRate

AdditionalTermBondCouponType

AdditionalTermBondCurrency

AdditionalTermBondCurrentTotalIssuedAmount

AdditionalTermBondDayCount

AdditionalTermBondDesc

AdditionalTermBondIssuer

AdditionalTermBondMaturityDate

AdditionalTermBondParValue

AdditionalTermBondRefGrp

AdditionalTermBondSecurityID

AdditionalTermBondSecurityIDSource

AdditionalTermBondSeniority

AdditionalTermConditionPrecedentBondIndicator

AdditionalTermDiscrepancyClauseIndicator

AdditionalTermGrp

Adjustment

AdjustmentType

AdvId

AdvRefID

AdvSide

AdvTransType

AffectedMarketSegmentGrp

AffectedMarketSegmentID

AffectedOrderID

AffectedOrdGrp

AffectedOrigClOrdID

AffectedSecondaryOrderID

AffiliatedFirmsTradeIndicator

AffirmStatus

AggregatedBook

AggregatedQty

AggressorIndicator

AggressorSide

AggressorTime

AgreementCurrency

AgreementCurrencyCodeSource

AgreementDate

AgreementDesc

AgreementID

AgreementVersion

AlgoCertificateDesc

AlgoCertificateID

AlgoCertificateReportID

AlgoCertificateReportRefID

AlgoCertificateReportStatus

AlgoCertificateReportTransType

AlgoCertificateReportType

AlgoCertificateRequestID

AlgoCertificateRequestRefID

AlgoCertificateRequestStatus

AlgoCertificateRequestTransType

AlgoCertificateRequestType

AlgoCertificateStatus

AlgorithmicTradeIndicator

AlgoSystemModuleGrp

AlgoSystemModuleLastUpdateTime

AlgoSystemModuleName

AlgoSystemModuleVersion

AlgoTestDesc

AllDividendsIndicator

AllocAccount

AllocAccountType

AllocAccruedInterestAmt

AllocAcctIDSource

AllocAckGrp

AllocationRollupInstruction

AllocAvgPx

AllocAvgPxGroupID

AllocAvgPxIndicator

AllocCalculatedCcyQty

AllocCancReplaceReason

AllocClearingFeeIndicator

AllocCommissionAmount

AllocCommissionAmountShared

AllocCommissionAmountSubType

AllocCommissionAmountType

AllocCommissionBasis

AllocCommissionCurrency

AllocCommissionCurrencyCodeSource

AllocCommissionDataGrp

AllocCommissionDesc

AllocCommissionLegRefID

AllocCommissionRate

AllocCommissionSharedIndicator

AllocCommissionUnitOfMeasure

AllocCommissionUnitOfMeasureCurrency

AllocCommissionUnitOfMeasureCurrencyCodeSource

AllocCustomerCapacity

AllocGrossTradeAmt

AllocGroupAmount

AllocGroupID

AllocGroupQuantity

AllocGroupRemainingQuantity

AllocGroupRemainingSubQty

AllocGroupStatus

AllocGroupSubQty

AllocGroupSubQtyAttributeGrp

AllocGroupSubQtyGrp

AllocGroupSubQtyID

AllocGroupSubQtyOffset

AllocGroupSubQtyType

AllocGroupSubQtyValue

AllocGrp

AllocHandlInst

AllocID

AllocInterestAtMaturity

AllocIntermedReqType

AllocLegRefID

AllocLinkID

AllocLinkType

AllocMethod

AllocNetMoney

AllocNoOrdersType

AllocPositionEffect

AllocPrice

AllocQty

AllocRefRiskLimitCheckID

AllocRefRiskLimitCheckIDType

AllocRegulatoryLegRefID

AllocRegulatoryTradeID

AllocRegulatoryTradeIDEvent

AllocRegulatoryTradeIDGrp

AllocRegulatoryTradeIDScope

AllocRegulatoryTradeIDSource

AllocRegulatoryTradeIDType

AllocRejCode

AllocReportID

AllocReportRefID

AllocReportType

AllocRequestID

AllocRequestStatus

AllocReversalStatus

AllocRiskLimitCheckStatus

AllocSettlCurrAmt

AllocSettlCurrency

AllocSettlCurrencyCodeSource

AllocSettlInstType

AllocStatus

AllocText

AllocTransType

AllocTrdRegTimestamp

AllocTrdRegTimestamps

AllocTrdRegTimestampSrc

AllocTrdRegTimestampType

AllocType

AllowableOneSidednessCurr

AllowableOneSidednessPct

AllowableOneSidednessValue

AltMDSourceID

AnnualTradingBusinessDays

AnonymousTradeIndicator

ApplBegSeqNum

ApplEndSeqNum

ApplExtID

ApplicationSequenceControl

ApplID

ApplIDReportGrp

ApplIDRequestAckGrp

ApplIDRequestGrp

ApplLastSeqNum

ApplNewSeqNum

ApplQueueAction

ApplQueueDepth

ApplQueueMax

ApplQueueResolution

ApplReportID

ApplReportType

ApplReqID

ApplReqType

ApplResendFlag

ApplResponseError

ApplResponseID

ApplResponseType

ApplSeqNum

ApplTestMessageIndicator

ApplTotalMessageCount

ApplVerID

ApprovalTime

AsgnRptID

AsOfIndicator

AssetAttributeGrp

AssetAttributeLimit

AssetAttributeType

AssetAttributeValue

AssetClass

AssetGroup

AssetSubClass

AssetSubType

AssetType

AssetValuationModel

AssignmentMethod

AssignmentUnit

AttachmentClassification

AttachmentEncodingType

AttachmentExternalURL

AttachmentGrp

AttachmentKeyword

AttachmentKeywordGrp

AttachmentMediaType

AttachmentName

AttachmentPoint

AttrbGrp

AuctionAllocationPct

AuctionInstruction

AuctionType

AuctionTypeProductComplex

AuctionTypeRuleGrp

AutoAcceptIndicator

AutomaticExerciseIndicator

AutomaticExerciseThresholdRate

AveragePriceDetail

AveragePriceEndTime

AveragePriceStartTime

AveragePriceType

AvgForwardPoints

AvgParPx

AvgPx

AvgPxGroupID

AvgPxIndicator

AvgPxPrecision

AvgSpotRate

BackloadedTradeIndicator

BaseTradingRules

BasisFeatureDate

BasisFeaturePrice

BasisPxType

BeginSeqNo

BeginString

BenchmarkCurveCurrency

BenchmarkCurveCurrencyCodeSource

BenchmarkCurveName

BenchmarkCurvePoint

BenchmarkPrice

BenchmarkPriceType

BenchmarkSecurityID

BenchmarkSecurityIDSource

BidCompReqGrp

BidCompRspGrp

BidDescReqGrp

BidDescriptor

BidDescriptorType

BidForwardPoints

BidForwardPoints2

BidID

BidMDEntryID

BidPx

BidQuoteID

BidRequestTransType

BidSize

BidSpotRate

BidSpread

BidSwapPoints

BidTradeType

BidType

BidVolatility

BidYield

BlockTradeEligibilityIndicator

BlockTrdAllocIndicator

BodyLength

BookingRefID

BookingType

BookingUnit

BrokerConfirmationDesc

BusinessCenter

BusinessCenterGrp

BusinessDayConvention

BusinessDayType

BusinessRejectReason

BusinessRejectRefID

BuyVolume

CalculatedCcyLastQty

CalculationMethod

CancellationRights

CancelText

CapPrice

CardExpDate

CardHolderName

CardIssNum

CardNumber

CardStartDate

CashDistribAgentAcctName

CashDistribAgentAcctNumber

CashDistribAgentCode

CashDistribAgentName

CashDistribCurr

CashDistribPayRef

CashMargin

CashOrderQty

CashOutstanding

CashSettlAccruedInterestIndicator

CashSettlAmount

CashSettlBusinessCenter

CashSettlBusinessDays

CashSettlCurrency

CashSettlDateAdjusted

CashSettlDateBusinessCenter

CashSettlDateBusinessCenterGrp

CashSettlDateBusinessDayConvention

CashSettlDate

CashSettlDateOffsetDayType

CashSettlDateOffsetPeriod

CashSettlDateOffsetUnit

CashSettlDateRelativeTo

CashSettlDateUnadjusted

CashSettlDealer

CashSettlDealerGrp

CashSettlFixedTermIndicator

CashSettlMinimumQuoteAmount

CashSettlMinimumQuoteCurrency

CashSettlNumOfValuationDates

CashSettlPriceDefault

CashSettlPriceSource

CashSettlQuoteAmount

CashSettlQuoteCurrency

CashSettlQuoteMethod

CashSettlRecoveryFactor

CashSettlTermGrp

CashSettlTermXID

CashSettlValuationFirstBusinessDayOffset

CashSettlValuationMethod

CashSettlValuationSubsequentBusinessDaysOffset

CashSettlValuationTime

CcyAmt

CFICode

CheckSum

ClearedIndicator

ClearingAccountType

ClearingAccountTypeGrp

ClearingBusinessDate

ClearingFeeIndicator

ClearingInstruction

ClearingIntention

ClearingPortfolioID

ClearingPriceOffset

ClearingPriceParametersGrp

ClearingRequirementException

ClearingSettlPrice

ClearingTradePrice

ClientBidID

ClOrdID

ClOrdLinkID

ClrInstGrp

CollAction

CollApplType

CollAsgnID

CollAsgnReason

CollAsgnRefID

CollAsgnRejectReason

CollAsgnRespType

CollAsgnTransType

CollateralAmountGrp

CollateralAmountMarketID

CollateralAmountMarketSegmentID

CollateralAmountType

CollateralCurrency

CollateralCurrencyCodeSource

CollateralFXRate

CollateralFXRateCalc

CollateralizationValueDate

CollateralMarketPrice

CollateralPercentOverage

CollateralPortfolioID

CollateralReinvestmentAmount

CollateralReinvestmentCurrency

CollateralReinvestmentCurrencyCodeSource

CollateralReinvestmentGrp

CollateralReinvestmentRate

CollateralReinvestmentType

CollateralRequestInstruction

CollateralRequestLinkID

CollateralRequestNumber

CollateralType

CollectAmount

CollInqQualGrp

CollInquiryID

CollInquiryQualifier

CollInquiryResult

CollInquiryStatus

CollReqID

CollRespID

CollRptID

CollRptRejectReason

CollRptStatus

CollStatus

CommCurrency

CommCurrencyCodeSource

Commission

CommissionAmount

CommissionAmountShared

CommissionAmountSubType

CommissionAmountType

CommissionBasis

CommissionCurrency

CommissionCurrencyCodeSource

CommissionData

CommissionDataGrp

CommissionDesc

CommissionLegRefID

CommissionRate

CommissionSharedIndicator

CommissionUnitOfMeasure

CommissionUnitOfMeasureCurrency

CommissionUnitOfMeasureCurrencyCodeSource

CommodityFinalPriceType

CommonPricingIndicator

CommRate

CommType

CommUnitOfMeasure

CompIDReqGrp

CompIDStatGrp

ComplexEventAveragingObservationGrp

ComplexEventAveragingObservationNumber

ComplexEventAveragingWeight

ComplexEventBusinessCenter

ComplexEventCalculationAgent

ComplexEventCondition

ComplexEventCreditEventBusinessCenter

ComplexEventCreditEventCurrency

ComplexEventCreditEventDayType

ComplexEventCreditEventGrp

ComplexEventCreditEventMinimumSources

ComplexEventCreditEventNotifyingParty

ComplexEventCreditEventPeriod

ComplexEventCreditEventQualifier

ComplexEventCreditEventQualifierGrp

ComplexEventCreditEventRateSource

ComplexEventCreditEventSource

ComplexEventCreditEventSourceGrp

ComplexEventCreditEventStandardSources

ComplexEventCreditEventsXIDRef

ComplexEventCreditEventType

ComplexEventCreditEventUnit

ComplexEventCreditEventValue

ComplexEventCurrencyOne

ComplexEventCurrencyOneCodeSource

ComplexEventCurrencyTwo

ComplexEventCurrencyTwoCodeSource

ComplexEventDateAdjusted

ComplexEventDateBusinessCenter

ComplexEventDateBusinessCenterGrp

ComplexEventDateBusinessDayConvention

ComplexEventDateOffsetDayType

ComplexEventDateOffsetPeriod

ComplexEventDateOffsetUnit

ComplexEventDateRelativeTo

ComplexEventDates

ComplexEventDateUnadjusted

ComplexEventDeterminationMethod

ComplexEventEndDate

ComplexEventEndTime

ComplexEventFixedFXRate

ComplexEventFixingTime

ComplexEventFixingTimeBusinessCenter

ComplexEventForwardPoints

ComplexEventFuturesPriceValuation

ComplexEventOptionsPriceValuation

ComplexEventPeriodDate

ComplexEventPeriodDateGrp

ComplexEventPeriodGrp

ComplexEventPeriodTime

ComplexEventPeriodType

ComplexEventPrice

ComplexEventPriceBoundaryMethod

ComplexEventPriceBoundaryPrecision

ComplexEventPricePercentage

ComplexEventPriceTimeType

ComplexEventPVFinalPriceElectionFallback

ComplexEventQuoteBasis

ComplexEventRateSource

ComplexEventRateSourceGrp

ComplexEventRateSourceType

ComplexEventReferencePage

ComplexEventReferencePageHeading

ComplexEventRelativeDate

ComplexEventScheduleEndDate

ComplexEventScheduleFrequencyPeriod

ComplexEventScheduleFrequencyUnit

ComplexEventScheduleGrp

ComplexEventScheduleRollConvention

ComplexEventScheduleStartDate

ComplexEvents

ComplexEventSpotRate

ComplexEventStartDate

ComplexEventStartTime

ComplexEventStrikeFactor

ComplexEventStrikeNumberOfOptions

ComplexEventStrikePrice

ComplexEventTimes

ComplexEventType

ComplexEventXID

ComplexEventXIDRef

ComplexOptPayoutAmount

ComplexOptPayoutCurrency

ComplexOptPayoutCurrencyCodeSource

ComplexOptPayoutPaySide

ComplexOptPayoutPercentage

ComplexOptPayoutReceiveSide

ComplexOptPayoutTime

ComplexOptPayoutUnderlier

ComplianceID

ComplianceText

CompressionGroupID

Concession

ConfirmationMethod

ConfirmID

ConfirmRefID

ConfirmRejReason

ConfirmReqID

ConfirmStatus

ConfirmTransType

ConfirmType

ContAmtCurr

ContAmtGrp

ContAmtType

ContAmtValue

ContingencyType

ContIntRptID

ContraBroker

ContractMultiplier

ContractMultiplierUnit

ContractPriceRefMonth

ContractRefPosType

ContractSettlMonth

ContractualDefinition

ContractualMatrixDate

ContractualMatrixSource

ContractualMatrixTerm

ContraGrp

ContraLegRefID

ContraOrderOrigination

ContraRoutingArrangementIndicator

ContraryInstructionEligibilityIndicator

ContraryInstructionIndicator

ContraTradeQty

ContraTrader

ContraTradeTime

ConvertibleBondEquityID

ConvertibleBondEquityIDSource

CopyMsgIndicator

CorporateAction

Country

CountryOfIssue

CouponDayCount

CouponFrequencyPeriod

CouponFrequencyUnit

CouponOtherDayCount

CouponPaymentDate

CouponRate

CouponType

CoveredOrUncovered

CoveredQty

CoverPrice

CpctyConfGrp

CPProgram

CPRegType

CreditRating

CreditSupportAgreementDate

CreditSupportAgreementDesc

CreditSupportAgreementID

CrossedIndicator

CrossID

CrossPercent

CrossPrioritization

CrossRequestID

CrossType

CstmApplVerID

CumQty

Currency

CurrencyCodeSource

CurrencyRatio

CurrentCollateralAmount

CurrentCostBasis

CurrentDisplayPrice

CurrentWorkingPrice

CustDirectedOrder

CustodialLotID

CustomerPriority

CustOrderCapacity

CustOrderHandlingInst

CxlQty

CxlRejReason

CxlRejResponseTo

DateAdjustment

DatedDate

DateOfBirth

DateRollConvention

DayAvgPx

DayBookingInst

DayCumQty

DayOrderQty

DealingCapacity

DefaultApplExtID

DefaultApplVerID

DefaultCstmApplVerID

DefaultVerIndicator

DefBidSize

DefOfferSize

DeleteReason

DeliverToCompID

DeliverToLocationID

DeliverToSubID

DeliveryDate

DeliveryForm

DeliveryRouteOrCharter

DeliveryScheduleGrp

DeliveryScheduleNegativeTolerance

DeliveryScheduleNotional

DeliveryScheduleNotionalCommodityFrequency

DeliveryScheduleNotionalUnitOfMeasure

DeliverySchedulePositiveTolerance

DeliveryScheduleSettlCountry

DeliveryScheduleSettlDay

DeliveryScheduleSettlDayGrp

DeliveryScheduleSettlEnd

DeliveryScheduleSettlFlowType

DeliveryScheduleSettlHolidaysProcessingInstruction

DeliveryScheduleSettlStart

DeliveryScheduleSettlTimeGrp

DeliveryScheduleSettlTimeType

DeliveryScheduleSettlTimeZone

DeliveryScheduleSettlTotalHours

DeliveryScheduleToleranceType

DeliveryScheduleToleranceUnitOfMeasure

DeliveryScheduleType

DeliveryScheduleXID

DeliveryStreamCommoditySource

DeliveryStreamCommoditySourceGrp

DeliveryStream

DeliveryStreamCycleDesc

DeliveryStreamCycleGrp

DeliveryStreamDeliverAtSourceIndicator

DeliveryStreamDeliveryContingency

DeliveryStreamDeliveryContingentPartySide

DeliveryStreamDeliveryPoint

DeliveryStreamDeliveryPointDesc

DeliveryStreamDeliveryPointSource

DeliveryStreamDeliveryRestriction

DeliveryStreamElectingPartySide

DeliveryStreamEntryPoint

DeliveryStreamImporterOfRecord

DeliveryStreamNegativeTolerance

DeliveryStreamNotionalConversionFactor

DeliveryStreamPipeline

DeliveryStreamPositiveTolerance

DeliveryStreamRiskApportionment

DeliveryStreamRiskApportionmentSource

DeliveryStreamRouteOrCharter

DeliveryStreamTitleTransferCondition

DeliveryStreamTitleTransferLocation

DeliveryStreamToleranceOptionSide

DeliveryStreamToleranceType

DeliveryStreamToleranceUnitOfMeasure

DeliveryStreamTotalNegativeTolerance

DeliveryStreamTotalPositiveTolerance

DeliveryStreamTransportEquipment

DeliveryStreamType

DeliveryStreamWithdrawalPoint

DeliveryType

DeltaCrossed

DerivativeCapPrice

DerivativeCFICode

DerivativeContractMultiplier

DerivativeContractMultiplierUnit

DerivativeContractSettlMonth

DerivativeContraryInstructionEligibilityIndicator

DerivativeCountryOfIssue

DerivativeEncodedIssuer

DerivativeEncodedIssuerLen

DerivativeEncodedSecurityDesc

DerivativeEncodedSecurityDescLen

DerivativeEventDate

DerivativeEventPx

DerivativeEventsGrp

DerivativeEventText

DerivativeEventTime

DerivativeEventType

DerivativeExerciseStyle

DerivativeFloorPrice

DerivativeFlowScheduleType

DerivativeInstrAttribType

DerivativeInstrAttribValue

DerivativeInstrmtAssignmentMethod

DerivativeInstrRegistry

DerivativeInstrumentAttribute

DerivativeInstrument

DerivativeInstrumentParties

DerivativeInstrumentPartyID

DerivativeInstrumentPartyIDSource

DerivativeInstrumentPartyRole

DerivativeInstrumentPartyRoleQualifier

DerivativeInstrumentPartySubID

DerivativeInstrumentPartySubIDsGrp

DerivativeInstrumentPartySubIDType

DerivativeInTheMoneyCondition

DerivativeIssueDate

DerivativeIssuer

DerivativeListMethod

DerivativeLocaleOfIssue

DerivativeMaturityDate

DerivativeMaturityMonthYear

DerivativeMaturityTime

DerivativeMinPriceIncrement

DerivativeMinPriceIncrementAmount

DerivativeNTPositionLimit

DerivativeOptAttribute

DerivativeOptPayoutAmount

DerivativePositionLimit

DerivativePriceQuoteCurrency

DerivativePriceQuoteCurrencyCodeSource

DerivativePriceQuoteMethod

DerivativePriceUnitOfMeasure

DerivativePriceUnitOfMeasureCurrency

DerivativePriceUnitOfMeasureCurrencyCodeSource

DerivativePriceUnitOfMeasureQty

DerivativeProduct

DerivativeProductComplex

DerivativePutOrCall

DerivativeSecurityAltID

DerivativeSecurityAltIDGrp

DerivativeSecurityAltIDSource

DerivativeSecurityDefinition

DerivativeSecurityDesc

DerivativeSecurityExchange

DerivativeSecurityGroup

DerivativeSecurityID

DerivativeSecurityIDSource

DerivativeSecurityStatus

DerivativeSecuritySubType

DerivativeSecurityType

DerivativeSecurityXML

DerivativeSecurityXML

DerivativeSecurityXMLLen

DerivativeSecurityXMLSchema

DerivativeSettleOnOpenFlag

DerivativeSettlMethod

DerivativeStateOrProvinceOfIssue

DerivativeStrikeCurrency

DerivativeStrikeCurrencyCodeSource

DerivativeStrikeMultiplier

DerivativeStrikePrice

DerivativeStrikeValue

DerivativeSymbol

DerivativeSymbolSfx

DerivativeTimeUnit

DerivativeUnitOfMeasure

DerivativeUnitOfMeasureCurrency

DerivativeUnitOfMeasureCurrencyCodeSource

DerivativeUnitOfMeasureQty

DerivativeUPICode

DerivativeValuationMethod

DerivFlexProductEligibilityIndicator

Designation

DeskID

DeskOrderHandlingInst

DeskType

DeskTypeSource

DetachmentPoint

DifferentialPrice

DisclosureInstruction

DisclosureInstructionGrp

DisclosureType

DiscountFactor

DiscretionInst

DiscretionInstructions

DiscretionLimitType

DiscretionMoveType

DiscretionOffsetType

DiscretionOffsetValue

DiscretionPrice

DiscretionRoundDirection

DiscretionScope

DisplayHighQty

DisplayInstruction

DisplayLowQty

DisplayMethod

DisplayMinIncr

DisplayQty

DisplayWhen

DistribPaymentMethod

DistribPercentage

DividendAccrualFixedRate

DividendAccrualFloatingRate

DividendAccrualPaymeentDateBusinessDayConvention

DividendAccrualPaymentDateAdjusted

DividendAccrualPaymentDateBusinessCenter

DividendAccrualPaymentDateBusinessCenterGrp

DividendAccrualPaymentDate

DividendAccrualPaymentDateOffsetDayType

DividendAccrualPaymentDateOffsetPeriod

DividendAccrualPaymentDateOffsetUnit

DividendAccrualPaymentDateRelativeTo

DividendAccrualPaymentDateUnadjusted

DividendAmountType

DividendAveragingMethod

DividendCapRate

DividendCapRateBuySide

DividendCapRateSellSide

DividendCashEquivalentPercentage

DividendCashPercentage

DividendComposition

DividendCompoundingMethod

DividendConditions

DividendEntitlementEvent

DividendFinalRatePrecision

DividendFinalRateRoundingDirection

DividendFloatingRateIndex

DividendFloatingRateIndexCurvePeriod

DividendFloatingRateIndexCurveUnit

DividendFloatingRateMultiplier

DividendFloatingRateSpread

DividendFloatingRateSpreadPositionType

DividendFloatingRateTreatment

DividendFloorRate

DividendFloorRateBuySide

DividendFloorRateSellSide

DividendFXTriggerDateAdjusted

DividendFXTriggerDateBusinessCenter

DividendFXTriggerDateBusinessCenterGrp

DividendFXTriggerDateBusinessDayConvention

DividendFXTriggerDate

DividendFXTriggerDateOffsetDayType

DividendFXTriggerDateOffsetPeriod

DividendFXTriggerDateOffsetUnit

DividendFXTriggerDateRelativeTo

DividendFXTriggerDateUnadjusted

DividendInitialRate

DividendNegativeRateTreatment

DividendNumOfIndexUnits

DividendPeriodBusinessCenter

DividendPeriodBusinessCenterGrp

DividendPeriodBusinessDayConvention

DividendPeriodEndDateUnadjusted

DividendPeriodGrp

DividendPeriodPaymentDateAdjusted

DividendPeriodPaymentDateOffsetDayType

DividendPeriodPaymentDateOffsetPeriod

DividendPeriodPaymentDateOffsetUnit

DividendPeriodPaymentDateRelativeTo

DividendPeriodPaymentDateUnadjusted

DividendPeriodSequence

DividendPeriodStartDateUnadjusted

DividendPeriodStrikePrice

DividendPeriodUnderlierRefID

DividendPeriodValuationDateAdjusted

DividendPeriodValuationDateOffsetDayType

DividendPeriodValuationDateOffsetPeriod

DividendPeriodValuationDateOffsetUnit

DividendPeriodValuationDateRelativeTo

DividendPeriodValuationDateUnadjusted

DividendPeriodXID

DividendReinvestmentIndicator

DividendUnderlierRefID

DividendYield

DKReason

DlvyInstGrp

DlvyInstType

DocumentationText

DueToRelated

DuplicateClOrdIDIndicator

EffectiveBusinessDate

EffectiveTime

EFPTrackingError

EmailThreadID

EmailType

EncodedAdditionalTermBondDesc

EncodedAdditionalTermBondDescLen

EncodedAdditionalTermBondIssuer

EncodedAdditionalTermBondIssuerLen

EncodedAllocCommissionDesc

EncodedAllocCommissionDescLen

EncodedAllocText

EncodedAllocTextLen

EncodedAttachment

EncodedAttachmentLen

EncodedCancelText

EncodedCancelTextLen

EncodedCommissionDesc

EncodedCommissionDescLen

EncodedComplianceText

EncodedComplianceTextLen

EncodedDeliveryStreamCycleDesc

EncodedDeliveryStreamCycleDescLen

EncodedDocumentationText

EncodedDocumentationTextLen

EncodedEventText

EncodedEventTextLen

EncodedExerciseDesc

EncodedExerciseDescLen

EncodedFinancialInstrumentFullName

EncodedFinancialInstrumentFullNameLen

EncodedFirmAllocText

EncodedFirmAllocTextLen

EncodedHeadline

EncodedHeadlineLen

EncodedIssuer

EncodedIssuerLen

EncodedLegAdditionalTermBondDesc

EncodedLegAdditionalTermBondDescLen

EncodedLegAdditionalTermBondIssuer

EncodedLegAdditionalTermBondIssuerLen

EncodedLegDeliveryStreamCycleDesc

EncodedLegDeliveryStreamCycleDescLen

EncodedLegDocumentationText

EncodedLegDocumentationTextLen

EncodedLegEventText

EncodedLegEventTextLen

EncodedLegExerciseDesc

EncodedLegExerciseDescLen

EncodedLegFinancialInstrumentFullName

EncodedLegFinancialInstrumentFullNameLen

EncodedLegIssuer

EncodedLegIssuerLen

EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc

EncodedLegMarketDisruptionFallbackUnderlierSecurityDescLen

EncodedLegOptionExpirationDesc

EncodedLegOptionExpirationDescLen

EncodedLegProvisionText

EncodedLegProvisionTextLen

EncodedLegSecurityDesc

EncodedLegSecurityDescLen

EncodedLegStreamCommodityDesc

EncodedLegStreamCommodityDescLen

EncodedLegStreamText

EncodedLegStreamTextLen

EncodedListExecInst

EncodedListExecInstLen

EncodedListStatusText

EncodedListStatusTextLen

EncodedMarketDisruptionFallbackUnderlierSecurityDesc

EncodedMarketDisruptionFallbackUnderlierSecurityDescLen

EncodedMatchExceptionText

EncodedMatchExceptionTextLen

EncodedMDStatisticDesc

EncodedMDStatisticDescLen

EncodedMiscFeeSubTypeDesc

EncodedMiscFeeSubTypeDescLen

EncodedMktSegmDesc

EncodedMktSegmDescLen

EncodedOptionExpirationDesc

EncodedOptionExpirationDescLen

EncodedPaymentText

EncodedPaymentTextLen

EncodedPostTradePaymentDesc

EncodedPostTradePaymentDescLen

EncodedProvisionText

EncodedProvisionTextLen

EncodedRejectText

EncodedRejectTextLen

EncodedReplaceText

EncodedReplaceTextLen

EncodedSecurityDesc

EncodedSecurityDescLen

EncodedSecurityListDesc

EncodedSecurityListDescLen

EncodedSettlStatusReasonText

EncodedSettlStatusReasonTextLen

EncodedStreamCommodityDesc

EncodedStreamCommodityDescLen

EncodedStreamText

EncodedStreamTextLen

EncodedSubject

EncodedSubjectLen

EncodedText

EncodedTextLen

EncodedTradeContinuationText

EncodedTradeContinuationTextLen

EncodedUnderlyingAdditionalTermBondDesc

EncodedUnderlyingAdditionalTermBondDescLen

EncodedUnderlyingAdditionalTermBondIssuer

EncodedUnderlyingAdditionalTermBondIssuerLen

EncodedUnderlyingDeliveryStreamCycleDesc

EncodedUnderlyingDeliveryStreamCycleDescLen

EncodedUnderlyingEventText

EncodedUnderlyingEventTextLen

EncodedUnderlyingExerciseDesc

EncodedUnderlyingExerciseDescLen

EncodedUnderlyingFinancialInstrumentFullName

EncodedUnderlyingFinancialInstrumentFullNameLen

EncodedUnderlyingIssuer

EncodedUnderlyingIssuerLen

EncodedUnderlyingMarketDisruptionFallbackUnderlierSecDescLen

EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc

EncodedUnderlyingOptionExpirationDesc

EncodedUnderlyingOptionExpirationDescLen

EncodedUnderlyingProvisionText

EncodedUnderlyingProvisionTextLen

EncodedUnderlyingSecurityDesc

EncodedUnderlyingSecurityDescLen

EncodedUnderlyingStreamCommodityDesc

EncodedUnderlyingStreamCommodityDescLen

EncodedUnderlyingStreamText

EncodedUnderlyingStreamTextLen

EncodedWarningText

EncodedWarningTextLen

EncryptedNewPassword

EncryptedNewPasswordLen

EncryptedPassword

EncryptedPasswordLen

EncryptedPasswordMethod

EncryptMethod

EndAccruedInterestAmt

EndCash

EndDate

EndMaturityMonthYear

EndPriceRange

EndSeqNo

EndStrikePxRange

EndTickPriceRange

EntitlementAttribCurrency

EntitlementAttribCurrencyCodeSource

EntitlementAttribDatatype

EntitlementAttribGrp

EntitlementAttribType

EntitlementAttribValue

EntitlementEndDate

EntitlementGrp

EntitlementID

EntitlementIndicator

EntitlementPlatform

EntitlementRefID

EntitlementReportID

EntitlementRequestID

EntitlementRequestResult

EntitlementRequestStatus

EntitlementResult

EntitlementStartDate

EntitlementStatus

EntitlementSubType

EntitlementType

EntitlementTypeGrp

EventDate

EventInitiatorType

EventMonthYear

EventPx

EventText

EventTime

EventTimePeriod

EventTimeUnit

EventType

EvntGrp

ExchangeForPhysical

ExchangeLookAlike

ExchangeRule

ExchangeSpecialInstructions

ExDate

ExDestination

ExDestinationIDSource

ExDestinationType

ExecAckStatus

ExecAllocGrp

ExecCollGrp

ExecID

ExecInst

ExecInstRules

ExecInstValue

ExecMethod

ExecPriceAdjustment

ExecPriceType

ExecRefID

ExecRestatementReason

ExecType

ExecTypeReason

ExecutionAggregationGrp

ExecutionTimestamp

ExecValuationPoint

ExerciseConfirmationMethod

ExerciseDesc

ExerciseMethod

ExerciseSplitTicketIndicator

ExerciseStyle

ExpirationCycle

ExpirationQty

ExpirationQtyType

ExpireDate

ExpireTime

ExposureDuration

ExposureDurationUnit

ExpQty

ExtraordinaryDividendAmountType

ExtraordinaryDividendCurrency

ExtraordinaryDividendDeterminationMethod

ExtraordinaryDividendPartySide

ExtraordinaryEventAdjustmentMethod

ExtraordinaryEventGrp

ExtraordinaryEventType

ExtraordinaryEventValue

Factor

FairValue

FallbackExerciseIndicator

FastMarketIndicator

FastMarketPercentage

FeeMultiplier

FillExecID

FillLiquidityInd

FillMatchID

FillMatchSubID

FillPx

FillQty

FillRefID

FillsGrp

FillYield

FillYieldType

FinancialInstrumentFullName

FinancialInstrumentShortName

FinancialStatus

FinancingContractualDefinitionGrp

FinancingContractualMatrixGrp

FinancingDetails

FinancingTermSupplementDate

FinancingTermSupplementDesc

FinancingTermSupplementGrp

FirmAllocText

FirmGroupID

FirmMnemonic

FirmTradeEventID

FirmTradeID

FirmTransactionID

FirstPx

FlexibleIndicator

FlexProductEligibilityComplex

FlexProductEligibilityGrp

FlexProductEligibilityIndicator

FloatingRateIndex

FloatingRateIndexCurvePeriod

FloatingRateIndexCurveSpread

FloatingRateIndexCurveUnit

FloatingRateIndexID

FloatingRateIndexIDSource

FloorPrice

FlowScheduleType

ForexReq

FundingSource

FundingSourceCurrency

FundingSourceCurrencyCodeSource

FundingSourceGrp

FundingSourceMarketValue

FundRenewWaiv

FXBenchmark

FXBenchmarkBusinessCenter

FXBenchmarkDate

FXBenchmarkRateFix

FXBenchmarkTime

Gamma

GapFillFlag

GoverningLaw

GrossTradeAmt

GroupAmount

GroupRemainingAmount

GTBookingInst

HaircutIndicator

HaltReason

HandlInst

Headline

HeartBtInt

HighLimitPrice

HighPx

HistoricalReportIndicator

HopCompID

HopGrp

HopRefID

HopSendingTime

HostCrossID

ImpliedMarketIndicator

IncTaxInd

IndexAnnexDate

IndexAnnexSource

IndexAnnexVersion

IndexRollMonth

IndexRollMonthGrp

IndexSeries

IndividualAllocID

IndividualAllocRejCode

IndividualAllocType

InformationBarrierID

InitialDisplayQty

InputSource

InstrAttribType

InstrAttribValue

InstrmtAssignmentMethod

InstrmtGrp

InstrmtLegExecGrp

InstrmtLegGrp

InstrmtLegIOIGrp

InstrmtLegSecListGrp

InstrmtMatchSideGrp

InstrmtMDReqGrp

InstrmtStrkPxGrp

InstrRegistry

Instrument

InstrumentExtension

InstrumentLeg

InstrumentParties

InstrumentPartyID

InstrumentPartyIDSource

InstrumentPartyRole

InstrumentPartyRoleQualifier

InstrumentPartySubID

InstrumentPartySubIDType

InstrumentPricePrecision

InstrumentPtysSubGrp

InstrumentRoundingDirection

InstrumentRoundingPrecision

InstrumentScopeCFICode

InstrumentScope

InstrumentScopeCouponRate

InstrumentScopeEncodedSecurityDesc

InstrumentScopeEncodedSecurityDescLen

InstrumentScopeFlexibleIndicator

InstrumentScopeGrp

InstrumentScopeMaturityMonthYear

InstrumentScopeMaturityTime

InstrumentScopeOperator

InstrumentScopeProduct

InstrumentScopeProductComplex

InstrumentScopePutOrCall

InstrumentScopeRestructuringType

InstrumentScopeSecurityAltID

InstrumentScopeSecurityAltIDGrp

InstrumentScopeSecurityAltIDSource

InstrumentScopeSecurityDesc

InstrumentScopeSecurityExchange

InstrumentScopeSecurityGroup

InstrumentScopeSecurityID

InstrumentScopeSecurityIDSource

InstrumentScopeSecuritySubType

InstrumentScopeSecurityType

InstrumentScopeSeniority

InstrumentScopeSettlType

InstrumentScopeSymbol

InstrumentScopeSymbolSfx

InstrumentScopeUPICode

InterestAccrualDate

InterestAtMaturity

InternationalSwapIndicator

InTheMoneyCondition

IntraFirmTradeIndicator

InvestorCountryOfResidence

InViewOfCommon

IOIID

IOINaturalFlag

IOIQltyInd

IOIQty

IOIQualGrp

IOIQualifier

IOIRefID

IOITransType

IRSDirection

IssueDate

Issuer

LanguageCode

LastCapacity

LastForwardPoints

LastForwardPoints2

LastFragment

LastLimitAmt

LastLiquidityInd

LastMkt

LastMsgSeqNumProcessed

LastMultipliedQty

LastNetworkResponseID

LastParPx

LastPx

LastQty

LastQtyChanged

LastQtyVariance

LastRptRequested

LastSpotRate

LastSwapPoints

LastUpdateTime

LastUpfrontPrice

LateIndicator

LeavesQty

LegAccount

LegAdditionalDividendsIndicator

LegAdditionalTermBondCouponFrequencyPeriod

LegAdditionalTermBondCouponFrequencyUnit

LegAdditionalTermBondCouponRate

LegAdditionalTermBondCouponType

LegAdditionalTermBondCurrency

LegAdditionalTermBondCurrentTotalIssuedAmount

LegAdditionalTermBondDayCount

LegAdditionalTermBondDesc

LegAdditionalTermBondIssuer

LegAdditionalTermBondMaturityDate

LegAdditionalTermBondParValue

LegAdditionalTermBondRefGrp

LegAdditionalTermBondSecurityID

LegAdditionalTermBondSecurityIDSource

LegAdditionalTermBondSeniority

LegAdditionalTermConditionPrecedentBondIndicator

LegAdditionalTermDiscrepancyClauseIndicator

LegAdditionalTermGrp

LegAgreementCurrency

LegAgreementCurrencyCodeSource

LegAgreementDate

LegAgreementDesc

LegAgreementID

LegAgreementVersion

LegalConfirm

LegAllDividendsIndicator

LegAllocAccount

LegAllocAcctIDSource

LegAllocID

LegAllocQty

LegAllocSettlCurrency

LegAllocSettlCurrencyCodeSource

LegAssetAttributeGrp

LegAssetAttributeLimit

LegAssetAttributeType

LegAssetAttributeValue

LegAssetClass

LegAssetGroup

LegAssetSubClass

LegAssetSubType

LegAssetType

LegAttachmentPoint

LegAutomaticExerciseIndicator

LegAutomaticExerciseThresholdRate

LegBenchmarkCurveCurrency

LegBenchmarkCurveCurrencyCodeSource

LegBenchmarkCurveData

LegBenchmarkCurveName

LegBenchmarkCurvePoint

LegBenchmarkPrice

LegBenchmarkPriceType

LegBidForwardPoints

LegBidPx

LegBrokerConfirmationDesc

LegBusinessCenter

LegBusinessCenterGrp

LegBusinessDayConvention

LegCalculatedCcyLastQty

LegCapPrice

LegCashSettlAccruedInterestIndicator

LegCashSettlAmount

LegCashSettlBusinessCenter

LegCashSettlBusinessDays

LegCashSettlCurrency

LegCashSettlDateAdjusted

LegCashSettlDateBusinessCenter

LegCashSettlDateBusinessCenterGrp

LegCashSettlDateBusinessDayConvention

LegCashSettlDate

LegCashSettlDateOffsetDayType

LegCashSettlDateOffsetPeriod

LegCashSettlDateOffsetUnit

LegCashSettlDateRelativeTo

LegCashSettlDateUnadjusted

LegCashSettlDealer

LegCashSettlDealerGrp

LegCashSettlFixedTermIndicator

LegCashSettlMinimumQuoteAmount

LegCashSettlMinimumQuoteCurrency

LegCashSettlNumOfValuationDates

LegCashSettlPriceDefault

LegCashSettlPriceSource

LegCashSettlQuoteAmount

LegCashSettlQuoteCurrency

LegCashSettlQuoteMethod

LegCashSettlRecoveryFactor

LegCashSettlTermGrp

LegCashSettlTermXID

LegCashSettlValuationMethod

LegCashSettlValuationSubsequentBusinessDaysOffset

LegCashSettlValuationTime

LegCasSettlValuationFirstBusinessDayOffset

LegCFICode

LegClearingAccountType

LegCommonPricingIndicator

LegComplexEvenReferencePageHeading

LegComplexEventAveragingObservationGrp

LegComplexEventAveragingObservationNumber

LegComplexEventAveragingWeight

LegComplexEventBusinessCenter

LegComplexEventCalculationAgent

LegComplexEventCondition

LegComplexEventCreditEventBusinessCenter

LegComplexEventCreditEventCurrency

LegComplexEventCreditEventDayType

LegComplexEventCreditEventGrp

LegComplexEventCreditEventMinimumSources

LegComplexEventCreditEventNotifyingParty

LegComplexEventCreditEventPeriod

LegComplexEventCreditEventQualifier

LegComplexEventCreditEventQualifierGrp

LegComplexEventCreditEventRateSource

LegComplexEventCreditEventSource

LegComplexEventCreditEventSourceGrp

LegComplexEventCreditEventStandardSources

LegComplexEventCreditEventsXIDRef

LegComplexEventCreditEventType

LegComplexEventCreditEventUnit

LegComplexEventCreditEventValue

LegComplexEventCurrencyOne

LegComplexEventCurrencyOneCodeSource

LegComplexEventCurrencyTwo

LegComplexEventCurrencyTwoCodeSource

LegComplexEventDateAdjusted

LegComplexEventDateBusinessCenter

LegComplexEventDateBusinessCenterGrp

LegComplexEventDateBusinessDayConvention

LegComplexEventDateOffsetDayType

LegComplexEventDateOffsetPeriod

LegComplexEventDateOffsetUnit

LegComplexEventDateRelativeTo

LegComplexEventDates

LegComplexEventDateUnadjusted

LegComplexEventDeterminationMethod

LegComplexEventEndDate

LegComplexEventEndTime

LegComplexEventFixedFXRate

LegComplexEventFixingTime

LegComplexEventFixingTimeBusinessCenter

LegComplexEventForwardPoints

LegComplexEventFuturesPriceValuation

LegComplexEventOptionsPriceValuation

LegComplexEventPeriodDate

LegComplexEventPeriodDateGrp

LegComplexEventPeriodGrp

LegComplexEventPeriodTime

LegComplexEventPeriodType

LegComplexEventPrice

LegComplexEventPriceBoundaryMethod

LegComplexEventPriceBoundaryPrecision

LegComplexEventPricePercentage

LegComplexEventPriceTimeType

LegComplexEventPVFinalPriceElectionFallback

LegComplexEventQuoteBasis

LegComplexEventRateSource

LegComplexEventRateSourceGrp

LegComplexEventRateSourceType

LegComplexEventReferencePage

LegComplexEventRelativeDate

LegComplexEventScheduleEndDate

LegComplexEventScheduleFrequencyPeriod

LegComplexEventScheduleFrequencyUnit

LegComplexEventScheduleGrp

LegComplexEventScheduleRollConvention

LegComplexEventScheduleStartDate

LegComplexEvents

LegComplexEventSpotRate

LegComplexEventStartDate

LegComplexEventStartTime

LegComplexEventStrikeFactor

LegComplexEventStrikeNumberOfOptions

LegComplexEventStrikePrice

LegComplexEventTimes

LegComplexEventType

LegComplexEventXID

LegComplexEventXIDRef

LegComplexOptPayoutAmount

LegComplexOptPayoutCurrency

LegComplexOptPayoutCurrencyCodeSource

LegComplexOptPayoutPaySide

LegComplexOptPayoutPercentage

LegComplexOptPayoutReceiveSide

LegComplexOptPayoutTime

LegComplexOptPayoutUnderlier

LegContractMultiplier

LegContractMultiplierUnit

LegContractPriceRefMonth

LegContractSettlMonth

LegContractualDefinition

LegContractualMatrixDate

LegContractualMatrixSource

LegContractualMatrixTerm

LegContraryInstructionEligibilityIndicator

LegConvertibleBondEquityID

LegConvertibleBondEquityIDSource

LegCountryOfIssue

LegCouponDayCount

LegCouponFrequencyPeriod

LegCouponFrequencyUnit

LegCouponOtherDayCount

LegCouponPaymentDate

LegCouponRate

LegCouponType

LegCoveredOrUncovered

LegCPProgram

LegCPRegType

LegCreditRating

LegCreditSupportAgreementDate

LegCreditSupportAgreementDesc

LegCreditSupportAgreementID

LegCurrency

LegCurrencyCodeSource

LegCurrencyRatio

LegCurrentCostBasis

LegCustodialLotID

LegDateAdjustment

LegDatedDate

LegDateRollConvention

LegDeliveryRouteOrCharter

LegDeliveryScheduleGrp

LegDeliveryScheduleNegativeTolerance

LegDeliveryScheduleNotional

LegDeliveryScheduleNotionalCommodityFrequency

LegDeliveryScheduleNotionalUnitOfMeasure

LegDeliverySchedulePositiveTolerance

LegDeliveryScheduleSettlCountry

LegDeliveryScheduleSettlDay

LegDeliveryScheduleSettlDayGrp

LegDeliveryScheduleSettlEnd

LegDeliveryScheduleSettlFlowType

LegDeliveryScheduleSettlHolidaysProcessingInstruction

LegDeliveryScheduleSettlStart

LegDeliveryScheduleSettlTimeGrp

LegDeliveryScheduleSettlTimeType

LegDeliveryScheduleSettlTimeZone

LegDeliveryScheduleSettlTotalHours

LegDeliveryScheduleToleranceType

LegDeliveryScheduleToleranceUnitOfMeasure

LegDeliveryScheduleType

LegDeliveryScheduleXID

LegDeliveryStreamCommoditySource

LegDeliveryStreamCommoditySourceGrp

LegDeliveryStream

LegDeliveryStreamCycleDesc

LegDeliveryStreamCycleGrp

LegDeliveryStreamDeliverAtSourceIndicator

LegDeliveryStreamDeliveryContingency

LegDeliveryStreamDeliveryContingentPartySide

LegDeliveryStreamDeliveryPoint

LegDeliveryStreamDeliveryPointDesc

LegDeliveryStreamDeliveryPointSource

LegDeliveryStreamDeliveryRestriction

LegDeliveryStreamElectingPartySide

LegDeliveryStreamEntryPoint

LegDeliveryStreamImporterOfRecord

LegDeliveryStreamNegativeTolerance

LegDeliveryStreamNotionalConversionFactor

LegDeliveryStreamPipeline

LegDeliveryStreamPositiveTolerance

LegDeliveryStreamRiskApportionment

LegDeliveryStreamRiskApportionmentSource

LegDeliveryStreamRouteOrCharter

LegDeliveryStreamTitleTransferCondition

LegDeliveryStreamTitleTransferLocation

LegDeliveryStreamToleranceOptionSide

LegDeliveryStreamToleranceType

LegDeliveryStreamToleranceUnitOfMeasure

LegDeliveryStreamTotalNegativeTolerance

LegDeliveryStreamTotalPositiveTolerance

LegDeliveryStreamTransportEquipment

LegDeliveryStreamType

LegDeliveryStreamWithdrawalPoint

LegDeliveryType

LegDetachmentPoint

LegDifferentialPrice

LegDividendAccrualFixedRate

LegDividendAccrualFloatingRate

LegDividendAccrualPaymentDateAdjusted

LegDividendAccrualPaymentDateBusinessCenter

LegDividendAccrualPaymentDateBusinessCenterGrp

LegDividendAccrualPaymentDateBusinessDayConvention

LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateOffsetDayType

LegDividendAccrualPaymentDateOffsetPeriod

LegDividendAccrualPaymentDateOffsetUnit

LegDividendAccrualPaymentDateRelativeTo

LegDividendAccrualPaymentDateUnadjusted

LegDividendAmountType

LegDividendAveragingMethod

LegDividendCapRate

LegDividendCapRateBuySide

LegDividendCapRateSellSide

LegDividendCashEquivalentPercentage

LegDividendCashPercentage

LegDividendComposition

LegDividendCompoundingMethod

LegDividendConditions

LegDividendEntitlementEvent

LegDividendFinalRatePrecision

LegDividendFinalRateRoundingDirection

LegDividendFloatingRateIndex

LegDividendFloatingRateIndexCurvePeriod

LegDividendFloatingRateIndexCurveUnit

LegDividendFloatingRateMultiplier

LegDividendFloatingRateSpread

LegDividendFloatingRateSpreadPositionType

LegDividendFloatingRateTreatment

LegDividendFloorRate

LegDividendFloorRateBuySide

LegDividendFloorRateSellSide

LegDividendFXTriggerDateAdjusted

LegDividendFXTriggerDateBusinessCenter

LegDividendFXTriggerDateBusinessCenterGrp

LegDividendFXTriggerDateBusinessDayConvention

LegDividendFXTriggerDate

LegDividendFXTriggerDateOffsetDayType

LegDividendFXTriggerDateOffsetPeriod

LegDividendFXTriggerDateOffsetUnit

LegDividendFXTriggerDateRelativeTo

LegDividendFXTriggerDateUnadjusted

LegDividendInitialRate

LegDividendNegativeRateTreatment

LegDividendNumOfIndexUnits

LegDividendPeriodBusinessCenter

LegDividendPeriodBusinessCenterGrp

LegDividendPeriodBusinessDayConvention

LegDividendPeriodEndDateUnadjusted

LegDividendPeriodGrp

LegDividendPeriodPaymentDateAdjusted

LegDividendPeriodPaymentDateOffsetDayType

LegDividendPeriodPaymentDateOffsetPeriod

LegDividendPeriodPaymentDateOffsetUnit

LegDividendPeriodPaymentDateRelativeTo

LegDividendPeriodPaymentDateUnadjusted

LegDividendPeriodSequence

LegDividendPeriodStartDateUnadjusted

LegDividendPeriodStrikePrice

LegDividendPeriodUnderlierRefID

LegDividendPeriodValuationDateAdjusted

LegDividendPeriodValuationDateOffsetDayType

LegDividendPeriodValuationDateOffsetPeriod

LegDividendPeriodValuationDateOffsetUnit

LegDividendPeriodValuationDateRelativeTo

LegDividendPeriodValuationDateUnadjusted

LegDividendPeriodXID

LegDividendReinvestmentIndicator

LegDividendUnderlierRefID

LegDividendYield

LegDocumentationText

LegEndDate

LegEventDate

LegEventMonthYear

LegEventPx

LegEventText

LegEventTime

LegEventTimePeriod

LegEventTimeUnit

LegEventType

LegEvntGrp

LegExchangeLookAlike

LegExecID

LegExecInst

LegExecRefID

LegExerciseConfirmationMethod

LegExerciseDesc

LegExerciseSplitTicketIndicator

LegExerciseStyle

LegExtraordinaryDividendAmountType

LegExtraordinaryDividendCurrency

LegExtraordinaryDividendDeterminationMethod

LegExtraordinaryDividendPartySide

LegExtraordinaryEventAdjustmentMethod

LegExtraordinaryEventGrp

LegExtraordinaryEventType

LegExtraordinaryEventValue

LegFactor

LegFallbackExerciseIndicator

LegFinancialInstrumentFullName

LegFinancialInstrumentShortName

LegFinancingContractualDefinitionsGrp

LegFinancingContractualMatrixGrp

LegFinancingDetails

LegFinancingTermSupplementDate

LegFinancingTermSupplementDesc

LegFinancingTermSupplementGrp

LegFlexibleIndicator

LegFlexProductEligibilityIndicator

LegFloorPrice

LegFlowScheduleType

LegGoverningLaw

LegGrossTradeAmt

LegID

LegIndexAnnexDate

LegIndexAnnexSource

LegIndexAnnexVersion

LegIndexSeries

LegIndividualAllocID

LegInstrmtAssignmentMethod

LegInstrRegistry

LegInstrumentParties

LegInstrumentPartyID

LegInstrumentPartyIDSource

LegInstrumentPartyRole

LegInstrumentPartyRoleQualifier

LegInstrumentPartySubID

LegInstrumentPartySubIDType

LegInstrumentPtysSubGrp

LegInstrumentRoundingDirection

LegInstrumentRoundingPrecision

LegInterestAccrualDate

LegInTheMoneyCondition

LegIOIQty

LegIssueDate

LegIssuer

LegLastForwardPoints

LegLastMultipliedQty

LegLastPx

LegLastQty

LegLienSeniority

LegLimitRightToConfirmIndicator

LegListMethod

LegLoanFacility

LegLocaleOfIssue

LegMakeWholeAmount

LegMakeWholeBenchmarkCurveName

LegMakeWholeBenchmarkCurvePoint

LegMakeWholeBenchmarkQuote

LegMakeWholeDate

LegMakeWholeInterpolationMethod

LegMakeWholeRecallSpread

LegManualNoticeBusinessCenter

LegMarginRatio

LegMarketDisruption

LegMarketDisruptionEvent

LegMarketDisruptionEventGrp

LegMarketDisruptionFallbackBasketCurrency

LegMarketDisruptionFallbackBasketDivisor

LegMarketDisruptionFallbackGrp

LegMarketDisruptionFallbackOpenUnits

LegMarketDisruptionFallbackProvision

LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackType

LegMarketDisruptionFallbackUnderlierSecurityDesc

LegMarketDisruptionFallbackUnderlierSecurityID

LegMarketDisruptionFallbackUnderlierSecurityIDSource

LegMarketDisruptionFallbackUnderlierType

LegMarketDisruptionFallbackValue

LegMarketDisruptionMaterialityPercentage

LegMarketDisruptionMaximumDays

LegMarketDisruptionMinimumFuturesContracts

LegMarketDisruptionProvision

LegMarketDisruptionValue

LegMasterConfirmationAnnexDate

LegMasterConfirmationAnnexDesc

LegMasterConfirmationDate

LegMasterConfirmationDesc

LegMaterialDividendsIndicator

LegMaturityDate

LegMaturityFrequencyPeriod

LegMaturityFrequencyUnit

LegMaturityMonthYear

LegMaturityTime

LegMidPx

LegMinPriceIncrement

LegMinPriceIncrementAmount

LegMthToDefault

LegNonCashDividendTreatment

LegNonDeliverableFixingDate

LegNonDeliverableFixingDateType

LegNotionalPercentageOutstanding

LegNthToDefault

LegNTPositionLimit

LegNumber

LegObligationType

LegOfferForwardPoints

LegOfferPx

LegOptAttribute

LegOptionExerciseBusinessCenter

LegOptionExerciseBusinessCenterGrp

LegOptionExerciseBusinessDayConvention

LegOptionExercise

LegOptionExerciseDate

LegOptionExerciseDateGrp

LegOptionExerciseDates

LegOptionExerciseDateType

LegOptionExerciseEarliestDateOffsetDayType

LegOptionExerciseEarliestDateOffsetPeriod

LegOptionExerciseEarliestDateOffsetUnit

LegOptionExerciseEarliestTime

LegOptionExerciseExpiration

LegOptionExerciseExpirationDate

LegOptionExerciseExpirationDateBusinessCenter

LegOptionExerciseExpirationDateBusinessCenterGrp

LegOptionExerciseExpirationDateBusinessDayConvention

LegOptionExerciseExpirationDateGrp

LegOptionExerciseExpirationDateOffsetDayType

LegOptionExerciseExpirationDateOffsetPeriod

LegOptionExerciseExpirationDateOffsetUnit

LegOptionExerciseExpirationDateRelativeTo

LegOptionExerciseExpirationDateType

LegOptionExerciseExpirationFrequencyPeriod

LegOptionExerciseExpirationFrequencyUnit

LegOptionExerciseExpirationRollConvention

LegOptionExerciseExpirationTime

LegOptionExerciseExpirationTimeBusinessCenter

LegOptionExerciseFirstDateUnadjusted

LegOptionExerciseFrequencyPeriod

LegOptionExerciseFrequencyUnit

LegOptionExerciseLastDateUnadjusted

LegOptionExerciseLatestTime

LegOptionExerciseMakeWholeProvision

LegOptionExerciseNominationDeadline

LegOptionExerciseSkip

LegOptionExerciseStartDateAdjusted

LegOptionExerciseStartDateOffsetDayType

LegOptionExerciseStartDateOffsetPeriod

LegOptionExerciseStartDateOffsetUnit

LegOptionExerciseStartDateRelativeTo

LegOptionExerciseStartDateUnadjusted

LegOptionExerciseTimeBusinessCenter

LegOptionExpirationDesc

LegOptionRatio

LegOptionsExchangeDividendsIndicator

LegOptPayoutAmount

LegOptPayoutType

LegOrderQty

LegOrdGrp

LegOriginalNotionalPercentageOutstanding

LegPaymentScheduleCurrency

LegPaymentScheduleEndDateUnadjusted

LegPaymentScheduleFixedAmount

LegPaymentScheduleFixedCurrency

LegPaymentScheduleFixingDateAdjusted

LegPaymentScheduleFixingDateBusinessCenter

LegPaymentScheduleFixingDateBusinessCenterGrp

LegPaymentScheduleFixingDateBusinessDayConvention

LegPaymentScheduleFixingDateOffsetDayType

LegPaymentScheduleFixingDateOffsetPeriod

LegPaymentScheduleFixingDateOffsetUnit

LegPaymentScheduleFixingDateRelativeTo

LegPaymentScheduleFixingDateUnadjusted

LegPaymentScheduleFixingDayCount

LegPaymentScheduleFixingDayDistribution

LegPaymentScheduleFixingDayGrp

LegPaymentScheduleFixingDayNumber

LegPaymentScheduleFixingDayOfWeek

LegPaymentScheduleFixingFirstObservationDateOffsetPeriod

LegPaymentScheduleFixingFirstObservationDateOffsetUnit

LegPaymentScheduleFixingLagPeriod

LegPaymentScheduleFixingLagUnit

LegPaymentScheduleFixingTime

LegPaymentScheduleFixingTimeBusinessCenter

LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangeDateAdjusted

LegPaymentScheduleInterimExchangeDateBusinessCenterGrp

LegPaymentScheduleInterimExchangeDatesBusinessCenter

LegPaymentScheduleInterimExchangeDatesBusinessDayConvention

LegPaymentScheduleInterimExchangeDatesOffsetDayType

LegPaymentScheduleInterimExchangeDatesOffsetPeriod

LegPaymentScheduleInterimExchangeDatesOffsetUnit

LegPaymentScheduleInterimExchangePaymentDateRelativeTo

LegPaymentScheduleNotional

LegPaymentSchedulePaySide

LegPaymentScheduleRate

LegPaymentScheduleRateConversionFactor

LegPaymentScheduleRateCurrency

LegPaymentScheduleRateMultiplier

LegPaymentScheduleRateSource

LegPaymentScheduleRateSourceGrp

LegPaymentScheduleRateSourceType

LegPaymentScheduleRateSpread

LegPaymentScheduleRateSpreadPositionType

LegPaymentScheduleRateSpreadType

LegPaymentScheduleRateTreatment

LegPaymentScheduleRateUnitOfMeasure

LegPaymentScheduleReceiveSide

LegPaymentScheduleReferencePage

LegPaymentScheduleSettlPeriodPrice

LegPaymentScheduleSettlPeriodPriceCurrency

LegPaymentScheduleSettlPeriodPriceUnitOfMeasure

LegPaymentScheduleStartDateUnadjusted

LegPaymentScheduleStepFrequencyPeriod

LegPaymentScheduleStepFrequencyUnit

LegPaymentScheduleStepOffsetRate

LegPaymentScheduleStepOffsetValue

LegPaymentScheduleStepRate

LegPaymentScheduleStepRelativeTo

LegPaymentScheduleStepUnitOfMeasure

LegPaymentScheduleStubType

LegPaymentScheduleType

LegPaymentScheduleWeight

LegPaymentScheduleXID

LegPaymentScheduleXIDRef

LegPaymentStreamAccrualDays

LegPaymentStreamAveragingMethod

LegPaymentStreamBoundsFirstDateUnadjusted

LegPaymentStreamBoundsLastDateUnadjusted

LegPaymentStreamCalculationLagPeriod

LegPaymentStreamCalculationLagUnit

LegPaymentStreamCapRate

LegPaymentStreamCapRateBuySide

LegPaymentStreamCapRateSellSide

LegPaymentStreamCashSettlIndicator

LegPaymentStream

LegPaymentStreamCompoundingAveragingMethod

LegPaymentStreamCompoundingCapRate

LegPaymentStreamCompoundingCapRateBuySide

LegPaymentStreamCompoundingCapRateSellSide

LegPaymentStreamCompoundingDate

LegPaymentStreamCompoundingDateGrp

LegPaymentStreamCompoundingDatesBusinessCenter

LegPaymentStreamCompoundingDatesBusinessCenterGrp

LegPaymentStreamCompoundingDatesBusinessDayConvention

LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDatesOffsetDayType

LegPaymentStreamCompoundingDatesOffsetPeriod

LegPaymentStreamCompoundingDatesOffsetUnit

LegPaymentStreamCompoundingDatesRelativeTo

LegPaymentStreamCompoundingDateType

LegPaymentStreamCompoundingEndDateAdjusted

LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDateOffsetDayType

LegPaymentStreamCompoundingEndDateOffsetPeriod

LegPaymentStreamCompoundingEndDateOffsetUnit

LegPaymentStreamCompoundingEndDateRelativeTo

LegPaymentStreamCompoundingEndDateUnadjusted

LegPaymentStreamCompoundingFinalRatePrecision

LegPaymentStreamCompoundingFinalRateRoundingDirection

LegPaymentStreamCompoundingFixedRate

LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFloorRate

LegPaymentStreamCompoundingFloorRateBuySide

LegPaymentStreamCompoundingFloorRateSellSide

LegPaymentStreamCompoundingFrequencyPeriod

LegPaymentStreamCompoundingFrequencyUnit

LegPaymentStreamCompoundingInitialRate

LegPaymentStreamCompoundingMethod

LegPaymentStreamCompoundingNegativeRateTreatment

LegPaymentStreamCompoundingPeriodSkip

LegPaymentStreamCompoundingRateIndex

LegPaymentStreamCompoundingRateIndexCurvePeriod

LegPaymentStreamCompoundingRateIndexCurveUnit

LegPaymentStreamCompoundingRateMultiplier

LegPaymentStreamCompoundingRateSpread

LegPaymentStreamCompoundingRateSpreadPositionType

LegPaymentStreamCompoundingRateTreatment

LegPaymentStreamCompoundingRollConvention

LegPaymentStreamCompoundingSpread

LegPaymentStreamCompoundingStartDateAdjusted

LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDateOffsetDayType

LegPaymentStreamCompoundingStartDateOffsetPeriod

LegPaymentStreamCompoundingStartDateOffsetUnit

LegPaymentStreamCompoundingStartDateRelativeTo

LegPaymentStreamCompoundingStartDateUnadjusted

LegPaymentStreamCompoundingXIDRef

LegPaymentStreamContractPrice

LegPaymentStreamContractPriceCurrency

LegPaymentStreamDayCount

LegPaymentStreamDaysAdjustmentIndicator

LegPaymentStreamDelayIndicator

LegPaymentStreamDiscountRate

LegPaymentStreamDiscountRateDayCount

LegPaymentStreamDiscountType

LegPaymentStreamFinalPricePaymentDateAdjusted

LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDateOffsetDayType

LegPaymentStreamFinalPricePaymentDateOffsetPeriod

LegPaymentStreamFinalPricePaymentDateOffsetUnit

LegPaymentStreamFinalPricePaymentDateRelativeTo

LegPaymentStreamFinalPricePaymentDateUnadjusted

LegPaymentStreamFinalPrincipalExchangeIndicator

LegPaymentStreamFinalRate

LegPaymentStreamFinalRatePrecision

LegPaymentStreamFinalRateRoundingDirection

LegPaymentStreamFirstObservationDateAdjusted

LegPaymentStreamFirstObservationDateOffsetDayType

LegPaymentStreamFirstObservationDateOffsetPeriod

LegPaymentStreamFirstObservationDateOffsetUnit

LegPaymentStreamFirstObservationDateRelativeTo

LegPaymentStreamFirstObservationDateUnadjusted

LegPaymentStreamFirstPaymentDateUnadjusted

LegPaymentStreamFixedAmount

LegPaymentStreamFixedAmountUnitOfMeasure

LegPaymentStreamFixedRate

LegPaymentStreamFixingDate

LegPaymentStreamFixingDateAdjusted

LegPaymentStreamFixingDateBusinessCenter

LegPaymentStreamFixingDateBusinessCenterGrp

LegPaymentStreamFixingDateBusinessDayConvention

LegPaymentStreamFixingDateGrp

LegPaymentStreamFixingDateOffsetDayType

LegPaymentStreamFixingDateOffsetPeriod

LegPaymentStreamFixingDateOffsetUnit

LegPaymentStreamFixingDateRelativeTo

LegPaymentStreamFixingDateType

LegPaymentStreamFlatRateAmount

LegPaymentStreamFlatRateCurrency

LegPaymentStreamFlatRateIndicator

LegPaymentStreamFloatingRate

LegPaymentStreamFloorRate

LegPaymentStreamFloorRateBuySide

LegPaymentStreamFloorRateSellSide

LegPaymentStreamFormula

LegPaymentStreamFormula

LegPaymentStreamFormulaCurrency

LegPaymentStreamFormulaCurrencyDeterminationMethod

LegPaymentStreamFormulaDesc

LegPaymentStreamFormulaImage

LegPaymentStreamFormulaImage

LegPaymentStreamFormulaImageLength

LegPaymentStreamFormulaLength

LegPaymentStreamFormulaMathGrp

LegPaymentStreamFormulaReferenceAmount

LegPaymentStreamFRADiscounting

LegPaymentStreamFutureValueDateAdjusted

LegPaymentStreamFutureValueNotional

LegPaymentStreamInflationFallbackBondApplicable

LegPaymentStreamInflationIndexSource

LegPaymentStreamInflationInitialIndexLevel

LegPaymentStreamInflationInterpolationMethod

LegPaymentStreamInflationLagDayType

LegPaymentStreamInflationLagPeriod

LegPaymentStreamInflationLagUnit

LegPaymentStreamInflationPublicationSource

LegPaymentStreamInitialFixingDateAdjusted

LegPaymentStreamInitialFixingDateBusinessCenter

LegPaymentStreamInitialFixingDateBusinessCenterGrp

LegPaymentStreamInitialFixingDateBusinessDayConvention

LegPaymentStreamInitialFixingDateOffsetDayType

LegPaymentStreamInitialFixingDateOffsetPeriod

LegPaymentStreamInitialFixingDateOffsetUnit

LegPaymentStreamInitialFixingDateRelativeTo

LegPaymentStreamInitialPrincipalExchangeIndicator

LegPaymentStreamInitialRate

LegPaymentStreamInterimPrincipalExchangeIndicator

LegPaymentStreamInterpolationMethod

LegPaymentStreamInterpolationPeriod

LegPaymentStreamLastRegularPaymentDateUnadjusted

LegPaymentStreamLastResetRate

LegPaymentStreamLinkClosingLevelIndicator

LegPaymentStreamLinkEstimatedTradingDays

LegPaymentStreamLinkExpiringLevelIndicator

LegPaymentStreamLinkInitialLevel

LegPaymentStreamLinkMaximumBoundary

LegPaymentStreamLinkMinimumBoundary

LegPaymentStreamLinkNumberOfDataSeries

LegPaymentStreamLinkStrikePrice

LegPaymentStreamLinkStrikePriceType

LegPaymentStreamMarketRate

LegPaymentStreamMasterAgreementPaymentDatesIndicator

LegPaymentStreamNearestExchangeContractRefID

LegPaymentStreamNegativeRateTreatment

LegPaymentStreamNonDeliverableFixingDateGrp

LegPaymentStreamNonDeliverableFixingDatesBusinessCenter

LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

LegPaymentStreamNonDeliverableFixingDatesBusinessDayConvention

LegPaymentStreamNonDeliverableFixingDatesOffsetDayType

LegPaymentStreamNonDeliverableFixingDatesOffsetPeriod

LegPaymentStreamNonDeliverableFixingDatesOffsetUnit

LegPaymentStreamNonDeliverableFixingDatesRelativeTo

LegPaymentStreamNonDeliverableRefCurrency

LegPaymentStreamNonDeliverableSettlRateSource

LegPaymentStreamNonDeliverableSettlRateSource

LegPaymentStreamNonDeliverableSettlReferencePage

LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamOtherDayCount

LegPaymentStreamPaymentDate

LegPaymentStreamPaymentDateBusinessCenter

LegPaymentStreamPaymentDateBusinessCenterGrp

LegPaymentStreamPaymentDateBusinessDayConvention

LegPaymentStreamPaymentDateGrp

LegPaymentStreamPaymentDateOffsetDayType

LegPaymentStreamPaymentDateOffsetPeriod

LegPaymentStreamPaymentDateOffsetUnit

LegPaymentStreamPaymentDateRelativeTo

LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateType

LegPaymentStreamPaymentFrequencyPeriod

LegPaymentStreamPaymentFrequencyUnit

LegPaymentStreamPaymentRollConvention

LegPaymentStreamPricingBusinessCalendar

LegPaymentStreamPricingBusinessCenter

LegPaymentStreamPricingBusinessCenterGrp

LegPaymentStreamPricingBusinessDayConvention

LegPaymentStreamPricingDate

LegPaymentStreamPricingDateGrp

LegPaymentStreamPricingDateType

LegPaymentStreamPricingDayCount

LegPaymentStreamPricingDayDistribution

LegPaymentStreamPricingDayGrp

LegPaymentStreamPricingDayNumber

LegPaymentStreamPricingDayOfWeek

LegPaymentStreamPricingDayType

LegPaymentStreamRate

LegPaymentStreamRateConversionFactor

LegPaymentStreamRateCutoffDateOffsetDayType

LegPaymentStreamRateCutoffDateOffsetPeriod

LegPaymentStreamRateCutoffDateOffsetUnit

LegPaymentStreamRateIndex

LegPaymentStreamRateIndex2

LegPaymentStreamRateIndex2CurvePeriod

LegPaymentStreamRateIndex2CurveUnit

LegPaymentStreamRateIndex2ID

LegPaymentStreamRateIndex2IDSource

LegPaymentStreamRateIndex2Source

LegPaymentStreamRateIndexCurvePeriod

LegPaymentStreamRateIndexCurveUnit

LegPaymentStreamRateIndexID

LegPaymentStreamRateIndexIDSource

LegPaymentStreamRateIndexLevel

LegPaymentStreamRateIndexLocation

LegPaymentStreamRateIndexSource

LegPaymentStreamRateIndexUnitOfMeasure

LegPaymentStreamRateMultiplier

LegPaymentStreamRateOrAmountCurrency

LegPaymentStreamRateSpread

LegPaymentStreamRateSpreadCurrency

LegPaymentStreamRateSpreadPositionType

LegPaymentStreamRateSpreadType

LegPaymentStreamRateSpreadUnitOfMeasure

LegPaymentStreamRateTreatment

LegPaymentStreamRealizedVarianceMethod

LegPaymentStreamReferenceLevel

LegPaymentStreamReferenceLevelEqualsZeroIndicator

LegPaymentStreamReferenceLevelUnitOfMeasure

LegPaymentStreamResetDateBusinessCenter

LegPaymentStreamResetDateBusinessCenterGrp

LegPaymentStreamResetDateBusinessDayConvention

LegPaymentStreamResetDateRelativeTo

LegPaymentStreamResetDates

LegPaymentStreamResetFrequencyPeriod

LegPaymentStreamResetFrequencyUnit

LegPaymentStreamResetWeeklyRollConvention

LegPaymentStreamSettlCurrency

LegPaymentStreamSettlLevel

LegPaymentStreamTotalFixedAmount

LegPaymentStreamType

LegPaymentStreamUnderlierRefID

LegPaymentStreamVarianceUnadjustedCap

LegPaymentStreamVegaNotionalAmount

LegPaymentStreamWorldScaleRate

LegPaymentStubEndDateAdjusted

LegPaymentStubEndDateBusinessCenter

LegPaymentStubEndDateBusinessCenterGrp

LegPaymentStubEndDateBusinessDayConvention

LegPaymentStubEndDate

LegPaymentStubEndDateOffsetDayType

LegPaymentStubEndDateOffsetPeriod

LegPaymentStubEndDateOffsetUnit

LegPaymentStubEndDateRelativeTo

LegPaymentStubEndDateUnadjusted

LegPaymentStubFixedAmount

LegPaymentStubFixedCurrency

LegPaymentStubGrp

LegPaymentStubIndex

LegPaymentStubIndex2

LegPaymentStubIndex2CapRate

LegPaymentStubIndex2CurvePeriod

LegPaymentStubIndex2CurveUnit

LegPaymentStubIndex2FloorRate

LegPaymentStubIndex2RateMultiplier

LegPaymentStubIndex2RateSpread

LegPaymentStubIndex2RateSpreadPositionType

LegPaymentStubIndex2RateTreatment

LegPaymentStubIndex2Source

LegPaymentStubIndexCapRate

LegPaymentStubIndexCapRateBuySide

LegPaymentStubIndexCapRateSellSide

LegPaymentStubIndexCurvePeriod

LegPaymentStubIndexCurveUnit

LegPaymentStubIndexFloorRate

LegPaymentStubIndexFloorRateBuySide

LegPaymentStubIndexFloorRateSellSide

LegPaymentStubIndexRateMultiplier

LegPaymentStubIndexRateSpread

LegPaymentStubIndexRateSpreadPositionType

LegPaymentStubIndexRateTreatment

LegPaymentStubIndexSource

LegPaymentStubLength

LegPaymentStubRate

LegPaymentStubStartDateAdjusted

LegPaymentStubStartDateBusinessCenter

LegPaymentStubStartDateBusinessCenterGrp

LegPaymentStubStartDateBusinessDayConvention

LegPaymentStubStartDate

LegPaymentStubStartDateOffsetDayType

LegPaymentStubStartDateOffsetPeriod

LegPaymentStubStartDateOffsetUnit

LegPaymentStubStartDateRelativeTo

LegPaymentStubStartDateUnadjusted

LegPaymentStubType

LegPhysicalSettlBusinessDays

LegPhysicalSettlCurency

LegPhysicalSettlDeliverableObligationGrp

LegPhysicalSettlDeliverableObligationType

LegPhysicalSettlDeliverableObligationValue

LegPhysicalSettlMaximumBusinessDays

LegPhysicalSettlTermGrp

LegPhysicalSettlTermXID

LegPool

LegPosAmt

LegPosAmtReason

LegPosAmtType

LegPosCurrency

LegPosCurrencyCodeSource

LegPositionAmountData

LegPositionEffect

LegPositionLimit

LegPreAllocGrp

LegPrice

LegPriceQuoteCurrency

LegPriceQuoteCurrencyCodeSource

LegPriceQuoteMethod

LegPriceType

LegPriceUnitOfMeasure

LegPriceUnitOfMeasureCurrency

LegPriceUnitOfMeasureCurrencyCodeSource

LegPriceUnitOfMeasureQty

LegPricingDateAdjusted

LegPricingDateBusinessCenter

LegPricingDateBusinessCenterGrp

LegPricingDateBusinessDayConvention

LegPricingDateTime

LegPricingDateUnadjusted

LegPricingTime

LegPricingTimeBusinessCenter

LegProduct

LegProtectionTermBuyerNotifies

LegProtectionTermCurrency

LegProtectionTermEventBusinessCenter

LegProtectionTermEventCurrency

LegProtectionTermEventDayType

LegProtectionTermEventGrp

LegProtectionTermEventMinimumSources

LegProtectionTermEventNewsSource

LegProtectionTermEventNewsSourceGrp

LegProtectionTermEventPeriod

LegProtectionTermEventQualifier

LegProtectionTermEventQualifierGrp

LegProtectionTermEventRateSource

LegProtectionTermEventType

LegProtectionTermEventUnit

LegProtectionTermEventValue

LegProtectionTermGrp

LegProtectionTermNotional

LegProtectionTermObligationGrp

LegProtectionTermObligationType

LegProtectionTermObligationValue

LegProtectionTermSellerNotifies

LegProtectionTermStandardSources

LegProtectionTermXID

LegProvisionBreakFeeElection

LegProvisionBreakFeeRate

LegProvisionCalculationAgent

LegProvisionCashSettlCurrency

LegProvisionCashSettlCurrency2

LegProvisionCashSettlMethod

LegProvisionCashSettlPaymentDate

LegProvisionCashSettlPaymentDateBusinessCenter

LegProvisionCashSettlPaymentDateBusinessCenterGrp

LegProvisionCashSettlPaymentDateBusinessDayConvention

LegProvisionCashSettlPaymentDateOffsetDayType

LegProvisionCashSettlPaymentDateOffsetPeriod

LegProvisionCashSettlPaymentDateOffsetUnit

LegProvisionCashSettlPaymentDateRangeFirst

LegProvisionCashSettlPaymentDateRangeLast

LegProvisionCashSettlPaymentDateRelativeTo

LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateType

LegProvisionCashSettlPaymentFixedDateGrp

LegProvisionCashSettlQuoteReferencePage

LegProvisionCashSettlQuoteSource

LegProvisionCashSettlQuoteSource

LegProvisionCashSettlQuoteType

LegProvisionCashSettlValueDateAdjusted

LegProvisionCashSettlValueDateBusinessCenter

LegProvisionCashSettlValueDateBusinessCenterGrp

LegProvisionCashSettlValueDateBusinessDayConvention

LegProvisionCashSettlValueDateOffsetDayType

LegProvisionCashSettlValueDateOffsetPeriod

LegProvisionCashSettlValueDateOffsetUnit

LegProvisionCashSettlValueDateRelativeTo

LegProvisionCashSettlValueDates

LegProvisionCashSettlValueTime

LegProvisionCashSettlValueTimeBusinessCenter

LegProvisionDateAdjusted

LegProvisionDateBusinessCenter

LegProvisionDateBusinessCenterGrp

LegProvisionDateBusinessDayConvention

LegProvisionDateTenorPeriod

LegProvisionDateTenorUnit

LegProvisionDateUnadjusted

LegProvisionGrp

LegProvisionOptionExerciseBoundsFirstDateUnadjusted

LegProvisionOptionExerciseBoundsLastDateUnadjusted

LegProvisionOptionExerciseBusinessCenter

LegProvisionOptionExerciseBusinessCenterGrp

LegProvisionOptionExerciseBusinessDayConvention

LegProvisionOptionExerciseConfirmation

LegProvisionOptionExerciseDates

LegProvisionOptionExerciseEarliestDateOffsetPeriod

LegProvisionOptionExerciseEarliestDateOffsetUnit

LegProvisionOptionExerciseEarliestTime

LegProvisionOptionExerciseEarliestTimeBusinessCenter

LegProvisionOptionExerciseFixedDate

LegProvisionOptionExerciseFixedDateGrp

LegProvisionOptionExerciseFixedDateType

LegProvisionOptionExerciseFrequencyPeriod

LegProvisionOptionExerciseFrequencyUnit

LegProvisionOptionExerciseLatestTime

LegProvisionOptionExerciseLatestTimeBusinessCenter

LegProvisionOptionExerciseMaximumNotional

LegProvisionOptionExerciseMinimumNotional

LegProvisionOptionExerciseMultipleNotional

LegProvisionOptionExercisePeriodSkip

LegProvisionOptionExerciseStartDateAdjusted

LegProvisionOptionExerciseStartDateOffsetDayType

LegProvisionOptionExerciseStartDateOffsetPeriod

LegProvisionOptionExerciseStartDateOffsetUnit

LegProvisionOptionExerciseStartDateRelativeTo

LegProvisionOptionExerciseStartDateUnadjusted

LegProvisionOptionExerciseStyle

LegProvisionOptionExpirationDateAdjusted

LegProvisionOptionExpirationDateBusinessCenter

LegProvisionOptionExpirationDateBusinessCenterGrp

LegProvisionOptionExpirationDateBusinessDayConvention

LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateOffsetDayType

LegProvisionOptionExpirationDateOffsetPeriod

LegProvisionOptionExpirationDateOffsetUnit

LegProvisionOptionExpirationDateRelativeTo

LegProvisionOptionExpirationDateUnadjusted

LegProvisionOptionExpirationTime

LegProvisionOptionExpirationTimeBusinessCenter

LegProvisionOptionMaximumNumber

LegProvisionOptionMinimumNumber

LegProvisionOptionRelevantUnderlyingDateAdjusted

LegProvisionOptionRelevantUnderlyingDateBusinessCenter

LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

LegProvisionOptionRelevantUnderlyingDateBusinessDayConvention

LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateOffsetDayType

LegProvisionOptionRelevantUnderlyingDateOffsetPeriod

LegProvisionOptionRelevantUnderlyingDateOffsetUnit

LegProvisionOptionRelevantUnderlyingDateRelativeTo

LegProvisionOptionRelevantUnderlyingDateUnadjusted

LegProvisionOptionSinglePartyBuyerSide

LegProvisionOptionSinglePartySellerSide

LegProvisionParties

LegProvisionPartyID

LegProvisionPartyIDSource

LegProvisionPartyRole

LegProvisionPartyRoleQualifier

LegProvisionPartySubID

LegProvisionPartySubIDType

LegProvisionPtysSubGrp

LegProvisionText

LegProvisionType

LegPutOrCall

LegQty

LegQtyType

LegQuotGrp

LegQuotStatGrp

LegRatioQty

LegRedemptionDate

LegReferenceEntityType

LegRefID

LegRepoCollateralSecurityType

LegReportID

LegRepurchaseRate

LegRepurchaseTerm

LegRestructuringType

LegReturnRateAmountRelativeTo

LegReturnRateCashFlowType

LegReturnRateCommissionAmount

LegReturnRateCommissionBasis

LegReturnRateCommissionCurrency

LegReturnRateDateGrp

LegReturnRateDateMode

LegReturnRateDeterminationMethod

LegReturnRateFinalPriceFallback

LegReturnRateFXConversionGrp

LegReturnRateFXCurrencySymbol

LegReturnRateFXRate

LegReturnRateFXRateCalc

LegReturnRateGrp

LegReturnRateInformationSource

LegReturnRateInformationSourceGrp

LegReturnRateNotionalReset

LegReturnRatePrice

LegReturnRatePriceBasis

LegReturnRatePriceCurrency

LegReturnRatePriceGrp

LegReturnRatePriceSequence

LegReturnRatePriceType

LegReturnRateQuoteBusinessCenter

LegReturnRateQuoteCurrency

LegReturnRateQuoteCurrencyType

LegReturnRateQuoteDate

LegReturnRateQuoteExchange

LegReturnRateQuoteExpirationTime

LegReturnRateQuoteMeasureType

LegReturnRateQuoteMethod

LegReturnRateQuotePricingModel

LegReturnRateQuoteTime

LegReturnRateQuoteTimeType

LegReturnRateQuoteUnits

LegReturnRateReferencePage

LegReturnRateReferencePageHeading

LegReturnRateTotalCommissionPerTrade

LegReturnRateValuationDate

LegReturnRateValuationDateBusinessCenter

LegReturnRateValuationDateBusinessCenterGrp

LegReturnRateValuationDateBusinessDayConvention

LegReturnRateValuationDateGrp

LegReturnRateValuationDateOffsetDayType

LegReturnRateValuationDateOffsetPeriod

LegReturnRateValuationDateOffsetUnit

LegReturnRateValuationDateRelativeTo

LegReturnRateValuationDateType

LegReturnRateValuationEndDateAdjusted

LegReturnRateValuationEndDateOffsetDayType

LegReturnRateValuationEndDateOffsetPeriod

LegReturnRateValuationEndDateOffsetUnit

LegReturnRateValuationEndDateRelativeTo

LegReturnRateValuationEndDateUnadjusted

LegReturnRateValuationFrequencyPeriod

LegReturnRateValuationFrequencyRollConvention

LegReturnRateValuationFrequencyUnit

LegReturnRateValuationPriceOption

LegReturnRateValuationStartDateAdjusted

LegReturnRateValuationStartDateOffsetDayType

LegReturnRateValuationStartDateOffsetPeriod

LegReturnRateValuationStartDateOffsetUnit

LegReturnRateValuationStartDateRelativeTo

LegReturnRateValuationStartDateUnadjusted

LegReturnRateValuationTime

LegReturnRateValuationTimeBusinessCenter

LegReturnRateValuationTimeType

LegReturnTrigger

LegSecAltIDGrp

LegSecondaryAssetClass

LegSecondaryAssetGrp

LegSecondaryAssetSubClass

LegSecondaryAssetSubType

LegSecondaryAssetType

LegSecurityAltID

LegSecurityAltIDSource

LegSecurityDesc

LegSecurityExchange

LegSecurityGroup

LegSecurityID

LegSecurityIDSource

LegSecurityStatus

LegSecuritySubType

LegSecurityType

LegSecurityXML

LegSecurityXML

LegSecurityXMLLen

LegSecurityXMLSchema

LegSeniority

LegSettlCurrency

LegSettlCurrencyCodeSource

LegSettlDate

LegSettlDisruptionProvision

LegSettledEntityMatrixPublicationDate

LegSettledEntityMatrixSource

LegSettleOnOpenFlag

LegSettlMethod

LegSettlMethodElectingPartySide

LegSettlMethodElectionDateAdjusted

LegSettlMethodElectionDateBusinessCenter

LegSettlMethodElectionDateBusinessCenterGrp

LegSettlMethodElectionDateBusinessDayConvention

LegSettlMethodElectionDate

LegSettlMethodElectionDateOffsetDayType

LegSettlMethodElectionDateOffsetPeriod

LegSettlMethodElectionDateOffsetUnit

LegSettlMethodElectionDateRelativeTo

LegSettlMethodElectionDateUnadjusted

LegSettlRateDisruptionFallbackGrp

LegSettlRateFallbackRateSource

LegSettlRateFallbackRateSource

LegSettlRateFallbackReferencePage

LegSettlRateIndex

LegSettlRateIndexLocation

LegSettlRatePostponementCalculationAgent

LegSettlRatePostponementMaximumDays

LegSettlRatePostponementSurvey

LegSettlType

LegShortSaleExemptionReason

LegShortSaleRestriction

LegSide

LegSpecialDividendsIndicator

LegStartDate

LegStateOrProvinceOfIssue

LegStipulations

LegStipulationType

LegStipulationValue

LegStrategyType

LegStreamAssetAttributeGrp

LegStreamAssetAttributeLimit

LegStreamAssetAttributeType

LegStreamAssetAttributeValue

LegStreamCalculationBalanceOfFirstPeriod

LegStreamCalculationCorrectionPeriod

LegStreamCalculationCorrectionUnit

LegStreamCalculationFrequencyPeriod

LegStreamCalculationFrequencyUnit

LegStreamCalculationPeriodBusinessCenter

LegStreamCalculationPeriodBusinessCenterGrp

LegStreamCalculationPeriodBusinessDayConvention

LegStreamCalculationPeriodDate

LegStreamCalculationPeriodDateGrp

LegStreamCalculationPeriodDates

LegStreamCalculationPeriodDatesXID

LegStreamCalculationPeriodDatesXIDRef

LegStreamCalculationPeriodDateType

LegStreamCalculationRollConvention

LegStreamCommodityAltID

LegStreamCommodityAltIDGrp

LegStreamCommodityAltIDSource

LegStreamCommodityBase

LegStreamCommodity

LegStreamCommodityCurrency

LegStreamCommodityDataSourceGrp

LegStreamCommodityDataSourceID

LegStreamCommodityDataSourceIDType

LegStreamCommodityDeliveryPricingRegion

LegStreamCommodityDesc

LegStreamCommodityExchange

LegStreamCommodityNearbySettlDayPeriod

LegStreamCommodityNearbySettlDayUnit

LegStreamCommodityPricingType

LegStreamCommodityRateReferencePage

LegStreamCommodityRateReferencePageHeading

LegStreamCommodityRateSource

LegStreamCommoditySecurityID

LegStreamCommoditySecurityIDSource

LegStreamCommoditySettlBusinessCenter

LegStreamCommoditySettlBusinessCenterGrp

LegStreamCommoditySettlCountry

LegStreamCommoditySettlDateAdjusted

LegStreamCommoditySettlDateBusinessDayConvention

LegStreamCommoditySettlDateRollPeriod

LegStreamCommoditySettlDateRollUnit

LegStreamCommoditySettlDateUnadjusted

LegStreamCommoditySettlDay

LegStreamCommoditySettlDayGrp

LegStreamCommoditySettlDayType

LegStreamCommoditySettlEnd

LegStreamCommoditySettlFlowType

LegStreamCommoditySettlHolidaysProcessingInstruction

LegStreamCommoditySettlMonth

LegStreamCommoditySettlPeriodFrequencyPeriod

LegStreamCommoditySettlPeriodFrequencyUnit

LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodNotional

LegStreamCommoditySettlPeriodNotionalUnitOfMeasure

LegStreamCommoditySettlPeriodPrice

LegStreamCommoditySettlPeriodPriceCurrency

LegStreamCommoditySettlPeriodPriceUnitOfMeasure

LegStreamCommoditySettlPeriodXID

LegStreamCommoditySettlPeriodXIDRef

LegStreamCommoditySettlStart

LegStreamCommoditySettlTimeGrp

LegStreamCommoditySettlTimeType

LegStreamCommoditySettlTimeZone

LegStreamCommoditySettlTotalHours

LegStreamCommodityType

LegStreamCommodityUnitOfMeasure

LegStreamCommodityXID

LegStreamCommodityXIDRef

LegStreamCurrency

LegStreamDataProvider

LegStreamDesc

LegStreamEffectiveDateAdjusted

LegStreamEffectiveDateBusinessCenter

LegStreamEffectiveDateBusinessCenterGrp

LegStreamEffectiveDateBusinessDayConvention

LegStreamEffectiveDate

LegStreamEffectiveDateOffsetDayType

LegStreamEffectiveDateOffsetPeriod

LegStreamEffectiveDateOffsetUnit

LegStreamEffectiveDateRelativeTo

LegStreamEffectiveDateUnadjusted

LegStreamFirstCompoundingPeriodEndDateUnadjusted

LegStreamFirstPeriodStartDateAdjusted

LegStreamFirstPeriodStartDateBusinessCenter

LegStreamFirstPeriodStartDateBusinessCenterGrp

LegStreamFirstPeriodStartDateBusinessDayConvention

LegStreamFirstPeriodStartDateUnadjusted

LegStreamFirstRegularPeriodStartDateUnadjusted

LegStreamGrp

LegStreamLastRegularPeriodEndDateUnadjusted

LegStreamMaximumPaymentAmount

LegStreamMaximumPaymentCurrency

LegStreamMaximumTransactionAmount

LegStreamMaximumTransactionCurrency

LegStreamNotional

LegStreamNotionalAdjustments

LegStreamNotionalCommodityFrequency

LegStreamNotionalDeterminationMethod

LegStreamNotionalFrequencyPeriod

LegStreamNotionalFrequencyUnit

LegStreamNotionalUnitOfMeasure

LegStreamNotionalXIDRef

LegStreamPaySide

LegStreamReceiveSide

LegStreamTerminationDateAdjusted

LegStreamTerminationDateBusinessCenter

LegStreamTerminationDateBusinessCenterGrp

LegStreamTerminationDateBusinessDayConvention

LegStreamTerminationDate

LegStreamTerminationDateOffsetDayType

LegStreamTerminationDateOffsetPeriod

LegStreamTerminationDateOffsetUnit

LegStreamTerminationDateRelativeTo

LegStreamTerminationDateUnadjusted

LegStreamText

LegStreamTotalNotional

LegStreamTotalNotionalUnitOfMeasure

LegStreamType

LegStreamVersion

LegStreamVersionEffectiveDate

LegStreamXID

LegStrikeCurrency

LegStrikeCurrencyCodeSource

LegStrikeIndex

LegStrikeIndexCurvePoint

LegStrikeIndexQuote

LegStrikeIndexSpread

LegStrikeMultiplier

LegStrikePrice

LegStrikePriceBoundaryMethod

LegStrikePriceBoundaryPrecision

LegStrikePriceDeterminationMethod

LegStrikeUnitOfMeasure

LegStrikeValue

LegSwapClass

LegSwapSubClass

LegSwapType

LegSymbol

LegSymbolPositionNumber

LegSymbolSfx

LegTerminationType

LegTimeUnit

LegTotalGrossTradeAmt

LegTotalIssuedAmount

LegTotalTradeMultipliedQty

LegTotalTradeQty

LegTradeID

LegTradeReportID

LegTradingUnitPeriodMultiplier

LegUnderlyingPriceDeterminationMethod

LegUnitOfMeasure

LegUnitOfMeasureCurrency

LegUnitOfMeasureCurrencyCodeSource

LegUnitOfMeasureQty

LegUPICode

LegValuationMethod

LegValuationReferenceModel

LegValuationSource

LegVersusPurchaseDate

LegVersusPurchasePrice

LegVolatility

LienSeniority

LimitAmt

LimitAmtCurrency

LimitAmtCurrencyCodeSource

LimitAmtRemaining

LimitAmts

LimitAmtType

LimitedRightToConfirmIndicator

LimitRole

LimitUtilizationAmt

LinesOfTextGrp

LinkageHandlingIndicator

LiquidityIndType

LiquidityNumSecurities

LiquidityPctHigh

LiquidityPctLow

LiquidityValue

ListExecInst

ListExecInstType

ListID

ListManualOrderIndicator

ListMethod

ListName

ListOrderStatus

ListOrdGrp

ListRejectReason

ListSeqNo

ListStatusText

ListStatusType

ListUpdateAction

LoanFacility

LocaleOfIssue

LocateReqd

LocationID

LockedQty

LockType

LongQty

LotType

LotTypeRules

LowExercisePriceOptionIndicator

LowLimitPrice

LowPx

MailingDtls

MailingInst

MakeWholeAmount

MakeWholeBenchmarkCurveName

MakeWholeBenchmarkCurvePoint

MakeWholeBenchmarkQuote

MakeWholeDate

MakeWholeInterpolationMethod

MakeWholeRecallSpread

MandatoryClearingIndicator

MandatoryClearingJurisdiction

MandatoryClearingJurisdictionGrp

ManualNoticeBusinessCenter

ManualOrderIndicator

MarginAmount

MarginAmountMarketID

MarginAmountMarketSegmentID

MarginAmt

MarginAmtCcy

MarginAmtFXRate

MarginAmtFXRateCalc

MarginAmtType

MarginClass

MarginDirection

MarginExcess

MarginRatio

MarginReqmtInqID

MarginReqmtInqQualGrp

MarginReqmtInqQualifier

MarginReqmtInqResult

MarginReqmtInqStatus

MarginReqmtRptID

MarginReqmtRptType

MarketCondition

MarketDataFeedTypes

MarketDepth

MarketDepthTimeInterval

MarketDepthTimeIntervalUnit

MarketDisruption

MarketDisruptionEvent

MarketDisruptionEventGrp

MarketDisruptionFallbackBasketCurrency

MarketDisruptionFallbackBasketDivisor

MarketDisruptionFallbackGrp

MarketDisruptionFallbackOpenUnits

MarketDisruptionFallbackProvision

MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackType

MarketDisruptionFallbackUnderlierSecurityDesc

MarketDisruptionFallbackUnderlierSecurityID

MarketDisruptionFallbackUnderlierSecurityIDSource

MarketDisruptionFallbackUnderlierType

MarketDisruptionFallbackValue

MarketDisruptionMaterialityPercentage

MarketDisruptionMaximumDays

MarketDisruptionMinimumFuturesContracts

MarketDisruptionProvision

MarketDisruptionValue

MarketID

MarketMakerActivity

MarketReportID

MarketReqID

MarketSegmentDesc

MarketSegmentGrp

MarketSegmentID

MarketSegmentRelationship

MarketSegmentScopeGrp

MarketSegmentStatus

MarketSegmentSubType

MarketSegmentType

MarketUpdateAction

MassActionReason

MassActionRejectReason

MassActionReportID

MassActionResponse

MassActionScope

MassActionType

MassCancelRejectReason

MassCancelRequestType

MassCancelResponse

MassHaltReason

MassOrderReportID

MassOrderRequestID

MassOrderRequestResult

MassOrderRequestStatus

MassStatusReqID

MassStatusReqType

MasterConfirmationAnnexDate

MasterConfirmationAnnexDesc

MasterConfirmationDate

MasterConfirmationDesc

MatchAlgorithm

MatchAttribTagID

MatchAttribValue

MatchExceptionAllocValue

MatchExceptionConfirmValue

MatchExceptionElementName

MatchExceptionElementType

MatchExceptionGrp

MatchExceptionText

MatchExceptionToleranceValue

MatchExceptionToleranceValueType

MatchExceptionType

MatchIncrement

MatchingDataPointGrp

MatchingDataPointIndicator

MatchingDataPointName

MatchingDataPointType

MatchingDataPointValue

MatchingInstructions

MatchInst

MatchInstMarketID

MatchRuleProductComplex

MatchRules

MatchStatus

MatchType

MaterialDividendsIndicator

MaturityDate

MaturityFrequencyPeriod

MaturityFrequencyUnit

MaturityMonthYear

MaturityMonthYearFormat

MaturityMonthYearIncrement

MaturityMonthYearIncrementUnits

MaturityNetMoney

MaturityRuleID

MaturityRules

MaturityTime

MaxFloor

MaximumPriceDeviation

MaxMessageSize

MaxPriceLevels

MaxPriceVariation

MaxShow

MaxTradeVol

MDBookType

MDEntryBuyer

MDEntryDate

MDEntryForwardPoints

MDEntryID

MDEntryOriginator

MDEntryPositionNo

MDEntryPx

MDEntryRefID

MDEntrySeller

MDEntrySize

MDEntrySpotRate

MDEntryTime

MDEntryType

MDFeedType

MDFullGrp

MDHaltReason

MDImplicitDelete

MDIncGrp

MDMkt

MDOriginDesc

MDOriginTime

MDOriginType

MDPriceLevel

MDQuoteType

MDRecoveryTimeInterval

MDRecoveryTimeIntervalUnit

MDReportCount

MDReportEvent

MDReportID

MDReqGrp

MDReqID

MDReqRejReason

MDRjctGrp

MDSecSize

MDSecSizeType

MDSecurityTradingStatus

MDStatisticDelayPeriod

MDStatisticDelayUnit

MDStatisticDesc

MDStatisticEndDate

MDStatisticEndTime

MDStatisticFrequencyPeriod

MDStatisticFrequencyUnit

MDStatisticID

MDStatisticIntervalPeriod

MDStatisticIntervalType

MDStatisticIntervalTypeUnit

MDStatisticIntervalUnit

MDStatisticName

MDStatisticParameters

MDStatisticRatioType

MDStatisticReqGrp

MDStatisticReqID

MDStatisticRequestResult

MDStatisticRptGrp

MDStatisticRptID

MDStatisticScope

MDStatisticScopeType

MDStatisticStartDate

MDStatisticStartTime

MDStatisticStatus

MDStatisticSubScope

MDStatisticTime

MDStatisticType

MDStatisticValue

MDStatisticValueType

MDStatisticValueUnit

MDStreamID

MDSubBookType

MDSubFeedType

MDUpdateAction

MDUpdateType

MDValueTier

MessageEncoding

MessageEventSource

MetricsCalculationPriceSource

MidPx

MidVolatility

MidYield

MinBidSize

MinLotSize

MinOfferSize

MinPriceIncrement

MinPriceIncrementAmount

MinQty

MinQtyMethod

MinTradeVol

MiscFeeAmountDue

MiscFeeAmt

MiscFeeBasis

MiscFeeCurr

MiscFeeDesc

MiscFeeQualifier

MiscFeeRate

MiscFeesGrp

MiscFeesSubGrp

MiscFeeSubType

MiscFeeSubTypeAmt

MiscFeeSubTypeDesc

MiscFeeType

MixedSwapIndicator

MktBidPx

MktOfferPx

ModelType

MoneyLaunderingStatus

MsgDirection

MsgSeqNum

MsgType

MsgTypeGrp

MthToDefault

MultiAssetSwapIndicator

MultiJurisdictionReportingIndicator

MultilegModel

MultilegPriceMethod

MultiLegReportingType

MultiLegRptTypeReq

NBBOEntryType

NBBOPrice

NBBOQty

NBBOSource

NegotiationMethod

Nested2PartyID

Nested2PartyIDSource

Nested2PartyRole

Nested2PartyRoleQualifier

Nested2PartySubID

Nested2PartySubIDType

Nested3PartyID

Nested3PartyIDSource

Nested3PartyRole

Nested3PartyRoleQualifier

Nested3PartySubID

Nested3PartySubIDType

Nested4PartyID

Nested4PartyIDSource

Nested4PartyRole

Nested4PartyRoleQualifier

Nested4PartySubID

Nested4PartySubIDType

NestedInstrAttribType

NestedInstrAttribValue

NestedInstrumentAttribute

NestedParties2

NestedParties3

NestedParties4

NestedParties

NestedPartyID

NestedPartyIDSource

NestedPartyRole

NestedPartyRoleQualifier

NestedPartySubID

NestedPartySubIDType

NetChgPrevDay

NetGrossInd

NetMoney

NetworkRequestID

NetworkRequestType

NetworkResponseID

NetworkStatusResponseType

NewPassword

NewsCategory

NewSeqNo

NewsID

NewsRefGrp

NewsRefID

NewsRefType

NextAuctionTime

NextExpectedMsgSeqNum

NextIndexRollDate

NoAdditionalTermBondRefs

NoAdditionalTerms

NoAffectedMarketSegments

NoAffectedOrders

NoAlgoSystemModules

NoAllocCommissions

NoAllocGroupSubQtyAttributes

NoAllocGroupSubQtys

NoAllocRegulatoryTradeIDs

NoAllocs

NoAllocTrdRegTimestamps

NoAltMDSource

NoApplIDs

NoAsgnReqs

NoAssetAttributes

NoAttachmentKeywords

NoAttachments

NoAuctionTypeRules

NoBidComponents

NoBidDescriptors

NoBusinessCenters

NoCapacities

NoCashSettlDateBusinessCenters

NoCashSettlDealers

NoCashSettlTerms

NoClearingAccountTypes

NoClearingInstructions

NoClearingPriceParameters

NoCollateralAmounts

NoCollateralReinvestments

NoCollInquiryQualifier

NoCommissions

NoCompIDs

NoComplexEventAveragingObservations

NoComplexEventCreditEventQualifiers

NoComplexEventCreditEvents

NoComplexEventCreditEventSources

NoComplexEventDateBusinessCenters

NoComplexEventDates

NoComplexEventPeriodDateTimes

NoComplexEventPeriods

NoComplexEventRateSources

NoComplexEvents

NoComplexEventSchedules

NoComplexEventTimes

NoContAmts

NoContraBrokers

NoContractualDefinitions

NoContractualMatrices

NoCrossLegs

NoDates

NoDeliverySchedules

NoDeliveryScheduleSettlDays

NoDeliveryScheduleSettlTimes

NoDeliveryStreamCommoditySources

NoDeliveryStreamCycles

NoDerivativeEvents

NoDerivativeInstrAttrib

NoDerivativeInstrumentParties

NoDerivativeInstrumentPartySubIDs

NoDerivativeSecurityAltID

NoDisclosureInstructions

NoDistribInsts

NoDividendAccrualPaymentDateBusinessCenters

NoDividendFXTriggerDateBusinessCenters

NoDividendPeriodBusinessCenters

NoDividendPeriods

NoDlvyInst

NoEntitlementAttrib

NoEntitlements

NoEntitlementTypes

NoEvents

NoExecInstRules

NoExecs

NoExpiration

NoExtraordinaryEvents

NoFills

NoFinancingTermSupplements

NoFlexProductEligibilities

NoFundingSources

NoHops

NoIndexRollMonths

NoInstrAttrib

NoInstrmtMatchSides

NoInstrumentParties

NoInstrumentPartySubIDs

NoInstrumentScopes

NoInstrumentScopeSecurityAltID

NoIOIQualifiers

NoLegAdditionalTermBondRefs

NoLegAdditionalTerms

NoLegAllocs

NoLegAssetAttributes

NoLegBusinessCenters

NoLegCashSettlDateBusinessCenters

NoLegCashSettlDealers

NoLegCashSettlTerms

NoLegComplexEventAveragingObservations

NoLegComplexEventCreditEventQualifiers

NoLegComplexEventCreditEvents

NoLegComplexEventCreditEventSources

NoLegComplexEventDateBusinessCenters

NoLegComplexEventDates

NoLegComplexEventPeriodDateTimes

NoLegComplexEventPeriods

NoLegComplexEventRateSources

NoLegComplexEvents

NoLegComplexEventSchedules

NoLegComplexEventTimes

NoLegContractualDefinitions

NoLegContractualMatrices

NoLegDeliverySchedules

NoLegDeliveryScheduleSettlDays

NoLegDeliveryScheduleSettlTimes

NoLegDeliveryStreamCommoditySources

NoLegDeliveryStreamCycles

NoLegDividendAccrualPaymentDateBusinessCenters

NoLegDividendFXTriggerDateBusinessCenters

NoLegDividendPeriodBusinessCenters

NoLegDividendPeriods

NoLegEvents

NoLegExecs

NoLegExtraordinaryEvents

NoLegFinancingTermSupplements

NoLegInstrumentParties

NoLegInstrumentPartySubIDs

NoLegMarketDisruptionEvents

NoLegMarketDisruptionFallbackReferencePrices

NoLegMarketDisruptionFallbacks

NoLegNonDeliverableFixingDates

NoLegOptionExerciseBusinessCenters

NoLegOptionExerciseDates

NoLegOptionExerciseExpirationDateBusinessCenters

NoLegOptionExerciseExpirationDates

NoLegPaymentScheduleFixingDateBusinessCenters

NoLegPaymentScheduleFixingDays

NoLegPaymentScheduleInterimExchangeDateBusinessCenters

NoLegPaymentScheduleRateSources

NoLegPaymentSchedules

NoLegPaymentStreamCompoundingDates

NoLegPaymentStreamCompoundingDatesBusinessCenters

NoLegPaymentStreamFixingDateBusinessCenters

NoLegPaymentStreamFixingDates

NoLegPaymentStreamFormulas

NoLegPaymentStreamInitialFixingDateBusinessCenters

NoLegPaymentStreamNonDeliverableFixingDateBusinessCenters

NoLegPaymentStreamPaymentDateBusinessCenters

NoLegPaymentStreamPaymentDates

NoLegPaymentStreamPricingBusinessCenters

NoLegPaymentStreamPricingDates

NoLegPaymentStreamPricingDays

NoLegPaymentStreamResetDateBusinessCenters

NoLegPaymentStubEndDateBusinessCenters

NoLegPaymentStubs

NoLegPaymentStubStartDateBusinessCenters

NoLegPhysicalSettlDeliverableObligations

NoLegPhysicalSettlTerms

NoLegPosAmt

NoLegPricingDateBusinessCenters

NoLegProtectionTermEventNewsSources

NoLegProtectionTermEventQualifiers

NoLegProtectionTermEvents

NoLegProtectionTermObligations

NoLegProtectionTerms

NoLegProvisionCashSettlPaymentDateBusinessCenters

NoLegProvisionCashSettlPaymentDates

NoLegProvisionCashSettlValueDateBusinessCenters

NoLegProvisionDateBusinessCenters

NoLegProvisionOptionExerciseBusinessCenters

NoLegProvisionOptionExerciseFixedDates

NoLegProvisionOptionExpirationDateBusinessCenters

NoLegProvisionOptionRelevantUnderlyingDateBusinessCenters

NoLegProvisionPartyIDs

NoLegProvisionPartySubIDs

NoLegProvisions

NoLegReturnRateDates

NoLegReturnRateFXConversions

NoLegReturnRateInformationSources

NoLegReturnRatePrices

NoLegReturnRates

NoLegReturnRateValuationDateBusinessCenters

NoLegReturnRateValuationDates

NoLegs

NoLegSecondaryAssetClasses

NoLegSecurityAltID

NoLegSettlMethodElectionDateBusinessCenters

NoLegSettlRateFallbacks

NoLegStipulations

NoLegStreamAssetAttributes

NoLegStreamCalculationPeriodBusinessCenters

NoLegStreamCalculationPeriodDates

NoLegStreamCommodityAltIDs

NoLegStreamCommodityDataSources

NoLegStreamCommoditySettlBusinessCenters

NoLegStreamCommoditySettlDays

NoLegStreamCommoditySettlPeriods

NoLegStreamCommoditySettlTimes

NoLegStreamEffectiveDateBusinessCenters

NoLegStreamFirstPeriodStartDateBusinessCenters

NoLegStreams

NoLegStreamTerminationDateBusinessCenters

NoLimitAmts

NoLinesOfText

NoLotTypeRules

NoMandatoryClearingJurisdictions

NoMarginAmt

NoMarginReqmtInqQualifier

NoMarketDisruptionEvents

NoMarketDisruptionFallbackReferencePrices

NoMarketDisruptionFallbacks

NoMarketSegments

NoMatchExceptions

NoMatchingDataPoints

NoMatchInst

NoMatchRules

NoMaturityRules

NoMDEntries

NoMDEntryTypes

NoMDFeedTypes

NoMDStatistics

NoMiscFees

NoMiscFeeSubTypes

NoMsgTypes

NonCashDividendTreatment

NonDeliverableFixingDate

NonDeliverableFixingDateType

NoNested2PartyIDs

NoNested2PartySubIDs

NoNested3PartyIDs

NoNested3PartySubIDs

NoNested4PartyIDs

NoNested4PartySubIDs

NoNestedInstrAttrib

NoNestedPartyIDs

NoNestedPartySubIDs

NoNewsRefIDs

NoNonDeliverableFixingDates

NoNotAffectedMarketSegments

NoNotAffectedOrders

NoOfLegUnderlyings

NoOfSecSizes

NoOptionExerciseBusinessCenters

NoOptionExerciseDates

NoOptionExerciseExpirationDateBusinessCenters

NoOptionExerciseExpirationDates

NoOrderAttributes

NoOrderEntries

NoOrderEvents

NoOrders

NoOrdTypeRules

NoPartyDetailAltID

NoPartyDetailAltSubIDs

NoPartyDetails

NoPartyDetailSubIDs

NoPartyEntitlements

NoPartyIDs

NoPartyRelationships

NoPartyRiskLimits

NoPartySubIDs

NoPartyUpdates

NoPayCollects

NoPaymentBusinessCenters

NoPayments

NoPaymentScheduleFixingDateBusinessCenters

NoPaymentScheduleFixingDays

NoPaymentScheduleInterimExchangeDateBusinessCenters

NoPaymentScheduleRateSources

NoPaymentSchedules

NoPaymentSettlPartyIDs

NoPaymentSettlPartySubIDs

NoPaymentSettls

NoPaymentStreamCompoundingDates

NoPaymentStreamCompoundingDatesBusinessCenters

NoPaymentStreamFixingDateBusinessCenters

NoPaymentStreamFixingDates

NoPaymentStreamFormulas

NoPaymentStreamInitialFixingDateBusinessCenters

NoPaymentStreamNonDeliverableFixingDatesBusinessCenters

NoPaymentStreamPaymentDateBusinessCenters

NoPaymentStreamPaymentDates

NoPaymentStreamPricingBusinessCenters

NoPaymentStreamPricingDates

NoPaymentStreamPricingDays

NoPaymentStreamResetDateBusinessCenters

NoPaymentStubEndDateBusinessCenters

NoPaymentStubs

NoPaymentStubStartDateBusinessCenters

NoPhysicalSettlDeliverableObligations

NoPhysicalSettlTerms

NoPosAmt

NoPositions

NoPriceMovements

NoPriceMovementValues

NoPriceQualifiers

NoPriceRangeRules

NoPricingDateBusinessCenters

NoProtectionTermEventNewsSources

NoProtectionTermEventQualifiers

NoProtectionTermEvents

NoProtectionTermObligations

NoProtectionTerms

NoProvisionCashSettlPaymentDateBusinessCenters

NoProvisionCashSettlPaymentDates

NoProvisionCashSettlValueDateBusinessCenters

NoProvisionDateBusinessCenters

NoProvisionOptionExerciseBusinessCenters

NoProvisionOptionExerciseFixedDates

NoProvisionOptionExpirationDateBusinessCenters

NoProvisionOptionRelevantUnderlyingDateBusinessCenters

NoProvisionPartyIDs

NoProvisionPartySubIDs

NoProvisions

NoQuoteAttributes

NoQuoteEntries

NoQuoteQualifiers

NoQuoteSets

NoQuoteSizeRules

NoRateSources

NoReferenceDataDates

NoRegistDtls

NoRegulatoryTradeIDs

NoRelatedInstruments

NoRelatedMarketSegments

NoRelatedPartyDetailAltID

NoRelatedPartyDetailAltSubIDs

NoRelatedPartyDetailID

NoRelatedPartyDetailSubIDs

NoRelatedPositions

NoRelatedSym

NoRelatedTrades

NoRelativeValues

NoRequestedPartyRoles

NoRequestedRiskLimitType

NoRequestingPartyIDs

NoRequestingPartySubIDs

NoReturnRateDates

NoReturnRateFXConversions

NoReturnRateInformationSources

NoReturnRatePrices

NoReturnRates

NoReturnRateValuationDateBusinessCenters

NoReturnRateValuationDates

NoRiskInstrumentScopes

NoRiskLimits

NoRiskLimitTypes

NoRiskWarningLevels

NoRootPartyIDs

NoRootPartySubIDs

NoRoutingIDs

NoRpts

NoSecondaryAssetClasses

NoSecurityAltID

NoSecurityClassifications

NoSecurityRiskMetrics

NoSecurityTypes

NoSettlDetails

NoSettlementAmounts

NoSettlInst

NoSettlMethodElectionDateBusinessCenters

NoSettlOblig

NoSettlPartyIDs

NoSettlPartySubIDs

NoSettlRateFallbacks

NoSideCollateralAmounts

NoSideCollateralReinvestments

NoSideRegulatoryTradeIDs

NoSides

NoSideTrdRegTS

NoStatsIndicators

NoStipulations

NoStrategyParameters

NoStreamAssetAttributes

NoStreamCalculationPeriodBusinessCenters

NoStreamCalculationPeriodDates

NoStreamCommodityAltIDs

NoStreamCommodityDataSources

NoStreamCommoditySettlBusinessCenters

NoStreamCommoditySettlDays

NoStreamCommoditySettlPeriods

NoStreamCommoditySettlTimes

NoStreamEffectiveDateBusinessCenters

NoStreamFirstPeriodStartDateBusinessCenters

NoStreams

NoStreamTerminationDateBusinessCenters

NoStrikeRules

NoStrikes

NotAffectedMarketSegmentGrp

NotAffectedMarketSegmentID

NotAffectedOrderID

NotAffectedOrdGrp

NotAffectedReason

NotAffOrigClOrdID

NotAffSecondaryOrderID

NoTargetMarketSegments

NoTargetPartyIDs

NoTargetPartySubIDs

NoTestGatewayDetails

NoTestMeasures

NoTestOrders

NoTestScenarios

NoTestStepParameters

NoTestSteps

NoTestSystemModules

NoThrottleMsgType

NoThrottles

NoTickRules

NotifyBrokerOfCredit

NoTimeInForceRules

NotionalPercentageOutstanding

NoTradeAllocAmts

NoTradePriceConditions

NoTradeQtys

NoTrades

NoTradeTypes

NoTradingSessionRules

NoTradingSessions

NoTransactionAttributes

NoTrdMatchSides

NoTrdRegPublications

NoTrdRegTimestamps

NoTrdRepIndicators

NoUnderlyingAdditionalTermBondRefs

NoUnderlyingAdditionalTerms

NoUnderlyingAmounts

NoUnderlyingAssetAttributes

NoUnderlyingBusinessCenters

NoUnderlyingCashSettlDateBusinessCenters

NoUnderlyingCashSettlDealers

NoUnderlyingCashSettlTerms

NoUnderlyingComplexEventAveragingObservations

NoUnderlyingComplexEventCreditEventQualifiers

NoUnderlyingComplexEventCreditEvents

NoUnderlyingComplexEventCreditEventSources

NoUnderlyingComplexEventDateBusinessCenters

NoUnderlyingComplexEventDates

NoUnderlyingComplexEventPeriodDateTimes

NoUnderlyingComplexEventPeriods

NoUnderlyingComplexEventRateSources

NoUnderlyingComplexEvents

NoUnderlyingComplexEventSchedules

NoUnderlyingComplexEventTimes

NoUnderlyingDeliverySchedules

NoUnderlyingDeliveryScheduleSettlDays

NoUnderlyingDeliveryScheduleSettlTimes

NoUnderlyingDeliveryStreamCommoditySources

NoUnderlyingDeliveryStreamCycles

NoUnderlyingDividendAccrualPaymentDateBusinessCenters

NoUnderlyingDividendFXTriggerDateBusinessCenters

NoUnderlyingDividendPayments

NoUnderlyingDividendPeriodBusinessCenters

NoUnderlyingDividendPeriods

NoUnderlyingEvents

NoUnderlyingExtraordinaryEvents

NoUnderlyingLegSecurityAltID

NoUnderlyingMarketDisruptionEvents

NoUnderlyingMarketDisruptionFallbackReferencePrices

NoUnderlyingMarketDisruptionFallbacks

NoUnderlyingNonDeliverableFixingDates

NoUnderlyingOptionExerciseBusinessCenters

NoUnderlyingOptionExerciseDates

NoUnderlyingOptionExerciseExpirationDateBusinessCenters

NoUnderlyingOptionExerciseExpirationDates

NoUnderlyingPaymentScheduleFixingDateBusinessCenters

NoUnderlyingPaymentScheduleFixingDays

NoUnderlyingPaymentScheduleInterimExchangeDateBusinessCenters

NoUnderlyingPaymentScheduleRateSources

NoUnderlyingPaymentSchedules

NoUnderlyingPaymentStreamCompoundingDates

NoUnderlyingPaymentStreamCompoundingDatesBusinessCenters

NoUnderlyingPaymentStreamFixingDateBusinessCenters

NoUnderlyingPaymentStreamFixingDates

NoUnderlyingPaymentStreamFormulas

NoUnderlyingPaymentStreamInitialFixingDateBusinessCenters

NoUnderlyingPaymentStreamNonDeliverableFixingDatesBizCenters

NoUnderlyingPaymentStreamPaymentDateBusinessCenters

NoUnderlyingPaymentStreamPaymentDates

NoUnderlyingPaymentStreamPricingBusinessCenters

NoUnderlyingPaymentStreamPricingDates

NoUnderlyingPaymentStreamPricingDays

NoUnderlyingPaymentStreamResetDateBusinessCenters

NoUnderlyingPaymentStubEndDateBusinessCenters

NoUnderlyingPaymentStubs

NoUnderlyingPaymentStubStartDateBusinessCenters

NoUnderlyingPhysicalSettlDeliverableObligations

NoUnderlyingPhysicalSettlTerms

NoUnderlyingPricingDateBusinessCenters

NoUnderlyingProtectionTermEventNewsSources

NoUnderlyingProtectionTermEventQualifiers

NoUnderlyingProtectionTermEvents

NoUnderlyingProtectionTermObligations

NoUnderlyingProtectionTerms

NoUnderlyingProvisionCashSettlPaymentDateBusinessCenters

NoUnderlyingProvisionCashSettlPaymentDates

NoUnderlyingProvisionCashSettlValueDateBusinessCenters

NoUnderlyingProvisionDateBusinessCenters

NoUnderlyingProvisionOptionExerciseBusinessCenters

NoUnderlyingProvisionOptionExerciseFixedDates

NoUnderlyingProvisionOptionExpirationDateBusinessCenters

NoUnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenters

NoUnderlyingProvisionPartyIDs

NoUnderlyingProvisionPartySubIDs

NoUnderlyingProvisions

NoUnderlyingRateSpreadSteps

NoUnderlyingReturnRateDates

NoUnderlyingReturnRateFXConversions

NoUnderlyingReturnRateInformationSources

NoUnderlyingReturnRatePrices

NoUnderlyingReturnRates

NoUnderlyingReturnRateValuationDateBusinessCenters

NoUnderlyingReturnRateValuationDates

NoUnderlyings

NoUnderlyingSecondaryAssetClasses

NoUnderlyingSecurityAltID

NoUnderlyingSettlMethodElectionDateBusinessCenters

NoUnderlyingSettlRateFallbacks

NoUnderlyingStips

NoUnderlyingStreamAssetAttributes

NoUnderlyingStreamCalculationPeriodBusinessCenters

NoUnderlyingStreamCalculationPeriodDates

NoUnderlyingStreamCommodityAltIDs

NoUnderlyingStreamCommodityDataSources

NoUnderlyingStreamCommoditySettlBusinessCenters

NoUnderlyingStreamCommoditySettlDays

NoUnderlyingStreamCommoditySettlPeriods

NoUnderlyingStreamCommoditySettlTimes

NoUnderlyingStreamEffectiveDateBusinessCenters

NoUnderlyingStreamFirstPeriodStartDateBusinessCenters

NoUnderlyingStreams

NoUnderlyingStreamTerminationDateBusinessCenters

NoUndlyInstrumentParties

NoUndlyInstrumentPartySubIDs

NoUsernames

NoValueChecks

NstdPtys2SubGrp

NstdPtys3SubGrp

NstdPtys4SubGrp

NstdPtysSubGrp

NthToDefault

NTPositionLimit

NumberOfBuyOrders

NumberOfOrders

NumberOfSellOrders

NumBidders

NumDaysInterest

NumOfCompetitors

NumOfComplexInstruments

NumOfSimpleInstruments

NumTickets

ObligationType

OddLot

OfferForwardPoints

OfferForwardPoints2

OfferID

OfferMDEntryID

OfferPx

OfferQuoteID

OfferSize

OfferSpotRate

OfferSpread

OfferSwapPoints

OfferVolatility

OfferYield

OffMarketPriceIndicator

OffsetInstruction

OffshoreIndicator

OnBehalfOfCompID

OnBehalfOfLocationID

OnBehalfOfSubID

OpenCloseSettlFlag

OpenInterest

OptAttribute

OptionExerciseBusinessCenter

OptionExerciseBusinessCenterGrp

OptionExerciseBusinessDayConvention

OptionExercise

OptionExerciseDate

OptionExerciseDateGrp

OptionExerciseDates

OptionExerciseDateType

OptionExerciseEarliestDateOffsetDayType

OptionExerciseEarliestDateOffsetPeriod

OptionExerciseEarliestDateOffsetUnit

OptionExerciseEarliestTime

OptionExerciseExpiration

OptionExerciseExpirationDate

OptionExerciseExpirationDateBusinessCenter

OptionExerciseExpirationDateBusinessCenterGrp

OptionExerciseExpirationDateBusinessDayConvention

OptionExerciseExpirationDateGrp

OptionExerciseExpirationDateOffsetDayType

OptionExerciseExpirationDateOffsetPeriod

OptionExerciseExpirationDateOffsetUnit

OptionExerciseExpirationDateRelativeTo

OptionExerciseExpirationDateType

OptionExerciseExpirationFrequencyPeriod

OptionExerciseExpirationFrequencyUnit

OptionExerciseExpirationRollConvention

OptionExerciseExpirationTime

OptionExerciseExpirationTimeBusinessCenter

OptionExerciseFirstDateUnadjusted

OptionExerciseFrequencyPeriod

OptionExerciseFrequencyUnit

OptionExerciseLastDateUnadjusted

OptionExerciseLatestTime

OptionExerciseMakeWholeProvision

OptionExerciseNominationDeadline

OptionExerciseSkip

OptionExerciseStartDateAdjusted

OptionExerciseStartDateOffsetDayType

OptionExerciseStartDateOffsetPeriod

OptionExerciseStartDateOffsetUnit

OptionExerciseStartDateRelativeTo

OptionExerciseStartDateUnadjusted

OptionExerciseTimeBusinessCenter

OptionExpirationDesc

OptionsExchangeDividendsIndicator

OptPayoutAmount

OptPayoutType

OrdAllocGrp

OrderAggregationGrp

OrderAttributeGrp

OrderAttributeType

OrderAttributeValue

OrderAvgPx

OrderBookingQty

OrderCapacity

OrderCapacityQty

OrderCategory

OrderDelay

OrderDelayUnit

OrderEntryAckGrp

OrderEntryAction

OrderEntryGrp

OrderEntryID

OrderEventExecID

OrderEventGrp

OrderEventLiquidityIndicator

OrderEventPx

OrderEventQty

OrderEventReason

OrderEventText

OrderEventType

OrderHandlingInstSource

OrderID

OrderInputDevice

OrderOrigination

OrderOriginationFirmID

OrderOwnershipIndicator

OrderPercent

OrderPercentOfTotalVolume

OrderQty

OrderQty2

OrderQtyData

OrderRelationship

OrderRequestID

OrderResponseLevel

OrderRestrictions

OrdListStatGrp

OrdRejReason

OrdStatus

OrdStatusReqID

OrdType

OrdTypeRules

OrigClOrdID

OrigCrossID

OrigCustOrderCapacity

OriginalNotionalPercentageOutstanding

OriginatingDeptID

OrigOrdModTime

OrigPosReqRefID

OrigSecondaryTradeID

OrigSendingTime

OrigStrikePrice

OrigTime

OrigTradeDate

OrigTradeHandlingInstr

OrigTradeID

OutMainCntryUIndex

OutsideIndexPct

OvernightInterestRate

OwnershipType

OwnerType

PackageID

ParentAllocID

ParentMktSegmID

ParticipationRate

Parties

PartyActionRejectReason

PartyActionReportID

PartyActionRequestID

PartyActionResponse

PartyActionType

PartyDetailAckGrp

PartyDetailAltID

PartyDetailAltIDGrp

PartyDetailAltIDSource

PartyDetailAltSubGrp

PartyDetailAltSubID

PartyDetailAltSubIDType

PartyDetailDefinitionResult

PartyDetailDefinitionStatus

PartyDetailGrp

PartyDetailID

PartyDetailIDSource

PartyDetailRequestResult

PartyDetailRequestStatus

PartyDetailRole

PartyDetailRoleQualifier

PartyDetailsListReportID

PartyDetailsListRequestID

PartyDetailStatus

PartyDetailSubGrp

PartyDetailSubID

PartyDetailSubIDType

PartyDetailsUpdateGrp

PartyEntitlementAckGrp

PartyEntitlementGrp

PartyEntitlementUpdateGrp

PartyID

PartyIDSource

PartyRelationship

PartyRelationshipGrp

PartyRiskLimitsAckGrp

PartyRiskLimitsGrp

PartyRiskLimitStatus

PartyRiskLimitsUpdateGrp

PartyRole

PartyRoleQualifier

PartySubID

PartySubIDType

Password

PayAmount

PayCollectCurrency

PayCollectCurrencyCodeSource

PayCollectFXRate

PayCollectFXRateCalc

PayCollectGrp

PayCollectMarketID

PayCollectMarketSegmentID

PayCollectType

PayDisputeReason

PaymentAmount

PaymentAmountDeterminationMethod

PaymentAmountRelativeTo

PaymentBusinessCenter

PaymentBusinessCenterGrp

PaymentBusinessDayConvention

PaymentCurrency

PaymentDate

PaymentDateAdjusted

PaymentDateOffsetDayType

PaymentDateOffsetPeriod

PaymentDateOffsetUnit

PaymentDateRelativeTo

PaymentDateUnadjusted

PaymentDesc

PaymentDiscountFactor

PaymentFixedRate

PaymentFloatingRateIndex

PaymentFloatingRateIndexCurvePeriod

PaymentFloatingRateIndexCurveUnit

PaymentFloatingRateSpread

PaymentForwardStartType

PaymentFrequencyPeriod

PaymentFrequencyUnit

PaymentGrp

PaymentLegRefID

PaymentMethod

PaymentPaySide

PaymentPresentValueAmount

PaymentPresentValueCurrency

PaymentPrice

PaymentPriceType

PaymentRateResetFrequencyPeriod

PaymentRateResetFrequencyUnit

PaymentReceiveSide

PaymentRef

PaymentRemitterID

PaymentScheduleCurrency

PaymentScheduleEndDateUnadjusted

PaymentScheduleFixedAmount

PaymentScheduleFixedCurrency

PaymentScheduleFixingDateAdjusted

PaymentScheduleFixingDateBusinessCenter

PaymentScheduleFixingDateBusinessCenterGrp

PaymentScheduleFixingDateBusinessDayConvention

PaymentScheduleFixingDateOffsetDayType

PaymentScheduleFixingDateOffsetPeriod

PaymentScheduleFixingDateOffsetUnit

PaymentScheduleFixingDateRelativeTo

PaymentScheduleFixingDateUnadjusted

PaymentScheduleFixingDayCount

PaymentScheduleFixingDayDistribution

PaymentScheduleFixingDayGrp

PaymentScheduleFixingDayNumber

PaymentScheduleFixingDayOfWeek

PaymentScheduleFixingFirstObservationDateOffsetPeriod

PaymentScheduleFixingFirstObservationDateOffsetUnit

PaymentScheduleFixingLagPeriod

PaymentScheduleFixingLagUnit

PaymentScheduleFixingTime

PaymentScheduleFixingTimeBusinessCenter

PaymentScheduleGrp

PaymentScheduleInterimExchangeDateAdjusted

PaymentScheduleInterimExchangeDateBusinessCenterGrp

PaymentScheduleInterimExchangeDatesBusinessCenter

PaymentScheduleInterimExchangeDatesBusinessDayConvention

PaymentScheduleInterimExchangeDatesOffsetDayType

PaymentScheduleInterimExchangeDatesOffsetPeriod

PaymentScheduleInterimExchangeDatesOffsetUnit

PaymentScheduleInterimExchangePaymentDateRelativeTo

PaymentScheduleNotional

PaymentSchedulePaySide

PaymentScheduleRate

PaymentScheduleRateConversionFactor

PaymentScheduleRateCurrency

PaymentScheduleRateMultiplier

PaymentScheduleRateSource

PaymentScheduleRateSourceGrp

PaymentScheduleRateSourceType

PaymentScheduleRateSpread

PaymentScheduleRateSpreadPositionType

PaymentScheduleRateSpreadType

PaymentScheduleRateTreatment

PaymentScheduleRateUnitOfMeasure

PaymentScheduleReceiveSide

PaymentScheduleReferencePage

PaymentScheduleSettlPeriodPrice

PaymentScheduleSettlPeriodPriceCurrency

PaymentScheduleSettlPeriodPriceUnitOfMeasure

PaymentScheduleStartDateUnadjusted

PaymentScheduleStepFrequencyPeriod

PaymentScheduleStepFrequencyUnit

PaymentScheduleStepOffsetRate

PaymentScheduleStepOffsetValue

PaymentScheduleStepRate

PaymentScheduleStepRelativeTo

PaymentScheduleStepUnitOfMeasure

PaymentScheduleStubType

PaymentScheduleType

PaymentScheduleWeight

PaymentScheduleXID

PaymentScheduleXIDRef

PaymentSettlAmount

PaymentSettlCurrency

PaymentSettlGrp

PaymentSettlParties

PaymentSettlPartyID

PaymentSettlPartyIDSource

PaymentSettlPartyRole

PaymentSettlPartyRoleQualifier

PaymentSettlPartySubID

PaymentSettlPartySubIDType

PaymentSettlPtysSubGrp

PaymentSettlStyle

PaymentStreamAccrualDays

PaymentStreamAveragingMethod

PaymentStreamBoundsFirstDateUnadjusted

PaymentStreamBoundsLastDateUnadjusted

PaymentStreamCalculationLagPeriod

PaymentStreamCalculationLagUnit

PaymentStreamCapRate

PaymentStreamCapRateBuySide

PaymentStreamCapRateSellSide

PaymentStreamCashSettlIndicator

PaymentStream

PaymentStreamCompoundingAveragingMethod

PaymentStreamCompoundingCapRate

PaymentStreamCompoundingCapRateBuySide

PaymentStreamCompoundingCapRateSellSide

PaymentStreamCompoundingDate

PaymentStreamCompoundingDateGrp

PaymentStreamCompoundingDatesBusinessCenter

PaymentStreamCompoundingDatesBusinessCenterGrp

PaymentStreamCompoundingDatesBusinessDayConvention

PaymentStreamCompoundingDates

PaymentStreamCompoundingDatesOffsetDayType

PaymentStreamCompoundingDatesOffsetPeriod

PaymentStreamCompoundingDatesOffsetUnit

PaymentStreamCompoundingDatesRelativeTo

PaymentStreamCompoundingDateType

PaymentStreamCompoundingEndDateAdjusted

PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDateOffsetDayType

PaymentStreamCompoundingEndDateOffsetPeriod

PaymentStreamCompoundingEndDateOffsetUnit

PaymentStreamCompoundingEndDateRelativeTo

PaymentStreamCompoundingEndDateUnadjusted

PaymentStreamCompoundingFinalRatePrecision

PaymentStreamCompoundingFinalRateRoundingDirection

PaymentStreamCompoundingFixedRate

PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFloorRate

PaymentStreamCompoundingFloorRateBuySide

PaymentStreamCompoundingFloorRateSellSide

PaymentStreamCompoundingFrequencyPeriod

PaymentStreamCompoundingFrequencyUnit

PaymentStreamCompoundingInitialRate

PaymentStreamCompoundingMethod

PaymentStreamCompoundingNegativeRateTreatment

PaymentStreamCompoundingPeriodSkip

PaymentStreamCompoundingRateIndex

PaymentStreamCompoundingRateIndexCurvePeriod

PaymentStreamCompoundingRateIndexCurveUnit

PaymentStreamCompoundingRateMultiplier

PaymentStreamCompoundingRateSpread

PaymentStreamCompoundingRateSpreadPositionType

PaymentStreamCompoundingRateTreatment

PaymentStreamCompoundingRollConvention

PaymentStreamCompoundingSpread

PaymentStreamCompoundingStartDateAdjusted

PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDateOffsetDayType

PaymentStreamCompoundingStartDateOffsetPeriod

PaymentStreamCompoundingStartDateOffsetUnit

PaymentStreamCompoundingStartDateRelativeTo

PaymentStreamCompoundingStartDateUnadjusted

PaymentStreamCompoundingXIDRef

PaymentStreamContractPrice

PaymentStreamContractPriceCurrency

PaymentStreamDayCount

PaymentStreamDaysAdjustmentIndicator

PaymentStreamDelayIndicator

PaymentStreamDiscountRate

PaymentStreamDiscountRateDayCount

PaymentStreamDiscountType

PaymentStreamFinalPricePaymentDateAdjusted

PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDateOffsetDayType

PaymentStreamFinalPricePaymentDateOffsetfPeriod

PaymentStreamFinalPricePaymentDateOffsetUnit

PaymentStreamFinalPricePaymentDateRelativeTo

PaymentStreamFinalPricePaymentDateUnadjusted

PaymentStreamFinalPrincipalExchangeIndicator

PaymentStreamFinalRate

PaymentStreamFinalRatePrecision

PaymentStreamFinalRateRoundingDirection

PaymentStreamFirstObservationDateAdjusted

PaymentStreamFirstObservationDateOffsetDayType

PaymentStreamFirstObservationDateOffsetPeriod

PaymentStreamFirstObservationDateOffsetUnit

PaymentStreamFirstObservationDateRelativeTo

PaymentStreamFirstObservationDateUnadjusted

PaymentStreamFirstPaymentDateUnadjusted

PaymentStreamFixedAmount

PaymentStreamFixedAmountUnitOfMeasure

PaymentStreamFixedRate

PaymentStreamFixingDate

PaymentStreamFixingDateAdjusted

PaymentStreamFixingDateBusinessCenter

PaymentStreamFixingDateBusinessCenterGrp

PaymentStreamFixingDateBusinessDayConvention

PaymentStreamFixingDateGrp

PaymentStreamFixingDateOffsetDayType

PaymentStreamFixingDateOffsetPeriod

PaymentStreamFixingDateOffsetUnit

PaymentStreamFixingDateRelativeTo

PaymentStreamFixingDateType

PaymentStreamFlatRateAmount

PaymentStreamFlatRateCurrency

PaymentStreamFlatRateIndicator

PaymentStreamFloatingRate

PaymentStreamFloorRate

PaymentStreamFloorRateBuySide

PaymentStreamFloorRateSellSide

PaymentStreamFormula

PaymentStreamFormula

PaymentStreamFormulaCurrency

PaymentStreamFormulaCurrencyDeterminationMethod

PaymentStreamFormulaDesc

PaymentStreamFormulaImage

PaymentStreamFormulaImage

PaymentStreamFormulaImageLength

PaymentStreamFormulaLength

PaymentStreamFormulaMathGrp

PaymentStreamFormulaReferenceAmount

PaymentStreamFRADiscounting

PaymentStreamFutureValueDateAdjusted

PaymentStreamFutureValueNotional

PaymentStreamInflationFallbackBondApplicable

PaymentStreamInflationIndexSource

PaymentStreamInflationInitialIndexLevel

PaymentStreamInflationInterpolationMethod

PaymentStreamInflationLagDayType

PaymentStreamInflationLagPeriod

PaymentStreamInflationLagUnit

PaymentStreamInflationPublicationSource

PaymentStreamInitialFixingDateAdjusted

PaymentStreamInitialFixingDateBusinessCenter

PaymentStreamInitialFixingDateBusinessCenterGrp

PaymentStreamInitialFixingDateBusinessDayConvention

PaymentStreamInitialFixingDateOffsetDayType

PaymentStreamInitialFixingDateOffsetPeriod

PaymentStreamInitialFixingDateOffsetUnit

PaymentStreamInitialFixingDateRelativeTo

PaymentStreamInitialPrincipalExchangeIndicator

PaymentStreamInitialRate

PaymentStreamInterimPrincipalExchangeIndicator

PaymentStreamInterpolationMethod

PaymentStreamInterpolationPeriod

PaymentStreamLastRegularPaymentDateUnadjusted

PaymentStreamLastResetRate

PaymentStreamLinkClosingLevelIndicator

PaymentStreamLinkEstimatedTradingDays

PaymentStreamLinkExpiringLevelIndicator

PaymentStreamLinkInitialLevel

PaymentStreamLinkMaximumBoundary

PaymentStreamLinkMinimumBoundary

PaymentStreamLinkNumberOfDataSeries

PaymentStreamLinkStrikePrice

PaymentStreamLinkStrikePriceType

PaymentStreamMarketRate

PaymentStreamMasterAgreementPaymentDatesIndicator

PaymentStreamMaximumPaymentAmount

PaymentStreamMaximumPaymentCurrency

PaymentStreamMaximumTransactionAmount

PaymentStreamMaximumTransactionCurrency

PaymentStreamNearestExchangeContractRefID

PaymentStreamNegativeRateTreatment

PaymentStreamNonDeliverableFixingDateGrp

PaymentStreamNonDeliverableFixingDatesBusinessCenter

PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

PaymentStreamNonDeliverableFixingDatesBusinessDayConvention

PaymentStreamNonDeliverableFixingDatesOffsetDayType

PaymentStreamNonDeliverableFixingDatesOffsetPeriod

PaymentStreamNonDeliverableFixingDatesOffsetUnit

PaymentStreamNonDeliverableFixingDatesRelativeTo

PaymentStreamNonDeliverableRefCurrency

PaymentStreamNonDeliverableSettlRateSource

PaymentStreamNonDeliverableSettlRateSource

PaymentStreamNonDeliverableSettlReferencePage

PaymentStreamNonDeliverableSettlTerms

PaymentStreamOtherDayCount

PaymentStreamPaymentDate

PaymentStreamPaymentDateBusinessCenter

PaymentStreamPaymentDateBusinessCenterGrp

PaymentStreamPaymentDateBusinessDayConvention

PaymentStreamPaymentDateGrp

PaymentStreamPaymentDateOffsetDayType

PaymentStreamPaymentDateOffsetPeriod

PaymentStreamPaymentDateOffsetUnit

PaymentStreamPaymentDateRelativeTo

PaymentStreamPaymentDates

PaymentStreamPaymentDateType

PaymentStreamPaymentFrequencyPeriod

PaymentStreamPaymentFrequencyUnit

PaymentStreamPaymentRollConvention

PaymentStreamPricingBusinessCalendar

PaymentStreamPricingBusinessCenter

PaymentStreamPricingBusinessCenterGrp

PaymentStreamPricingBusinessDayConvention

PaymentStreamPricingDate

PaymentStreamPricingDateGrp

PaymentStreamPricingDateType

PaymentStreamPricingDayCount

PaymentStreamPricingDayDistribution

PaymentStreamPricingDayGrp

PaymentStreamPricingDayNumber

PaymentStreamPricingDayOfWeek

PaymentStreamPricingDayType

PaymentStreamRate

PaymentStreamRateConversionFactor

PaymentStreamRateCutoffDateOffsetDayType

PaymentStreamRateCutoffDateOffsetPeriod

PaymentStreamRateCutoffDateOffsetUnit

PaymentStreamRateIndex

PaymentStreamRateIndex2

PaymentStreamRateIndex2CurvePeriod

PaymentStreamRateIndex2CurveUnit

PaymentStreamRateIndex2ID

PaymentStreamRateIndex2IDSource

PaymentStreamRateIndex2Source

PaymentStreamRateIndexCurvePeriod

PaymentStreamRateIndexCurveUnit

PaymentStreamRateIndexID

PaymentStreamRateIndexIDSource

PaymentStreamRateIndexLevel

PaymentStreamRateIndexLocation

PaymentStreamRateIndexSource

PaymentStreamRateIndexUnitOfMeasure

PaymentStreamRateMultiplier

PaymentStreamRateOrAmountCurrency

PaymentStreamRateSpread

PaymentStreamRateSpreadCurrency

PaymentStreamRateSpreadPositionType

PaymentStreamRateSpreadType

PaymentStreamRateSpreadUnitOfMeasure

PaymentStreamRateTreatment

PaymentStreamRealizedVarianceMethod

PaymentStreamReferenceLevel

PaymentStreamReferenceLevelEqualsZeroIndicator

PaymentStreamReferenceLevelUnitOfMeasure

PaymentStreamResetDateBusinessCenter

PaymentStreamResetDateBusinessCenterGrp

PaymentStreamResetDateBusinessDayConvention

PaymentStreamResetDateRelativeTo

PaymentStreamResetDates

PaymentStreamResetFrequencyPeriod

PaymentStreamResetFrequencyUnit

PaymentStreamResetWeeklyRollConvention

PaymentStreamSettlCurrency

PaymentStreamSettlLevel

PaymentStreamTotalFixedAmount

PaymentStreamType

PaymentStreamUnderlierRefID

PaymentStreamVarianceUnadjustedCap

PaymentStreamVegaNotionalAmount

PaymentStreamWorldScaleRate

PaymentStubEndDateAdjusted

PaymentStubEndDateBusinessCenter

PaymentStubEndDateBusinessCenterGrp

PaymentStubEndDateBusinessDayConvention

PaymentStubEndDate

PaymentStubEndDateOffsetDayType

PaymentStubEndDateOffsetPeriod

PaymentStubEndDateOffsetUnit

PaymentStubEndDateRelativeTo

PaymentStubEndDateUnadjusted

PaymentStubFixedAmount

PaymentStubFixedCurrency

PaymentStubGrp

PaymentStubIndex

PaymentStubIndex2

PaymentStubIndex2CapRate

PaymentStubIndex2CurvePeriod

PaymentStubIndex2CurveUnit

PaymentStubIndex2FloorRate

PaymentStubIndex2RateMultiplier

PaymentStubIndex2RateSpread

PaymentStubIndex2RateSpreadPositionType

PaymentStubIndex2RateTreatment

PaymentStubIndex2Source

PaymentStubIndexCapRate

PaymentStubIndexCapRateBuySide

PaymentStubIndexCapRateSellSide

PaymentStubIndexCurvePeriod

PaymentStubIndexCurveUnit

PaymentStubIndexFloorRate

PaymentStubIndexFloorRateBuySide

PaymentStubIndexFloorRateSellSide

PaymentStubIndexRateMultiplier

PaymentStubIndexRateSpread

PaymentStubIndexRateSpreadPositionType

PaymentStubIndexRateTreatment

PaymentStubIndexSource

PaymentStubLength

PaymentStubRate

PaymentStubStartDateAdjusted

PaymentStubStartDateBusinessCenter

PaymentStubStartDateBusinessCenterGrp

PaymentStubStartDateBusinessDayConvention

PaymentStubStartDate

PaymentStubStartDateOffsetDayType

PaymentStubStartDateOffsetPeriod

PaymentStubStartDateOffsetUnit

PaymentStubStartDateRelativeTo

PaymentStubStartDateUnadjusted

PaymentStubType

PaymentSubType

PaymentText

PaymentType

PaymentUnitOfMeasure

PayReportID

PayReportRefID

PayReportStatus

PayReportTransType

PayRequestID

PayRequestRefID

PayRequestStatus

PayRequestTransType

PctAtRisk

PeggedPrice

PeggedRefPrice

PegInstructions

PegLimitType

PegMoveType

PegOffsetType

PegOffsetValue

PegPriceType

PegRoundDirection

PegScope

PegSecurityDesc

PegSecurityID

PegSecurityIDSource

PegSymbol

PhysicalSettlBusinessDays

PhysicalSettlCurrency

PhysicalSettlDeliverableObligationGrp

PhysicalSettlDeliverableObligationType

PhysicalSettlDeliverableObligationValue

PhysicalSettlMaximumBusinessDays

PhysicalSettlTermGrp

PhysicalSettlTermXID

Pool

PosAmt

PosAmtMarketID

PosAmtMarketSegmentID

PosAmtPrice

PosAmtPriceType

PosAmtReason

PosAmtStreamDesc

PosAmtType

PositionAmountData

PositionCapacity

PositionContingentPrice

PositionCurrency

PositionCurrencyCodeSource

PositionEffect

PositionFXRate

PositionFXRateCalc

PositionID

PositionLimit

PositionQty

PosMaintAction

PosMaintResult

PosMaintRptID

PosMaintRptRefID

PosMaintStatus

PosQtyStatus

PosQtyUnitOfMeasure

PosQtyUnitOfMeasureCurrency

PosQtyUnitOfMeasureCurrencyCodeSource

PosReportAction

PosReqID

PosReqResult

PosReqStatus

PosReqType

PossDupFlag

PossResend

PosTransType

PostTradePaymentAccount

PostTradePaymentAmount

PostTradePaymentCalculationDate

PostTradePayment

PostTradePaymentCurrency

PostTradePaymentCurrencyCodeSource

PostTradePaymentDebitOrCredit

PostTradePaymentDesc

PostTradePaymentFinalValueDate

PostTradePaymentID

PostTradePaymentLinkID

PostTradePaymentStatus

PostTradePaymentType

PostTradePaymentValueDate

PosType

PosUndInstrmtGrp

PreAllocGrp

PreallocMethod

PreAllocMlegGrp

PreTradeAnonymity

PrevClosePx

PreviousAdjustedOpenInterest

PreviousAllocGroupID

PreviousClearingBusinessDate

PreviouslyReported

PreviousUnadjustedOpenInterest

Price

Price2

PriceDelta

PriceImprovement

PriceLimits

PriceLimitType

PriceMarkup

PriceMovementGrp

PriceMovementPoint

PriceMovementType

PriceMovementValue

PriceMovementValueGrp

PricePrecision

PriceProtectionScope

PriceQualifier

PriceQualifierGrp

PriceQuoteCurrency

PriceQuoteCurrencyCodeSource

PriceQuoteMethod

PriceRangePercentage

PriceRangeProductComplex

PriceRangeRuleGrp

PriceRangeRuleID

PriceRangeValue

PriceType

PriceUnitOfMeasure

PriceUnitOfMeasureCurrency

PriceUnitOfMeasureCurrencyCodeSource

PriceUnitOfMeasureQty

PricingDateAdjusted

PricingDateBusinessCenter

PricingDateBusinessCenterGrp

PricingDateBusinessDayConvention

PricingDateTime

PricingDateUnadjusted

PricingTime

PricingTimeBusinessCenter

PrimaryServiceLocationID

PriorityIndicator

PriorSettlPrice

PriorSpreadIndicator

PrivateQuote

ProcessCode

Product

ProductComplex

ProgPeriodInterval

ProgRptReqs

ProtectionTermBuyerNotifies

ProtectionTermCurrency

ProtectionTermEventBusinessCenter

ProtectionTermEventCurrency

ProtectionTermEventDayType

ProtectionTermEventGrp

ProtectionTermEventMinimumSources

ProtectionTermEventNewsSource

ProtectionTermEventNewsSourceGrp

ProtectionTermEventPeriod

ProtectionTermEventQualifier

ProtectionTermEventQualifierGrp

ProtectionTermEventRateSource

ProtectionTermEventType

ProtectionTermEventUnit

ProtectionTermEventValue

ProtectionTermGrp

ProtectionTermNotional

ProtectionTermObligationGrp

ProtectionTermObligationType

ProtectionTermObligationValue

ProtectionTermSellerNotifies

ProtectionTermStandardSources

ProtectionTermXID

ProvisionBreakFeeElection

ProvisionBreakFeeRate

ProvisionCalculationAgent

ProvisionCashSettlCurrency

ProvisionCashSettlCurrency2

ProvisionCashSettlMethod

ProvisionCashSettlPaymentDate

ProvisionCashSettlPaymentDateBusinessCenter

ProvisionCashSettlPaymentDateBusinessCenterGrp

ProvisionCashSettlPaymentDateBusinessDayConvention

ProvisionCashSettlPaymentDateOffsetDayType

ProvisionCashSettlPaymentDateOffsetPeriod

ProvisionCashSettlPaymentDateOffsetUnit

ProvisionCashSettlPaymentDateRangeFirst

ProvisionCashSettlPaymentDateRangeLast

ProvisionCashSettlPaymentDateRelativeTo

ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateType

ProvisionCashSettlPaymentFixedDateGrp

ProvisionCashSettlQuoteReferencePage

ProvisionCashSettlQuoteSource

ProvisionCashSettlQuoteSource

ProvisionCashSettlQuoteType

ProvisionCashSettlValueDateAdjusted

ProvisionCashSettlValueDateBusinessCenter

ProvisionCashSettlValueDateBusinessCenterGrp

ProvisionCashSettlValueDateBusinessDayConvention

ProvisionCashSettlValueDateOffsetDayType

ProvisionCashSettlValueDateOffsetPeriod

ProvisionCashSettlValueDateOffsetUnit

ProvisionCashSettlValueDateRelativeTo

ProvisionCashSettlValueDates

ProvisionCashSettlValueTime

ProvisionCashSettlValueTimeBusinessCenter

ProvisionDateAdjusted

ProvisionDateBusinessCenter

ProvisionDateBusinessCenterGrp

ProvisionDateBusinessDayConvention

ProvisionDateTenorPeriod

ProvisionDateTenorUnit

ProvisionDateUnadjusted

ProvisionGrp

ProvisionOptionExerciseBoundsFirstDateUnadjusted

ProvisionOptionExerciseBoundsLastDateUnadjusted

ProvisionOptionExerciseBusinessCenter

ProvisionOptionExerciseBusinessCenterGrp

ProvisionOptionExerciseBusinessDayConvention

ProvisionOptionExerciseConfirmation

ProvisionOptionExerciseDates

ProvisionOptionExerciseEarliestDateOffsetPeriod

ProvisionOptionExerciseEarliestDateOffsetUnit

ProvisionOptionExerciseEarliestTime

ProvisionOptionExerciseEarliestTimeBusinessCenter

ProvisionOptionExerciseFixedDate

ProvisionOptionExerciseFixedDateGrp

ProvisionOptionExerciseFixedDateType

ProvisionOptionExerciseFrequencyPeriod

ProvisionOptionExerciseFrequencyUnit

ProvisionOptionExerciseLatestTime

ProvisionOptionExerciseLatestTimeBusinessCenter

ProvisionOptionExerciseMaximumNotional

ProvisionOptionExerciseMinimumNotional

ProvisionOptionExerciseMultipleNotional

ProvisionOptionExercisePeriodSkip

ProvisionOptionExerciseStartDateAdjusted

ProvisionOptionExerciseStartDateOffsetDayType

ProvisionOptionExerciseStartDateOffsetPeriod

ProvisionOptionExerciseStartDateOffsetUnit

ProvisionOptionExerciseStartDateRelativeTo

ProvisionOptionExerciseStartDateUnadjusted

ProvisionOptionExerciseStyle

ProvisionOptionExpirationDateAdjusted

ProvisionOptionExpirationDateBusinessCenter

ProvisionOptionExpirationDateBusinessCenterGrp

ProvisionOptionExpirationDateBusinessDayConvention

ProvisionOptionExpirationDate

ProvisionOptionExpirationDateOffsetDayType

ProvisionOptionExpirationDateOffsetPeriod

ProvisionOptionExpirationDateOffsetUnit

ProvisionOptionExpirationDateRelativeTo

ProvisionOptionExpirationDateUnadjusted

ProvisionOptionExpirationTime

ProvisionOptionExpirationTimeBusinessCenter

ProvisionOptionMaximumNumber

ProvisionOptionMinimumNumber

ProvisionOptionRelevantUnderlyingDateAdjusted

ProvisionOptionRelevantUnderlyingDateBusinessCenter

ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

ProvisionOptionRelevantUnderlyingDateBusinessDayConvention

ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateOffsetDayType

ProvisionOptionRelevantUnderlyingDateOffsetPeriod

ProvisionOptionRelevantUnderlyingDateOffsetUnit

ProvisionOptionRelevantUnderlyingDateRelativeTo

ProvisionOptionRelevantUnderlyingDateUnadjusted

ProvisionOptionSinglePartyBuyerSide

ProvisionOptionSinglePartySellerSide

ProvisionParties

ProvisionPartyID

ProvisionPartyIDSource

ProvisionPartyRole

ProvisionPartyRoleQualifier

ProvisionPartySubID

ProvisionPartySubIDType

ProvisionPtysSubGrp

ProvisionText

ProvisionType

PtysSubGrp

PublishTrdIndicator

PutOrCall

QtyType

Quantity

QuantityDate

QuotCxlEntriesGrp

QuoteAckStatus

QuoteAttributeGrp

QuoteAttributeType

QuoteAttributeValue

QuoteCancelType

QuoteCondition

QuoteDisplayTime

QuoteEntryID

QuoteEntryRejectReason

QuoteEntryStatus

QuoteID

QuoteModelType

QuoteMsgID

QuotEntryAckGrp

QuotEntryGrp

QuotePriceType

QuoteQualifier

QuoteRejectReason

QuoteReqID

QuoteRequestRejectReason

QuoteRequestType

QuoteRespID

QuoteResponseLevel

QuoteRespType

QuoteSetID

QuoteSetValidUntilTime

QuoteSideIndicator

QuoteSizeRuleGrp

QuoteStatus

QuoteStatusReqID

QuoteType

QuotQualGrp

QuotReqGrp

QuotReqLegsGrp

QuotReqRjctGrp

QuotSetAckGrp

QuotSetGrp

RateSource

RateSource

RateSourceReferencePageHeading

RateSourceSymbol

RateSourceType

RawData

RawDataLength

RealizedVariance

ReceivedDeptID

ReceivingDeptID

RedemptionDate

RefAllocID

RefApplExtID

RefApplID

RefApplLastSeqNum

RefApplReqID

RefApplVerID

RefClOrdID

RefCompID

RefCstmApplVerID

ReferenceDataDate

ReferenceDataDateGrp

ReferenceDataDateType

ReferenceEntityType

ReferencePage

RefMsgType

RefOrderID

RefOrderIDSource

RefOrdIDReason

RefreshIndicator

RefreshQty

RefRiskLimitCheckID

RefRiskLimitCheckIDType

RefSeqNum

RefSubID

RefTagID

RefTickTableID

RegistAcctType

RegistDtls

RegistEmail

RegistID

RegistRefID

RegistRejReasonCode

RegistRejReasonText

RegistStatus

RegistTransType

RegulatoryLegRefID

RegulatoryReportType

RegulatoryReportTypeBusinessDate

RegulatoryTradeID

RegulatoryTradeIDEvent

RegulatoryTradeIDGrp

RegulatoryTradeIDScope

RegulatoryTradeIDSource

RegulatoryTradeIDType

RegulatoryTransactionType

RejectText

RelatedClosePrice

RelatedHighPrice

RelatedInstrumentGrp

RelatedInstrumentType

RelatedLowPrice

RelatedMarketSegmentGrp

RelatedMarketSegmentID

RelatedMaturityMonthYear

RelatedOrderGrp

RelatedOrderID

RelatedOrderIDSource

RelatedOrderQty

RelatedOrderTime

RelatedPartyDetailAltID

RelatedPartyDetailAltIDGrp

RelatedPartyDetailAltIDSource

RelatedPartyDetailAltSubGrp

RelatedPartyDetailAltSubID

RelatedPartyDetailAltSubIDType

RelatedPartyDetailGrp

RelatedPartyDetailID

RelatedPartyDetailIDSource

RelatedPartyDetailRole

RelatedPartyDetailRoleQualifier

RelatedPartyDetailSubGrp

RelatedPartyDetailSubID

RelatedPartyDetailSubIDType

RelatedPositionDate

RelatedPositionGrp

RelatedPositionID

RelatedPositionIDSource

RelatedPriceSource

RelatedRegulatoryTradeIDSource

RelatedSecurityID

RelatedSecurityIDSource

RelatedSecurityType

RelatedSymbol

RelatedToDividendPeriodXIDRef

RelatedToSecurityID

RelatedToSecurityIDSource

RelatedToStreamXIDRef

RelatedTradeDate

RelatedTradeGrp

RelatedTradeID

RelatedTradeIDSource

RelatedTradeMarketID

RelatedTradeQuantity

RelativeValue

RelativeValueGrp

RelativeValueSide

RelativeValueTimestamp

RelativeValueType

ReleaseInstruction

ReleaseQty

RelSymDerivSecGrp

RelSymDerivSecUpdGrp

RelSymTransactTime

RemunerationIndicator

ReplaceText

RepoCollateralSecurityType

ReportedPx

ReportedPxDiff

ReportingPx

ReportingQty

ReportToExch

RepurchaseRate

RepurchaseTerm

RequestedPartyRole

RequestedPartyRoleGrp

RequestedPartyRoleQualifier

RequestedRiskLimitTypesGrp

RequestingPartyGrp

RequestingPartyID

RequestingPartyIDSource

RequestingPartyRole

RequestingPartyRoleQualifier

RequestingPartySubGrp

RequestingPartySubID

RequestingPartySubIDType

RequestResult

ResetSeqNumFlag

RespondentType

ResponseDestination

ResponseTime

ResponseTransportType

RestructuringType

ReturnRateAmountRelativeTo

ReturnRateCashFlowType

ReturnRateCommissionAmount

ReturnRateCommissionBasis

ReturnRateCommissionCurrency

ReturnRateDateGrp

ReturnRateDateMode

ReturnRateDeterminationMethod

ReturnRateFinalPriceFallback

ReturnRateFXConversionGrp

ReturnRateFXCurrencySymbol

ReturnRateFXRate

ReturnRateFXRateCalc

ReturnRateGrp

ReturnRateInformationSource

ReturnRateInformationSourceGrp

ReturnRateNotionalReset

ReturnRatePrice

ReturnRatePriceBasis

ReturnRatePriceCurrency

ReturnRatePriceGrp

ReturnRatePriceSequence

ReturnRatePriceType

ReturnRateQuoteBusinessCenter

ReturnRateQuoteCurrency

ReturnRateQuoteCurrencyType

ReturnRateQuoteDate

ReturnRateQuoteExchange

ReturnRateQuoteExpirationTime

ReturnRateQuoteMeasureType

ReturnRateQuoteMethod

ReturnRateQuotePricingModel

ReturnRateQuoteTime

ReturnRateQuoteTimeType

ReturnRateQuoteUnits

ReturnRateReferencePage

ReturnRateReferencePageHeading

ReturnRateTotalCommissionPerTrade

ReturnRateValuationDate

ReturnRateValuationDateBusinessCenter

ReturnRateValuationDateBusinessCenterGrp

ReturnRateValuationDateBusinessDayConvention

ReturnRateValuationDateGrp

ReturnRateValuationDateOffsetDayType

ReturnRateValuationDateOffsetPeriod

ReturnRateValuationDateOffsetUnit

ReturnRateValuationDateRelativeTo

ReturnRateValuationDateType

ReturnRateValuationEndDateAdjusted

ReturnRateValuationEndDateOffsetDayType

ReturnRateValuationEndDateOffsetPeriod

ReturnRateValuationEndDateOffsetUnit

ReturnRateValuationEndDateRelativeTo

ReturnRateValuationEndDateUnadjusted

ReturnRateValuationFrequencyPeriod

ReturnRateValuationFrequencyRollConvention

ReturnRateValuationFrequencyUnit

ReturnRateValuationPriceOption

ReturnRateValuationStartDateAdjusted

ReturnRateValuationStartDateOffsetDayType

ReturnRateValuationStartDateOffsetPeriod

ReturnRateValuationStartDateOffsetUnit

ReturnRateValuationStartDateRelativeTo

ReturnRateValuationStartDateUnadjusted

ReturnRateValuationTime

ReturnRateValuationTimeBusinessCenter

ReturnRateValuationTimeType

ReturnTrigger

ReversalIndicator

RFQReqGrp

RFQReqID

RgstDistInstGrp

RgstDtlsGrp

Rho

RiskFreeRate

RiskInstrumentMultiplier

RiskInstrumentScopeGrp

RiskLimitAction

RiskLimitAmount

RiskLimitApprovedAmount

RiskLimitCheckAmount

RiskLimitCheckID

RiskLimitCheckModelType

RiskLimitCheckRequestID

RiskLimitCheckRequestRefID

RiskLimitCheckRequestResult

RiskLimitCheckRequestStatus

RiskLimitCheckRequestType

RiskLimitCheckStatus

RiskLimitCheckTransType

RiskLimitCheckType

RiskLimitCurrency

RiskLimitCurrencyCodeSource

RiskLimitID

RiskLimitPlatform

RiskLimitReportID

RiskLimitReportRejectReason

RiskLimitReportStatus

RiskLimitRequestID

RiskLimitRequestResult

RiskLimitRequestStatus

RiskLimitRequestType

RiskLimitResult

RiskLimitsGrp

RiskLimitStatus

RiskLimitType

RiskLimitTypesGrp

RiskLimitUtilizationAmount

RiskLimitUtilizationPercent

RiskLimitVelocityPeriod

RiskLimitVelocityUnit

RiskMetricsSecurityGroup

RiskMetricsSecuritySubGroup

RiskWarningLevelAction

RiskWarningLevelAmount

RiskWarningLevelGrp

RiskWarningLevelName

RiskWarningLevelPercent

RndPx

RootParties

RootPartyID

RootPartyIDSource

RootPartyRole

RootPartyRoleQualifier

RootPartySubID

RootPartySubIDType

RootSubParties

RoundingDirection

RoundingModulus

RoundLot

RoutingArrangementIndicator

RoutingGrp

RoutingID

RoutingType

RptSeq

RptSys

Scope

SecAltIDGrp

SecListGrp

SecLstUpdRelSymGrp

SecLstUpdRelSymsLegGrp

SecMassStatGrp

SecondaryAllocID

SecondaryAssetClass

SecondaryAssetGrp

SecondaryAssetSubClass

SecondaryAssetSubType

SecondaryAssetType

SecondaryClOrdID

SecondaryDisplayQty

SecondaryExecID

SecondaryFirmTradeID

SecondaryHighLimitPrice

SecondaryIndividualAllocID

SecondaryLockedQty

SecondaryLowLimitPrice

SecondaryOrderID

SecondaryPriceLimits

SecondaryPriceLimitType

SecondaryQuoteID

SecondaryServiceLocationID

SecondaryTradeID

SecondaryTradeReportID

SecondaryTradeReportRefID

SecondaryTradingReferencePrice

SecondaryTrdType

SecSizesGrp

SecTypesGrp

SecureData

SecureDataLen

SecurityAltID

SecurityAltIDSource

SecurityClassificationGrp

SecurityClassificationReason

SecurityClassificationValue

SecurityDesc

SecurityExchange

SecurityGroup

SecurityID

SecurityIDSource

SecurityListDesc

SecurityListID

SecurityListRefID

SecurityListRequestType

SecurityListType

SecurityListTypeSource

SecurityMassTradingEvent

SecurityMassTradingStatus

SecurityReferenceDataSupplement

SecurityRejectReason

SecurityReportID

SecurityReqID

SecurityRequestResult

SecurityRequestType

SecurityResponseID

SecurityResponseType

SecurityRiskMetricGrp

SecurityRiskMetricsReportID

SecurityStatus

SecurityStatusReqID

SecuritySubType

SecurityTradingEvent

SecurityTradingRules

SecurityTradingStatus

SecurityType

SecurityUpdateAction

SecurityXML

SecurityXML

SecurityXMLLen

SecurityXMLSchema

SelfMatchPreventionID

SelfMatchPreventionInstruction

SellerDays

SellVolume

SenderCompID

SenderLocationID

SenderSubID

SendingTime

Seniority

SessionRejectReason

SessionStatus

SettlCurrAmt

SettlCurrBidFxRate

SettlCurrency

SettlCurrencyCodeSource

SettlCurrFxRate

SettlCurrFxRateCalc

SettlCurrOfferFxRate

SettlDate

SettlDate2

SettlDeliveryType

SettlDetails

SettlDisruptionProvision

SettledEntityMatrixPublicationDate

SettledEntityMatrixSource

SettlementAmount

SettlementAmountCurrency

SettlementAmountCurrencyCodeSource

SettlementAmountGrp

SettlementCycleNo

SettleOnOpenFlag

SettlForwardPoints

SettlInstGrp

SettlInstID

SettlInstMode

SettlInstMsgID

SettlInstRefID

SettlInstReqID

SettlInstReqRejCode

SettlInstructionsData

SettlInstSource

SettlInstTransType

SettlMethod

SettlMethodElectingPartySide

SettlMethodElectionDateAdjusted

SettlMethodElectionDateBusinessCenter

SettlMethodElectionDateBusinessCenterGrp

SettlMethodElectionDateBusinessDayConvention

SettlMethodElectionDate

SettlMethodElectionDateOffsetDayType

SettlMethodElectionDateOffsetPeriod

SettlMethodElectionDateOffsetUnit

SettlMethodElectionDateRelativeTo

SettlMethodElectionDateUnadjusted

SettlObligationInstructions

SettlObligID

SettlObligMode

SettlObligMsgID

SettlObligRefID

SettlObligSource

SettlObligTransType

SettlParties

SettlPartyID

SettlPartyIDSource

SettlPartyRole

SettlPartyRoleQualifier

SettlPartySubID

SettlPartySubIDType

SettlPrice

SettlPriceDeterminationMethod

SettlPriceFxRateCalc

SettlPriceIncrement

SettlPriceSecondaryIncrement

SettlPriceType

SettlPriceUnitOfMeasure

SettlPriceUnitOfMeasureCurrency

SettlPriceUnitOfMeasureCurrencyCodeSource

SettlPtysSubGrp

SettlRateDisruptionFallbackGrp

SettlRateFallbackRateSource

SettlRateFallbackRateSource

SettlRateFallbackReferencePage

SettlRateIndex

SettlRateIndexLocation

SettlRatePostponementCalculationAgent

SettlRatePostponementMaximumDays

SettlRatePostponementSurvey

SettlSessID

SettlSessSubID

SettlStatus

SettlStatusReason

SettlStatusReasonText

SettlStatusReportID

SettlStatusReportStatus

SettlStatusRequestID

SettlStatusRequestStatus

SettlSubMethod

SettlTradeDetails

SettlType

SharedCommission

ShortMarkingExemptIndicator

ShortQty

ShortSaleExemptionReason

ShortSaleReason

ShortSaleRestriction

Side

SideAvgPx

SideAvgPxGroupID

SideAvgPxIndicator

SideClearingTradePrice

SideClearingTradePriceType

SideCollateralAmountGrp

SideCollateralAmountMarketID

SideCollateralAmountMarketSegmentID

SideCollateralAmountType

SideCollateralCurrency

SideCollateralCurrencyCodeSource

SideCollateralFXRate

SideCollateralFXRateCalc

SideCollateralMarketPrice

SideCollateralPercentOverage

SideCollateralPortfolioID

SideCollateralReinvestmentAmount

SideCollateralReinvestmentCurrency

SideCollateralReinvestmentCurrencyCodeSource

SideCollateralReinvestmentGrp

SideCollateralReinvestmentRate

SideCollateralReinvestmentType

SideCollateralType

SideComplianceID

SideCrossLegGrp

SideCrossOrdCxlGrp

SideCrossOrdModGrp

SideCurrency

SideCurrencyCodeSource

SideCurrentCollateralAmount

SideExecID

SideExecRefID

SideFillStationCd

SideGrossTradeAmt

SideHaircutIndicator

SideLastQty

SideLiquidityInd

SideMarketSegmentID

SideMultiLegReportingType

SideOrigTradeID

SidePriceDifferential

SideReasonCd

SideRegulatoryLegRefID

SideRegulatoryTradeID

SideRegulatoryTradeIDEvent

SideRegulatoryTradeIDGrp

SideRegulatoryTradeIDScope

SideRegulatoryTradeIDSource

SideRegulatoryTradeIDType

SideRiskLimitCheckStatus

SideSettlCurrency

SideSettlCurrencyCodeSource

SideShortSaleExemptionReason

SideTimeInForce

SideTradeID

SideTradeReportID

SideTradeReportingIndicator

SideTrdRegTimestamp

SideTrdRegTimestampSrc

SideTrdRegTimestampType

SideTrdRegTS

SideTrdSubType

SideUnderlyingRefID

SideValue1

SideValue2

SideValueInd

SideVenueType

Signature

SignatureLength

SingleQuoteIndicator

SolicitedFlag

SpecialDividendsIndicator

Spread

SpreadOrBenchmarkCurveData

StandardHeader

StandardTrailer

StandardVariance

StandInstDbID

StandInstDbName

StandInstDbType

StartCash

StartDate

StartMaturityMonthYear

StartPriceRange

StartStrikePxRange

StartTickPriceRange

StateOrProvinceOfIssue

StatsIndGrp

StatsType

StatusText

StatusValue

Stipulations

StipulationType

StipulationValue

StopPx

StrategyLinkID

StrategyParameterName

StrategyParametersGrp

StrategyParameterType

StrategyParameterValue

StrategyType

StreamAsgnAckType

StreamAsgnRejReason

StreamAsgnReqID

StreamAsgnReqType

StreamAsgnRptID

StreamAsgnType

StreamAssetAttributeGrp

StreamAssetAttributeLimit

StreamAssetAttributeType

StreamAssetAttributeValue

StreamCalculationBalanceOfFirstPeriod

StreamCalculationCorrectionPeriod

StreamCalculationCorrectionUnit

StreamCalculationFrequencyPeriod

StreamCalculationFrequencyUnit

StreamCalculationPeriodBusinessCenter

StreamCalculationPeriodBusinessCenterGrp

StreamCalculationPeriodBusinessDayConvention

StreamCalculationPeriodDate

StreamCalculationPeriodDateGrp

StreamCalculationPeriodDates

StreamCalculationPeriodDatesXID

StreamCalculationPeriodDatesXIDRef

StreamCalculationPeriodDateType

StreamCalculationRollConvention

StreamCommodityAltID

StreamCommodityAltIDGrp

StreamCommodityAltIDSource

StreamCommodityBase

StreamCommodity

StreamCommodityCurrency

StreamCommodityDataSourceGrp

StreamCommodityDataSourceID

StreamCommodityDataSourceIDType

StreamCommodityDeliveryPricingRegion

StreamCommodityDesc

StreamCommodityExchange

StreamCommodityNearbySettlDayPeriod

StreamCommodityNearbySettlDayUnit

StreamCommodityPricingType

StreamCommodityRateReferencePage

StreamCommodityRateReferencePageHeading

StreamCommodityRateSource

StreamCommoditySecurityID

StreamCommoditySecurityIDSource

StreamCommoditySettlBusinessCenter

StreamCommoditySettlBusinessCenterGrp

StreamCommoditySettlCountry

StreamCommoditySettlDateAdjusted

StreamCommoditySettlDateBusinessDayConvention

StreamCommoditySettlDateRollPeriod

StreamCommoditySettlDateRollUnit

StreamCommoditySettlDateUnadjusted

StreamCommoditySettlDay

StreamCommoditySettlDayGrp

StreamCommoditySettlDayType

StreamCommoditySettlEnd

StreamCommoditySettlFlowType

StreamCommoditySettlHolidaysProcessingInstruction

StreamCommoditySettlMonth

StreamCommoditySettlPeriodFrequencyPeriod

StreamCommoditySettlPeriodFrequencyUnit

StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodNotional

StreamCommoditySettlPeriodNotionalUnitOfMeasure

StreamCommoditySettlPeriodPrice

StreamCommoditySettlPeriodPriceCurrency

StreamCommoditySettlPeriodPriceUnitOfMeasure

StreamCommoditySettlPeriodXID

StreamCommoditySettlPeriodXIDRef

StreamCommoditySettlStart

StreamCommoditySettlTimeGrp

StreamCommoditySettlTimeType

StreamCommoditySettlTimeZone

StreamCommoditySettlTotalHours

StreamCommodityType

StreamCommodityUnitOfMeasure

StreamCommodityXID

StreamCommodityXIDRef

StreamCurrency

StreamDataProvider

StreamDesc

StreamEffectiveDateAdjusted

StreamEffectiveDateBusinessCenter

StreamEffectiveDateBusinessCenterGrp

StreamEffectiveDateBusinessDayConvention

StreamEffectiveDate

StreamEffectiveDateOffsetDayType

StreamEffectiveDateOffsetPeriod

StreamEffectiveDateOffsetUnit

StreamEffectiveDateRelativeTo

StreamEffectiveDateUnadjusted

StreamFirstCompoundingPeriodEndDateUnadjusted

StreamFirstPeriodStartDateAdjusted

StreamFirstPeriodStartDateBusinessCenter

StreamFirstPeriodStartDateBusinessCenterGrp

StreamFirstPeriodStartDateBusinessDayConvention

StreamFirstPeriodStartDateUnadjusted

StreamFirstRegularPeriodStartDateUnadjusted

StreamGrp

StreamLastRegularPeriodEndDateUnadjusted

StreamNotional

StreamNotionalAdjustments

StreamNotionalCommodityFrequency

StreamNotionalDeterminationMethod

StreamNotionalFrequencyPeriod

StreamNotionalFrequencyUnit

StreamNotionalUnitOfMeasure

StreamNotionalXIDRef

StreamPaySide

StreamReceiveSide

StreamTerminationDateAdjusted

StreamTerminationDateBusinessCenter

StreamTerminationDateBusinessCenterGrp

StreamTerminationDateBusinessDayConvention

StreamTerminationDate

StreamTerminationDateOffsetDayType

StreamTerminationDateOffsetPeriod

StreamTerminationDateOffsetUnit

StreamTerminationDateRelativeTo

StreamTerminationDateUnadjusted

StreamText

StreamTotalNotional

StreamTotalNotionalUnitOfMeasure

StreamType

StreamVersion

StreamVersionEffectiveDate

StreamXID

StrikeCurrency

StrikeCurrencyCodeSource

StrikeExerciseStyle

StrikeIncrement

StrikeIndex

StrikeIndexCurvePoint

StrikeIndexQuote

StrikeIndexSpread

StrikeMultiplier

StrikePrice

StrikePriceBoundaryMethod

StrikePriceBoundaryPrecision

StrikePriceDeterminationMethod

StrikePricePrecision

StrikeRuleID

StrikeRules

StrikeTime

StrikeUnitOfMeasure

StrikeValue

StrmAsgnReqGrp

StrmAsgnReqInstrmtGrp

StrmAsgnRptGrp

StrmAsgnRptInstrmtGrp

Subject

SubscriptionRequestType

SwapClass

SwapPoints

SwapSubClass

Symbol

SymbolPositionNumber

SymbolSfx

TargetCompID

TargetLocationID

TargetMarketSegmentGrp

TargetMarketSegmentID

TargetParties

TargetPartyID

TargetPartyIDSource

TargetPartyRole

TargetPartyRoleQualifier

TargetPartySubID

TargetPartySubIDType

TargetPtysSubGrp

TargetStrategy

TargetStrategyParameters

TargetStrategyPerformance

TargetSubID

TaxAdvantageType

TaxonomyType

TerminatedIndicator

TerminationDate

TerminationType

TertiaryTrdType

TestActionReportID

TestActionRequestID

TestActionRequestStatus

TestActionType

TestFailLevelValue

TestGatewayDetailGrp

TestGatewayDetailName

TestGatewayDetailType

TestGatewayDetailValue

TestGatewayMarketID

TestMeasureDesc

TestMeasureGrp

TestMeasureName

TestMeasurePrecision

TestMeasureResult

TestMeasureType

TestMessageIndicator

TestOrderGrp

TestOrderID

TestOrderOffsetPeriod

TestOrderOffsetUnit

TestOrderPrice

TestOrderPriceType

TestOrderQty

TestOrderSecurityID

TestOrderSecurityIDSource

TestOrderSymbol

TestPeakLevelValue

TestReqID

TestScenarioEndTime

TestScenarioGroupID

TestScenarioGrp

TestScenarioID

TestScenarioStartTime

TestScenarioStatus

TestStepDesc

TestStepEndOffsetPeriod

TestStepEndOffsetUnit

TestStepEndTime

TestStepGroupID

TestStepGrp

TestStepID

TestStepParameterGrp

TestStepParameterName

TestStepParameterType

TestStepParameterValue

TestStepStartOffsetPeriod

TestStepStartOffsetUnit

TestStepStartTime

TestSuiteActivityState

TestSuiteRequestID

TestSuiteRequestRefID

TestSuiteRequestStatus

TestSuiteRequestTransType

TestSuiteStatus

TestSystemModuleGrp

TestSystemModuleLastUpdateTime

TestSystemModuleName

TestSystemModuleVersion

TestThresholdType

TestWarningLevelValue

Text

Theta

ThresholdAmount

ThrottleAction

ThrottleCountIndicator

ThrottleInst

ThrottleMsgType

ThrottleMsgTypeGrp

ThrottleNoMsgs

ThrottleParamsGrp

ThrottleResponse

ThrottleStatus

ThrottleTimeInterval

ThrottleTimeUnit

ThrottleType

TickDirection

TickIncrement

TickRuleProductComplex

TickRules

TickRuleType

TierCode

TimeBracket

TimeInForce

TimeInForceRules

TimeToExpiration

TimeUnit

TotalAccruedInterestAmt

TotalAffectedOrders

TotalBidSize

TotalGrossTradeAmt

TotalIssuedAmount

TotalNetValue

TotalNotAffectedOrders

TotalNumPosReports

TotalOfferSize

TotalTakedown

TotalTradeMultipliedQty

TotalTradeQty

TotalTradingBusinessDays

TotalVolumeTraded

TotNoAccQuotes

TotNoAllocs

TotNoCxldQuotes

TotNoEntitlementReports

TotNoFills

TotNoInstrumentReports

TotNoMarketSegmentReports

TotNoOrderEntries

TotNoOrders

TotNoParties

TotNoPartyDetailReports

TotNoQuoteEntries

TotNoRejQuotes

TotNoRelatedSym

TotNoRiskLimitReports

TotNoSecurityTypes

TotNoStrikes

TotNumAssignmentReports

TotNumCollateralRequests

TotNumReports

TotNumTradeReports

TradeAggregationRejectReason

TradeAggregationReportID

TradeAggregationRequestID

TradeAggregationRequestRefID

TradeAggregationRequestStatus

TradeAggregationTransType

TradeAllocAmt

TradeAllocAmtGrp

TradeAllocAmtReason

TradeAllocAmtType

TradeAllocCurrency

TradeAllocCurrencyCodeSource

TradeAllocGroupInstruction

TradeAllocIndicator

TradeAllocStatus

TradeCapLegUnderlyingsGrp

TradeClearingInstruction

TradeCollateralization

TradeCondition

TradeConfirmationReferenceID

TradeContingency

TradeContinuation

TradeContinuationText

TradeDate

TradedFlatSwitch

TradeHandlingInstr

TradeID

TradeInputDevice

TradeInputSource

TradeLegRefID

TradeLinkID

TradeMatchAckStatus

TradeMatchRejectReason

TradeMatchTimestamp

TradeNumber

TradeOriginationDate

TradePositionQty

TradePriceCondition

TradePriceConditionGrp

TradePriceNegotiationMethod

TradePublishIndicator

TradeQty

TradeQtyGrp

TradeQtyType

TradeReportID

TradeReportingIndicator

TradeReportOrderDetail

TradeReportRefID

TradeReportRejectReason

TradeReportTransType

TradeReportType

TradeRequestID

TradeRequestResult

TradeRequestStatus

TradeRequestType

TradeSubType

TradeType

TradeTypeGrp

TradeVersion

TradeVolType

TradeVolume

TradingBusinessDays

TradingCapacity

TradingCurrency

TradingCurrencyCodeSource

TradingReferencePrice

TradingSessionDesc

TradingSessionID

TradingSessionRules

TradingSessionRulesGrp

TradingSessionSubID

TradingUnitPeriodMultiplier

TradSesCloseTime

TradSesControl

TradSesEndTime

TradSesEvent

TradSesMethod

TradSesMode

TradSesOpenTime

TradSesPreCloseTime

TradSesReqID

TradSesStartTime

TradSesStatus

TradSesStatusRejReason

TradSesUpdateAction

TransactionAttributeGrp

TransactionAttributeType

TransactionAttributeValue

TransactionID

TransactTime

TransBkdTime

TransferID

TransferInstructionID

TransferReason

TransferRejectReason

TransferReportID

TransferReportType

TransferScope

TransferStatus

TransferTransType

TransferType

TrdAckStatus

TrdAllocGrp

TrdCapDtGrp

TrdCapRptAckSideGrp

TrdCapRptSideGrp

TrdCollGrp

TrdgSesGrp

TrdInstrmtLegExecGrp

TrdInstrmtLegGrp

TrdMatchID

TrdMatchSideGrp

TrdMatchSubID

TrdRegPublicationGrp

TrdRegPublicationReason

TrdRegPublicationType

TrdRegTimestamp

TrdRegTimestampManualIndicator

TrdRegTimestampOrigin

TrdRegTimestamps

TrdRegTimestampType

TrdRepIndicator

TrdRepIndicatorsGrp

TrdRepPartyRole

TrdRptStatus

TrdSessLstGrp

TrdSubType

TrdType

TriggerAction

Triggered

TriggeringInstruction

TriggerNewPrice

TriggerNewQty

TriggerOrderType

TriggerPrice

TriggerPriceDirection

TriggerPriceType

TriggerPriceTypeScope

TriggerScope

TriggerSecurityDesc

TriggerSecurityID

TriggerSecurityIDSource

TriggerSymbol

TriggerTradingSessionID

TriggerTradingSessionSubID

TriggerType

TZTransactTime

UnderlyingAccruedInterestAmt

UnderlyingAdditionalDividendsIndicator

UnderlyingAdditionalTermBondCouponFrequencyPeriod

UnderlyingAdditionalTermBondCouponFrequencyUnit

UnderlyingAdditionalTermBondCouponRate

UnderlyingAdditionalTermBondCouponType

UnderlyingAdditionalTermBondCurrency

UnderlyingAdditionalTermBondCurrentTotalIssuedAmount

UnderlyingAdditionalTermBondDayCount

UnderlyingAdditionalTermBondDesc

UnderlyingAdditionalTermBondIssuer

UnderlyingAdditionalTermBondMaturityDate

UnderlyingAdditionalTermBondParValue

UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondSecurityID

UnderlyingAdditionalTermBondSecurityIDSource

UnderlyingAdditionalTermBondSeniority

UnderlyingAdditionalTermConditionPrecedentBondIndicator

UnderlyingAdditionalTermDiscrepancyClauseIndicator

UnderlyingAdditionalTermGrp

UnderlyingAdjustedQuantity

UnderlyingAllDividendsIndicator

UnderlyingAllocationPercent

UnderlyingAmount

UnderlyingAssetAttributeGrp

UnderlyingAssetAttributeLimit

UnderlyingAssetAttributeType

UnderlyingAssetAttributeValue

UnderlyingAssetClass

UnderlyingAssetGroup

UnderlyingAssetSubClass

UnderlyingAssetSubType

UnderlyingAssetType

UnderlyingAssignmentMethod

UnderlyingAttachmentPoint

UnderlyingAutomaticExerciseIndicator

UnderlyingAutomaticExerciseThresholdRate

UnderlyingAverageVolumeLimitationPercentage

UnderlyingAverageVolumeLimitationPeriodDays

UnderlyingBasketDivisor

UnderlyingBidPx

UnderlyingBusinessCenter

UnderlyingBusinessCenterGrp

UnderlyingBusinessDayConvention

UnderlyingCapPrice

UnderlyingCapValue

UnderlyingCashAmount

UnderlyingCashSettlAccruedInterestIndicator

UnderlyingCashSettlAmount

UnderlyingCashSettlBusinessCenter

UnderlyingCashSettlBusinessDays

UnderlyingCashSettlCurrency

UnderlyingCashSettlDateAdjusted

UnderlyingCashSettlDateBusinessCenter

UnderlyingCashSettlDateBusinessCenterGrp

UnderlyingCashSettlDateBusinessDayConvention

UnderlyingCashSettlDate

UnderlyingCashSettlDateOffsetDayType

UnderlyingCashSettlDateOffsetPeriod

UnderlyingCashSettlDateOffsetUnit

UnderlyingCashSettlDateRelativeTo

UnderlyingCashSettlDateUnadjusted

UnderlyingCashSettlDealer

UnderlyingCashSettlDealerGrp

UnderlyingCashSettlFixedTermIndicator

UnderlyingCashSettlMinimumQuoteAmount

UnderlyingCashSettlMinimumQuoteCurrency

UnderlyingCashSettlNumOfValuationDates

UnderlyingCashSettlPriceDefault

UnderlyingCashSettlPriceSource

UnderlyingCashSettlQuoteAmount

UnderlyingCashSettlQuoteCurrency

UnderlyingCashSettlQuoteMethod

UnderlyingCashSettlRecoveryFactor

UnderlyingCashSettlTermGrp

UnderlyingCashSettlTermXID

UnderlyingCashSettlValuationFirstBusinessDayOffset

UnderlyingCashSettlValuationMethod

UnderlyingCashSettlValuationSubsequentBusinessDaysOffset

UnderlyingCashSettlValuationTime

UnderlyingCashType

UnderlyingCFICode

UnderlyingCollectAmount

UnderlyingCommonPricingIndicator

UnderlyingComplexEventAveragingObservationGrp

UnderlyingComplexEventAveragingObservationNumber

UnderlyingComplexEventAveragingWeight

UnderlyingComplexEventBusinessCenter

UnderlyingComplexEventCalculationAgent

UnderlyingComplexEventCondition

UnderlyingComplexEventCreditEventBusinessCenter

UnderlyingComplexEventCreditEventCurrency

UnderlyingComplexEventCreditEventDayType

UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventMinimumSources

UnderlyingComplexEventCreditEventNotifyingParty

UnderlyingComplexEventCreditEventPeriod

UnderlyingComplexEventCreditEventQualifier

UnderlyingComplexEventCreditEventQualifierGrp

UnderlyingComplexEventCreditEventRateSource

UnderlyingComplexEventCreditEventSource

UnderlyingComplexEventCreditEventSourceGrp

UnderlyingComplexEventCreditEventStandardSources

UnderlyingComplexEventCreditEventsXIDRef

UnderlyingComplexEventCreditEventType

UnderlyingComplexEventCreditEventUnit

UnderlyingComplexEventCreditEventValue

UnderlyingComplexEventCurrencyOne

UnderlyingComplexEventCurrencyOneCodeSource

UnderlyingComplexEventCurrencyTwo

UnderlyingComplexEventCurrencyTwoCodeSource

UnderlyingComplexEventDateAdjusted

UnderlyingComplexEventDateBusinessCenter

UnderlyingComplexEventDateBusinessCenterGrp

UnderlyingComplexEventDateBusinessDayConvention

UnderlyingComplexEventDateOffsetDayType

UnderlyingComplexEventDateOffsetPeriod

UnderlyingComplexEventDateOffsetUnit

UnderlyingComplexEventDateRelativeTo

UnderlyingComplexEventDates

UnderlyingComplexEventDateUnadjusted

UnderlyingComplexEventDeterminationMethod

UnderlyingComplexEventEndDate

UnderlyingComplexEventEndTime

UnderlyingComplexEventFixedFXRate

UnderlyingComplexEventFixingTime

UnderlyingComplexEventFixingTimeBusinessCenter

UnderlyingComplexEventForwardPoints

UnderlyingComplexEventFuturesPriceValuation

UnderlyingComplexEventOptionsPriceValuation

UnderlyingComplexEventPeriodDate

UnderlyingComplexEventPeriodDateGrp

UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventPeriodTime

UnderlyingComplexEventPeriodType

UnderlyingComplexEventPrice

UnderlyingComplexEventPriceBoundaryMethod

UnderlyingComplexEventPriceBoundaryPrecision

UnderlyingComplexEventPricePercentage

UnderlyingComplexEventPriceTimeType

UnderlyingComplexEventPVFinalPriceElectionFallback

UnderlyingComplexEventQuoteBasis

UnderlyingComplexEventRateSource

UnderlyingComplexEventRateSourceGrp

UnderlyingComplexEventRateSourceType

UnderlyingComplexEventReferencePage

UnderlyingComplexEventReferencePageHeading

UnderlyingComplexEventRelativeDate

UnderlyingComplexEventScheduleEndDate

UnderlyingComplexEventScheduleFrequencyPeriod

UnderlyingComplexEventScheduleFrequencyUnit

UnderlyingComplexEventScheduleGrp

UnderlyingComplexEventScheduleRollConvention

UnderlyingComplexEventScheduleStartDate

UnderlyingComplexEvents

UnderlyingComplexEventSpotRate

UnderlyingComplexEventStartDate

UnderlyingComplexEventStartTime

UnderlyingComplexEventStrikeFactor

UnderlyingComplexEventStrikeNumberOfOptions

UnderlyingComplexEventStrikePrice

UnderlyingComplexEventTimes

UnderlyingComplexEventType

UnderlyingComplexEventXID

UnderlyingComplexEventXIDRef

UnderlyingComplexOptPayoutAmount

UnderlyingComplexOptPayoutCurrency

UnderlyingComplexOptPayoutCurrencyCodeSource

UnderlyingComplexOptPayoutPaySide

UnderlyingComplexOptPayoutPercentage

UnderlyingComplexOptPayoutReceiveSide

UnderlyingComplexOptPayoutTime

UnderlyingComplexOptPayoutUnderlier

UnderlyingConstituentWeight

UnderlyingContractMultiplier

UnderlyingContractMultiplierUnit

UnderlyingContractPriceRefMonth

UnderlyingContractSettlMonth

UnderlyingContraryInstructionEligibilityIndicator

UnderlyingCountryOfIssue

UnderlyingCouponDayCount

UnderlyingCouponFrequencyPeriod

UnderlyingCouponFrequencyUnit

UnderlyingCouponOtherDayCount

UnderlyingCouponPaymentDate

UnderlyingCouponRate

UnderlyingCouponType

UnderlyingCPProgram

UnderlyingCPRegType

UnderlyingCreditRating

UnderlyingCurrency

UnderlyingCurrencyCodeSource

UnderlyingCurrentValue

UnderlyingDateAdjustment

UnderlyingDatedDate

UnderlyingDateRollConvention

UnderlyingDeliveryAmount

UnderlyingDeliveryRouteOrCharter

UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleNegativeTolerance

UnderlyingDeliveryScheduleNotional

UnderlyingDeliveryScheduleNotionalCommodityFrequency

UnderlyingDeliveryScheduleNotionalUnitOfMeasure

UnderlyingDeliverySchedulePositiveTolerance

UnderlyingDeliveryScheduleSettlCountry

UnderlyingDeliveryScheduleSettlDay

UnderlyingDeliveryScheduleSettlDayGrp

UnderlyingDeliveryScheduleSettlEnd

UnderlyingDeliveryScheduleSettlFlowType

UnderlyingDeliveryScheduleSettlHolidaysProcessingInstruction

UnderlyingDeliveryScheduleSettlStart

UnderlyingDeliveryScheduleSettlTimeGrp

UnderlyingDeliveryScheduleSettlTimeType

UnderlyingDeliveryScheduleSettlTimeZone

UnderlyingDeliveryScheduleSettlTotalHours

UnderlyingDeliveryScheduleToleranceType

UnderlyingDeliveryScheduleToleranceUnitOfMeasure

UnderlyingDeliveryScheduleType

UnderlyingDeliveryScheduleXID

UnderlyingDeliveryStreamCommoditySource

UnderlyingDeliveryStreamCommoditySourceGrp

UnderlyingDeliveryStream

UnderlyingDeliveryStreamCycleDesc

UnderlyingDeliveryStreamCycleGrp

UnderlyingDeliveryStreamDeliverAtSourceIndicator

UnderlyingDeliveryStreamDeliveryContingency

UnderlyingDeliveryStreamDeliveryContingentPartySide

UnderlyingDeliveryStreamDeliveryPoint

UnderlyingDeliveryStreamDeliveryPointDesc

UnderlyingDeliveryStreamDeliveryPointSource

UnderlyingDeliveryStreamDeliveryRestriction

UnderlyingDeliveryStreamElectingPartySide

UnderlyingDeliveryStreamEntryPoint

UnderlyingDeliveryStreamImporterOfRecord

UnderlyingDeliveryStreamNegativeTolerance

UnderlyingDeliveryStreamNotionalConversionFactor

UnderlyingDeliveryStreamPipeline

UnderlyingDeliveryStreamPositiveTolerance

UnderlyingDeliveryStreamRiskApportionment

UnderlyingDeliveryStreamRiskApportionmentSource

UnderlyingDeliveryStreamRouteOrCharter

UnderlyingDeliveryStreamTitleTransferCondition

UnderlyingDeliveryStreamTitleTransferLocation

UnderlyingDeliveryStreamToleranceOptionSide

UnderlyingDeliveryStreamToleranceType

UnderlyingDeliveryStreamToleranceUnitOfMeasure

UnderlyingDeliveryStreamTotalNegativeTolerance

UnderlyingDeliveryStreamTotalPositiveTolerance

UnderlyingDeliveryStreamTransportEquipment

UnderlyingDeliveryStreamType

UnderlyingDeliveryStreamWithdrawalPoint

UnderlyingDepositoryReceiptIndicator

UnderlyingDetachmentPoint

UnderlyingDirtyPrice

UnderlyingDividendAccrualFixedRate

UnderlyingDividendAccrualFloatingRate

UnderlyingDividendAccrualPaymentDateAdjusted

UnderlyingDividendAccrualPaymentDateBusinessCenter

UnderlyingDividendAccrualPaymentDateBusinessCenterGrp

UnderlyingDividendAccrualPaymentDateBusinessDayConvention

UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateOffsetDayType

UnderlyingDividendAccrualPaymentDateOffsetPeriod

UnderlyingDividendAccrualPaymentDateOffsetUnit

UnderlyingDividendAccrualPaymentDateRelativeTo

UnderlyingDividendAccrualPaymentDateUnadjusted

UnderlyingDividendAccruedInterest

UnderlyingDividendAmountType

UnderlyingDividendAveragingMethod

UnderlyingDividendCapRate

UnderlyingDividendCapRateBuySide

UnderlyingDividendCapRateSellSide

UnderlyingDividendCashEquivalentPercentage

UnderlyingDividendCashPercentage

UnderlyingDividendComposition

UnderlyingDividendCompoundingMethod

UnderlyingDividendConditions

UnderlyingDividendEntitlementEvent

UnderlyingDividendFinalRatePrecision

UnderlyingDividendFinalRateRoundingDirection

UnderlyingDividendFloatingRateIndex

UnderlyingDividendFloatingRateIndexCurvePeriod

UnderlyingDividendFloatingRateIndexCurveUnit

UnderlyingDividendFloatingRateMultiplier

UnderlyingDividendFloatingRateSpread

UnderlyingDividendFloatingRateSpreadPositionType

UnderlyingDividendFloatingRateTreatment

UnderlyingDividendFloorRate

UnderlyingDividendFloorRateBuySide

UnderlyingDividendFloorRateSellSide

UnderlyingDividendFXTriggerDateAdjusted

UnderlyingDividendFXTriggerDateBusinessCenter

UnderlyingDividendFXTriggerDateBusinessCenterGrp

UnderlyingDividendFXTriggerDateBusinessDayConvention

UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateOffsetDayType

UnderlyingDividendFXTriggerDateOffsetPeriod

UnderlyingDividendFXTriggerDateOffsetUnit

UnderlyingDividendFXTriggerDateRelativeTo

UnderlyingDividendFXTriggerDateUnadjusted

UnderlyingDividendInitialRate

UnderlyingDividendNegativeRateTreatment

UnderlyingDividendNumOfIndexUnits

UnderlyingDividendPaymentAmount

UnderlyingDividendPaymentCurrency

UnderlyingDividendPaymentDate

UnderlyingDividendPaymentGrp

UnderlyingDividendPayout

UnderlyingDividendPayoutConditions

UnderlyingDividendPayoutRatio

UnderlyingDividendPeriodBusinessCenter

UnderlyingDividendPeriodBusinessCenterGrp

UnderlyingDividendPeriodBusinessDayConvention

UnderlyingDividendPeriodEndDateUnadjusted

UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodPaymentDateAdjusted

UnderlyingDividendPeriodPaymentDateOffsetDayType

UnderlyingDividendPeriodPaymentDateOffsetPeriod

UnderlyingDividendPeriodPaymentDateOffsetUnit

UnderlyingDividendPeriodPaymentDateRelativeTo

UnderlyingDividendPeriodPaymentDateUnadjusted

UnderlyingDividendPeriodSequence

UnderlyingDividendPeriodStartDateUnadjusted

UnderlyingDividendPeriodStrikePrice

UnderlyingDividendPeriodUnderlierRefID

UnderlyingDividendPeriodValuationDateAdjusted

UnderlyingDividendPeriodValuationDateOffsetDayType

UnderlyingDividendPeriodValuationDateOffsetPeriod

UnderlyingDividendPeriodValuationDateOffsetUnit

UnderlyingDividendPeriodValuationDateRelativeTo

UnderlyingDividendPeriodValuationDateUnadjusted

UnderlyingDividendPeriodXID

UnderlyingDividendReinvestmentIndicator

UnderlyingDividendUnderlierRefID

UnderlyingEndPrice

UnderlyingEndValue

UnderlyingEquityID

UnderlyingEquityIDSource

UnderlyingEventDate

UnderlyingEventMonthYear

UnderlyingEventPx

UnderlyingEventText

UnderlyingEventTime

UnderlyingEventTimePeriod

UnderlyingEventTimeUnit

UnderlyingEventType

UnderlyingEvntGrp

UnderlyingExchangeLookAlike

UnderlyingExerciseConfirmationMethod

UnderlyingExerciseDesc

UnderlyingExerciseSplitTicketIndicator

UnderlyingExerciseStyle

UnderlyingExtraordinaryDividendAmountType

UnderlyingExtraordinaryDividendCurrency

UnderlyingExtraordinaryDividendDeterminationMethod

UnderlyingExtraordinaryDividendPartySide

UnderlyingExtraordinaryEventAdjustmentMethod

UnderlyingExtraordinaryEventGrp

UnderlyingExtraordinaryEventType

UnderlyingExtraordinaryEventValue

UnderlyingFactor

UnderlyingFallbackExerciseIndicator

UnderlyingFinancialInstrumentFullName

UnderlyingFinancialInstrumentShortName

UnderlyingFlexibleIndicator

UnderlyingFlexProductEligibilityIndicator

UnderlyingFloorPrice

UnderlyingFlowScheduleType

UnderlyingFutureID

UnderlyingFutureIDSource

UnderlyingFXRate

UnderlyingFXRateCalc

UnderlyingID

UnderlyingIndexAnnexDate

UnderlyingIndexAnnexSource

UnderlyingIndexAnnexVersion

UnderlyingIndexCurvePeriod

UnderlyingIndexCurveUnit

UnderlyingIndexSeries

UnderlyingInstrRegistry

UnderlyingInstrument

UnderlyingInstrumentPartyID

UnderlyingInstrumentPartyIDSource

UnderlyingInstrumentPartyRole

UnderlyingInstrumentPartyRoleQualifier

UnderlyingInstrumentPartySubID

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UnderlyingInstrumentXID

UnderlyingInterestAccrualDate

UnderlyingInTheMoneyCondition

UnderlyingIssueDate

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UnderlyingLegPutOrCall

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UnderlyingLegSecurityType

UnderlyingLegStrikePrice

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UnderlyingLegSymbolSfx

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UnderlyingLimitedRightToConfirmIndicator

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UnderlyingLoanFacility

UnderlyingLocaleOfIssue

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UnderlyingMakeWholeBenchmarkCurveName

UnderlyingMakeWholeBenchmarkCurvePoint

UnderlyingMakeWholeBenchmarkQuote

UnderlyingMakeWholeDate

UnderlyingMakeWholeInterpolationMethod

UnderlyingMakeWholeRecallSpread

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UnderlyingMarketDisruptionEvent

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UnderlyingMarketDisruptionFallbackBasketCurrency

UnderlyingMarketDisruptionFallbackBasketDivisor

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UnderlyingMarketDisruptionFallbackOpenUnits

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UnderlyingMarketDisruptionMinimumFuturesContracts

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UnderlyingMaturityMonthYear

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UnderlyingPaymentStreamDelayIndicator

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UnderlyingPaymentStreamLinkEstimatedTradingDays

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UnderlyingPaymentStreamNonDeliverableFixingDateGrp

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UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenter

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UnderlyingPaymentStreamReferenceLevelEqualsZeroIndicator

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UnderlyingPaymentStreamVegaNotionalAmount

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UnderlyingPaymentStubEndDateAdjusted

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UnderlyingPaymentStubEndDateBusinessDayConvention

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UnderlyingPaymentStubEndDateRelativeTo

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UnderlyingPaymentStubIndex2

UnderlyingPaymentStubIndex2CapRate

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UnderlyingPaymentStubIndex2Source

UnderlyingPaymentStubIndexCapRate

UnderlyingPaymentStubIndexCapRateBuySide

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UnderlyingPaymentStubIndexFloorRate

UnderlyingPaymentStubIndexFloorRateBuySide

UnderlyingPaymentStubIndexFloorRateSellSide

UnderlyingPaymentStubIndexRateMultiplier

UnderlyingPaymentStubIndexRateSpread

UnderlyingPaymentStubIndexRateSpreadPositionType

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UnderlyingPaymentStubStartDateBusinessCenter

UnderlyingPaymentStubStartDateBusinessCenterGrp

UnderlyingPaymentStubStartDateBusinessDayConvention

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UnderlyingPaymentStubStartDateOffsetDayType

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UnderlyingPaymentStubStartDateRelativeTo

UnderlyingPaymentStubStartDateUnadjusted

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UnderlyingPhysicalSettlBusinessDays

UnderlyingPhysicalSettlCurrency

UnderlyingPhysicalSettlDeliverableObligationGrp

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UnderlyingPhysicalSettlTermXID

UnderlyingPool

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UnderlyingPriceQuoteCurrencyCodeSource

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UnderlyingPriceUnitOfMeasureCurrency

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UnderlyingPricingTime

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UnderlyingProtectionTermBuyerNotifies

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UnderlyingProtectionTermEventBusinessCenter

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UnderlyingProtectionTermEventNewsSource

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UnderlyingProtectionTermSellerNotifies

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UnderlyingProtectionTermXID

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UnderlyingProvisionBreakFeeElection

UnderlyingProvisionBreakFeeRate

UnderlyingProvisionCalculationAgent

UnderlyingProvisionCashSettlCurrency

UnderlyingProvisionCashSettlCurrency2

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UnderlyingProvisionCashSettlPaymentDate

UnderlyingProvisionCashSettlPaymentDateBusinessCenter

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UnderlyingProvisionCashSettlPaymentDateBusinessDayConvention

UnderlyingProvisionCashSettlPaymentDateOffsetDayType

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UnderlyingProvisionCashSettlPaymentDateRangeFirst

UnderlyingProvisionCashSettlPaymentDateRangeLast

UnderlyingProvisionCashSettlPaymentDateRelativeTo

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UnderlyingProvisionCashSettlQuoteSource

UnderlyingProvisionCashSettlQuoteType

UnderlyingProvisionCashSettlValueDateAdjusted

UnderlyingProvisionCashSettlValueDateBusinessCenter

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UnderlyingProvisionCashSettlValueDateBusinessDayConvention

UnderlyingProvisionCashSettlValueDateOffsetDayType

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UnderlyingProvisionCashSettlValueDateRelativeTo

UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueTime

UnderlyingProvisionCashSettlValueTimeBusinessCenter

UnderlyingProvisionDateAdjusted

UnderlyingProvisionDateBusinessCenter

UnderlyingProvisionDateBusinessCenterGrp

UnderlyingProvisionDateBusinessDayConvention

UnderlyingProvisionDateTenorPeriod

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UnderlyingProvisionDateUnadjusted

UnderlyingProvisionGrp

UnderlyingProvisionOptionExerciseBoundsFirstDateUnadjusted

UnderlyingProvisionOptionExerciseBoundsLastDateUnadjusted

UnderlyingProvisionOptionExerciseBusinessCenter

UnderlyingProvisionOptionExerciseBusinessCenterGrp

UnderlyingProvisionOptionExerciseBusinessDayConvention

UnderlyingProvisionOptionExerciseConfirmation

UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseEarliestDateOffsetPeriod

UnderlyingProvisionOptionExerciseEarliestDateOffsetUnit

UnderlyingProvisionOptionExerciseEarliestTime

UnderlyingProvisionOptionExerciseEarliestTimeBusinessCenter

UnderlyingProvisionOptionExerciseFixedDate

UnderlyingProvisionOptionExerciseFixedDateGrp

UnderlyingProvisionOptionExerciseFixedDateType

UnderlyingProvisionOptionExerciseFrequencyPeriod

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UnderlyingProvisionOptionExerciseLatestTime

UnderlyingProvisionOptionExerciseLatestTimeBusinessCenter

UnderlyingProvisionOptionExerciseMaximumNotional

UnderlyingProvisionOptionExerciseMinimumNotional

UnderlyingProvisionOptionExerciseMultipleNotional

UnderlyingProvisionOptionExercisePeriodSkip

UnderlyingProvisionOptionExerciseStartDateAdjusted

UnderlyingProvisionOptionExerciseStartDateOffsetDayType

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UnderlyingProvisionOptionExerciseStartDateOffsetUnit

UnderlyingProvisionOptionExerciseStartDateRelativeTo

UnderlyingProvisionOptionExerciseStartDateUnadjusted

UnderlyingProvisionOptionExerciseStyle

UnderlyingProvisionOptionExpirationDateAdjusted

UnderlyingProvisionOptionExpirationDateBusinessCenter

UnderlyingProvisionOptionExpirationDateBusinessCenterGrp

UnderlyingProvisionOptionExpirationDateBusinessDayConvention

UnderlyingProvisionOptionExpirationDate

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UnderlyingProvisionOptionExpirationDateRelativeTo

UnderlyingProvisionOptionExpirationDateUnadjusted

UnderlyingProvisionOptionExpirationTime

UnderlyingProvisionOptionExpirationTimeBusinessCenter

UnderlyingProvisionOptionMaximumNumber

UnderlyingProvisionOptionMinimumNumber

UnderlyingProvisionOptionRelevantUnderlyingDateAdjusted

UnderlyingProvisionOptionRelevantUnderlyingDateBizDayConvention

UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenter

UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateOffsetDayType

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UnderlyingProvisionOptionRelevantUnderlyingDateRelativeTo

UnderlyingProvisionOptionRelevantUnderlyingDateUnadjusted

UnderlyingProvisionOptionSinglePartyBuyerSide

UnderlyingProvisionOptionSinglePartySellerSide

UnderlyingProvisionParties

UnderlyingProvisionPartyID

UnderlyingProvisionPartyIDSource

UnderlyingProvisionPartyRole

UnderlyingProvisionPartyRoleQualifier

UnderlyingProvisionPartySubID

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UnderlyingProvisionPtysSubGrp

UnderlyingProvisionText

UnderlyingProvisionType

UnderlyingPutOrCall

UnderlyingPx

UnderlyingQty

UnderlyingRateSpreadInitialValue

UnderlyingRateSpreadSchedule

UnderlyingRateSpreadStepDate

UnderlyingRateSpreadStepGrp

UnderlyingRateSpreadStepValue

UnderlyingRedemptionDate

UnderlyingReferenceEntityType

UnderlyingRefID

UnderlyingRefTickTableID

UnderlyingRepoCollateralSecurityType

UnderlyingRepurchaseRate

UnderlyingRepurchaseTerm

UnderlyingRestructuringType

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UnderlyingReturnRateCashFlowType

UnderlyingReturnRateCommissionAmount

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UnderlyingReturnRateCommissionCurrency

UnderlyingReturnRateDateGrp

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UnderlyingReturnRateFinalPriceFallback

UnderlyingReturnRateFXConversionGrp

UnderlyingReturnRateFXCurrencySymbol

UnderlyingReturnRateFXRate

UnderlyingReturnRateFXRateCalc

UnderlyingReturnRateGrp

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UnderlyingReturnRateInformationSourceGrp

UnderlyingReturnRateNotionalReset

UnderlyingReturnRatePrice

UnderlyingReturnRatePriceBasis

UnderlyingReturnRatePriceCurrency

UnderlyingReturnRatePriceGrp

UnderlyingReturnRatePriceSequence

UnderlyingReturnRatePriceType

UnderlyingReturnRateQuoteBusinessCenter

UnderlyingReturnRateQuoteCurrency

UnderlyingReturnRateQuoteCurrencyType

UnderlyingReturnRateQuoteDate

UnderlyingReturnRateQuoteExchange

UnderlyingReturnRateQuoteExpirationTime

UnderlyingReturnRateQuoteMeasureType

UnderlyingReturnRateQuoteMethod

UnderlyingReturnRateQuotePricingModel

UnderlyingReturnRateQuoteTime

UnderlyingReturnRateQuoteTimeType

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UnderlyingReturnRateReferencePage

UnderlyingReturnRateReferencePageHeading

UnderlyingReturnRateTotalCommissionPerTrade

UnderlyingReturnRateValuationDate

UnderlyingReturnRateValuationDateBusinessCenter

UnderlyingReturnRateValuationDateBusinessCenterGrp

UnderlyingReturnRateValuationDateBusinessDayConvention

UnderlyingReturnRateValuationDateGrp

UnderlyingReturnRateValuationDateOffsetDayType

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UnderlyingReturnRateValuationDateRelativeTo

UnderlyingReturnRateValuationDateType

UnderlyingReturnRateValuationEndDateAdjusted

UnderlyingReturnRateValuationEndDateOffsetDayType

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UnderlyingReturnRateValuationEndDateOffsetUnit

UnderlyingReturnRateValuationEndDateRelativeTo

UnderlyingReturnRateValuationEndDateUnadjusted

UnderlyingReturnRateValuationFrequencyPeriod

UnderlyingReturnRateValuationFrequencyRollConvention

UnderlyingReturnRateValuationFrequencyUnit

UnderlyingReturnRateValuationPriceOption

UnderlyingReturnRateValuationStartDateAdjusted

UnderlyingReturnRateValuationStartDateOffsetDayType

UnderlyingReturnRateValuationStartDateOffsetPeriod

UnderlyingReturnRateValuationStartDateOffsetUnit

UnderlyingReturnRateValuationStartDateRelativeTo

UnderlyingReturnRateValuationStartDateUnadjusted

UnderlyingReturnRateValuationTime

UnderlyingReturnRateValuationTimeBusinessCenter

UnderlyingReturnRateValuationTimeType

UnderlyingReturnTrigger

UnderlyingSecondaryAssetClass

UnderlyingSecondaryAssetGrp

UnderlyingSecondaryAssetSubClass

UnderlyingSecondaryAssetSubType

UnderlyingSecondaryAssetType

UnderlyingSecurityAltID

UnderlyingSecurityAltIDSource

UnderlyingSecurityDesc

UnderlyingSecurityExchange

UnderlyingSecurityGroup

UnderlyingSecurityID

UnderlyingSecurityIDSource

UnderlyingSecurityStatus

UnderlyingSecuritySubType

UnderlyingSecurityType

UnderlyingSecurityXML

UnderlyingSecurityXML

UnderlyingSecurityXMLLen

UnderlyingSecurityXMLSchema

UnderlyingSeniority

UnderlyingSettlDisruptionProvision

UnderlyingSettledEntityMatrixPublicationDate

UnderlyingSettledEntityMatrixSource

UnderlyingSettlementDate

UnderlyingSettlementStatus

UnderlyingSettlementType

UnderlyingSettleOnOpenFlag

UnderlyingSettlMethod

UnderlyingSettlMethodElectingPartySide

UnderlyingSettlMethodElectionDateAdjusted

UnderlyingSettlMethodElectionDateBusinessCenter

UnderlyingSettlMethodElectionDateBusinessCenterGrp

UnderlyingSettlMethodElectionDateBusinessDayConvention

UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateOffsetDayType

UnderlyingSettlMethodElectionDateOffsetPeriod

UnderlyingSettlMethodElectionDateOffsetUnit

UnderlyingSettlMethodElectionDateRelativeTo

UnderlyingSettlMethodElectionDateUnadjusted

UnderlyingSettlPrice

UnderlyingSettlPriceType

UnderlyingSettlRateDisruptionFallbackGrp

UnderlyingSettlRateFallbackRateSource

UnderlyingSettlRateFallbackRateSource

UnderlyingSettlRateFallbackReferencePage

UnderlyingSettlRateIndex

UnderlyingSettlRateIndexLocation

UnderlyingSettlRatePostponementCalculationAgent

UnderlyingSettlRatePostponementMaximumDays

UnderlyingSettlRatePostponementSurvey

UnderlyingSettlTermXIDRef

UnderlyingShortSaleRestriction

UnderlyingSpecialDividendsIndicator

UnderlyingStartValue

UnderlyingStateOrProvinceOfIssue

UnderlyingStipType

UnderlyingStipulations

UnderlyingStipValue

UnderlyingStrategyType

UnderlyingStreamAssetAttributeGrp

UnderlyingStreamAssetAttributeLimit

UnderlyingStreamAssetAttributeType

UnderlyingStreamAssetAttributeValue

UnderlyingStreamCalculationBalanceOfFirstPeriod

UnderlyingStreamCalculationCorrectionPeriod

UnderlyingStreamCalculationCorrectionUnit

UnderlyingStreamCalculationFrequencyPeriod

UnderlyingStreamCalculationFrequencyUnit

UnderlyingStreamCalculationPeriodBusinessCenter

UnderlyingStreamCalculationPeriodBusinessCenterGrp

UnderlyingStreamCalculationPeriodBusinessDayConvention

UnderlyingStreamCalculationPeriodDate

UnderlyingStreamCalculationPeriodDateGrp

UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodDatesXID

UnderlyingStreamCalculationPeriodDatesXIDRef

UnderlyingStreamCalculationPeriodDateType

UnderlyingStreamCalculationRollConvention

UnderlyingStreamCommodityAltID

UnderlyingStreamCommodityAltIDGrp

UnderlyingStreamCommodityAltIDSource

UnderlyingStreamCommodityBase

UnderlyingStreamCommodity

UnderlyingStreamCommodityCurrency

UnderlyingStreamCommodityDataSourceGrp

UnderlyingStreamCommodityDataSourceID

UnderlyingStreamCommodityDataSourceIDType

UnderlyingStreamCommodityDeliveryPricingRegion

UnderlyingStreamCommodityDesc

UnderlyingStreamCommodityExchange

UnderlyingStreamCommodityNearbySettlDayPeriod

UnderlyingStreamCommodityNearbySettlDayUnit

UnderlyingStreamCommodityPricingType

UnderlyingStreamCommodityRateReferencePage

UnderlyingStreamCommodityRateReferencePageHeading

UnderlyingStreamCommodityRateSource

UnderlyingStreamCommoditySecurityID

UnderlyingStreamCommoditySecurityIDSource

UnderlyingStreamCommoditySettlBusinessCenter

UnderlyingStreamCommoditySettlBusinessCenterGrp

UnderlyingStreamCommoditySettlCountry

UnderlyingStreamCommoditySettlDateAdjusted

UnderlyingStreamCommoditySettlDateBusinessDayConvention

UnderlyingStreamCommoditySettlDateRollPeriod

UnderlyingStreamCommoditySettlDateRollUnit

UnderlyingStreamCommoditySettlDateUnadjusted

UnderlyingStreamCommoditySettlDay

UnderlyingStreamCommoditySettlDayGrp

UnderlyingStreamCommoditySettlDayType

UnderlyingStreamCommoditySettlEnd

UnderlyingStreamCommoditySettlFlowType

UnderlyingStreamCommoditySettlHolidaysProcessingInstruction

UnderlyingStreamCommoditySettlMonth

UnderlyingStreamCommoditySettlPeriodFrequencyPeriod

UnderlyingStreamCommoditySettlPeriodFrequencyUnit

UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodNotional

UnderlyingStreamCommoditySettlPeriodNotionalUnitOfMeasure

UnderlyingStreamCommoditySettlPeriodPrice

UnderlyingStreamCommoditySettlPeriodPriceCurrency

UnderlyingStreamCommoditySettlPeriodPriceUnitOfMeasure

UnderlyingStreamCommoditySettlPeriodXID

UnderlyingStreamCommoditySettlPeriodXIDRef

UnderlyingStreamCommoditySettlStart

UnderlyingStreamCommoditySettlTimeGrp

UnderlyingStreamCommoditySettlTimeType

UnderlyingStreamCommoditySettlTimeZone

UnderlyingStreamCommoditySettlTotalHours

UnderlyingStreamCommodityType

UnderlyingStreamCommodityUnitOfMeasure

UnderlyingStreamCommodityXID

UnderlyingStreamCommodityXIDRef

UnderlyingStreamCurrency

UnderlyingStreamDataProvider

UnderlyingStreamDesc

UnderlyingStreamEffectiveDateAdjusted

UnderlyingStreamEffectiveDateBusinessCenter

UnderlyingStreamEffectiveDateBusinessCenterGrp

UnderlyingStreamEffectiveDateBusinessDayConvention

UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateOffsetDayType

UnderlyingStreamEffectiveDateOffsetPeriod

UnderlyingStreamEffectiveDateOffsetUnit

UnderlyingStreamEffectiveDateRelativeTo

UnderlyingStreamEffectiveDateUnadjusted

UnderlyingStreamFirstCompoundingPeriodEndDateUnadjusted

UnderlyingStreamFirstPeriodStartDateAdjusted

UnderlyingStreamFirstPeriodStartDateBusinessCenter

UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp

UnderlyingStreamFirstPeriodStartDateBusinessDayConvention

UnderlyingStreamFirstPeriodStartDateUnadjusted

UnderlyingStreamFirstRegularPeriodStartDateUnadjusted

UnderlyingStreamGrp

UnderlyingStreamLastRegularPeriodEndDateUnadjusted

UnderlyingStreamNotional

UnderlyingStreamNotionalAdjustments

UnderlyingStreamNotionalCommodityFrequency

UnderlyingStreamNotionalDeterminationMethod

UnderlyingStreamNotionalFrequencyPeriod

UnderlyingStreamNotionalFrequencyUnit

UnderlyingStreamNotionalUnitOfMeasure

UnderlyingStreamNotionalXIDRef

UnderlyingStreamPaySide

UnderlyingStreamReceiveSide

UnderlyingStreamTerminationDateAdjusted

UnderlyingStreamTerminationDateBusinessCenter

UnderlyingStreamTerminationDateBusinessCenterGrp

UnderlyingStreamTerminationDateBusinessDayConvention

UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateOffsetDayType

UnderlyingStreamTerminationDateOffsetPeriod

UnderlyingStreamTerminationDateOffsetUnit

UnderlyingStreamTerminationDateRelativeTo

UnderlyingStreamTerminationDateUnadjusted

UnderlyingStreamText

UnderlyingStreamTotalNotional

UnderlyingStreamTotalNotionalUnitOfMeasure

UnderlyingStreamType

UnderlyingStreamVersion

UnderlyingStreamVersionEffectiveDate

UnderlyingStreamXID

UnderlyingStrikeCurrency

UnderlyingStrikeCurrencyCodeSource

UnderlyingStrikeIndex

UnderlyingStrikeIndexCurvePoint

UnderlyingStrikeIndexQuote

UnderlyingStrikeIndexSpread

UnderlyingStrikeMultiplier

UnderlyingStrikePrice

UnderlyingStrikePriceBoundaryMethod

UnderlyingStrikePriceBoundaryPrecision

UnderlyingStrikePriceDeterminationMethod

UnderlyingStrikeUnitOfMeasure

UnderlyingStrikeValue

UnderlyingSwapClass

UnderlyingSwapSubClass

UnderlyingSymbol

UnderlyingSymbolPositionNumber

UnderlyingSymbolSfx

UnderlyingTimeUnit

UnderlyingTotalIssuedAmount

UnderlyingTradingSessionID

UnderlyingTradingSessionSubID

UnderlyingTradingUnitPeriodMultiplier

UnderlyingUnitOfMeasure

UnderlyingUnitOfMeasureCurrency

UnderlyingUnitOfMeasureCurrencyCodeSource

UnderlyingUnitOfMeasureQty

UnderlyingUPICode

UnderlyingValuationMethod

UnderlyingValuationReferenceModel

UnderlyingValuationSource

UndInstrmtCollGrp

UndInstrmtGrp

UndlyInstrumentParties

UndlyInstrumentPtysSubGrp

UndSecAltIDGrp

UnencodedAttachmentLen

UnitOfMeasure

UnitOfMeasureCurrency

UnitOfMeasureCurrencyCodeSource

UnitOfMeasureQty

UnsolicitedIndicator

UpfrontPrice

UpfrontPriceType

UPICode

Urgency

URLLink

Username

UsernameGrp

UserRequestID

UserRequestType

UserStatus

UserStatusText

ValidUntilTime

ValuationBusinessCenter

ValuationDate

ValuationMethod

ValuationReferenceModel

ValuationSource

ValuationTime

ValueCheckAction

ValueChecksGrp

ValueCheckType

ValueOfFutures

Vega

VegaMultiplier

VenueType

VerificationMethod

VersusPurchaseDate

VersusPurchasePrice

Volatility

VolatilityTime

VoluntaryRegulatoryReport

WarningText

WireReference

WorkingIndicator

WtAverageLiquidity

XmlData

XmlDataLen

Yield

YieldCalcDate

YieldData

YieldRedemptionDate

YieldRedemptionPrice

YieldRedemptionPriceType

YieldType

Title Page

Table of Contents

FIX Latest as of EP295

Message Set Overview

The following table lists all messages described in this report.

Name
Category
Description

AccountSummaryReport
AccountReporting
The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component.

AllocationInstruction
Allocation
The AllocationInstruction(35=J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

AllocationInstructionAck
Allocation
In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.

AllocationInstructionAlert
Allocation
This message is used in a 3-party allocation model (buy-side and sell-side using a central clearing entity) where notification of group creation and group updates to counterparties is needed. The message will also carry trade information that comprised the group to the counterparties.

AllocationInstructionAlertRequest
Allocation
This message is used in a clearinghouse 3-party allocation model to request for AllocationInstructionAlert(35=BM) from the clearinghouse. The request may be used to obtain a one-time notification of the status of an allocation group.

AllocationInstructionAlertRequestAck
Allocation
This message is used in a clearinghouse 3-party allocation model to acknowledge a AllocationInstructionAlertRequest(35=DU) message for an AllocationInstructionAlert(35=BM) message from the clearinghouse.

AllocationReport
Allocation
Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport(35=AS) message (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase.

AllocationReportAck
Allocation
The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

ApplicationMessageReport
Application
This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.

ApplicationMessageRequest
Application
This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).

ApplicationMessageRequestAck
Application
This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

BusinessMessageReject
BusinessReject
The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.

CollateralAssignment
CollateralManagement
Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.

CollateralInquiry
CollateralManagement
Used to inquire for collateral status.

CollateralInquiryAck
CollateralManagement
Used to respond to a Collateral Inquiry in the following situations:

CollateralReport
CollateralManagement
Used to report collateral status when responding to a Collateral Inquiry message.

CollateralReportAck
CollateralManagement
CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).

CollateralRequest
CollateralManagement
An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

CollateralResponse
CollateralManagement
Used to respond to a Collateral Assignment message.

Confirmation
Confirmation
The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

ConfirmationAck
Confirmation
The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.

ConfirmationRequest
Confirmation
The Confirmation Request message is used to request a Confirmation message.

CrossOrderCancelReplaceRequest
CrossOrders
Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.

CrossOrderCancelRequest
CrossOrders
Used to fully cancel the remaining open quantity of a cross order.

NewOrderCross
CrossOrders
Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

Email
EventCommunication
The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.

News
EventCommunication
The news message is a general free format message between the broker and institution. The message contains flags to identify the news item’s urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

Advertisement
Indication
Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.

CrossRequest
Indication
The CrossRequest(35=DS) message is used to indicate the submission of orders or quotes that may result in a crossed trade.

CrossRequestAck
Indication
The CrossRequestAck(35=DT) message is used to confirm the receipt of a CrossRequest(35=DS) message.

IOI
Indication
Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.

MarginRequirementInquiry
MarginRequirementManagement
The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages.

MarginRequirementInquiryAck
MarginRequirementManagement
Used to respond to a Margin Requirement Inquiry.

MarginRequirementReport
MarginRequirementManagement
The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.

MarketDataIncrementalRefresh
MarketData
The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

MarketDataReport
MarketData
The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.

MarketDataRequest
MarketData
Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.

MarketDataRequestReject
MarketData
The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

MarketDataSnapshotFullRefresh
MarketData
The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

MarketDataStatisticsReport
MarketData
The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

MarketDataStatisticsRequest
MarketData
The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.

StreamAssignmentReport
MarketData
The StreamAssignmentReport(35=CD) message is in response to the StreamAssignmentRequest(35=CC) message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.

StreamAssignmentReportACK
MarketData
This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.

StreamAssignmentRequest
MarketData
In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.

MarketDefinition
MarketStructureReferenceData
The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).

MarketDefinitionRequest
MarketStructureReferenceData
The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.

MarketDefinitionUpdateReport
MarketStructureReferenceData
In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.

TradingSessionList
MarketStructureReferenceData
The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.

TradingSessionListRequest
MarketStructureReferenceData
The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.

TradingSessionListUpdateReport
MarketStructureReferenceData
The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

TradingSessionStatus
MarketStructureReferenceData
The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

TradingSessionStatusRequest
MarketStructureReferenceData
The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

MultilegOrderCancelReplace
MultilegOrders
Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.

NewOrderMultileg
MultilegOrders
The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

NetworkCounterpartySystemStatusRequest
Network
This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.

NetworkCounterpartySystemStatusResponse
Network
This message is sent in response to a Network (Counterparty System) Status Request Message.

MassOrder
OrderMassHandling
The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.

MassOrderAck
OrderMassHandling
The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.

OrderMassActionReport
OrderMassHandling
The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

OrderMassActionRequest
OrderMassHandling
The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding “S” to the ExecInst values. It can also be used for mass order cancellation.

OrderMassCancelReport
OrderMassHandling
The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.

OrderMassCancelRequest
OrderMassHandling
The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

OrderMassStatusRequest
OrderMassHandling
The order mass status request message requests the status for orders matching criteria specified within the request.

PartyActionReport
PartiesAction
Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.

PartyActionRequest
PartiesAction
The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.

PartyRiskLimitCheckRequest
PartiesAction
PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.

PartyRiskLimitCheckRequestAck
PartiesAction
PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.

PartyDetailsDefinitionRequest
PartiesReferenceData
The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties.

PartyDetailsDefinitionRequestAck
PartiesReferenceData
The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.

PartyDetailsListReport
PartiesReferenceData
The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.

PartyDetailsListRequest
PartiesReferenceData
The PartyDetailsListRequest is used to request party detail information.

PartyDetailsListUpdateReport
PartiesReferenceData
The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.

PartyEntitlementsDefinitionRequest
PartiesReferenceData
The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).

PartyEntitlementsDefinitionRequestAck
PartiesReferenceData
The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.

PartyEntitlementsReport
PartiesReferenceData
The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).

PartyEntitlementsRequest
PartiesReferenceData
The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).

PartyEntitlementsUpdateReport
PartiesReferenceData
The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).

PartyRiskLimitsDefinitionRequest
PartiesReferenceData
PartyRiskLimitDefinitionRequest is used for defining new risk limits.

PartyRiskLimitsDefinitionRequestAck
PartiesReferenceData
PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.

PartyRiskLimitsReport
PartiesReferenceData
The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.

PartyRiskLimitsReportAck
PartiesReferenceData
PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.

PartyRiskLimitsRequest
PartiesReferenceData
The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.

PartyRiskLimitsUpdateReport
PartiesReferenceData
The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.

PayManagementReport
PayManagement
PayManagementReport(35=EA) may be used to respond to the PayManagementRequest(35=DY) message. It provides the status of the request (e.g. accepted, disputed) and may provide additional information related to the request.

PayManagementReportAck
PayManagement
PayManagementReportAck(35=EB) is used as a response to the PayManagementReport(35=EA) message. It may be used to accept, reject or dispute the details of the PayManagementReport(35=EA) depending on the business rules of the receiver. This message may also be used to acknowledge the receipt of a PayManagementReport(35=EA) message.

PayManagementRequest
PayManagement
PayManagementRequest(35=DY) message is used to communicate a future or expected payment to be made or received related to a trade or contract after its settlement.

PayManagementRequestAck
PayManagement
PayManagementRequestAck(35=DZ) is used to acknowledge the receipt of the PayManagementRequest(35=DY) message (i.e. a technical acknowledgement of receipt). Acceptance or rejection of the request is reported in the corresponding PayManagementReport(35=EA).

AdjustedPositionReport
PositionMaintenance
Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

AssignmentReport
PositionMaintenance
Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

ContraryIntentionReport
PositionMaintenance
The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

PositionMaintenanceReport
PositionMaintenance
The Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

PositionMaintenanceRequest
PositionMaintenance
The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.

PositionReport
PositionMaintenance
The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

PositionTransferInstruction
PositionMaintenance
The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.

PositionTransferInstructionAck
PositionMaintenance
The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.

PositionTransferReport
PositionMaintenance
The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.

RequestForPositions
PositionMaintenance
The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

RequestForPositionsAck
PositionMaintenance
The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.

BidRequest
ProgramTrading
The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.

BidResponse
ProgramTrading
The Bid Response message can be used in one of two ways depending on which market conventions are being followed.

ListCancelRequest
ProgramTrading
The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

ListExecute
ProgramTrading
The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

ListStatus
ProgramTrading
The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker’s site. This message may also be used to respond to the List Cancel Request.

ListStatusRequest
ProgramTrading
The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

ListStrikePrice
ProgramTrading
The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

NewOrderList
ProgramTrading
The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

MassQuote
QuotationNegotiation
The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

MassQuoteAck
QuotationNegotiation
Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.

Quote
QuotationNegotiation
The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.

QuoteAck
QuotationNegotiation
The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.

QuoteCancel
QuotationNegotiation
The Quote Cancel message is used by an originator of quotes to cancel quotes.

QuoteRequest
QuotationNegotiation
In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

QuoteRequestReject
QuotationNegotiation
The Quote Request Reject message is used to reject Quote Request messages for all quoting models.

QuoteResponse
QuotationNegotiation
The QuoteResponse(35=AJ) message is used for the following purposes:

QuoteStatusReport
QuotationNegotiation
The quote status report message is used:

QuoteStatusRequest
QuotationNegotiation
The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:

RFQRequest
QuotationNegotiation
In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

RegistrationInstructions
RegistrationInstruction
The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

RegistrationInstructionsResponse
RegistrationInstruction
The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.

DerivativeSecurityList
SecuritiesReferenceData
The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

DerivativeSecurityListRequest
SecuritiesReferenceData
The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

DerivativeSecurityListUpdateReport
SecuritiesReferenceData
The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

SecurityDefinition
SecuritiesReferenceData
The SecurityDefinition(35=d) message is used for the following:

SecurityDefinitionRequest
SecuritiesReferenceData
The SecurityDefinitionRequest(35=c) message is used for the following:

SecurityDefinitionUpdateReport
SecuritiesReferenceData
This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

SecurityList
SecuritiesReferenceData
The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.

SecurityListRequest
SecuritiesReferenceData
The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

SecurityListUpdateReport
SecuritiesReferenceData
The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

SecurityMassStatus
SecuritiesReferenceData

SecurityMassStatusRequest
SecuritiesReferenceData

SecurityRiskMetricsReport
SecuritiesReferenceData
SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.

SecurityStatus
SecuritiesReferenceData
The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

SecurityStatusRequest
SecuritiesReferenceData
The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.

SecurityTypeRequest
SecuritiesReferenceData
The Security Type Request message is used to return a list of security types available from a counterparty or market.

SecurityTypes
SecuritiesReferenceData
The Security Type Request message is used to return a list of security types available from a counterparty or market.

Heartbeat
Session
The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

Logon
Session
The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.

Logout
Session
The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.

Reject
Session
The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.

ResendRequest
Session
The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

SequenceReset
Session
The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

TestRequest
Session
The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.

XMLnonFIX
Session

SettlementInstructionRequest
SettlementInstruction
The Settlement Instruction Request message is used to request standing settlement instructions from another party.

SettlementInstructions
SettlementInstruction
The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent “standing instructions” database or matching system or, for CIV, from an intermediary to a fund manager.

SettlementObligationReport
SettlementInstruction
The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

SettlementStatusReport
SettlementStatusManagement
SettlementStatusReport(35=EE) is a response to the SettlementStatusRequest(35=EC) to provide settlement status for the requested trade. It may also be sent unsolicited without an explicit request message by the party able to provide the settlement status for the trade identified in the report message.

SettlementStatusReportAck
SettlementStatusManagement
SettlementStatusReportAck(35=EF) is used to respond to the SettlementStatusReport(35=EE) to acknowledge or reject the report.

SettlementStatusRequest
SettlementStatusManagement
SettlementStatusRequest(35=EC) is used to request for the settlement status of a trade.

SettlementStatusRequestAck
SettlementStatusManagement
SettlementStatusRequestAck(35=ED) is used to respond to the SettlementStatusRequest(35=EC) to acknowledge the request and provide status for the request message.

DontKnowTrade
SingleGeneralOrderHandling
The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

ExecutionAck
SingleGeneralOrderHandling
The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK’d).

ExecutionReport
SingleGeneralOrderHandling
The execution report message is used to:

NewOrderSingle
SingleGeneralOrderHandling
The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

OrderCancelReject
SingleGeneralOrderHandling
The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

OrderCancelReplaceRequest
SingleGeneralOrderHandling
The order cancel/replace request is used to change the parameters of an existing order.

OrderCancelRequest
SingleGeneralOrderHandling
The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).

OrderStatusRequest
SingleGeneralOrderHandling
The order status request message is used by the institution to generate an order status message back from the broker.

AlgoCertificateReport
Testing
AlgoCertificateReport(35=EJ) is a response to the AlgoCertificateRequest(35=EH) to certify an algo. It may also be sent unsolicited without an explicit request message by the party able to provide certificate information for the algo identified in the report message.

AlgoCertificateReportAck
Testing
AlgoCertificateReportAck(35=EK) is used to respond to the AlgoCertificateReport(35=EJ) to acknowledge or reject the report message.

AlgoCertificateRequest
Testing
AlgoCertificateRequest(35=EH) is used to request algo testing certificate information for one or more algorithms.

AlgoCertificateRequestAck
Testing
AlgoCertificateRequestAck(35=EI) is used to respond to the AlgoCertificateRequest(35=EH) to acknowledge the request and provide status for the request message.

TestActionReport
Testing
TestActionReport(35=EP) is used to report the testing results of the identified test suite that has been executed with TestActionRequest(35=EN). In the context of algorithmic trading, the results may be used to create a certificate for the algorithm upon meeting the success criteria.

TestActionRequest
Testing
TestActionRequest(35=EN) is used to manage test executions or request for testing activity state of the identified test suite.

TestActionRequestAck
Testing
TestActionRequestAck(35=EO) is used to respond to the TestActionRequest(35=EN) to acknowledge the request and provide status for the request message.

TestSuiteDefinitionRequest
Testing
TestSuiteDefinitionRequest(35=EL) is used to convey to the test system the suite of test scenarios to perform.

TestSuiteDefinitionRequestAck
Testing
TestSuiteDefinitionRequestAck(35=EM) is used to respond to the TestSuiteDefinitionRequest(35= EL) to acknowledge the request and provide status for the request message.

TradeCaptureReport
TradeCapture
The Trade Capture Report message can be:

TradeCaptureReportAck
TradeCapture
The Trade Capture Report Ack message can be:

TradeCaptureReportRequest
TradeCapture
The Trade Capture Report Request can be used to:

TradeCaptureReportRequestAck
TradeCapture
The Trade Capture Request Ack message is used to:

TradeMatchReport
TradeCapture
The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.

TradeMatchReportAck
TradeCapture
The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

TradeAggregationReport
TradeManagement
TradeAggregationReport(35=DX) is used to respond to the TradeAggregationRequest(35=DW) message. It provides the status of the request (e.g. accepted or rejected) and may also provide additional information supplied by the respondent.

TradeAggregationRequest
TradeManagement
TradeAggregationRequest(35=DW) is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

UserNotification
UserManagement
The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

UserRequest
UserManagement
This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user’s status.

UserResponse
UserManagement
This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.

AccountSummaryReport

Category: AccountReporting

Message Functionality

The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component.

In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations).

Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CQ
ApplicationSequenceControl | [0..1] | Component |
AccountSummaryReportID | [1..1] | String |
ClearingBusinessDate | [1..1] | LocalMktDate |
Currency | [0..1] | Currency | Identifies the base reporting currency used in this report.
TotalNetValue | [0..1] | Amt |
MarginExcess | [0..1] | Amt |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
TransactTime | [0..1] | UTCTimestamp |
SettlementAmountGrp | [0..*] | Group |
MarginAmount | [0..*] | Group |
Parties | [1..*] | Group | Used to identify the parties for the account (clearing organization, clearing firm, account type, etc.)
CollateralAmountGrp | [0..*] | Group |
PayCollectGrp | [0..*] | Group |
PositionAmountData | [0..*] | Group | Can be used to identify mark to market information for the position.
StandardTrailer | [0..1] | Component |

AdjustedPositionReport

Category: PositionMaintenance

Message Functionality

Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BL
PosMaintRptID | [1..1] | String | Unique identifier for this Adjusted Position report
PosReqType | [0..1] | CodeSet |
ClearingBusinessDate | [1..1] | LocalMktDate | The Clearing Business Date referred to by this maintenance request
SettlSessID | [0..1] | CodeSet |
PosMaintRptRefID | [0..1] | String |
Parties | [1..*] | Group | Position Account
PositionQty | [1..*] | Group | Insert here here the set of "Position Qty" fields defined in "Common Components of Application Messages"
InstrmtGrp | [0..*] | Group |
SettlPrice | [0..1] | Price | Settlement Price
PriorSettlPrice | [0..1] | Price | Prior Settlement Price
StandardTrailer | [1..1] | Component |

Advertisement

Category: Indication

Message Functionality

Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 7
AdvId | [1..1] | String |
AdvTransType | [1..1] | CodeSet |
AdvRefID | [0..1] | String | Required for Cancel and Replace AdvTransType messages
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
InstrmtLegGrp | [0..*] | Group | Number of legs. Identifies a Multi-leg Execution if present and non-zero.
UndInstrmtGrp | [0..*] | Group | Number of underlyings
RelatedInstrumentGrp | [0..*] | Group |
AdvSide | [1..1] | CodeSet |
Quantity | [1..1] | Qty |
QtyType | [0..1] | CodeSet |
Price | [0..1] | Price |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
TradeDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
URLLink | [0..1] | String | A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
LastMkt | [0..1] | Exchange |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
RoutingGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

AlgoCertificateReport

Category: Testing

Message Functionality

AlgoCertificateReport(35=EJ) is a response to the AlgoCertificateRequest(35=EH) to certify an algo. It may also be sent unsolicited without an explicit request message by the party able to provide certificate information for the algo identified in the report message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EJ
AlgoCertificateReportID | [1..1] | String | Unique identifier assigned by sender of this message.
AlgoCertificateRequestID | [0..1] | String | Identifier of the AlgoCertificateRequest(35=EH) this message is responding to.
AlgoCertificateReportTransType | [1..1] | CodeSet |
AlgoCertificateReportType | [0..1] | CodeSet |
AlgoCertificateReportRefID | [0..1] | String | Required for AlgoCertificateReportTransType(3020)=1 (Cancel) or 2 (Replace).
AlgoCertificateID | [1..1] | String |
AlgoCertificateDesc | [0..1] | String |
AlgoCertificateStatus | [1..1] | CodeSet |
Parties | [1..*] | Group | Required to specify the algo for which a certification is reported and the firm using it. Requires the authorized person for AlgoCertificateStatus(3022)=1 (Approved) or 2 (Submitted).
EffectiveTime | [0..1] | UTCTimestamp | Required for AlgoCertificateStatus(3022)=1 (Approved) or 2 (Submitted).
ApprovalTime | [0..1] | UTCTimestamp | Required for AlgoCertificateStatus(3022)=1 (Approved) or 2 (Submitted).
LastUpdateTime | [1..1] | UTCTimestamp |
TransactTime | [0..1] | UTCTimestamp |
AlgoTestDesc | [0..1] | String | Required for AlgoCertificateStatus(3022)=1 (Approved) or 2 (Submitted).
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StrategyParametersGrp | [0..*] | Group |
AlgoSystemModuleGrp | [0..*] | Group |
TestScenarioGrp | [0..*] | Group |
TestSuiteStatus | [0..1] | CodeSet | Overall status across all individual test scenarios defined in TestScenarioGrp.
StandardTrailer | [1..1] | Component |

AlgoCertificateReportAck

Category: Testing

Message Functionality

AlgoCertificateReportAck(35=EK) is used to respond to the AlgoCertificateReport(35=EJ) to acknowledge or reject the report message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EK
AlgoCertificateReportID | [1..1] | String | Identifier of report message assigned by report sender.
AlgoCertificateReportStatus | [1..1] | CodeSet |
AlgoCertificateReportType | [0..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

AlgoCertificateRequest

Category: Testing

Message Functionality

AlgoCertificateRequest(35=EH) is used to request algo testing certificate information for one or more algorithms.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EH
AlgoCertificateRequestID | [1..1] | String | Unique identifier assigned by request initiator.
AlgoCertificateRequestTransType | [1..1] | CodeSet |
AlgoCertificateRequestType | [1..1] | CodeSet |
AlgoCertificateRequestRefID | [0..1] | String | Required for AlgoCertificateRequestTransType(3016)=1 (Cancel) or 2 (Replace).
AlgoCertificateID | [0..1] | String | May be used when the certificate identifier is already known to the requesting party. Conditionally required when AlgoCertificateRequestType(3077)=2 (Change certificate status) or 3 (Forward certificate).
AlgoCertificateDesc | [0..1] | String |
AlgoCertificateStatus | [0..1] | CodeSet | May be used to change the status of the certificate.
Parties | [0..*] | Group | May be used to specify the algos and/or venues subject to the request identified by AlgoCertificateRequestType(3077).
TargetParties | [0..*] | Group | May be used to identify a venue to send the certificate to. Requires AlgoCertificateRequestType(3077)=3 (Forward certificate).
TestScenarioGroupID | [0..1] | String | May be used to reference a group of test scenarios to be included in the certificate. Requires AlgoCertificateRequestType(3077)=1 (Generate certificate).
TestScenarioGrp | [0..*] | Group | May be used to provide details for the test scenarios to be included in the certificate. Requires AlgoCertificateRequestType(3077)=1 (Generate certificate).
EffectiveTime | [0..1] | UTCTimestamp | May be used to provide the activation time of the certificate to the test system.
ApprovalTime | [0..1] | UTCTimestamp | May be used to provide the approval time of the certificate to the test system.
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

AlgoCertificateRequestAck

Category: Testing

Message Functionality

AlgoCertificateRequestAck(35=EI) is used to respond to the AlgoCertificateRequest(35=EH) to acknowledge the request and provide status for the request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EI
AlgoCertificateRequestID | [1..1] | String | Identifier of request assigned by request initiator.
AlgoCertificateRequestType | [1..1] | CodeSet |
AlgoCertificateRequestStatus | [1..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

AllocationInstruction

Category: Allocation

Message Functionality

The AllocationInstruction(35=J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = J

AllocID
[1..1]
String
Unique identifier for this allocation instruction message

AllocRequestID
[0..1]
String
May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.

AllocTransType
[1..1]
CodeSet

AllocType
[1..1]
CodeSet
Specifies the purpose or type of Allocation message

SecondaryAllocID
[0..1]
String
Optional second identifier for this allocation instruction (need not be unique)

RefAllocID
[0..1]
String
Required for AllocTransType = Replace or Cancel

AllocCancReplaceReason
[0..1]
CodeSet
Required for AllocTransType = Replace or Cancel. Gives the reason for replacing or cancelling the allocation instruction

AllocIntermedReqType
[0..1]
CodeSet
Required if AllocType = 8 (Request to Intermediary). Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)

AllocLinkID
[0..1]
String
Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"

AllocLinkType
[0..1]
CodeSet
Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.

AllocGroupID
[0..1]
String
Group identifier assigned by the clearinghouse

FirmGroupID
[0..1]
String
Group identifier assigned by the firm.

BookingRefID
[0..1]
String
Can be used with AllocType=" Ready-To-Book "

AllocNoOrdersType
[0..1]
CodeSet
Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.

OrdAllocGrp
[0..*]
Group
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1

ExecAllocGrp
[0..*]
Group
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.

PreviouslyReported
[0..1]
CodeSet

ReversalIndicator
[0..1]
Boolean

MatchType
[0..1]
CodeSet

Side
[1..1]
CodeSet

Instrument
[1..1]
Component
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". For NDFs fixing date and time can be optionally specified using MaturityDate and MaturityTime.

InstrumentExtension
[0..1]
Component
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"

FinancingDetails
[0..1]
Component
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"

UndInstrmtGrp
[0..*]
Group

InstrmtLegGrp
[0..*]
Group

Quantity
[1..1]
Qty
Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book

QtyType
[0..1]
CodeSet

AllocGroupSubQtyID
[0..1]
String
May be used as an alternative to attribute based subgrouping.

LastMkt
[0..1]
Exchange
Market of the executions.

TradeOriginationDate
[0..1]
LocalMktDate

TradingSessionID
[0..1]
String

TradingSessionSubID
[0..1]
CodeSet

PriceType
[0..1]
CodeSet

PriceQualifierGrp
[0..*]
Group

AvgPx
[0..1]
Price
For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15). For 3rd party allocations used to convey either basic price or averaged price. Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.

AvgParPx
[0..1]
Price

SpreadOrBenchmarkCurveData
[0..1]
Component
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"

Currency
[0..1]
Currency
Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.

CurrencyCodeSource
[0..1]
CodeSet

AvgPxPrecision
[0..1]
int
Absence of this field indicates that default precision arranged by the broker/institution is to be used

OffshoreIndicator
[0..1]
CodeSet

Parties
[0..*]
Group
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"

TradeDate
[1..1]
LocalMktDate

TransactTime
[0..1]
UTCTimestamp
Date/time when allocation is generated

SettlType
[0..1]
CodeSet

SettlDate
[0..1]
LocalMktDate
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values. Required for NDFs to specify the "value date".

BookingType
[0..1]
CodeSet
Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.

GrossTradeAmt
[0..1]
Amt
Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as "percent of par" price.

Concession
[0..1]
Amt

TotalTakedown
[0..1]
Amt

NetMoney
[0..1]
Amt
Expressed in same currency as AvgPx. Sum of AllocNetMoney. For FX, if specified, expressed in terms of Currency(15).

PositionEffect
[0..1]
CodeSet

AutoAcceptIndicator
[0..1]
Boolean
Indicates if Allocation has been automatically accepted on behalf of the Take-up Firm by the Clearing House

Text
[0..1]
String

EncodedTextLen
[0..1]
Length
Must be set if EncodedText field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

NumDaysInterest
[0..1]
int
Applicable for Convertible Bonds and fixed income

AccruedInterestRate
[0..1]
Percentage
Applicable for Convertible Bonds and fixed income

AccruedInterestAmt
[0..1]
Amt
Applicable for Convertible Bonds and fixed income

TotalAccruedInterestAmt
[0..1]
Amt

InterestAtMaturity
[0..1]
Amt

EndAccruedInterestAmt
[0..1]
Amt
For repurchase agreements the accrued interest on termination.

StartCash
[0..1]
Amt
For repurchase agreements the start (dirty) cash consideration

EndCash
[0..1]
Amt
For repurchase agreements the end (dirty) cash consideration

LegalConfirm
[0..1]
CodeSet

Stipulations
[0..*]
Group

YieldData
[0..1]
Component

RegulatoryTradeIDGrp
[0..*]
Group

TrdRegTimestamps
[0..*]
Group

PositionAmountData
[0..*]
Group
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"

TotNoAllocs
[0..1]
int
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction. Only required where message has been fragmented.

LastFragment
[0..1]
CodeSet
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.

AllocGrp
[0..*]
Group
Conditionally required except when AllocTransType(71) = 2 (Cancel), or when AllocType(626) = 5 (Ready-To-Book single order) or 7 (Warehouse instruction).

AvgPxIndicator
[0..1]
CodeSet
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.

AvgPxGroupID
[0..1]
String
Firm designated group identifier for average pricing

ClearingBusinessDate
[0..1]
LocalMktDate
Indicates Clearing Business Date for which transaction will be settled.

TrdType
[0..1]
CodeSet
Indicates trade type of allocation. May be used as an alternative to AllocGroupSubQtyID(2974) for subgrouping.

TrdSubType
[0..1]
CodeSet
Indicates trade subtype of allocation.

SecondaryTrdType
[0..1]
CodeSet

TertiaryTrdType
[0..1]
CodeSet

TradePublishIndicator
[0..1]
CodeSet
May be used as an alternative to AllocGroupSubQtyID(2974) for subgrouping.

CustOrderHandlingInst
[0..1]
CodeSet
May be used as an alternative to AllocGroupSubQtyID(2974) for subgrouping.

TradeContinuation
[0..1]
CodeSet

TradeContinuationText
[0..1]
String

EncodedTradeContinuationTextLen
[0..1]
Length
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.

EncodedTradeContinuationText
[0..1]
data
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.

CustOrderCapacity
[0..1]
CodeSet
Indicates CTI of original trade marked for allocation.

TradeInputSource
[0..1]
String
Indicates input source of original trade marked for allocation.

MultiLegReportingType
[0..1]
CodeSet
Indicates MultiLegReportType of original trade marked for allocation.

MessageEventSource
[0..1]
String
Used to identify the event or source which gave rise to a message.

RndPx
[0..1]
Price
Specifies the rounded price to quoted precision.

RateSource
[0..*]
Group

VenueType
[0..1]
CodeSet
Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.

RefRiskLimitCheckID
[0..1]
String
Conditionally required when RefRiskLimitCheckIDType(2335) is specified.

RefRiskLimitCheckIDType
[0..1]
CodeSet
Conditionally required when RefRiskLimitCheckID(2334) is specified.

RiskLimitCheckStatus
[0..1]
CodeSet

StandardTrailer
[1..1]
Component

AllocationInstructionAck

Category: Allocation

Message Functionality

In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message.

The Allocation Instruction Ack message is used to acknowledge the receipt of and provide status for an Allocation Instruction message.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = P

AllocID
[1..1]
String

AllocRequestID
[0..1]
String
May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.

Instrument
[0..1]
Component

Parties
[0..*]
Group

SecondaryAllocID
[0..1]
String
Optional second identifier for the allocation instruction being acknowledged (need not be unique)

AllocGroupID
[0..1]
String
Group identifier assigned by the clearinghouse

FirmGroupID
[0..1]
String
Firm assigned entity identifier for the allocation

AvgPxGroupID
[0..1]
String
Firm designated group identifier for average pricing

TradeDate
[0..1]
LocalMktDate

TransactTime
[0..1]
UTCTimestamp
Date/Time Allocation Instruction Ack generated

AllocStatus
[1..1]
CodeSet
Denotes the status of the allocation instruction; received (but not yet processed), rejected (at block or account level) or accepted (and processed).

AllocRejCode
[0..1]
CodeSet
Required for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message

AllocType
[0..1]
CodeSet

AllocIntermedReqType
[0..1]
CodeSet
Required if AllocType = 8 (Request to Intermediary). Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)

MatchStatus
[0..1]
CodeSet
Denotes whether the financial details provided on the Allocation Instruction were successfully matched.

Text
[0..1]
String
Can include explanation for AllocRejCode = 7 (other)

EncodedTextLen
[0..1]
Length
Must be set if EncodedText(355) field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.

RejectText
[0..1]
String

EncodedRejectTextLen
[0..1]
Length
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.

EncodedRejectText
[0..1]
data
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.

RegulatoryTradeIDGrp
[0..*]
Group

AllocAckGrp
[0..*]
Group
This repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated when AllocStatus has any other value. Indicates number of allocation groups to follow.

StandardTrailer
[1..1]
Component

AllocationInstructionAlert

Category: Allocation

Message Functionality

This message is used in a 3-party allocation model (buy-side and sell-side using a central clearing entity) where notification of group creation and group updates to counterparties is needed. The message will also carry trade information that comprised the group to the counterparties.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = BM

AllocID
[1..1]
String
Unique identifier for this allocation instruction alert message

AllocTransType
[1..1]
CodeSet

AllocType
[1..1]
CodeSet
Specifies the purpose or type of Allocation message

AllocRequestID
[0..1]
String
Identifier of the request this message is responding to when responding to an AllocationInstructionAlertRequest(35=DU).

SecondaryAllocID
[0..1]
String
Optional second identifier for this allocation instruction (need not be unique)

RefAllocID
[0..1]
String
Required for AllocTransType = Replace or Cancel

AllocCancReplaceReason
[0..1]
CodeSet
Required for AllocTransType = Replace or Cancel. Gives the reason for replacing or cancelling the allocation instruction

AllocIntermedReqType
[0..1]
CodeSet
Required if AllocType = 8 (Request to Intermediary). Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)

AllocLinkID
[0..1]
String
Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"

AllocLinkType
[0..1]
CodeSet
Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.

AllocGroupID
[0..1]
String
Group identifier assigned by the clearinghouse

FirmGroupID
[0..1]
String
Firm assigned entity identifier for the allocation

BookingRefID
[0..1]
String
Can be used with AllocType=" Ready-To-Book "

AllocNoOrdersType
[0..1]
CodeSet
Indicates how the orders being booked and allocated by an Allocation Instruction or Allocation Report message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components , or not identified explicitly.

OrdAllocGrp
[0..*]
Group
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1

ExecAllocGrp
[0..*]
Group
Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.

PreviouslyReported
[0..1]
CodeSet

ReversalIndicator
[0..1]
Boolean

MatchType
[0..1]
CodeSet

Side
[1..1]
CodeSet

Instrument
[1..1]
Component
Insert here the set of "Instrument" (symbology) fields defined in "common components of application messages"

InstrumentExtension
[0..1]
Component
Insert here the set of "InstrumentExtension" fields defined in "common components of application messages"

FinancingDetails
[0..1]
Component
Insert here the set of "FinancingDetails" fields defined in "common components of application messages"

UndInstrmtGrp
[0..*]
Group

InstrmtLegGrp
[0..*]
Group

Quantity
[0..1]
Qty
When not using allocation groups, this is the total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book. When using allocation groups, this is the quantity added or removed when trades are added to or removed from an allocation group. To remove quantity from the allocation group a negative value is specified in Quantity(53). When the allocation group quantity is unchanged, such as when AllocType(626) changes from 12(Incomplete group) to 13(Complete group) , the value for Quantity(53) should be zero (0).

QtyType
[0..1]
CodeSet

AllocGroupQuantity
[0..1]
Qty

AllocGroupRemainingQuantity
[0..1]
Qty

AllocGroupSubQtyGrp
[0..*]
Group

GroupAmount
[0..1]
Amt

GroupRemainingAmount
[0..1]
Amt

LastMkt
[0..1]
Exchange
Market of the executions.

TradeOriginationDate
[0..1]
LocalMktDate

TradingSessionID
[0..1]
String

TradingSessionSubID
[0..1]
CodeSet

PriceType
[0..1]
CodeSet

PriceQualifierGrp
[0..*]
Group

AvgPx
[0..1]
Price
For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). For 3rd party allocations used to convey either basic price or averaged price. Optional for average price allocations in the listed derivatives markets where the central counterparty calculates and manages average price across an allocation group.

AvgParPx
[0..1]
Price

HighPx
[0..1]
Price
Maybe used to indicate the highest price within the specified allocation group.

LowPx
[0..1]
Price
Maybe used to indicate the lowest price within the specified allocation group.

SpreadOrBenchmarkCurveData
[0..1]
Component
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "common components of application messages"

Currency
[0..1]
Currency
Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.

CurrencyCodeSource
[0..1]
CodeSet

AvgPxPrecision
[0..1]
int
Absence of this field indicates that default precision arranged by the broker/institution is to be used

Parties
[0..*]
Group
Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"

TradeDate
[1..1]
LocalMktDate

TransactTime
[0..1]
UTCTimestamp
Date/time when allocation is generated

AllocStatus
[0..1]
CodeSet
Identifies status of allocation.

SettlType
[0..1]
CodeSet

SettlDate
[0..1]
LocalMktDate
Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.

BookingType
[0..1]
CodeSet
Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.

GrossTradeAmt
[0..1]
Amt
Expressed in same currency as AvgPx. Sum of (AllocQty * AllocAvgPx or AllocPrice).

Concession
[0..1]
Amt

TotalTakedown
[0..1]
Amt

NetMoney
[0..1]
Amt
Expressed in same currency as AvgPx. Sum of AllocNetMoney.

PositionEffect
[0..1]
CodeSet

AutoAcceptIndicator
[0..1]
Boolean
Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House

Text
[0..1]
String

EncodedTextLen
[0..1]
Length
Must be set if EncodedText field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

NumDaysInterest
[0..1]
int
Applicable for Convertible Bonds and fixed income

AccruedInterestRate
[0..1]
Percentage
Applicable for Convertible Bonds and fixed income

AccruedInterestAmt
[0..1]
Amt
Applicable for Convertible Bonds and fixed income (REMOVED FROM THIS LOCATION AS OF FIX 4.4, REPLACED BY AllocAccruedInterest)

TotalAccruedInterestAmt
[0..1]
Amt
(Deprecated) use AccruedInterestAmt Sum of AccruedInterestAmt within repeating group.

InterestAtMaturity
[0..1]
Amt

EndAccruedInterestAmt
[0..1]
Amt
For repurchase agreements the accrued interest on termination.

StartCash
[0..1]
Amt
For repurchase agreements the start (dirty) cash consideration

EndCash
[0..1]
Amt
For repurchase agreements the end (dirty) cash consideration

LegalConfirm
[0..1]
CodeSet

Stipulations
[0..*]
Group

YieldData
[0..1]
Component

PositionAmountData
[0..*]
Group
Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"

TotNoAllocs
[0..1]
int
Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction. Only required where message has been fragmented.

LastFragment
[0..1]
CodeSet
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.

AllocGrp
[0..*]
Group
Indicates number of allocation groups to follow. Not required for AllocTransType=Cancel. Not required for AllocType=" Ready-To-Book " or "Warehouse instruction".

AvgPxIndicator
[0..1]
CodeSet
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.

AvgPxGroupID
[0..1]
String
Firm designated group identifier for average pricing.

ClearingBusinessDate
[0..1]
LocalMktDate
Indicates Clearing Business Date for which transaction will be settled.

TrdType
[0..1]
CodeSet
Indicates trade type of allocation.

TrdSubType
[0..1]
CodeSet
Indicates trade subtype of allocation.

SecondaryTrdType
[0..1]
CodeSet

TertiaryTrdType
[0..1]
CodeSet

CustOrderCapacity
[0..1]
CodeSet
Indicates CTI of original trade marked for allocation.

TradeInputSource
[0..1]
String
Indicates input source of original trade marked for allocation.

MultiLegReportingType
[0..1]
CodeSet
Indicates MultiLegReportType of original trade marked for allocation.

MessageEventSource
[0..1]
String
Used to identify the event or source which gave rise to a message.

RndPx
[0..1]
Price
Specifies the rounded price to quoted precision.

CustOrderHandlingInst
[0..1]
CodeSet

OrderHandlingInstSource
[0..1]
CodeSet

StandardTrailer
[1..1]
Component

AllocationInstructionAlertRequest

Category: Allocation

Message Functionality

This message is used in a clearinghouse 3-party allocation model to request for AllocationInstructionAlert(35=BM) from the clearinghouse. The request may be used to obtain a one-time notification of the status of an allocation group.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType(35)=DU
AllocRequestID | [0..1] | String | Unique identifier for this message. If used, other allocation messages may link to the request through this field.
AllocGroupID | [0..1] | String |
AvgPxGroupID | [0..1] | String |
TradeDate | [0..1] | LocalMktDate |
Parties | [0..*] | Group |
StandardTrailer | [1..1] | Component |

AllocationInstructionAlertRequestAck

Category: Allocation

Message Functionality

This message is used in a clearinghouse 3-party allocation model to acknowledge a AllocationInstructionAlertRequest(35=DU) message for an AllocationInstructionAlert(35=BM) message from the clearinghouse.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DV
AllocRequestID | [1..1] | String | Used when responding to an AllocationInstructionAlertRequest(35=DU).
AllocRequestStatus | [1..1] | CodeSet |
RejectText | [0..1] | String | May be used to further describe rejection reasons when AllocRequestStatus(2768)=1 (Rejected).
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

AllocationReport

Category: Allocation

Message Functionality

Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport(35=AS) message (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AS
AllocReportID | [1..1] | String | Unique identifier for this message
AllocID | [0..1] | String |
AllocRequestID | [0..1] | String | May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU).
AllocTransType | [1..1] | CodeSet |
AllocReportRefID | [0..1] | String | Required for AllocTransType = Replace or Cancel
AllocCancReplaceReason | [0..1] | CodeSet | Required for AllocTransType = Replace or Cancel. Gives the reason for replacing or cancelling the allocation report
SecondaryAllocID | [0..1] | String | Optional second identifier for this allocation instruction (need not be unique)
AllocGroupID | [0..1] | String | Group identifier assigned by the clearinghouse
PreviousAllocGroupID | [0..1] | String | May be used to identify the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
GroupAmount | [0..1] | Amt |
AllocGroupStatus | [0..1] | CodeSet |
FirmGroupID | [0..1] | String | Firm assigned entity identifier for the allocation
AllocReportType | [1..1] | CodeSet | Specifies the purpose or type of Allocation Report message
AllocStatus | [1..1] | CodeSet |
AllocRejCode | [0..1] | CodeSet | Required for AllocStatus = 1 (rejected)
RefAllocID | [0..1] | String | Required for AllocTransType = Replace or Cancel
AllocReversalStatus | [0..1] | CodeSet | Can be used for reporting on status of reversal transaction when AllocReportType(794) is 18 (Alleged reversal) or 17 (Reversal).
AllocIntermedReqType | [0..1] | CodeSet | Required if AllocReportType = 8 (Request to Intermediary). Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)
AllocLinkID | [0..1] | String | Can be used to link two different Allocation messages (each with unique AllocID) together, i.e. for F/X "Netting" or "Swaps"
AllocLinkType | [0..1] | CodeSet | Can be used to link two different Allocation messages and identifies the type of link. Required if AllocLinkID is specified.
BookingRefID | [0..1] | String |
ClearingBusinessDate | [0..1] | LocalMktDate | Indicates Clearing Business Date for which transaction will be settled.
TrdType | [0..1] | CodeSet | Indicates trade type of allocation.
TrdSubType | [0..1] | CodeSet | Indicates trade subtype of allocation.
SecondaryTrdType | [0..1] | CodeSet |
TertiaryTrdType | [0..1] | CodeSet |
TradeContinuation | [0..1] | CodeSet |
TradeContinuationText | [0..1] | String |
EncodedTradeContinuationTextLen | [0..1] | Length | Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
EncodedTradeContinuationText | [0..1] | data | Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
MultiLegReportingType | [0..1] | CodeSet | Indicates MultiLegReportType of original trade marked for allocation.
CustOrderCapacity | [0..1] | CodeSet | Indicates CTI of original trade marked for allocation.
TradeInputSource | [0..1] | String | Indicates input source of original trade marked for allocation.
RndPx | [0..1] | Price | Specifies the rounded price to quoted precision.
MessageEventSource | [0..1] | String | Used to identify the event or source which gave rise to a message.
TradeInputDevice | [0..1] | String | Specific device number, terminal number or station where trade was entered
AvgPxIndicator | [0..1] | CodeSet | Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.
AvgPxGroupID | [0..1] | String | Firm designated group identifier for average pricing
AllocNoOrdersType | [0..1] | CodeSet | Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.
OrdAllocGrp | [0..*] | Group | Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
ExecAllocGrp | [0..*] | Group | Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
PreviouslyReported | [0..1] | CodeSet |
ReversalIndicator | [0..1] | Boolean |
MatchType | [0..1] | CodeSet |
Side | [1..1] | CodeSet |
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". For NDFs, fixing date (specified in MaturityDate(541)) is required. Fixing time (specified in MaturityTime(1079)) is optional.
InstrumentExtension | [0..1] | Component | Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
Quantity | [1..1] | Qty | Total quantity (e.g. number of shares) allocated to all accounts, or that is Ready-To-Book
QtyType | [0..1] | CodeSet |
AllocGroupQuantity | [0..1] | Qty |
AllocGroupRemainingQuantity | [0..1] | Qty |
LastMkt | [0..1] | Exchange | Market of the executions.
TradeOriginationDate | [0..1] | LocalMktDate |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
AvgPx | [1..1] | Price | For FX orders, should be the "all-in" rate (spot rate adjusted for forward points), expressed in terms of Currency(15).
AvgParPx | [0..1] | Price |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Currency | [0..1] | Currency | Currency of AvgPx. Should be the currency of the local market or exchange where the trade was conducted.
CurrencyCodeSource | [0..1] | CodeSet |
AvgPxPrecision | [0..1] | int | Absence of this field indicates that default precision arranged by the broker/institution is to be used
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TradeDate | [1..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp | Date/time when allocation is generated
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values. Required for NDFs to specify the "value date".
BookingType | [0..1] | CodeSet | Method for booking. Used to provide notification that this is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
GrossTradeAmt | [0..1] | Amt | Expressed in same currency as AvgPx(6). (Quantity(53) * AvgPx(6) or AvgParPx(860)) or sum of (AllocQty(80) * AllocAvgPx(153) or AllocPrice(366)). For Fixed Income, AvgParPx(860) is used when AvgPx(6) is not expressed as "percent of par" price.
Concession | [0..1] | Amt |
TotalTakedown | [0..1] | Amt |
NetMoney | [0..1] | Amt | Expressed in same currency as AvgPx. Sum of AllocNetMoney. For FX expressed in terms of Currency(15).
PositionEffect | [0..1] | CodeSet |
AutoAcceptIndicator | [0..1] | Boolean | Indicates if Allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
NumDaysInterest | [0..1] | int | Applicable for Convertible Bonds and fixed income
AccruedInterestRate | [0..1] | Percentage | Applicable for Convertible Bonds and fixed income
AccruedInterestAmt | [0..1] | Amt | Sum of AllocAccruedInterestAmt within repeating group.
TotalAccruedInterestAmt | [0..1] | Amt |
InterestAtMaturity | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt | For repurchase agreements the accrued interest on termination.
StartCash | [0..1] | Amt | For repurchase agreements the start (dirty) cash consideration
EndCash | [0..1] | Amt | For repurchase agreements the end (dirty) cash consideration
LegalConfirm | [0..1] | CodeSet |
Stipulations | [0..*] | Group |
YieldData | [0..1] | Component |
RegulatoryTradeIDGrp | [0..*] | Group |
TrdRegTimestamps | [0..*] | Group |
PositionAmountData | [0..*] | Group | Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
CustOrderHandlingInst | [0..1] | CodeSet |
OrderHandlingInstSource | [0..1] | CodeSet |
TotNoAllocs | [0..1] | int | Indicates total number of allocation groups (used to support fragmentation). Must equal the sum of all NoAllocs values across all message fragments making up this allocation instruction. Only required where message has been fragmented.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
AllocGrp | [0..*] | Group | Conditionally required except when AllocTransType(71) = 2 (Cancel).
RateSource | [0..*] | Group |
VenueType | [0..1] | CodeSet | Used to identify on what kind of venue the trade originated when communicating with a party that may not have access to all trade details, e.g. a clearing organization.
RefRiskLimitCheckID | [0..1] | String | Conditionally required when RefRiskLimitCheckIDType(2335) is specified.
RefRiskLimitCheckIDType | [0..1] | CodeSet | Conditionally required when RefRiskLimitCheckID(2334) is specified.
RiskLimitCheckStatus | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

AllocationReportAck

Category: Allocation

Message Functionality

The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = AT

AllocReportID
[1..1]
String

AllocID
[0..1]
String

AllocRequestID
[0..1]
String
May be used to link to a previously submitted AllocationInstructionAlertRequest(35=DU) message.

ClearingBusinessDate
[0..1]
LocalMktDate
Indicates Clearing Business Date for which transaction will be settled.

AvgPxIndicator
[0..1]
CodeSet
Indicates if an allocation is to be average priced. Is also used to indicate if average price allocation group is complete or incomplete.

Quantity
[0..1]
Qty

AllocTransType
[0..1]
CodeSet

Instrument
[0..1]
Component

Parties
[0..*]
Group

SecondaryAllocID
[0..1]
String
Optional second identifier for the allocation report being acknowledged (need not be unique)

AllocGroupID
[0..1]
String
Group identifier assigned by the clearinghouse

FirmGroupID
[0..1]
String
Firm assigned entity identifier for the allocation

AvgPxGroupID
[0..1]
String
Firm designated group identifier for average pricing

TradeDate
[0..1]
LocalMktDate

TransactTime
[0..1]
UTCTimestamp
Date/Time Allocation Report Ack generated

AllocStatus
[0..1]
CodeSet
Denotes the status of the allocation report; received (but not yet processed), rejected (at block or account level) or accepted (and processed). AllocStatus will be conditionally required in a 2-party model when used by a counterparty to convey a change in status. It will be optional in a 3-party model in which only the central counterparty may issue the status of an allocation

AllocRejCode
[0..1]
CodeSet
Required for AllocStatus = 1 ( block level reject) and for AllocStatus 2 (account level reject) if the individual accounts and reject reasons are not provided in this message

AllocReportType
[0..1]
CodeSet

AllocIntermedReqType
[0..1]
CodeSet
Required if AllocReportType = 8 (Request to Intermediary). Indicates status that is requested to be transmitted to counterparty by the intermediary (i.e. clearing house)

MatchStatus
[0..1]
CodeSet
Denotes whether the financial details provided on the Allocation Report were successfully matched.

CustOrderHandlingInst
[0..1]
CodeSet

OrderHandlingInstSource
[0..1]
CodeSet

Text
[0..1]
String
Can include explanation for AllocRejCode = 7 (other)

EncodedTextLen
[0..1]
Length
Must be set if EncodedText(355) field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.

RejectText
[0..1]
String

EncodedRejectTextLen
[0..1]
Length
EncodedRejectText(1665) field is specified and must immediately precede it.

EncodedRejectText
[0..1]
data
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.

RegulatoryTradeIDGrp
[0..*]
Group

AllocAckGrp
[0..*]
Group
This repeating group is optionally used for messages with AllocStatus = 2 (account level reject) to provide details of the individual accounts that caused the rejection, together with reject reasons. This group should not be populated where AllocStatus has any other value. Indicates number of allocation groups to follow.

StandardTrailer
[1..1]
Component

ApplicationMessageReport

Category: Application

Message Functionality

This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BY
ApplReportID | [1..1] | String | Identifier for the Application Message Report
ApplReqID | [0..1] | String | If the application message report is generated in response to an ApplicationMessageRequest(MsgType=BW), then this tag contain the ApplReqID(1346) of that request.
ApplReportType | [1..1] | CodeSet | Type of report
ApplIDReportGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

ApplicationMessageRequest

Category: Application

Message Functionality

This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BW
ApplReqID | [1..1] | String | Unique identifier for request
ApplReqType | [1..1] | CodeSet | Type of Application Message Request being made
ApplIDRequestGrp | [0..*] | Group |
Parties | [0..*] | Group |
Text | [0..1] | String | Allows user to provide reason for request
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

ApplicationMessageRequestAck

Category: Application

Message Functionality

This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BX
ApplResponseID | [1..1] | String | Identifier for the Application Message Request Ack
ApplReqID | [0..1] | String | Identifier of the request associated with this ACK message
ApplReqType | [0..1] | CodeSet |
ApplResponseType | [0..1] | CodeSet |
ApplTotalMessageCount | [0..1] | int | Total number of messages included in transmission
ApplIDRequestAckGrp | [0..*] | Group |
Parties | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

AssignmentReport

Category: PositionMaintenance

Message Functionality

Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AW
ApplicationSequenceControl | [0..1] | Component |
AsgnRptID | [1..1] | String | Unique identifier for the Assignment report
PosReqID | [0..1] | String | If specified,the identifier of the RequestForPositions(MsgType=AN) to which this message is sent in response.
TotNumAssignmentReports | [0..1] | int | Total Number of Assignment Reports being returned to a firm
LastRptRequested | [0..1] | CodeSet |
Parties | [1..*] | Group | Clearing Organization. Clearing Firm. Contra Clearing Organization. Contra Clearing Firm. Position Account
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
Instrument | [0..1] | Component | CFI Code - Market Indicator (col 4) used to indicate Market of Assignment
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
UndInstrmtGrp | [0..*] | Group | Number of legs that make up the Security
PositionQty | [0..*] | Group | Insert here here the set of "PositionQty" fields defined in "Common Components of Application Messages."
PositionAmountData | [0..*] | Group | Insert here the set of "PositionAmountData" fields defined in "Common Components of Application Messages."
ThresholdAmount | [0..1] | PriceOffset |
SettlPrice | [0..1] | Price | Settlement Price of Option
SettlPriceType | [0..1] | CodeSet | Values = Final, Theoretical
UnderlyingSettlPrice | [0..1] | Price | Settlement Price of Underlying
PriorSettlPrice | [0..1] | Price |
PositionContingentPrice | [0..1] | Price |
ExpireDate | [0..1] | LocalMktDate | Expiration Date of Option
AssignmentMethod | [0..1] | CodeSet | Method under which assignment was conducted
AssignmentUnit | [0..1] | Qty | Quantity Increment used in performing assignment
OpenInterest | [0..1] | Amt | Open interest that was eligible for assignment
ExerciseMethod | [0..1] | CodeSet | Exercise Method used to in performing assignment. Values = Automatic, Manual
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
ClearingBusinessDate | [1..1] | LocalMktDate | Business date of assignment
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

BidRequest

Category: ProgramTrading

Message Functionality

The BidRequest Message can be used in one of two ways depending on which market conventions are being followed.

In the "Non disclosed" convention (e.g. US/European model) the BidRequest message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example.

In the "Disclosed" convention (e.g. Japanese model) the BidRequest message can be used to request bids based on the ListOrderDetail messages sent in advance of BidRequest message. In the "Disclosed" convention the list repeating group is used to define which ListOrderDetail messages a bid is being sort for and the directions of the required bids.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = k (lowercase)
BidID | [0..1] | String | Required to relate the bid response
ClientBidID | [1..1] | String |
BidRequestTransType | [1..1] | CodeSet | Identifies the Bid Request message transaction type
ListName | [0..1] | String |
TotNoRelatedSym | [1..1] | int |
BidType | [1..1] | CodeSet | e.g. "Non Disclosed", "Disclosed", No Bidding Process
NumTickets | [0..1] | int | Total number of tickets/allocations assuming fully executed
Currency | [0..1] | Currency | Used to represent the currency of monetary amounts.
CurrencyCodeSource | [0..1] | CodeSet |
SideValue1 | [0..1] | Amt | Expressed in Currency
SideValue2 | [0..1] | Amt | Expressed in Currency
BidDescReqGrp | [0..*] | Group | Used if BidType="Non Disclosed"
BidCompReqGrp | [0..*] | Group | Used if BidType="Disclosed"
LiquidityIndType | [0..1] | CodeSet |
WtAverageLiquidity | [0..1] | Percentage | Overall weighted average liquidity expressed as a % of average daily volume
ExchangeForPhysical | [0..1] | CodeSet |
OutMainCntryUIndex | [0..1] | Amt | % value of stocks outside main country in Currency
CrossPercent | [0..1] | Percentage | % of program that crosses in Currency
ProgRptReqs | [0..1] | CodeSet |
ProgPeriodInterval | [0..1] | int | Time in minutes between each ListStatus report sent by SellSide. Zero means don't send status.
IncTaxInd | [0..1] | CodeSet | Net/Gross
ForexReq | [0..1] | CodeSet | Is foreign exchange required
NumBidders | [0..1] | int | Indicates the total number of bidders on the list
TradeDate | [0..1] | LocalMktDate |
BidTradeType | [1..1] | CodeSet |
BasisPxType | [1..1] | CodeSet |
StrikeTime | [0..1] | UTCTimestamp | Used when BasisPxType = "C"
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

BidResponse

Category: ProgramTrading

Message Functionality

The Bid Response message can be used in one of two ways depending on which market conventions are being followed.

In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example.

In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = l (lowercase L)
BidID | [0..1] | String |
ClientBidID | [0..1] | String |
BidCompRspGrp | [1..*] | Group | Number of bid repeating groups
StandardTrailer | [1..1] | Component |

BusinessMessageReject

Category: BusinessReject

Message Functionality

The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = j (lowercase)
RefSeqNum | [0..1] | SeqNum | MsgSeqNum of rejected message
RefMsgType | [1..1] | CodeSet | The MsgType of the FIX message being referenced.
RefApplVerID | [0..1] | CodeSet | Recommended when rejecting an application message that does not explicitly provide ApplVerID ( 1128) on the message being rejected. In this case the value from the DefaultApplVerID(1137) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
RefApplExtID | [0..1] | int | Recommended when rejecting an application message that does not explicitly provide ApplExtID(1156) on the rejected message. In this case the value from the DefaultApplExtID(1407) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
RefCstmApplVerID | [0..1] | String | Recommended when rejecting an application message that does not explicitly provide CstmApplVerID(1129) on the message being rejected. In this case the value from the DefaultCstmApplVerID(1408) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
BusinessRejectRefID | [0..1] | String | The value of the business-level "ID" field on the message being referenced. Required unless the corresponding ID field (see list above) was not specified.
BusinessRejectReason | [1..1] | CodeSet | Code to identify reason for a Business Message Reject message.
Text | [0..1] | String | Where possible, message to explain reason for rejection
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

CollateralAssignment

Category: CollateralManagement

Message Functionality

Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AY
CollAsgnID | [1..1] | String | Unique Identifer for collateral assignment
CollReqID | [0..1] | String | Identifer of CollReqID to which the Collateral Assignment is in response
CollAsgnReason | [1..1] | CodeSet | Reason for collateral assignment
CollAsgnTransType | [1..1] | CodeSet | Collateral Transaction Type
CollAsgnRefID | [0..1] | String | Collateral assignment to which this transaction refers
TransactTime | [1..1] | UTCTimestamp |
ExpireTime | [0..1] | UTCTimestamp | For an Initial assignment, time by which a response is expected
Parties | [0..*] | Group |
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ClOrdID | [0..1] | String | Identifier of order for which collateral is required
OrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryOrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryClOrdID | [0..1] | String | Identifier of order for which collateral is required
ExecCollGrp | [0..*] | Group | Executions for which collateral is required
TrdCollGrp | [0..*] | Group | Trades for which collateral is required
Instrument | [0..1] | Component |
FinancingDetails | [0..1] | Component |
SettlDate | [0..1] | LocalMktDate | Can be used to provide the value date of the collateral transaction where the deposit or withdrawal is for a specific future date.
Quantity | [0..1] | Qty |
QtyType | [0..1] | CodeSet |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
UndInstrmtCollGrp | [0..*] | Group | Number of legs that make up the Security
MarginExcess | [0..1] | Amt |
TotalNetValue | [0..1] | Amt |
CashOutstanding | [0..1] | Amt |
TrdRegTimestamps | [0..*] | Group | Insert here the set of "TrdRegTimestamps" fields defined in "Common Components of Application Messages"
Side | [0..1] | CodeSet |
MiscFeesGrp | [0..*] | Group | Required if any miscellaneous fees are reported.
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
AccruedInterestAmt | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt |
StartCash | [0..1] | Amt |
EndCash | [0..1] | Amt |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
SettlInstructionsData | [0..1] | Component | Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
TradingSessionID | [0..1] | String | Trading Session in which trade occurred
TradingSessionSubID | [0..1] | CodeSet | Trading Session Subid in which trade occurred
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
WireReference | [0..1] | String |
TradeDate | [0..1] | LocalMktDate |
TransactionID | [0..1] | String | The unique transaction entity identifier assigned by counterparty to the transaction receiving this message, if known.
FirmTransactionID | [0..1] | String | The unique transaction entity identifier assigned by the firm sending the CollateralAssignment(35=AY).
ClearingBusinessDate | [0..1] | LocalMktDate | The clearing business date of the collateral assignment.
CollateralRequestLinkID | [0..1] | String |
TotNumCollateralRequests | [0..1] | int |
CollateralRequestNumber | [0..1] | int |
CollateralRequestInstruction | [0..1] | String | Values are custom to a particular implementation and will be maintained externally.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

CollateralInquiry

Category: CollateralManagement

Message Functionality

Used to inquire for collateral status.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BB
CollInquiryID | [1..1] | String | Unique identifier for this message.
CollInqQualGrp | [0..*] | Group | Number of qualifiers to inquiry
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe / unsubscribe for collateral status reports. If the field is absent, the default will be snapshot request only - no subscription.
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Parties | [0..*] | Group |
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ClOrdID | [0..1] | String | Identifier of order for which collateral is required
OrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryOrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryClOrdID | [0..1] | String | Identifier of order for which collateral is required
ExecCollGrp | [0..*] | Group | Executions for which collateral is required
TrdCollGrp | [0..*] | Group | Trades for which collateral is required
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages".
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
SettlDate | [0..1] | LocalMktDate |
Quantity | [0..1] | Qty |
QtyType | [0..1] | CodeSet |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
UndInstrmtGrp | [0..*] | Group | Number of legs that make up the Security
MarginExcess | [0..1] | Amt |
TotalNetValue | [0..1] | Amt |
CashOutstanding | [0..1] | Amt |
TrdRegTimestamps | [0..*] | Group | Insert here the set of "TrdRegTimestamps" fields defined in "Common Components of Application Messages"
Side | [0..1] | CodeSet |
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
AccruedInterestAmt | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt |
StartCash | [0..1] | Amt |
EndCash | [0..1] | Amt |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
SettlInstructionsData | [0..1] | Component | Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
TradingSessionID | [0..1] | String | Trading Session in which trade occurred
TradingSessionSubID | [0..1] | CodeSet | Trading Session Subid in which trade occurred
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
ClearingBusinessDate | [0..1] | LocalMktDate |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

CollateralInquiryAck

Category: CollateralManagement

Message Functionality

Used to respond to a Collateral Inquiry in the following situations:

When the CollateralInquiry will result in an out of band response (such as a file transfer).

When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message.

When the Collateral Inquiry is invalid based upon the business rules of the counterparty.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BG
CollInquiryID | [1..1] | String | Identifier for the collateral inquiry to which this message is a reply
CollInquiryStatus | [1..1] | CodeSet | Status of the Collateral Inquiry referenced by CollInquiryID
CollInquiryResult | [0..1] | CodeSet | Result of the Collateral Inquriy referenced by CollInquiryID - specifies any errors or warnings
CollInqQualGrp | [0..*] | Group | Number of qualifiers to inquiry
TotNumReports | [0..1] | int | Total number of reports generated in response to this inquiry
Parties | [0..*] | Group |
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ClOrdID | [0..1] | String | Identifier of order for which collateral is required
OrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryOrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryClOrdID | [0..1] | String | Identifier of order for which collateral is required
ExecCollGrp | [0..*] | Group | Executions for which collateral is required
TrdCollGrp | [0..*] | Group | Trades for which collateral is required
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages".
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
SettlDate | [0..1] | LocalMktDate |
Quantity | [0..1] | Qty |
QtyType | [0..1] | CodeSet |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
UndInstrmtGrp | [0..*] | Group | Number of legs that make up the Security
TradingSessionID | [0..1] | String | Trading Session in which trade occurred
TradingSessionSubID | [0..1] | CodeSet | Trading Session Subid in which trade occurred
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
ClearingBusinessDate | [0..1] | LocalMktDate |
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

CollateralReport

Category: CollateralManagement

Message Functionality

Used to report collateral status when responding to a Collateral Inquiry message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BA
CollRptID | [1..1] | String | Unique Identifer for collateral report
CollInquiryID | [0..1] | String | Identifier for the collateral inquiry to which this message is a reply
TransactTime | [0..1] | UTCTimestamp |
CollApplType | [0..1] | CodeSet | Differentiates collateral pledged specifically against a position from collateral pledged against an entire portfolio on a valued basis.
FinancialStatus | [0..1] | CodeSet | Tells whether security has been restricted.
CollStatus | [1..1] | CodeSet | Collateral status
TotNumReports | [0..1] | int |
LastRptRequested | [0..1] | CodeSet |
Parties | [0..*] | Group |
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ClOrdID | [0..1] | String | Identifier of order for which collateral is required
OrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryOrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryClOrdID | [0..1] | String | Identifier of order for which collateral is required
ExecCollGrp | [0..*] | Group | Executions for which collateral is required
TrdCollGrp | [0..*] | Group | Trades for which collateral is required
Instrument | [0..1] | Component |
FinancingDetails | [0..1] | Component |
SettlDate | [0..1] | LocalMktDate |
Quantity | [0..1] | Qty |
QtyType | [0..1] | CodeSet |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group |
UndInstrmtGrp | [0..*] | Group |
MarginExcess | [0..1] | Amt |
TotalNetValue | [0..1] | Amt |
CashOutstanding | [0..1] | Amt |
CollateralAmountGrp | [0..*] | Group |
CollateralizationValueDate | [0..1] | LocalMktDate |
TradeCollateralization | [0..1] | CodeSet |
RegulatoryTradeIDGrp | [0..*] | Group |
TrdRegTimestamps | [0..*] | Group |
Side | [0..1] | CodeSet |
MiscFeesGrp | [0..*] | Group | Required if any miscellaneous fees are reported.
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
AccruedInterestAmt | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt |
StartCash | [0..1] | Amt |
EndCash | [0..1] | Amt |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
SettlInstructionsData | [0..1] | Component | Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
TradingSessionID | [0..1] | String | Trading Session in which trade occurred
TradingSessionSubID | [0..1] | CodeSet | Trading Session Subid in which trade occurred
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
RegulatoryReportType | [0..1] | CodeSet |
RegulatoryReportTypeBusinessDate | [0..1] | LocalMktDate | May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
ClearingBusinessDate | [0..1] | LocalMktDate | The clearing business date of the report.
WireReference | [0..1] | String |
TradeDate | [0..1] | LocalMktDate |
TransactionID | [0..1] | String | The unique transaction entity identifier assigned by the firm sending the CollateralReport(35=BA).
FirmTransactionID | [0..1] | String | The unique transaction entity identifier assigned by the counterparty to the transaction receiving this message, if known.
FundingSourceGrp | [0..*] | Group |
TransactionAttributeGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

CollateralReportAck

Category: CollateralManagement

Message Functionality

CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component |
CollRptID | [1..1] | String | Identifer of the CollateralReport(35=BA) being acknowledged.
TransactTime | [0..1] | UTCTimestamp |
CollRptStatus | [1..1] | CodeSet |
CollRptRejectReason | [0..1] | CodeSet | Conditionally required when CollRptStatus(2488) = 2 (Rejected).
RejectText | [0..1] | String | Conditionally required when CollRptStatus(2488) = 2 (Rejected).
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Parties | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

CollateralRequest

Category: CollateralManagement

Message Functionality

An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AX
CollReqID | [1..1] | String | Unique identifier for collateral request
CollAsgnReason | [1..1] | CodeSet | Reason collateral assignment is being requested
TransactTime | [1..1] | UTCTimestamp |
ExpireTime | [0..1] | UTCTimestamp | Time until when Respondent has to assign collateral
Parties | [0..*] | Group |
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ClOrdID | [0..1] | String | Identifier of order for which collateral is required
OrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryOrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryClOrdID | [0..1] | String | Identifier of order for which collateral is required
ExecCollGrp | [0..*] | Group | Executions for which collateral is required
TrdCollGrp | [0..*] | Group | Trades for which collateral is required
Instrument | [0..1] | Component | Instrument that was traded for which collateral is required
FinancingDetails | [0..1] | Component | Details of the Agreement and Deal
SettlDate | [0..1] | LocalMktDate |
Quantity | [0..1] | Qty |
QtyType | [0..1] | CodeSet |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
UndInstrmtCollGrp | [0..*] | Group | Number of legs that make up the Security
MarginExcess | [0..1] | Amt |
TotalNetValue | [0..1] | Amt |
CashOutstanding | [0..1] | Amt |
TrdRegTimestamps | [0..*] | Group | Insert here the set of "TrdRegTimestamps" fields defined in "Common Components of Application Messages"
Side | [0..1] | CodeSet |
MiscFeesGrp | [0..*] | Group | Required if any miscellaneous fees are reported.
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
AccruedInterestAmt | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt |
StartCash | [0..1] | Amt |
EndCash | [0..1] | Amt |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
TradingSessionID | [0..1] | String | Trading Session in which trade occurred
TradingSessionSubID | [0..1] | CodeSet | Trading Session Subid in which trade occurred
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
ClearingBusinessDate | [0..1] | LocalMktDate |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

CollateralResponse

Category: CollateralManagement

Message Functionality

Used to respond to a Collateral Assignment message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AZ
CollRespID | [1..1] | String | Unique identifer for the collateral response
CollAsgnID | [0..1] | String | Conditionally required when responding to a Collateral Assignment message
CollReqID | [0..1] | String | Identifer of CollReqID to which the Collateral Assignment is in response
CollAsgnReason | [0..1] | CodeSet | Conditionally required when responding to a Collateral Assignment message
CollAsgnTransType | [0..1] | CodeSet | Collateral Transaction Type - not recommended because it causes confusion
CollAsgnRespType | [1..1] | CodeSet | Collateral Assignment Response Type
CollAsgnRejectReason | [0..1] | CodeSet | Conditionally required when CollAsgnRespType(905) = 3 (Rejected).
TransactTime | [1..1] | UTCTimestamp |
CollApplType | [0..1] | CodeSet |
FinancialStatus | [0..1] | CodeSet | Tells whether security has been restricted.
ClearingBusinessDate | [0..1] | LocalMktDate | The clearing business date of the assignment. The date on which the transaction was entered.
Parties | [0..*] | Group |
Account | [0..1] | String | Customer Account
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ClOrdID | [0..1] | String | Identifier of order for which collateral is required
OrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryOrderID | [0..1] | String | Identifier of order for which collateral is required
SecondaryClOrdID | [0..1] | String | Identifier of order for which collateral is required
ExecCollGrp | [0..*] | Group | Executions for which collateral is required
TrdCollGrp | [0..*] | Group | Trades for which collateral is required
Instrument | [0..1] | Component |
FinancingDetails | [0..1] | Component |
SettlDate | [0..1] | LocalMktDate | Can be used to specify the value date of the collateral transaction where the transaction is for a specific future date (e.g. to be "settled" on a future date).
Quantity | [0..1] | Qty |
QtyType | [0..1] | CodeSet |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
UndInstrmtCollGrp | [0..*] | Group | Number of legs that make up the Security
MarginExcess | [0..1] | Amt |
TotalNetValue | [0..1] | Amt |
CashOutstanding | [0..1] | Amt |
CollateralAmountGrp | [0..*] | Group |
TrdRegTimestamps | [0..*] | Group |
Side | [0..1] | CodeSet |
MiscFeesGrp | [0..*] | Group | Required if any miscellaneous fees are reported.
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
AccruedInterestAmt | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt |
StartCash | [0..1] | Amt |
EndCash | [0..1] | Amt |
SpreadOrBenchmarkCurveData | [0..1] | Component |
Stipulations | [0..*] | Group |
WireReference | [0..1] | String |
TradeDate | [0..1] | LocalMktDate |
TransactionID | [0..1] | String | The unique transaction entity identifier assigned by the firm sending the CollateralResponse(35=AZ).
FirmTransactionID | [0..1] | String | The unique transaction entity identifier assigned by the counterparty to the transaction, if known. Echoes the value from CollateralAssignment(35=AY) if provided.
CollateralRequestLinkID | [0..1] | String |
TotNumCollateralRequests | [0..1] | int |
CollateralRequestNumber | [0..1] | int |
CollateralRequestInstruction | [0..1] | String | Values are custom to a particular implementation and will be maintained externally.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
WarningText | [0..1] | String | Conditionally required when CollAsgnRespType(905) = 5 (Completed with warning).
EncodedWarningTextLen | [0..1] | Length | Must be set if EncodedWarningText(2521) field is specified and must immediately precede it.
EncodedWarningText | [0..1] | data | Encoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding field.
RejectText | [0..1] | String | Conditionally required when CollAsgnRespType(905) = 3 (Rejected).
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

Confirmation

Category: Confirmation

Message Functionality

The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = AK

ConfirmID
[1..1]
String
Unique ID for this message

ConfirmRefID
[0..1]
String
Mandatory if ConfirmTransType is Replace or Cancel

ConfirmReqID
[0..1]
String
Only used when this message is used to respond to a confirmation request (to which this ID refers)

ConfirmTransType
[1..1]
CodeSet
New, Cancel or Replace

ConfirmType
[1..1]
CodeSet
Denotes whether this message represents a confirmation or a trade status message

CopyMsgIndicator
[0..1]
Boolean
Denotes whether or not this message represents copy confirmation (or status message). Absence of this field indicates message is not a drop copy.

LegalConfirm
[0..1]
CodeSet
Denotes whether this message represents the legally binding confirmation. Absence of this field indicates message is not a legal confirm.

ConfirmStatus
[1..1]
CodeSet

MatchStatus
[0..1]
CodeSet

AffirmStatus
[0..1]
CodeSet
Used to communicate an "affirmed" Confirmation(35=AK) status message (i.e. when ConfirmType(773) = 1 (Status)) to interested parties that need to or should receive such confirmation status message. This field must not be used when sending a Confirmation(35=AK) message that needs to be affirmed.

RegulatoryTradeIDGrp
[0..*]
Group

TradeConfirmationReferenceID
[0..1]
String

ClearedIndicator
[0..1]
CodeSet
Used to communicate the status of the central clearing workflow.

Parties
[0..*]
Group
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages". Required for fixed income. Also to be used in associated with ProcessCode for broker of credit (e.g. for directed brokerage trades). Also to be used to specify party-specific regulatory details (e.g. full legal name of contracting legal entity, registered address, regulatory status, any registration details)

OrdAllocGrp
[0..*]
Group
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1

ExecAllocGrp
[0..*]
Group

AllocID
[0..1]
String
Used to refer to an earlier Allocation Instruction.

SecondaryAllocID
[0..1]
String
Used to refer to an earlier Allocation Instruction via its secondary identifier

IndividualAllocID
[0..1]
String
Used to refer to an allocation account within an earlier Allocation Instruction.

TrdType
[0..1]
CodeSet

TrdSubType
[0..1]
CodeSet

SecondaryTrdType
[0..1]
CodeSet

TradeContinuation
[0..1]
CodeSet

TradeContinuationText
[0..1]
String

EncodedTradeContinuationTextLen
[0..1]
Length
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.

EncodedTradeContinuationText
[0..1]
data
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.

MatchType
[0..1]
CodeSet

TransactTime
[1..1]
UTCTimestamp
Represents the time this message was generated

TradeDate
[1..1]
LocalMktDate

TrdRegTimestamps
[0..*]
Group
Time of last execution being confirmed by this message. Use ExecutionTimestamp(2749) in ExecAllocGrp component when there are multiple trades.

Instrument
[1..1]
Component
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"

InstrumentExtension
[0..1]
Component
Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"

FinancingDetails
[0..1]
Component
Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"

UndInstrmtGrp
[0..*]
Group

InstrmtLegGrp
[0..*]
Group

YieldData
[0..1]
Component
If traded on Yield, price must be calculated "to worst" and the <Yield> component block must specify how calculated, redemption date and price (if not par). If traded on Price, the <Yield> component block must specify how calculated - "Worst", and include redemptiondate and price (if not par).

AllocQty
[1..1]
Qty
The quantity being confirmed by this message (this is at a trade level, not block or order level)

QtyType
[0..1]
CodeSet

Side
[1..1]
CodeSet

Currency
[0..1]
Currency

CurrencyCodeSource
[0..1]
CodeSet

LastMkt
[0..1]
Exchange

CpctyConfGrp
[1..*]
Group

AllocAccount
[1..1]
String
Account number for the trade being confirmed by this message

AllocAcctIDSource
[0..1]
CodeSet

AllocAccountType
[0..1]
CodeSet

AvgPx
[1..1]
Price
Gross price for the trade being confirmed. Always expressed in percent-of-par for Fixed Income

AvgPxPrecision
[0..1]
int
Absence of this field indicates that default precision arranged by the broker/institution is to be used

PriceType
[0..1]
CodeSet
Price type for the AvgPx field

PriceQualifierGrp
[0..*]
Group

AvgParPx
[0..1]
Price

SpreadOrBenchmarkCurveData
[0..1]
Component
Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"

ReportedPx
[0..1]
Price
Reported price (may be different to AvgPx in the event of a marked-up or marked-down principal trade)

Text
[0..1]
String

EncodedTextLen
[0..1]
Length

EncodedText
[0..1]
data

ProcessCode
[0..1]
CodeSet
Used to identify whether the trade was a soft dollar trade, step in/out etc. Broker of credit, where relevant, can be specified using the Parties nested block above.

GrossTradeAmt
[1..1]
Amt
Gross trade amount for the allocated account being confirmed.

NumDaysInterest
[0..1]
int

ExDate
[0..1]
LocalMktDate
Optional "next coupon date" for Fixed Income

AccruedInterestRate
[0..1]
Percentage

AccruedInterestAmt
[0..1]
Amt
Required for Fixed Income products that trade with accrued interest

InterestAtMaturity
[0..1]
Amt
Required for Fixed Income products that pay lump sum interest at maturity

EndAccruedInterestAmt
[0..1]
Amt
For repurchase agreements the accrued interest on termination.

StartCash
[0..1]
Amt
For repurchase agreements the start (dirty) cash consideration

EndCash
[0..1]
Amt
For repurchase agreements the end (dirty) cash consideration

Concession
[0..1]
Amt

TotalTakedown
[0..1]
Amt

NetMoney
[1..1]
Amt

MaturityNetMoney
[0..1]
Amt
Net Money at maturity if Zero Coupon and maturity value is different from par value

SettlCurrAmt
[0..1]
Amt

SettlCurrency
[0..1]
Currency

SettlCurrencyCodeSource
[0..1]
CodeSet

SettlCurrFxRate
[0..1]
float

SettlCurrFxRateCalc
[0..1]
CodeSet

SettlType
[0..1]
CodeSet

SettlDate
[0..1]
LocalMktDate

SettlInstructionsData
[0..1]
Component
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages". Used to communicate settlement instructions for this Confirmation.

CommissionData
[0..1]
Component

SharedCommission
[0..1]
Amt
Used to identify any commission shared with a third party (e.g. directed brokerage)

CommissionDataGrp
[0..*]
Group
Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.

Stipulations
[0..*]
Group

MiscFeesGrp
[0..*]
Group
Required if any miscellaneous fees are reported.

MatchExceptionGrp
[0..*]
Group

MatchingDataPointGrp
[0..*]
Group

StandardTrailer
[1..1]
Component

ConfirmationAck

Category: Confirmation

Message Functionality

The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AU
ConfirmID | [1..1] | String |
TradeDate | [1..1] | LocalMktDate |
TransactTime | [1..1] | UTCTimestamp | Date/Time Allocation Instruction Ack generated
AffirmStatus | [1..1] | CodeSet |
RegulatoryTradeIDGrp | [0..*] | Group |
TradeConfirmationReferenceID | [0..1] | String |
ConfirmRejReason | [0..1] | CodeSet | Conditionally required for AffirmStatus(940) = 2 (Confirm rejected).
MatchStatus | [0..1] | CodeSet | Denotes whether the financial details provided on the Confirmation were successfully matched.
MatchExceptionGrp | [0..*] | Group |
MatchingDataPointGrp | [0..*] | Group |
Text | [0..1] | String | Can include explanation for ConfirmRejReason(774) = 99 (Other)
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ConfirmationRequest

Category: Confirmation

Message Functionality

The Confirmation Request message is used to request a Confirmation message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BH
ConfirmReqID | [1..1] | String | Unique identifier for this message
ConfirmType | [1..1] | CodeSet | Denotes whether this message is being used to request a confirmation or a trade status message
OrdAllocGrp | [0..*] | Group | Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1
AllocID | [0..1] | String | Used to refer to an earlier Allocation Instruction.
SecondaryAllocID | [0..1] | String | Used to refer to an earlier Allocation Instruction via its secondary identifier
IndividualAllocID | [0..1] | String | Used to refer to an allocation account within an earlier Allocation Instruction.
TransactTime | [1..1] | UTCTimestamp | Represents the time this message was generated
AllocAccount | [0..1] | String | Account number for the trade being confirmed by this message
AllocAcctIDSource | [0..1] | CodeSet |
AllocAccountType | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

ContraryIntentionReport

Category: PositionMaintenance

Message Functionality

The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BO
ApplicationSequenceControl | [0..1] | Component |
ContIntRptID | [1..1] | String | Unique identifier for the Contrary Intention report
TransactTime | [0..1] | UTCTimestamp | Time the contrary intention was received by clearing organization.
LateIndicator | [0..1] | Boolean | Indicates if the contrary intention was received after the exchange imposed cutoff time
InputSource | [0..1] | String | Source of the contrary intention
ClearingBusinessDate | [1..1] | LocalMktDate | Business date of contrary intention
Parties | [1..*] | Group | Clearing Organization. Clearing Firm. Position Account
ExpirationQty | [1..*] | Group | Expiration Quantities
Instrument | [1..1] | Component |
UndInstrmtGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

CrossOrderCancelReplaceRequest

Category: CrossOrders

Message Functionality

Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = t (lowercase T)
OrderID | [0..1] | String | Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
OrderRequestID | [0..1] | int | Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
CrossID | [1..1] | String | CrossID for the replacement order
OrigCrossID | [1..1] | String | Must match the CrossID of the previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
HostCrossID | [0..1] | String | Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
CrossType | [1..1] | CodeSet |
CrossPrioritization | [1..1] | CodeSet |
RootParties | [0..*] | Group | Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
SideCrossOrdModGrp | [1..*] | Group | Must be 1 or 2
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Number of Legs
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
MinQty | [0..1] | Qty |
MinQtyMethod | [0..1] | CodeSet |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
DisplayInstruction | [0..1] | Component | Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
MaxFloor | [0..1] | Qty |
MarketSegmentID | [0..1] | String |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
ProcessCode | [0..1] | CodeSet | Used to identify soft trades at order entry.
PrevClosePx | [0..1] | Price | Useful for verifying security identification
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
TransBkdTime | [0..1] | UTCTimestamp | A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
OrdType | [1..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
IOIID | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
TradingCapacity | [0..1] | CodeSet |
MaxShow | [0..1] | Qty |
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message for this Order.
Designation | [0..1] | String | Supplementary registration information for this Order
ThrottleInst | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

CrossOrderCancelRequest

Category: CrossOrders

Message Functionality

Used to fully cancel the remaining open quantity of a cross order.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = u (lowercase U)
OrderID | [0..1] | String | Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
OrderRequestID | [0..1] | int | Required if provided on the order being cancelled. Echo back the value provided by the requester.
CrossID | [1..1] | String | CrossID for the replacement order
OrigCrossID | [1..1] | String | Must match the CrossID of previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
HostCrossID | [0..1] | String | Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
CrossType | [1..1] | CodeSet |
CrossPrioritization | [1..1] | CodeSet |
RootParties | [0..*] | Group | Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
SideCrossOrdCxlGrp | [1..*] | Group | Must be 1 or 2
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Number of Leg
MarketSegmentID | [0..1] | String |
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
StandardTrailer | [1..1] | Component |

CrossRequest

Category: Indication

Message Functionality

The CrossRequest(35=DS) message is used to indicate the submission of orders or quotes that may result in a crossed trade.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = DS
CrossRequestID | [1..1] | String | Unique identifier for cross request message.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
Instrument | [1..1] | Component |
OrderQty | [0..1] | Qty | Can be used to announce a maximum quantity that is subject to crossing.
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
StandardTrailer | [1..1] | Component |

CrossRequestAck

Category: Indication

Message Functionality

The CrossRequestAck(35=DT) message is used to confirm the receipt of a CrossRequest(35=DS) message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = DT
CrossRequestID | [1..1] | String | Unique identifier for the cross request message being confirmed.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
Instrument | [1..1] | Component |
OrderQty | [0..1] | Qty |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
StandardTrailer | [1..1] | Component |

DerivativeSecurityList

Category: SecuritiesReferenceData

Message Functionality

The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AA (2 A's)
ApplicationSequenceControl | [0..1] | Component |
SecurityReportID | [0..1] | int |
SecurityReqID | [0..1] | String |
SecurityResponseID | [0..1] | String | Identifier for the Derivative Security List message
SecurityRequestResult | [0..1] | CodeSet | Result of the Security Request identified by SecurityReqID
SecurityRejectReason | [0..1] | CodeSet | Used to specify a rejection reason when SecurityResponseType (323) is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).
ClearingBusinessDate | [0..1] | LocalMktDate |
UnderlyingInstrument | [0..1] | Component | Underlying security for which derivatives are being returned
DerivativeSecurityDefinition | [0..1] | Component | Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block.
LastUpdateTime | [0..1] | UTCTimestamp | Represents the time at which a security was last updated
TransactTime | [0..1] | UTCTimestamp |
TotNoRelatedSym | [0..1] | int | Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
RelSymDerivSecGrp | [0..*] | Group | Specifies the number of repeating symbols (instruments) specified
StandardTrailer | [1..1] | Component |

DerivativeSecurityListRequest

Category: SecuritiesReferenceData

Message Functionality

The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = z (lowercase Z)
SecurityReqID | [1..1] | String |
SecurityListRequestType | [1..1] | CodeSet |
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
UnderlyingInstrument | [0..1] | Component | Specifies the underlying instrument
DerivativeInstrument | [0..1] | Component | Group block which contains all information for an option family.
SecuritySubType | [0..1] | String |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
TradingSessionID | [0..1] | String | Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionSubID | [0..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Subscribe or unsubscribe for security status to security specified in request.
StandardTrailer | [1..1] | Component |

DerivativeSecurityListUpdateReport

Category: SecuritiesReferenceData

Message Functionality

The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BR
ApplicationSequenceControl | [0..1] | Component |
SecurityReqID | [0..1] | String |
SecurityResponseID | [0..1] | String | Identifier for the Derivative Security List message
SecurityRequestResult | [0..1] | CodeSet | Result of the Security Request identified by SecurityReqID
SecurityUpdateAction | [0..1] | CodeSet | Updates can be applied to Underlying or option class. If Series information provided, then Series has explicitly changed
UnderlyingInstrument | [0..1] | Component | Underlying security for which derivatives are being returned
DerivativeSecurityDefinition | [0..1] | Component | Group block which contains all information for an option family. If provided DerivativeSecurityDefinition qualifies the strikes specified in the Instrument block. DerivativeSecurityDefinition contains the following components: DerivativeInstrument. DerivativeInstrumentExtension, MarketSegmentGrp
LastUpdateTime | [0..1] | UTCTimestamp | Represents the time at which a security was last updated
TransactTime | [0..1] | UTCTimestamp |
TotNoRelatedSym | [0..1] | int | Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
RelSymDerivSecUpdGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

DontKnowTrade

Category: SingleGeneralOrderHandling

Message Functionality

The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = Q
OrderID | [1..1] | String | Broker Order ID as identified on problem execution
SecondaryOrderID | [0..1] | String |
ExecID | [1..1] | String | Execution ID of problem execution
DKReason | [1..1] | CodeSet |
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Number of Legs
Side | [1..1] | CodeSet |
OrderQtyData | [1..1] | Component | Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
LastQty | [0..1] | Qty | Required if specified on the ExecutionRpt
LastPx | [0..1] | Price | Required if specified on the ExecutionRpt
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

Email

Category: EventCommunication

Message Functionality

The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = C
EmailThreadID | [1..1] | String | Unique identifier for the email message thread
EmailType | [1..1] | CodeSet |
OrigTime | [0..1] | UTCTimestamp |
Subject | [1..1] | String | Specifies the Subject text
EncodedSubjectLen | [0..1] | Length | Must be set if EncodedSubject field is specified and must immediately precede it.
EncodedSubject | [0..1] | data | Encoded (non-ASCII characters) representation of the Subject field in the encoded format specified via the MessageEncoding field.
RoutingGrp | [0..*] | Group |
InstrmtGrp | [0..*] | Group | Specifies the number of repeating symbols (instruments) specified
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group |
OrderID | [0..1] | String |
ClOrdID | [0..1] | String |
LinesOfTextGrp | [1..*] | Group | Specifies the number of repeating lines of text specified
RawDataLength | [0..1] | Length |
RawData | [0..1] | data |
AttachmentGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

ExecutionAck

Category: SingleGeneralOrderHandling

Message Functionality

The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BN
OrderID | [1..1] | String |
SecondaryOrderID | [0..1] | String |
ClOrdID | [0..1] | String | Conditionally required if the Execution Report message contains a ClOrdID.
ExecAckStatus | [1..1] | CodeSet | Indicates the status of the execution acknowledgement. The "received, not yet processed" is an optional intermediary status that can be used to notify the counterparty that the Execution Report has been received.
ExecID | [1..1] | String | The ExecID of the Execution Report being acknowledged.
DKReason | [0..1] | CodeSet | Conditionally required when ExecAckStatus = 2 (Don't know / Rejected).
Instrument | [1..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
Side | [1..1] | CodeSet |
OrderQtyData | [0..1] | Component | Conditionally required if specified in the ExecutionReport(35=8).
LastQty | [0..1] | Qty | Conditionally required if specified on the Execution Report
LastPx | [0..1] | Price | Conditionally Required if specified on the Execution Report
PriceType | [0..1] | CodeSet | Conditionally required if specified on the Execution Report
PriceQualifierGrp | [0..*] | Group |
LastParPx | [0..1] | Price | Conditionally required if specified on the Execution Report
CumQty | [0..1] | Qty | Conditionally required if specified on the Execution Report
AvgPx | [0..1] | Price | Conditionally required if specified on the Execution Report
RegulatoryTradeIDGrp | [0..*] | Group |
Text | [0..1] | String | Conditionally required if DKReason = "other"
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

ExecutionReport

Category: SingleGeneralOrderHandling

Message Functionality

The execution report message is used to:

confirm the receipt of an order

confirm changes to an existing order (i.e. accept cancel and replace requests)

relay order status information

relay fill information on working orders

relay fill information on tradeable or restricted tradeable quotes

reject orders

report post-trade fees calculations associated with a trade

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = 8

ApplicationSequenceControl
[0..1]
Component
For use in drop copy applications. NOT FOR USE in transactional applications.

OrderID
[1..1]
String
OrderID is required to be unique for each chain of orders.

OrderRequestID
[0..1]
int
Required if provided on the order message. Echo back the value provided in the order message.

MassOrderRequestID
[0..1]
String
Can be used to link execution to the MassOrder(35=DJ) message.

SecondaryOrderID
[0..1]
String
Can be used to provide order id used by exchange or executing system. Can alternatively be used to convey implicit order priority.

SecondaryClOrdID
[0..1]
String

SecondaryExecID
[0..1]
String

ClOrdID
[0..1]
String
Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11). In the case of quotes can be mapped to:. - QuoteID(117) of a single Quote(35=S). - QuoteEntryID(299) of a MassQuote(35=i). - BidID(390) or OfferID(1867) of a two-sided Quote(35=S). - MassOrderReportID(2424) of a MassOrderAck(35=DK)

QuoteMsgID
[0..1]
String
In the case of quotes can be mapped to:. o QuoteMsgID(1166) of a single Quote(35=S). o QuoteID(117) of a MassQuote(35=i)

OrigClOrdID
[0..1]
String
Conditionally required for response to a Cancel or Cancel/Replace request (ExecType(150) = 6 (Pending Cancel, 5 (Replaced), or 4 (Canceled)) when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11). ClOrdID(11) of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.

ClOrdLinkID
[0..1]
String

MDEntryID
[0..1]
String
Reference to the MDEntryID(278) of this order or quote in the market data.

QuoteRespID
[0..1]
String
Required if responding to a QuoteResponse(35=AJ) message. Echo back the Initiator's value specified in the message.

OrdStatusReqID
[0..1]
String
Required if responding to and if provided on the OrderStatusRequest(35=H) message. Echo back the value provided by the requester.

MassStatusReqID
[0..1]
String
Required if responding to a OrderMassStatusRequest(35=AF). Echo back the value provided by the requester.

HostCrossID
[0..1]
String
Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs

TotNumReports
[0..1]
int
Can be used when responding to an OrderMassStatusRequest(35=AF) to identify the total number of ExecutionReport(35=8) messages which will be returned.

LastRptRequested
[0..1]
CodeSet
Can be used when responding to an OrderMassStatusRequest(35=AF) to indicate that this is the last ExecutionReport(35=8) messages which will be returned as a result of the request.

Parties
[0..*]
Group
Specifies party information related to the submitter.

TargetParties
[0..*]
Group
Specifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.

TradeOriginationDate
[0..1]
LocalMktDate

ContraGrp
[0..*]
Group

ListID
[0..1]
String
Required for executions against orders which were submitted as part of a list.

CrossID
[0..1]
String
CrossID for the replacement order

OrigCrossID
[0..1]
String
Must match original cross order. Same order chaining mechanism as ClOrdID(11)/OrigClOrdID(41) with OrderCancelReplaceRequest(35=G).

CrossType
[0..1]
CodeSet

RefRiskLimitCheckID
[0..1]
String

RefRiskLimitCheckIDType
[0..1]
CodeSet
Conditionally required when RefRiskLimitCheckID(2334) is specified.

TrdMatchID
[0..1]
String

TrdMatchSubID
[0..1]
String

ExecID
[1..1]
String
Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType(150) = I (Order Status)).

ExecRefID
[0..1]
String
Required for ExecType(150) = H (Trade Cancel) and ExecType(150) = G (Trade Correct).

ExecType
[1..1]
CodeSet
Describes the purpose of the execution report.

ExecTypeReason
[0..1]
CodeSet
Can be used to provide further detail for ExecType(150) field.

OrdStatus
[1..1]
CodeSet
Describes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx

WorkingIndicator
[0..1]
CodeSet
For optional use with OrdStatus = 0 (New)

CurrentWorkingPrice
[0..1]
Price

OrdRejReason
[0..1]
CodeSet
For optional use with ExecType = 8 (Rejected)

RejectText
[0..1]
String
Reason description for rejecting the transaction request.

EncodedRejectTextLen
[0..1]
Length
Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.

EncodedRejectText
[0..1]
data
Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.

ExecRestatementReason
[0..1]
CodeSet
Required for ExecType = D (Restated).

AnonymousTradeIndicator
[0..1]
Boolean

AlgorithmicTradeIndicator
[0..1]
CodeSet

TrdType
[0..1]
CodeSet
For optional use in reporting trades.

TrdSubType
[0..1]
CodeSet
For optional use in reporting trades.

SecondaryTrdType
[0..1]
CodeSet
For optional use in reporting trades. Conditionally requires presence of TrdType(828).

TertiaryTrdType
[0..1]
CodeSet
For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType(855).

TradeTypeGrp
[0..*]
Group
For optional use in reporting trades as alternative to the use of individual fields.

RegulatoryTransactionType
[0..1]
CodeSet

RegulatoryTradeIDGrp
[0..*]
Group

PreviouslyReported
[0..1]
CodeSet

TradeReportingIndicator
[0..1]
CodeSet
May be used to bilaterally inform counterparty of trade reporting status.

Account
[0..1]
String
Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary

AcctIDSource
[0..1]
CodeSet

AccountType
[0..1]
CodeSet
Specifies type of account

DayBookingInst
[0..1]
CodeSet

BookingUnit
[0..1]
CodeSet

PreallocMethod
[0..1]
CodeSet

AllocID
[0..1]
String

PreAllocGrp
[0..*]
Group
Pre-trade allocation instructions.

SettlType
[0..1]
CodeSet

SettlDate
[0..1]
LocalMktDate
Takes precedence over SettlType value and conditionally required/omitted for specific SettleType values. Required for NDFs to specify the "value date".

MatchType
[0..1]
CodeSet

OrderCategory
[0..1]
CodeSet

CashMargin
[0..1]
CodeSet

ClearingFeeIndicator
[0..1]
CodeSet

Instrument
[1..1]
Component

FinancingDetails
[0..1]
Component

UndInstrmtGrp
[0..*]
Group
Number of underlyings

PaymentGrp
[0..*]
Group

Side
[1..1]
CodeSet

ShortMarkingExemptIndicator
[0..1]
Boolean

ShortSaleExemptionReason
[0..1]
CodeSet
Available for optional use when Side(54) = 6(Sell short exempt).

Stipulations
[0..*]
Group

QtyType
[0..1]
CodeSet

OrderQtyData
[0..1]
Component
Conditionally required when the OrderQtyData component is required or specified in a prior, related message. For example, when used in a work flow including a NewOrderSingle(35=D) or NewOrderCross(35=s) message, the OrderQtyData component is a required component in these messages and thus the component is required here. When the OrderQtyData component is optional in a related message, such as the NewOrderMultileg(35=AB), the component is required here when specified in the prior, related NewOrderMultileg(35=AB) message.

LotType
[0..1]
CodeSet

OrdType
[0..1]
CodeSet

PriceType
[0..1]
CodeSet

PriceQualifierGrp
[0..*]
Group

Price
[0..1]
Price
Required if specified on the order

PriceProtectionScope
[0..1]
CodeSet

StopPx
[0..1]
Price
Required if specified on the order

TriggeringInstruction
[0..1]
Component

Triggered
[0..1]
CodeSet

PegInstructions
[0..1]
Component

DiscretionInstructions
[0..1]
Component

PeggedPrice
[0..1]
Price
The current price the order is pegged at

PeggedRefPrice
[0..1]
Price
The reference price of a pegged order.

DiscretionPrice
[0..1]
Price
The current discretionary price of the order

TradePriceNegotiationMethod
[0..1]
CodeSet

UpfrontPrice
[0..1]
Price
Required if specified on the order

UpfrontPriceType
[0..1]
CodeSet

TargetStrategy
[0..1]
CodeSet
The target strategy of the order

StrategyParametersGrp
[0..*]
Group
Strategy parameter block

TargetStrategyParameters
[0..1]
String
For further specification of the TargetStrategy

ParticipationRate
[0..1]
Percentage
Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)

TargetStrategyPerformance
[0..1]
float
For communication of the performance of the order versus the target strategy

Currency
[0..1]
Currency

CurrencyCodeSource
[0..1]
CodeSet

ComplianceID
[0..1]
String

ComplianceText
[0..1]
String

EncodedComplianceTextLen
[0..1]
Length
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.

EncodedComplianceText
[0..1]
data
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.

SolicitedFlag
[0..1]
CodeSet

TimeInForce
[0..1]
CodeSet
Absence of this field indicates Day order

EffectiveTime
[0..1]
UTCTimestamp
Time specified on the order at which the order should be considered valid

ExpireDate
[0..1]
LocalMktDate
Conditionally required if TimeInForce(59) = 6 (GTD) and ExpireTime(126) is not specified.

ExpireTime
[0..1]
UTCTimestamp
Conditionally required if TimeInForce(59) = 6 (GTD) and ExpireDate(432) is not specified.

ExposureDuration
[0..1]
int
Conditionally required when TimeInForce(59)=10 (Good for Time)

ExposureDurationUnit
[0..1]
CodeSet

ExecInst
[0..1]
CodeSet
Can contain multiple instructions, space delimited.

AuctionInstruction
[0..1]
CodeSet

AggressorIndicator
[0..1]
CodeSet

OrderCapacity
[0..1]
CodeSet

OrderRestrictions
[0..1]
CodeSet

TradingCapacity
[0..1]
CodeSet

RegulatoryReportType
[0..1]
CodeSet

PreTradeAnonymity
[0..1]
Boolean

TradePublishIndicator
[0..1]
CodeSet
Applies to trades resulting from the order.

CustOrderCapacity
[0..1]
CodeSet

OrderAttributeGrp
[0..*]
Group

LastQty
[0..1]
Qty
Quantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType(150) = F (Trade) or ExecType(150) = G (Trade Correct) unless FillsGrp or OrderEventGrp is used. If ExecType(150) = 7 (Stopped), represents the quantity stopped/guaranteed/protected for.

CalculatedCcyLastQty
[0..1]
Qty
Used for FX trades to express the quantity or amount of the other side of the currency. Conditionally required if ExecType(150) = F (Trade) or G (Trade Correct) and is an FX trade.

LastSwapPoints
[0..1]
PriceOffset
Optionally used when ExecType(150) = F (Trade) or G (Trade Correct) and is a FX Swap trade. Used to express the swap points for the swap trade event.

UnderlyingLastQty
[0..1]
Qty

LastQtyVariance
[0..1]
Qty

LastPx
[0..1]
Price
Price of this (last) fill. Required if ExecType(150) = ExecType = F (Trade) or G (Trade Correct) unless FillsGrp or OrderEventGrp or TradePriceCondition(1839)=17 (Price is pending) or 18 (Price is not applicable) is used. Should represent the "all-in" (LastSpotRate(194) + LastForwardPoints(195)) rate for F/X orders.). If ExecType(150) = 7 (Stopped), represents the price stopped/guaranteed/protected at. Not required for FX Swap when ExecType(150) = F (Trade) or G (Trade Correct) as there is no "all-in" rate that applies to both legs of the FX Swap.

UnderlyingLastPx
[0..1]
Price

LastParPx
[0..1]
Price
Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx(31) is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.

MidPx
[0..1]
Price

LastSpotRate
[0..1]
Price
Applicable for F/X orders

LastForwardPoints
[0..1]
PriceOffset
Applicable for F/X orders

LastUpfrontPrice
[0..1]
Price
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).

ReportingPx
[0..1]
Price

ReportingQty
[0..1]
Qty

LastMkt
[0..1]
Exchange
If ExecType(150) = F (Trade), indicates the market where the trade was executed. If ExecType(150) = 0 (New (0), indicates the market where the order was routed.

VenueType
[0..1]
CodeSet

MarketSegmentID
[0..1]
String

ExDestination
[0..1]
Exchange

ExDestinationIDSource
[0..1]
CodeSet

ExDestinationType
[0..1]
CodeSet

TradingSessionID
[0..1]
String

TradingSessionSubID
[0..1]
CodeSet

TimeBracket
[0..1]
String

LastCapacity
[0..1]
CodeSet

LimitAmts
[0..*]
Group
Insert here the set of "LimitAmts" fields defined in "Common Components"

LeavesQty
[1..1]
Qty
Quantity open for further execution. If the OrdStatus(39) is = 4 (Canceled), 3 (Done For Day), C (Expired), B (Calculated), or 8 (Rejected) (in which case the order is no longer active) then LeavesQty(151) could be 0, otherwise LeavesQty(151) = OrderQty(38) - CumQty(14).

CumQty
[1..1]
Qty
Currently executed quantity for chain of orders.

CxlQty
[0..1]
Qty
Can be used to specify the remaining quantity that was cancelled prior to order reaching terminal state (i.e. when LeavesQty(151)=0). If specified, OrderQty(38) = CumQty(14) + CxlQty(84).

AvgPx
[0..1]
Price
Not required for markets where average price is not calculated by the market. Conditionally required otherwise.

DayOrderQty
[0..1]
Qty
For GT orders on days following the day of the first trade.

DayCumQty
[0..1]
Qty
For GT orders on days following the day of the first trade.

DayAvgPx
[0..1]
Price
For GT orders on days following the day of the first trade.

TotNoFills
[0..1]
int
Used to support fragmentation. Sum of NoFills(1362) across all messages with the same ExecID(17).

LastFragment
[0..1]
CodeSet
Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.

FillsGrp
[0..*]
Group
Specifies the partial fills included in this ExecutionReport(35=8), mutually exclusive with OrderEventGrp component.

OrderEventGrp
[0..*]
Group
Specifies the order events included in this ExecutionReport(35=8), mutually exclusive with FillsGrp component.

EventInitiatorType
[0..1]
CodeSet

GTBookingInst
[0..1]
CodeSet
States whether executions are booked out or accumulated on a partially filled GT order

TradeDate
[0..1]
LocalMktDate
Used when reporting other than current day trades.

TransactTime
[0..1]
UTCTimestamp
Time the transaction represented by this ExecutionReport(35=8) occurred.

ReportToExch
[0..1]
CodeSet

CommissionData
[0..1]
Component
Note: On a fill/partial-fill message, it represents value for that fill/partial fill. On ExecType(150) = B (Calculated), it represents cumulative value for the order.

CommissionDataGrp
[0..*]
Group
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.

SpreadOrBenchmarkCurveData
[0..1]
Component

RelativeValueGrp
[0..*]
Group

YieldData
[0..1]
Component

GrossTradeAmt
[0..1]
Amt

NumDaysInterest
[0..1]
int

ExDate
[0..1]
LocalMktDate

AccruedInterestRate
[0..1]
Percentage

AccruedInterestAmt
[0..1]
Amt

InterestAtMaturity
[0..1]
Amt
For fixed income products which pay lump-sum interest at maturity.

EndAccruedInterestAmt
[0..1]
Amt
For repurchase agreements the accrued interest on termination.

StartCash
[0..1]
Amt
For repurchase agreements the start (dirty) cash consideration.

EndCash
[0..1]
Amt
For repurchase agreements the end (dirty) cash consideration.

TradedFlatSwitch
[0..1]
CodeSet

BasisFeatureDate
[0..1]
LocalMktDate

BasisFeaturePrice
[0..1]
Price

Concession
[0..1]
Amt

TotalTakedown
[0..1]
Amt

NetMoney
[0..1]
Amt
On a fill/partial fill message, it represents value for that fill/partial fill. On a ExecType(150) = B (Calculated) message, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency(15) field.

SettlCurrAmt
[0..1]
Amt
Used to report results of forex accommodation trade.

SettlCurrency
[0..1]
Currency
Used to report results of forex accommodation trade. Required for Non-Deliverable Forwards.

SettlCurrencyCodeSource
[0..1]
CodeSet

RateSource
[0..*]
Group

OffshoreIndicator
[0..1]
CodeSet

SettlCurrFxRate
[0..1]
float
Foreign exchange rate used to compute SettlCurrAmt(119) from Currency(15) to SettlCurrency(120).

SettlCurrFxRateCalc
[0..1]
CodeSet
Specifies whether the SettlCurrFxRate(155) should be multiplied or divided.

HandlInst
[0..1]
CodeSet

MinQty
[0..1]
Qty

MinQtyMethod
[0..1]
CodeSet

MatchIncrement
[0..1]
Qty

MaxPriceLevels
[0..1]
int

MaximumPriceDeviation
[0..1]
Percentage

ValueChecksGrp
[0..*]
Group

MatchingInstructions
[0..*]
Group

SelfMatchPreventionID
[0..1]
String
May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.

SelfMatchPreventionInstruction
[0..1]
CodeSet
May be used to return the self-match prevention instruction provided on the order placement message. Omit for unsolicited cancellations and use ExecRestatementReason(378) to convey the self-match prevention instruction that caused the cancellation.

CrossedIndicator
[0..1]
CodeSet

DisplayInstruction
[0..1]
Component

DisclosureInstructionGrp
[0..*]
Group

MaxFloor
[0..1]
Qty

ClearingAccountType
[0..1]
CodeSet

PositionEffect
[0..1]
CodeSet
For use in derivatives omnibus accounting

MaxShow
[0..1]
Qty

BookingType
[0..1]
CodeSet
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). Absence of this field implies regular booking.

Text
[0..1]
String

EncodedTextLen
[0..1]
Length
Must be set if EncodedText field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

SettlDate2
[0..1]
LocalMktDate
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.

OrderQty2
[0..1]
Qty
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.

LastForwardPoints2
[0..1]
PriceOffset
Can be used with OrdType = "Forex - Swap" to specify the forward points (added to LastSpotRate) for the future portion of a F/X swap.

MultiLegReportingType
[0..1]
CodeSet
Default is a single security if not specified.

ContingencyType
[0..1]
CodeSet
For contingency orders, the type of contingency as specified in the order.

CancellationRights
[0..1]
CodeSet
For CIV - Optional

MoneyLaunderingStatus
[0..1]
CodeSet

RegistID
[0..1]
String
Reference to Registration Instructions message for this Order.

Designation
[0..1]
String
Supplementary registration information for this Order

TransBkdTime
[0..1]
UTCTimestamp
For CIV - Optional

ExecValuationPoint
[0..1]
UTCTimestamp
For CIV - Optional

ExecPriceType
[0..1]
CodeSet
For CIV - Optional

ExecPriceAdjustment
[0..1]
float
For CIV - Optional

PriorityIndicator
[0..1]
CodeSet

PriceImprovement
[0..1]
PriceOffset

LastLiquidityInd
[0..1]
CodeSet
Applicable only on OrdStatus(39) = 1 of (Partially filled) or 2(Filled).

ContAmtGrp
[0..*]
Group

InstrmtLegExecGrp
[0..*]
Group
Specifies the leg executions of a multi-leg order or quote.

CopyMsgIndicator
[0..1]
Boolean

MiscFeesGrp
[0..*]
Group
Required if any miscellaneous fees are reported.

DividendYield
[0..1]
Percentage

ManualOrderIndicator
[0..1]
Boolean

CustDirectedOrder
[0..1]
Boolean

ReceivedDeptID
[0..1]
String

CustOrderHandlingInst
[0..1]
CodeSet

OrderHandlingInstSource
[0..1]
CodeSet

OrderOrigination
[0..1]
CodeSet

ContraOrderOrigination
[0..1]
CodeSet
May be used for cross orders submitted with single order messages.

OriginatingDeptID
[0..1]
String

ReceivingDeptID
[0..1]
String

RoutingArrangementIndicator
[0..1]
CodeSet

ContraRoutingArrangementIndicator
[0..1]
CodeSet
May be used for cross orders submitted with single order messages.

AffiliatedFirmsTradeIndicator
[0..1]
Boolean

OwnerType
[0..1]
CodeSet

OrderOwnershipIndicator
[0..1]
CodeSet
Can be used to highlight change of order ownership.

TrdRegTimestamps
[0..*]
Group

TrdRegPublicationGrp
[0..*]
Group

TradePriceConditionGrp
[0..*]
Group

TradeContinuation
[0..1]
CodeSet
May be used to indicate the post-execution trade continuation or lifecycle event. This should echo the value in the message that resulted in this report.

TradeContinuationText
[0..1]
String

EncodedTradeContinuationTextLen
[0..1]
Length
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.

EncodedTradeContinuationText
[0..1]
data
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.

Volatility
[0..1]
float

TimeToExpiration
[0..1]
float

RiskFreeRate
[0..1]
float

PriceDelta
[0..1]
float

CoverPrice
[0..1]
Price

ThrottleResponse
[0..1]
Component

RefOrderID
[0..1]
String

RefOrderIDSource
[0..1]
CodeSet

RefClOrdID
[0..1]
String

RelatedOrderGrp
[0..*]
Group
May be used to provide a list of orders and their relationship to the order identified in this message.

AuctionType
[0..1]
CodeSet

AuctionAllocationPct
[0..1]
Percentage

LockedQty
[0..1]
Qty

SecondaryLockedQty
[0..1]
Qty

LockType
[0..1]
CodeSet

ReleaseInstruction
[0..1]
CodeSet

ReleaseQty
[0..1]
Qty

RelatedHighPrice
[0..1]
Price

RelatedLowPrice
[0..1]
Price

RelatedPriceSource
[0..1]
CodeSet

StandardTrailer
[1..1]
Component

Heartbeat

Category: Session

Message Functionality

The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 0
TestReqID | [0..1] | String | Required when the heartbeat is the result of a Test Request message.
StandardTrailer | [1..1] | Component |

IOI

Category: Indication

Message Functionality

Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade.

Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 6
ApplicationSequenceControl | [0..1] | Component |
IOIID | [1..1] | String |
IOITransType | [1..1] | CodeSet |
IOIRefID | [0..1] | String | Required for Cancel and Replace IOITransType messages
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrumentExtension | [0..1] | Component |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages".
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
RelatedInstrumentGrp | [0..*] | Group |
Side | [1..1] | CodeSet | Side of Indication. Valid subset of values:. 1 = Buy. 2 = Sell. 7 = Undisclosed. B = As Defined (for multilegs). C = Opposite (for multilegs)
QtyType | [0..1] | CodeSet |
OrderQtyData | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". The value zero is used if NoLegs repeating group is used. Applicable if needed to express CashOrder Qty (tag 152)
IOIQty | [1..1] | CodeSet | The value zero is used if NoLegs repeating group is used
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" (symbology) fields defined in "Common Components of Application Messages"
InstrmtLegIOIGrp | [0..*] | Group | Required for multileg IOIs
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
Price | [0..1] | Price |
ValidUntilTime | [0..1] | UTCTimestamp |
IOIQltyInd | [0..1] | CodeSet |
IOINaturalFlag | [0..1] | CodeSet |
IOIQualGrp | [0..*] | Group | Required if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
TransactTime | [0..1] | UTCTimestamp |
URLLink | [0..1] | String | A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
RoutingGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
RelativeValueGrp | [0..*] | Group |
YieldData | [0..1] | Component |
StandardTrailer | [1..1] | Component |

ListCancelRequest

Category: ProgramTrading

Message Functionality

The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = K
ListID | [1..1] | String |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ListExecute

Category: ProgramTrading

Message Functionality

The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = L
ListID | [1..1] | String | Must be unique, by customer, for the day
ClientBidID | [0..1] | String | Used with BidType=Disclosed to provide the sell side the ability to determine the direction of the trade to execute.
BidID | [0..1] | String |
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ListStatus

Category: ProgramTrading

Message Functionality

The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the List Cancel Request.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = N
ListID | [1..1] | String |
ListStatusType | [1..1] | CodeSet |
NoRpts | [1..1] | int | Total number of messages required to status complete list.
ListOrderStatus | [1..1] | CodeSet |
ContingencyType | [0..1] | CodeSet |
ListRejectReason | [0..1] | CodeSet |
RptSeq | [1..1] | int | Sequence number of this report message.
ListStatusText | [0..1] | String |
EncodedListStatusTextLen | [0..1] | Length | Must be set if EncodedListStatusText field is specified and must immediately precede it.
EncodedListStatusText | [0..1] | data | Encoded (non-ASCII characters) representation of the ListStatusText field in the encoded format specified via the MessageEncoding field.
TransactTime | [0..1] | UTCTimestamp |
TotNoOrders | [1..1] | int | Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
OrdListStatGrp | [1..*] | Group | Number of orders statused in this message, i.e. number of repeating groups to follow.
StandardTrailer | [1..1] | Component |

ListStatusRequest

Category: ProgramTrading

Message Functionality

The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = M
ListID | [1..1] | String |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ListStrikePrice

Category: ProgramTrading

Message Functionality

The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = m (lowercase)
ListID | [1..1] | String |
TotNoStrikes | [1..1] | int | Used to support fragmentation. Sum of NoStrikes across all messages with the same ListID.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
InstrmtStrkPxGrp | [1..*] | Group | Number of strike price entries
StandardTrailer | [1..1] | Component |

Logon

Category: Session

Message Functionality

The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = A
EncryptMethod | [1..1] | CodeSet | (Always unencrypted)
HeartBtInt | [1..1] | int | Note same value used by both sides
RawDataLength | [0..1] | Length | Required for some authentication methods
RawData | [0..1] | data | Required for some authentication methods
ResetSeqNumFlag | [0..1] | CodeSet | Indicates both sides of a FIX session should reset sequence numbers
NextExpectedMsgSeqNum | [0..1] | SeqNum | Optional, alternative via counterparty bi-lateral agreement message gap detection and recovery approach (see "Logon Message NextExpectedMsgSeqNum Processing" section)
MaxMessageSize | [0..1] | Length | Can be used to specify the maximum number of bytes supported for messages received
MsgTypeGrp | [0..*] | Group |
TestMessageIndicator | [0..1] | CodeSet | Can be used to specify that this FIX session will be sending and receiving "test" vs. "production" messages.
Username | [0..1] | String |
Password | [0..1] | String | Note: minimal security exists without transport-level encryption.
NewPassword | [0..1] | String | Specifies a new password for the FIX Logon. The new password is used for subsequent logons.
EncryptedPasswordMethod | [0..1] | int |
EncryptedPasswordLen | [0..1] | Length |
EncryptedPassword | [0..1] | data |
EncryptedNewPasswordLen | [0..1] | Length |
EncryptedNewPassword | [0..1] | data | Encrypted new password- encrypted via the method specified in the field EncryptedPasswordMethod(1400)
SessionStatus | [0..1] | CodeSet | Session status at time of logon. Field is intended to be used when the logon is sent as an acknowledgement from acceptor of the FIX session.
DefaultApplVerID | [1..1] | CodeSet | The default version of FIX messages used in this session.
DefaultApplExtID | [0..1] | int | The default extension pack for FIX messages used in this session
DefaultCstmApplVerID | [0..1] | String | The default custom application version (dictionary) for FIX messages used in this session
Text | [0..1] | String | Available to provide a response to logon when used as a logon acknowledgement from acceptor back to the logon initiator.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

Logout

Category: Session

Message Functionality

The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 5
SessionStatus | [0..1] | CodeSet | Session status at time of logout.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarginRequirementInquiry

Category: MarginRequirementManagement

Message Functionality

The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages.

If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CH
MarginReqmtInqID | [1..1] | String | Unique identifier for this message
MarginReqmtInqQualGrp | [1..*] | Group | Type of margin requirement inquiry
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only - no subscription.
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Parties | [0..*] | Group |
ClearingBusinessDate | [0..1] | LocalMktDate | Indicates the date for which the margin is to be calculated
SettlSessID | [0..1] | CodeSet | Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
SettlSessSubID | [0..1] | String |
MarginClass | [0..1] | String | Used to identify a group of instruments with similar risk profile.
Instrument | [0..1] | Component |
TransactTime | [0..1] | UTCTimestamp | Represents the time the inquiry was submitted
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarginRequirementInquiryAck

Category: MarginRequirementManagement

Message Functionality

Used to respond to a Margin Requirement Inquiry.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CI
MarginReqmtInqID | [1..1] | String | Unique identifier for this message
MarginReqmtInqQualGrp | [1..*] | Group | Type of margin requirement inquiry
MarginReqmtInqStatus | [1..1] | CodeSet | Status of the Margin Requirement Inquiry referenced by MarginReqmtInqID
MarginReqmtInqResult | [0..1] | CodeSet | Result of the Margin Requirement Inquiry referenced by MarginReqmtInqID – specifies any errors or warnings
TotNumReports | [0..1] | int | Total number of reports generated in response to this inquiry
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe / unsubscribe for margin requirement reports. If the field is absent, the default will be snapshot request only - no subscription.
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Parties | [0..*] | Group |
ClearingBusinessDate | [0..1] | LocalMktDate | Indicates the date for which the margin is to be calculated
SettlSessID | [0..1] | CodeSet | Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
SettlSessSubID | [0..1] | String |
MarginClass | [0..1] | String | Used to identify a group of instruments with similar risk profile.
Instrument | [0..1] | Component |
TransactTime | [0..1] | UTCTimestamp | Represents the time this message was generated
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarginRequirementReport

Category: MarginRequirementManagement

Message Functionality

The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CJ
ApplicationSequenceControl | [0..1] | Component |
MarginReqmtRptID | [1..1] | String | Unique identifier for this margin requirement report
MarginReqmtInqID | [0..1] | String | Unique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
MarginReqmtRptType | [1..1] | CodeSet | Type of report provided
TotNumReports | [0..1] | int | Total number of reports generated in response to inquiry referenced by MarginReqmtInqID
LastRptRequested | [0..1] | CodeSet |
UnsolicitedIndicator | [0..1] | CodeSet | Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Margin Requirement Inquiry.
Parties | [0..*] | Group |
RegulatoryReportType | [0..1] | CodeSet |
RegulatoryReportTypeBusinessDate | [0..1] | LocalMktDate | May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
TrdRegTimestamps | [0..*] | Group |
ClearingBusinessDate | [0..1] | LocalMktDate | Indicates the date for which the margin is to be calculated
ClearingPortfolioID | [0..1] | String |
SettlSessID | [0..1] | CodeSet | Indicates the settlement session for which the margin is to be calculated – End Of Day or Intraday
SettlSessSubID | [0..1] | String |
MarginClass | [0..1] | String | Used to identify a group of instruments with similar risk profile.
Currency | [0..1] | Currency | Base currency of the margin requirement
CurrencyCodeSource | [0..1] | CodeSet |
Instrument | [0..1] | Component |
MarginAmount | [1..*] | Group | Margin requirement amounts
TransactTime | [0..1] | UTCTimestamp | Represents the time this message was generated
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarketDataIncrementalRefresh

Category: MarketData

Message Functionality

The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = X
ApplicationSequenceControl | [0..1] | Component |
MDBookType | [0..1] | CodeSet | Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
MDFeedType | [0..1] | String | Describes a class of service for a given data feed, ie Regular and Market Maker
MDSubFeedType | [0..1] | String |
TradeDate | [0..1] | LocalMktDate | Used to specify the trading date for which a set of market data applies
MDReqID | [0..1] | String | Conditionally required if this message is in response to a Market Data Request.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
MDIncGrp | [1..*] | Group | Number of entries following.
ApplQueueDepth | [0..1] | int | Depth of application messages queued for transmission as of delivery of this message
ApplQueueResolution | [0..1] | CodeSet | Action taken to resolve application queuing
RoutingGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

MarketDataReport

Category: MarketData

Message Functionality

The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = DR
ApplicationSequenceControl | [0..1] | Component |
MDReportID | [0..1] | int | Unique identifier for MarketDataReport(35=DR).
MDReportEvent | [1..1] | CodeSet |
MDReportCount | [1..1] | int |
TransactTime | [0..1] | UTCTimestamp |
TotNumReports | [0..1] | int |
TotNoMarketSegmentReports | [0..1] | int |
TotNoInstrumentReports | [0..1] | int |
TotNoPartyDetailReports | [0..1] | int |
TotNoEntitlementReports | [0..1] | int |
TotNoRiskLimitReports | [0..1] | int |
StandardTrailer | [1..1] | Component |

MarketDataRequest

Category: MarketData

Message Functionality

Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = V
MDReqID | [1..1] | String | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2(Disable previous Snapshot + Updates Request).
SubscriptionRequestType | [1..1] | CodeSet | SubscriptionRequestType(263) indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
Parties | [0..*] | Group |
MarketDepth | [1..1] | int |
MDUpdateType | [0..1] | CodeSet | Required if SubscriptionRequestType(263) = 1(Snapshot + Updates).
AggregatedBook | [0..1] | CodeSet |
OpenCloseSettlFlag | [0..1] | CodeSet | Can be used to clarify a request if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
Scope | [0..1] | CodeSet | Defines the scope(s) of the request
MDImplicitDelete | [0..1] | CodeSet | Can be used when MarketDepth(254) >= 2 and MDUpdateType(265) = 1(Incremental Refresh).
MDReqGrp | [1..*] | Group |
MarketSegmentScopeGrp | [0..*] | Group | Can be used to limit the result set to the specified markets or market segments.
InstrmtMDReqGrp | [1..*] | Group |
TrdgSesGrp | [0..*] | Group |
ApplQueueAction | [0..1] | CodeSet | Action to take if application level queuing exists
ApplQueueMax | [0..1] | int | Maximum application queue depth that must be exceeded before queuing action is taken.
MDQuoteType | [0..1] | CodeSet |
FastMarketIndicator | [0..1] | Boolean |
StandardTrailer | [1..1] | Component |

MarketDataRequestReject

Category: MarketData

Message Functionality

The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = Y
MDReqID | [1..1] | String | Must refer to the MDReqID of the request.
Parties | [0..*] | Group | Insert here the set of Parties (firm identification) fields defined in "Common Components of Application Messages".
MDReqRejReason | [0..1] | CodeSet |
MDRjctGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

MarketDataSnapshotFullRefresh

Category: MarketData

Message Functionality

The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = W
ApplicationSequenceControl | [0..1] | Component |
TotNumReports | [0..1] | int | Total number or reports returned in response to a request.
MDReportID | [0..1] | int | Unique identifier for the market data report.
ClearingBusinessDate | [0..1] | LocalMktDate |
MDBookType | [0..1] | CodeSet | Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
MDSubBookType | [0..1] | int | Can be used to define a subordinate book.
MarketDepth | [0..1] | int | Can be used to define the current depth of the book.
MDFeedType | [0..1] | String | Describes a class of service for a given data feed, ie Regular and Market Maker
MDSubFeedType | [0..1] | String |
RefreshIndicator | [0..1] | Boolean |
TradeDate | [0..1] | LocalMktDate | Used to specify the trading date for which a set of market data applies
MDReqID | [0..1] | String | Conditionally required if this message is in response to a MarketDataRequest(35=V).
MDStreamID | [0..1] | String |
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
Instrument | [1..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group | Required for multileg quotes
RelatedInstrumentGrp | [0..*] | Group |
LastUpdateTime | [1..1] | UTCTimestamp |
FinancialStatus | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet |
NetChgPrevDay | [0..1] | PriceOffset |
MDSecurityTradingStatus | [0..1] | CodeSet |
MDHaltReason | [0..1] | CodeSet |
MDFullGrp | [1..*] | Group |
ApplQueueDepth | [0..1] | int | Depth of application messages queued for transmission as of delivery of this message
ApplQueueResolution | [0..1] | CodeSet | Action taken to resolve application queuing
RoutingGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

MarketDataStatisticsReport

Category: MarketData

Message Functionality

The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = DP
ApplicationSequenceControl | [0..1] | Component |
MDStatisticRptID | [1..1] | String | Unique message identifier for the report.
MDStatisticReqID | [0..1] | String | Unique message identifier for the request. Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
MDStatisticRequestResult | [0..1] | CodeSet | Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
UnsolicitedIndicator | [0..1] | CodeSet | Set to 'Y' if message is sent as a result of a subscription request not a snapshot request
Parties | [0..*] | Group |
CustOrderCapacity | [0..1] | CodeSet |
TradeDate | [0..1] | LocalMktDate |
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
MarketSegmentDesc | [0..1] | String |
EncodedMktSegmDescLen | [0..1] | Length | Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
EncodedMktSegmDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MarketDesgmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
SecurityListID | [0..1] | String |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Instrument | [0..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
MDStatisticRptGrp | [1..*] | Group | Specifies the resulting statistics information and corresponding statistical parameters.
TransactTime | [0..1] | UTCTimestamp | Time that the report was provided.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

MarketDataStatisticsRequest

Category: MarketData

Message Functionality

The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DO
MDStatisticReqID | [1..1] | String | Unique message identifier for the request or the identifier of a previous request when unsubscribing.
SubscriptionRequestType | [1..1] | CodeSet | Used to subscribe / unsubscribe for market data statistics reports or to request a one-time snapshot of the current information.
Parties | [0..*] | Group |
TradeDate | [0..1] | LocalMktDate | Used to specify the business date.
MarketID | [0..1] | Exchange | Used to specify a single market.
MarketSegmentID | [0..1] | String | Used to specify a single market segment.
MarketSegmentDesc | [0..1] | String |
EncodedMktSegmDescLen | [0..1] | Length | Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
EncodedMktSegmDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MarketSegmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
SecurityListID | [0..1] | String | Used to reference an entire group of instruments for which a single set of statistics is to be calculated.
Instrument | [0..1] | Component | Used to specify an individual instrument or instrument attributes for which a single set of statistics is to be calculated.
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
MDStatisticReqGrp | [1..*] | Group | Used to specify the parameters for the calculation of statistics.
TransactTime | [0..1] | UTCTimestamp | Time that the request was submitted.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [0..1] | Component |

MarketDefinition

Category: MarketStructureReferenceData

Message Functionality

The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BU
ApplicationSequenceControl | [0..1] | Component |
MarketReportID | [1..1] | String | Unique identifier for each market definition message.
MarketReqID | [0..1] | String |
MarketID | [1..1] | Exchange |
MarketSegmentID | [0..1] | String |
MarketSegmentDesc | [0..1] | String |
EncodedMktSegmDescLen | [0..1] | Length | Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
EncodedMktSegmDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
ParentMktSegmID | [0..1] | String | Specifies that the market segment specified in this message is a sub-segment of the market segment defined in this field.
MarketSegmentStatus | [0..1] | CodeSet |
MarketSegmentType | [0..1] | CodeSet | Used to specify the purpose of a special market segment identified by MarketSegmentID(1300). Conditionally required if MarketSegmentSubType(2544) is specified.
MarketSegmentSubType | [0..1] | CodeSet |
InstrumentScopeGrp | [0..*] | Group | Used to specify the types of securities that belong to the market segment.
RelatedMarketSegmentGrp | [0..*] | Group | Used to specify market segments that have a relationship to the market segment defined in this message.
Currency | [0..1] | Currency | The default trading currency
CurrencyCodeSource | [0..1] | CodeSet |
BaseTradingRules | [0..1] | Component | Used to specify the base trading rules for the identified market or market segment.
OrdTypeRules | [0..*] | Group | Used to specify the order types that are valid for trading on the identified market or market segment.
TimeInForceRules | [0..*] | Group | Used to specify the time in force rules that are valid for trading on the identified market or market segment.
ExecInstRules | [0..*] | Group | Used to specify the execution instructions that are valid for trading on the identified market or market segment.
AuctionTypeRuleGrp | [0..*] | Group | Used to specify the auction order types that are valid for trading on the identified market or market segment.
MarketDataFeedTypes | [0..*] | Group | Used to specify the market data feed types that are valid for trading on the identified market or market segment.
MatchRules | [0..*] | Group | Used to specify the matching rules that are valid for trading on the identified market or market segment.
FlexProductEligibilityGrp | [0..*] | Group | Specifies the eligibility indicators for the creation of flexible securities.
Parties | [0..*] | Group | Specifies parties relevant for the market or market segment, e.g. market makers.
MiscFeesGrp | [0..*] | Group |
EffectiveBusinessDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

MarketDefinitionRequest

Category: MarketStructureReferenceData

Message Functionality

The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BT
MarketReqID | [1..1] | String | Must be unique, or the ID of previous Market Segment Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request(2).
SubscriptionRequestType | [1..1] | CodeSet |
MarketID | [0..1] | Exchange | Conditionally required if MarketSegmentID(1300) is specified on the request
MarketSegmentID | [0..1] | String |
ParentMktSegmID | [0..1] | String | Specifies that the Market Segment is a sub segment of the Market Segment defined in this field.
StandardTrailer | [1..1] | Component |

MarketDefinitionUpdateReport

Category: MarketStructureReferenceData

Message Functionality

In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BV
ApplicationSequenceControl | [0..1] | Component |
MarketReportID | [1..1] | String | Unique identifier for each market definition message.
MarketReqID | [0..1] | String |
MarketUpdateAction | [0..1] | CodeSet | Specifies the action taken
MarketID | [1..1] | Exchange |
MarketSegmentID | [0..1] | String |
MarketSegmentDesc | [0..1] | String |
EncodedMktSegmDescLen | [0..1] | Length | Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
EncodedMktSegmDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
ParentMktSegmID | [0..1] | String | Specifies that the market segment specified in this message is a sub-segment of the market segment defined in this field.
MarketSegmentStatus | [0..1] | CodeSet |
MarketSegmentType | [0..1] | CodeSet | Used to specify the purpose of a special market segment identified by MarketSegmentID(1300). Conditionally required if MarketSegmentSubType(2544) is specified.
MarketSegmentSubType | [0..1] | CodeSet |
InstrumentScopeGrp | [0..*] | Group | Used to specify the types of securities that belong to the market segment.
RelatedMarketSegmentGrp | [0..*] | Group | Used to specify market segments that have a relationship to the market segment defined in this message.
Currency | [0..1] | Currency | The default trading currency
CurrencyCodeSource | [0..1] | CodeSet |
BaseTradingRules | [0..1] | Component | Used to specify the valid base trading rules for the identified market or market segment.
OrdTypeRules | [0..*] | Group | Used to specify the order types that are valid for trading on the identified market or market segment.
TimeInForceRules | [0..*] | Group | Used to specify the time in force rules that are valid for trading on the identified market or market segment.
ExecInstRules | [0..*] | Group | Used to specify the execution instructions that are valid for trading on the identified market or market segment.
AuctionTypeRuleGrp | [0..*] | Group | Used to specify the auction order types that are valid for trading on the identified market or market segment.
MarketDataFeedTypes | [0..*] | Group | Used to specify the market data feed types that are valid for trading on the identified market or market segment.
MatchRules | [0..*] | Group | Used to specify the matching rules that are valid for trading on the identified market or market segment.
FlexProductEligibilityGrp | [0..*] | Group | Specifies the eligibility indicators for the creation of flexible securities.
Parties | [0..*] | Group | Specifies parties relevant for the market or market segment, e.g. market makers.
EffectiveBusinessDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

MassOrder

Category: OrderMassHandling

Message Functionality

The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DJ
MassOrderRequestID | [1..1] | String |
OrderResponseLevel | [0..1] | CodeSet |
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
Parties | [0..*] | Group | This is party information related to the submitter.
TradingCapacity | [0..1] | CodeSet |
ClearingAccountType | [0..1] | CodeSet |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet |
ManualOrderIndicator | [0..1] | Boolean |
CustOrderHandlingInst | [0..1] | CodeSet |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
ThrottleInst | [0..1] | CodeSet |
TotNoOrderEntries | [0..1] | int | Used to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryGrp across all messages with the same MassOrderRequestID(2423).
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
OrderEntryGrp | [1..*] | Group |
StandardTrailer | [1..1] | Component |

MassOrderAck

Category: OrderMassHandling

Message Functionality

The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DK
ApplicationSequenceControl | [0..1] | Component | For use in drop copy applications. NOT FOR USE in transactional applications.
MassOrderRequestID | [0..1] | String |
MassOrderReportID | [0..1] | String |
MassOrderRequestStatus | [1..1] | CodeSet | Message level request status
MassOrderRequestResult | [0..1] | CodeSet | Message level request result
OrderResponseLevel | [0..1] | CodeSet | Level of response requested from receiver of MassOrder (35=DJ) message.
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
Parties | [0..*] | Group |
TradingCapacity | [1..1] | CodeSet |
ClearingAccountType | [0..1] | CodeSet |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet |
ManualOrderIndicator | [0..1] | Boolean |
CustOrderHandlingInst | [0..1] | CodeSet |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedRejectText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
CopyMsgIndicator | [0..1] | Boolean |
TotNoOrderEntries | [0..1] | int | Used to support fragmentation. Sum of NoOrderEntries(2428) within the OrderEntryAckGrp across all messages with the same MassOrderRequestID(2423).
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
ThrottleResponse | [0..1] | Component |
OrderEntryAckGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

MassQuote

Category: QuotationNegotiation

Message Functionality

The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = i (lowercase)
QuoteReqID | [0..1] | String | Required when quote is in response to a Quote Request message
QuoteID | [1..1] | String |
QuoteType | [0..1] | CodeSet | Type of Quote. Default is Indicative if not specified
QuoteModelType | [0..1] | CodeSet |
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages.
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
DefBidSize | [0..1] | Qty | Default Bid Size for quote contained within this quote message - if not explicitly provided.
DefOfferSize | [0..1] | Qty | Default Offer Size for quotes contained within this quote message - if not explicitly provided.
QuotSetGrp | [1..*] | Group | The number of sets of quotes in the message
SelfMatchPreventionID | [0..1] | String |
SelfMatchPreventionInstruction | [0..1] | CodeSet |
ThrottleInst | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

MassQuoteAck

Category: QuotationNegotiation

Message Functionality

Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = b (lowercase)
QuoteReqID | [0..1] | String | Required when acknowledgment is in response to a Quote Request message
QuoteID | [0..1] | String | Required when acknowledgment is in response to a Mass Quote, mass Quote Cancel or mass Quote Status Request message. Maps to:. - QuoteID(117) of a Mass Quote. - QuoteMsgID(1166) of Quote Cancel. - QuoteStatusReqID(649) of Quote Status Request
QuoteStatus | [1..1] | CodeSet | Status of the mass quote acknowledgement.
QuoteRejectReason | [0..1] | CodeSet | Reason Quote was rejected.
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages. Is echoed back to the counterparty.
QuoteType | [0..1] | CodeSet | Type of Quote
QuoteCancelType | [0..1] | CodeSet |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TargetParties | [0..*] | Group | Should be populated if the Mass Quote Acknowledgement is acknowledging a mass quote cancellation by party.
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
QuotSetAckGrp | [0..*] | Group | The number of sets of quotes in the message
ThrottleResponse | [0..1] | Component |
StandardTrailer | [1..1] | Component |

MultilegOrderCancelReplace

Category: MultilegOrders

Message Functionality

Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AC
OrderID | [0..1] | String | Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
OrderRequestID | [0..1] | int | Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
OrigClOrdID | [0..1] | String | ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
ClOrdID | [0..1] | String | Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
OrigOrdModTime | [0..1] | UTCTimestamp |
Parties | [0..*] | Group | This is party information related to the submitter of the request.
TargetParties | [0..*] | Group | Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
DayBookingInst | [0..1] | CodeSet |
BookingUnit | [0..1] | CodeSet |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String | Used to assign an identifier to the block of individual preallocations
PreAllocMlegGrp | [0..*] | Group | Number of repeating groups for pre-trade allocation
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
CashMargin | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
AuctionInstruction | [0..1] | CodeSet |
MinQty | [0..1] | Qty |
MinQtyMethod | [0..1] | CodeSet |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
MaximumPriceDeviation | [0..1] | Percentage |
ValueChecksGrp | [0..*] | Group |
MatchingInstructions | [0..*] | Group |
SelfMatchPreventionID | [0..1] | String | May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
SelfMatchPreventionInstruction | [0..1] | CodeSet |
DisplayInstruction | [0..1] | Component |
DisclosureInstructionGrp | [0..*] | Group | Specifies instructions to disclose certain order level information in market data.
MaxFloor | [0..1] | Qty |
MarketSegmentID | [0..1] | String |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
ExDestinationType | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
ProcessCode | [0..1] | CodeSet | Used to identify soft trades at order entry.
Side | [1..1] | CodeSet | Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
ShortMarkingExemptIndicator | [0..1] | Boolean |
Instrument | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group | Number of underlyings
PrevClosePx | [0..1] | Price | Useful for verifying security identification
SwapPoints | [0..1] | PriceOffset |
LegOrdGrp | [0..*] | Group | Number of legs
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
QtyType | [0..1] | CodeSet |
OrderQtyData | [0..1] | Component | Conditionally required when the OrderQtyData component is specified in the NewOrderMultileg(35=AB) message.
OrdType | [1..1] | CodeSet |
MultilegModel | [0..1] | CodeSet |
MultilegPriceMethod | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
IOIID | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
TradingCapacity | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
TradePublishIndicator | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet |
OrderOrigination | [0..1] | CodeSet |
OrderAttributeGrp | [0..*] | Group |
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Required if ForexReq = Y.
SettlCurrencyCodeSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet | 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). Absence of this field implies regular booking.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ClearingAccountType | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet | For use in derivatives omnibus accounting
CoveredOrUncovered | [0..1] | CodeSet | For use with derivatives, such as options
MaxShow | [0..1] | Qty |
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
RiskFreeRate | [0..1] | float |
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message for this Order.
Designation | [0..1] | String | Supplementary registration information for this Order
OwnerType | [0..1] | CodeSet |
OrderOwnershipIndicator | [0..1] | CodeSet | Can be used to request change of order ownership.
MultiLegRptTypeReq | [0..1] | CodeSet | Indicates the method of execution reporting requested by issuer of the order.
ThrottleInst | [0..1] | CodeSet |
AuctionType | [0..1] | CodeSet | Conditionally required for auction orders.
AuctionAllocationPct | [0..1] | Percentage |
RelatedHighPrice | [0..1] | Price |
RelatedLowPrice | [0..1] | Price |
RelatedPriceSource | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

NetworkCounterpartySystemStatusRequest

Category: Network

Message Functionality

This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = "BC"

NetworkRequestType
[1..1]
CodeSet

NetworkRequestID
[1..1]
String

CompIDReqGrp
[0..*]
Group
Used to restrict updates/request to a list of specific CompID/SubID/LocationID/DeskID combinations. If not present request applies to all applicable available counterparties. EG Unless one sell side broker was a customer of another you would not expect to see information about other brokers, similarly one fund manager etc.

StandardTrailer
[1..1]
Component

NetworkCounterpartySystemStatusResponse

Category: Network

Message Functionality

This message is sent in response to a Network (Counterparty System) Status Request Message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = "BD"
NetworkStatusResponseType | [1..1] | CodeSet |
NetworkRequestID | [0..1] | String |
NetworkResponseID | [1..1] | String |
LastNetworkResponseID | [0..1] | String | Required when NetworkStatusResponseType=2
CompIDStatGrp | [1..*] | Group | Specifies the number of repeating CompId's
StandardTrailer | [1..1] | Component |

NewOrderCross

Category: CrossOrders

Message Functionality

Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = s (lowercase S)
CrossID | [1..1] | String |
OrderRequestID | [0..1] | int |
CrossType | [1..1] | CodeSet |
CrossPrioritization | [1..1] | CodeSet |
RootParties | [0..*] | Group | Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
SideCrossOrdModGrp | [1..*] | Group | Must be 1 or 2. 1 or 2 if CrossType=1. 2 otherwise
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Number of Legs
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
MinQty | [0..1] | Qty |
MinQtyMethod | [0..1] | CodeSet |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
DisplayInstruction | [0..1] | Component | Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
MaxFloor | [0..1] | Qty |
MarketSegmentID | [0..1] | String |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
ProcessCode | [0..1] | CodeSet | Used to identify soft trades at order entry.
PrevClosePx | [0..1] | Price | Useful for verifying security identification
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
TransBkdTime | [0..1] | UTCTimestamp | A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
OrdType | [1..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
IOIID | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
TradingCapacity | [0..1] | CodeSet |
MaxShow | [0..1] | Qty |
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message for this Order.
Designation | [0..1] | String | Supplementary registration information for this Order
ThrottleInst | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

NewOrderList

Category: ProgramTrading

Message Functionality

The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = E
ListID | [1..1] | String | Must be unique, by customer, for the day
BidID | [0..1] | String | Should refer to an earlier program if bidding took place.
ClientBidID | [0..1] | String |
ProgRptReqs | [0..1] | CodeSet |
BidType | [1..1] | CodeSet | e.g. Non Disclosed Model, Disclosed Model, No Bidding Process
ProgPeriodInterval | [0..1] | int |
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message applicable to all Orders in this List.
ListExecInstType | [0..1] | CodeSet | Controls when execution should begin For CIV Orders indicates order of execution.
ListExecInst | [0..1] | String | Free-form text.
ContingencyType | [0..1] | CodeSet | Used for contingency orders.
EncodedListExecInstLen | [0..1] | Length | Must be set if EncodedListExecInst field is specified and must immediately precede it.
EncodedListExecInst | [0..1] | data | Encoded (non-ASCII characters) representation of the ListExecInst field in the encoded format specified via the MessageEncoding field.
AllowableOneSidednessPct | [0..1] | Percentage | The maximum percentage that execution of one side of a program trade can exceed execution of the other.
AllowableOneSidednessValue | [0..1] | Amt | The maximum amount that execution of one side of a program trade can exceed execution of the other.
AllowableOneSidednessCurr | [0..1] | Currency | The currency that AllowableOneSidedness is expressed in if AllowableOneSidednessValue is used.
ListManualOrderIndicator | [0..1] | Boolean |
TotNoOrders | [1..1] | int | Used to support fragmentation. Sum of NoOrders across all messages with the same ListID.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
RootParties | [0..*] | Group | Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual orders.
ListOrdGrp | [1..*] | Group | Number of orders in this message (number of repeating groups to follow)
ThrottleInst | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

NewOrderMultileg

Category: MultilegOrders

Message Functionality

The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AB
ClOrdID | [1..1] | String | Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
OrderRequestID | [0..1] | int |
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
Parties | [0..*] | Group | This is party information related to the submitter of the request.
TargetParties | [0..*] | Group | Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
DayBookingInst | [0..1] | CodeSet |
BookingUnit | [0..1] | CodeSet |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String | Used to assign an identifier to the block of individual preallocations
PreAllocMlegGrp | [0..*] | Group | Number of repeating groups for pre-trade allocation
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
CashMargin | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
AuctionInstruction | [0..1] | CodeSet |
MinQty | [0..1] | Qty |
MinQtyMethod | [0..1] | CodeSet |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
MaximumPriceDeviation | [0..1] | Percentage |
ValueChecksGrp | [0..*] | Group |
MatchingInstructions | [0..*] | Group |
SelfMatchPreventionID | [0..1] | String | May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
SelfMatchPreventionInstruction | [0..1] | CodeSet |
DisplayInstruction | [0..1] | Component |
DisclosureInstructionGrp | [0..*] | Group | Specifies instructions to disclose certain order level information in market data.
MaxFloor | [0..1] | Qty |
MarketSegmentID | [0..1] | String |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
ExDestinationType | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
ProcessCode | [0..1] | CodeSet | Used to identify soft trades at order entry.
Side | [1..1] | CodeSet | Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the Instrument Leg component block.
ShortMarkingExemptIndicator | [0..1] | Boolean |
Instrument | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group | Number of underlyings
PrevClosePx | [0..1] | Price | Useful for verifying security identification
SwapPoints | [0..1] | PriceOffset | For FX Swaps. Used to express the differential between the far leg's bid/offer and the near leg's bid/offer.
LegOrdGrp | [0..*] | Group | Number of legs
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
QtyType | [0..1] | CodeSet |
OrderQtyData | [0..1] | Component | Conditionally required when the multileg order is not for a FX Swap, or any other swaps or multilegged transaction where having OrderQty(38) is irrelevant as the amounts are expressed in the LegOrderQty(685).
OrdType | [1..1] | CodeSet |
MultilegModel | [0..1] | CodeSet |
MultilegPriceMethod | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
TradePriceNegotiationMethod | [0..1] | CodeSet |
UpfrontPriceType | [0..1] | CodeSet |
UpfrontPrice | [0..1] | Price | Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
IOIID | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
RefOrderID | [0..1] | String | Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
RefOrderIDSource | [0..1] | CodeSet | Conditionally required if RefOrderID is specified.
RefClOrdID | [0..1] | String |
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
TradingCapacity | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
TradePublishIndicator | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet |
OrderOrigination | [0..1] | CodeSet |
OrderAttributeGrp | [0..*] | Group |
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Required if ForexReq = Y.
SettlCurrencyCodeSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet | 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). Absence of this field implies regular booking.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ClearingAccountType | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet | For use in derivatives omnibus accounting
CoveredOrUncovered | [0..1] | CodeSet | For use with derivatives, such as options
MaxShow | [0..1] | Qty |
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
RiskFreeRate | [0..1] | float |
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message for this Order.
Designation | [0..1] | String | Supplementary registration information for this Order
MultiLegRptTypeReq | [0..1] | CodeSet | Indicates the method of execution reporting requested by issuer of the order.
ThrottleInst | [0..1] | CodeSet |
AuctionType | [0..1] | CodeSet | Conditionally required for auction orders.
AuctionAllocationPct | [0..1] | Percentage |
RelatedHighPrice | [0..1] | Price |
RelatedLowPrice | [0..1] | Price |
RelatedPriceSource | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

NewOrderSingle

Category: SingleGeneralOrderHandling

Message Functionality

The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution.

The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = D
ClOrdID | [1..1] | String | Unique identifier of the order as assigned by institution or by the intermediary (CIV term, not a hub/service bureau) with closest association with the investor.
OrderRequestID | [0..1] | int |
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
DuplicateClOrdIDIndicator | [0..1] | CodeSet |
Parties | [0..*] | Group | This is party information related to the submitter of the request.
TargetParties | [0..*] | Group | Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
DayBookingInst | [0..1] | CodeSet |
BookingUnit | [0..1] | CodeSet |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String | Used to assign an overall allocation id to the block of preallocations
PreAllocGrp | [0..*] | Group | Number of repeating groups for pre-trade allocation
SettlType | [0..1] | CodeSet | For NDFs either SettlType or SettlDate should be specified.
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values. For NDFs either SettlType or SettlDate should be specified.
CashMargin | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, W, a, d) must be specified.
AuctionInstruction | [0..1] | CodeSet |
MinQty | [0..1] | Qty |
MinQtyMethod | [0..1] | CodeSet |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
MaximumPriceDeviation | [0..1] | Percentage |
ValueChecksGrp | [0..*] | Group |
MatchingInstructions | [0..*] | Group |
SelfMatchPreventionID | [0..1] | String | May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
SelfMatchPreventionInstruction | [0..1] | CodeSet |
DisplayInstruction | [0..1] | Component |
DisclosureInstructionGrp | [0..*] | Group | Specifies instructions to disclose certain order level information in market data.
MaxFloor | [0..1] | Qty |
MarketSegmentID | [0..1] | String |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
ExDestinationType | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
ProcessCode | [0..1] | CodeSet | Used to identify soft trades at order entry.
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
PrevClosePx | [0..1] | Price | Useful for verifying security identification
Side | [1..1] | CodeSet |
ShortMarkingExemptIndicator | [0..1] | Boolean |
ShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when Side(54) = 6(Sell short exempt).
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
QtyType | [0..1] | CodeSet |
OrderQtyData | [1..1] | Component |
OrdType | [1..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
CurrentWorkingPrice | [0..1] | Price | May be used for new (child) orders stemming from the split of a parent order. Refers to the working price of the parent order.
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
TradePriceNegotiationMethod | [0..1] | CodeSet |
UpfrontPriceType | [0..1] | CodeSet |
UpfrontPrice | [0..1] | Price | Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
CopyMsgIndicator | [0..1] | Boolean | May be used when intentionally sending an order more than once, e.g. an order being received manually as well as electronically in conjunction with a regulatory requirement to report both events.
IOIID | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
TradingCapacity | [0..1] | CodeSet |
RegulatoryReportType | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
TradePublishIndicator | [0..1] | CodeSet | Applies to trades resulting from the order.
CustOrderCapacity | [0..1] | CodeSet |
OrderAttributeGrp | [0..*] | Group |
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Required if ForexReq=Y. Required for NDFs.
SettlCurrencyCodeSource | [0..1] | CodeSet |
RateSource | [0..*] | Group |
OffshoreIndicator | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet | 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). Absence of this field implies regular booking.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Price2 | [0..1] | Price | Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
ClearingAccountType | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet | For use in derivatives omnibus accounting
CoveredOrUncovered | [0..1] | CodeSet | For use with derivatives, such as options
MaxShow | [0..1] | Qty |
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message for this Order.
Designation | [0..1] | String | Supplementary registration information for this Order
ManualOrderIndicator | [0..1] | Boolean |
CustDirectedOrder | [0..1] | Boolean |
ReceivedDeptID | [0..1] | String |
CustOrderHandlingInst | [0..1] | CodeSet |
OrderHandlingInstSource | [0..1] | CodeSet |
OrderOrigination | [0..1] | CodeSet |
ContraOrderOrigination | [0..1] | CodeSet | May be used for cross orders submitted with single order messages.
OriginatingDeptID | [0..1] | String |
ReceivingDeptID | [0..1] | String |
RoutingArrangementIndicator | [0..1] | CodeSet |
ContraRoutingArrangementIndicator | [0..1] | CodeSet | May be used for cross orders submitted with single order messages.
AffiliatedFirmsTradeIndicator | [0..1] | Boolean |
OwnerType | [0..1] | CodeSet |
TrdRegTimestamps | [0..*] | Group |
TrdRegPublicationGrp | [0..*] | Group |
TradeReportingIndicator | [0..1] | CodeSet |
RefOrderID | [0..1] | String | Required for counter-order selection / Hit / Take Orders. (OrdType = Q)
RefOrderIDSource | [0..1] | CodeSet | Conditionally required if RefOrderID is specified.
ThrottleInst | [0..1] | CodeSet |
RefClOrdID | [0..1] | String |
AuctionType | [0..1] | CodeSet | Conditionally required for auction orders
AuctionAllocationPct | [0..1] | Percentage |
StandardTrailer | [1..1] | Component |

News

Category: EventCommunication

Message Functionality

The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = B
ApplicationSequenceControl | [0..1] | Component |
NewsID | [0..1] | String | Unique identifer for News message
NewsRefGrp | [0..*] | Group | News items referenced by this News message
NewsCategory | [0..1] | CodeSet |
LanguageCode | [0..1] | Language | Used to optionally specify the national language used for the News item.
OrigTime | [0..1] | UTCTimestamp |
Urgency | [0..1] | CodeSet |
Headline | [1..1] | String | Specifies the headline text
EncodedHeadlineLen | [0..1] | Length | Must be set if EncodedHeadline field is specified and must immediately precede it.
EncodedHeadline | [0..1] | data | Encoded (non-ASCII characters) representation of the Headline field in the encoded format specified via the MessageEncoding field.
RoutingGrp | [0..*] | Group |
MarketID | [0..1] | Exchange | Used to optionally specify the market to which this News applies.
MarketSegmentID | [0..1] | String | Used to optionally specify the market segment to which this News applies.
InstrmtGrp | [0..*] | Group | Specifies the number of repeating symbols (instruments) specified
InstrmtLegGrp | [0..*] | Group |
UndInstrmtGrp | [0..*] | Group | Number of underlyings
LinesOfTextGrp | [1..*] | Group | Specifies the number of repeating lines of text specified
URLLink | [0..1] | String | A URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)
RawDataLength | [0..1] | Length |
RawData | [0..1] | data |
StandardTrailer | [1..1] | Component |

OrderCancelReject

Category: SingleGeneralOrderHandling

Message Functionality

The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 9
OrderID | [1..1] | String | If CxlRejReason="Unknown order", specify "NONE".
OrderRequestID | [0..1] | int | Required if provided on the order cancel or cancel/replace request. Echo back the value provided by the requester.
SecondaryOrderID | [0..1] | String | Can be used to provide order id used by exchange or executing system.
SecondaryClOrdID | [0..1] | String |
ClOrdID | [1..1] | String | Unique order id assigned by institution or by the intermediary with closest association with the investor. to the cancel request or to the replacement order.
ClOrdLinkID | [0..1] | String |
OrigClOrdID | [0..1] | String | ClOrdID(11) which could not be canceled/replaced. ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
OrdStatus | [1..1] | CodeSet | OrdStatus value after this cancel reject is applied. If CxlRejReason = "Unknown Order", specify Rejected.
WorkingIndicator | [0..1] | CodeSet | For optional use with OrdStatus = 0 (New)
OrigOrdModTime | [0..1] | UTCTimestamp |
ListID | [0..1] | String | Required for rejects against orders which were submitted as part of a list.
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
CxlRejResponseTo | [1..1] | CodeSet |
CxlRejReason | [0..1] | CodeSet |
RejectText | [0..1] | String | Reason description for rejecting the transaction request.
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
Parties | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderCancelReplaceRequest

Category: SingleGeneralOrderHandling

Message Functionality

The order cancel/replace request is used to change the parameters of an existing order.

Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = G
OrderID | [0..1] | String | Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
OrderRequestID | [0..1] | int | Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester.
Parties | [0..*] | Group | This is party information related to the submitter of the request.
TargetParties | [0..*] | Group | Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order.
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
OrigClOrdID | [0..1] | String | ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID
ClOrdID | [1..1] | String | Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected.
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
DuplicateClOrdIDIndicator | [0..1] | CodeSet |
ListID | [0..1] | String | Required for List Orders
OrigOrdModTime | [0..1] | UTCTimestamp | TransactTime of the last state change that occurred to the original order
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
DayBookingInst | [0..1] | CodeSet |
BookingUnit | [0..1] | CodeSet |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String | Used to assign an overall allocation id to the block of preallocations
PreAllocGrp | [0..*] | Group | Number of repeating groups for pre-trade allocation
SettlType | [0..1] | CodeSet | For NDFs either SettlType or SettlDate should be specified.
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values. For NDFs either SettlType or SettlDate should be specified.
CashMargin | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. Replacement order must be created with new parameters (i.e. original order values will not be brought forward to replacement order unless redefined within this message).
AuctionInstruction | [0..1] | CodeSet |
MinQty | [0..1] | Qty |
MinQtyMethod | [0..1] | CodeSet |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
MaximumPriceDeviation | [0..1] | Percentage |
ValueChecksGrp | [0..*] | Group |
MatchingInstructions | [0..*] | Group |
SelfMatchPreventionID | [0..1] | String | May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
SelfMatchPreventionInstruction | [0..1] | CodeSet |
DisplayInstruction | [0..1] | Component |
DisclosureInstructionGrp | [0..*] | Group | Specifies instructions to disclose certain order level information in market data.
MaxFloor | [0..1] | Qty |
MarketSegmentID | [0..1] | String |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
ExDestinationType | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". Must match original order
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages". Must match original order
UndInstrmtGrp | [0..*] | Group | Number of underlyings
Side | [1..1] | CodeSet | Should match original order's side, however, if bilaterally agreed to the following groups could potentially be interchanged:. Buy and Buy Minus. Sell, Sell Plus, Sell Short, and Sell Short Exempt. Cross, Cross Short, and Cross Short Exempt
ShortMarkingExemptIndicator | [0..1] | Boolean |
ShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when Side(54) = 6(Sell short exempt).
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
Stipulations | [0..*] | Group |
QtyType | [0..1] | CodeSet |
OrderQtyData | [1..1] | Component | Note: OrderQty(38) value should be the "Total Intended Order Quantity" (including the amount already executed for this chain of orders).
OrdType | [1..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc.
CurrentWorkingPrice | [0..1] | Price | May be used to correct the initial working price of the parent order when this (child) order was entered.
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price | Required for OrdType = "Stop" or OrdType = "Stop limit".
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
Currency | [0..1] | Currency | Must match original order.
CurrencyCodeSource | [0..1] | CodeSet |
TimeInForce | [0..1] | CodeSet | Absence of this field indicates Day order
EffectiveTime | [0..1] | UTCTimestamp | Can specify the time at which the order should be considered valid
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
TradingCapacity | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
TradePublishIndicator | [0..1] | CodeSet | Applies to trades resulting from the order.
CustOrderCapacity | [0..1] | CodeSet |
OrderAttributeGrp | [0..*] | Group |
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Required if ForexReq=Y. Required for NDFs.
SettlCurrencyCodeSource | [0..1] | CodeSet |
RateSource | [0..*] | Group |
OffshoreIndicator | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet | 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). Absence of this field implies regular booking.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Price2 | [0..1] | Price | Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap.
ClearingAccountType | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet | For use in derivatives omnibus accounting
CoveredOrUncovered | [0..1] | CodeSet | For use with derivatives, such as options
MaxShow | [0..1] | Qty |
LocateReqd | [0..1] | CodeSet | Required for short sell orders
CancellationRights | [0..1] | CodeSet | For CIV - Optional
MoneyLaunderingStatus | [0..1] | CodeSet |
RegistID | [0..1] | String | Reference to Registration Instructions message for this Order.
Designation | [0..1] | String | Supplementary registration information for this Order
ManualOrderIndicator | [0..1] | Boolean |
CustDirectedOrder | [0..1] | Boolean |
ReceivedDeptID | [0..1] | String |
CustOrderHandlingInst | [0..1] | CodeSet |
OrderHandlingInstSource | [0..1] | CodeSet |
OrderOrigination | [0..1] | CodeSet |
ContraOrderOrigination | [0..1] | CodeSet | May be used for cross orders submitted with single order messages.
OriginatingDeptID | [0..1] | String |
ReceivingDeptID | [0..1] | String |
RoutingArrangementIndicator | [0..1] | CodeSet |
ContraRoutingArrangementIndicator | [0..1] | CodeSet | May be used for cross orders submitted with single order messages.
OwnerType | [0..1] | CodeSet |
OrderOwnershipIndicator | [0..1] | CodeSet | Can be used to request change of order ownership.
TrdRegTimestamps | [0..*] | Group |
ThrottleInst | [0..1] | CodeSet |
AuctionType | [0..1] | CodeSet | Conditionally required for auction orders.
AuctionAllocationPct | [0..1] | Percentage |
ReleaseInstruction | [0..1] | CodeSet |
ReleaseQty | [0..1] | Qty |
StandardTrailer | [1..1] | Component |

OrderCancelRequest

Category: SingleGeneralOrderHandling

Message Functionality

The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = F

OrderRequestID
[0..1]
int
Required if provided on the order being cancelled. Echo back the value provided by the requester.

OrigClOrdID
[0..1]
String
ClOrdID(11) of the previous non-rejected order (NOT the initial order of the day) when canceling or replacing an order. Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID

OrderID
[0..1]
String
Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).

ClOrdID
[1..1]
String
Unique ID of cancel request as assigned by the institution.

SecondaryClOrdID
[0..1]
String

ClOrdLinkID
[0..1]
String

ListID
[0..1]
String
Required for List Orders

OrigOrdModTime
[0..1]
UTCTimestamp

Account
[0..1]
String

AcctIDSource
[0..1]
CodeSet

AccountType
[0..1]
CodeSet

Parties
[0..*]
Group
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"

Instrument
[1..1]
Component
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"

FinancingDetails
[0..1]
Component
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages". Must match original order

UndInstrmtGrp
[0..*]
Group
Number of underlyings

MarketSegmentID
[0..1]
String

ExDestination
[0..1]
Exchange
Execution destination when referring to orders that were not electronically submitted over FIX and ClOrdID has not been assigned or is not available to the recipient of the request.

ExDestinationIDSource
[0..1]
CodeSet

Side
[1..1]
CodeSet

TransactTime
[1..1]
UTCTimestamp
Time this order request was initiated/released by the trader or trading system.

OrderQtyData
[0..1]
Component
Conditionally required when the OrderQtyData component is required or specified in a prior, related message. For example, when used in a work flow including a NewOrderSingle(35=D) or NewOrderCross(35=s) message, the OrderQtyData component is a required component in these messages and thus the component is required here. When the OrderQtyData component is optional in a related message, such as the NewOrderMultileg(35=AB), the component is required here when specified in the prior, related NewOrderMultileg(35=AB) message.

ComplianceID
[0..1]
String

ComplianceText
[0..1]
String

EncodedComplianceTextLen
[0..1]
Length
Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.

EncodedComplianceText
[0..1]
data
Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.

Text
[0..1]
String

EncodedTextLen
[0..1]
Length
Must be set if EncodedText field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

StandardTrailer
[1..1]
Component

OrderMassActionReport

Category: OrderMassHandling

Message Functionality

The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BZ
ClOrdID | [0..1] | String | ClOrdID provided on the Order Mass Action Request.
SecondaryClOrdID | [0..1] | String |
MassActionReportID | [1..1] | String | Unique Identifier for the Order Mass Action Report
MassActionType | [1..1] | CodeSet | Order Mass Action Request Type accepted by the system
MassActionScope | [1..1] | CodeSet | Specifies the scope of the action
MassActionReason | [0..1] | CodeSet | Specifies the reason for the action taken.
MassActionResponse | [1..1] | CodeSet | Indicates the action taken by the counterparty order handling system as a result of the Action Request.
MassActionRejectReason | [0..1] | CodeSet | Indicates why Order Mass Action Request was rejected. Required if MassActionResponse(1375) = 0 (Rejected).
TotalAffectedOrders | [0..1] | int | Optional field used to indicate the total number of orders affected by the Order Mass Action Request
TotalNotAffectedOrders | [0..1] | int | Optional field used to indicate the total number of orders within the scope but not affected by the OrderMassActionRequest(35=CA).
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
AffectedOrdGrp | [0..*] | Group | List of orders affected by the Order Mass Action Request.
NotAffectedOrdGrp | [0..*] | Group | List of orders not affected by the Order Mass Action Request.
AffectedMarketSegmentGrp | [0..*] | Group | List of market segments affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
NotAffectedMarketSegmentGrp | [0..*] | Group | List of market segments not affected by the Order Mass Action Request. Should only be used when request uses TargetMarketSegmentGrp component.
MarketID | [0..1] | Exchange | MarketID for which orders are to be affected
MarketSegmentID | [0..1] | String | MarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
TargetMarketSegmentGrp | [0..*] | Group | Mutually exclusive with MarketSegmentID(1300).
TradingSessionID | [0..1] | String | TradingSessionID for which orders are to be affected
TradingSessionSubID | [0..1] | CodeSet | TradingSessionSubID for which orders are to be affected
Parties | [0..*] | Group |
TargetParties | [0..*] | Group | Should be populated with the values provided on the associated OrderMassActionRequest(MsgType=CA).
Instrument | [0..1] | Component |
UnderlyingInstrument | [0..1] | Component |
Side | [0..1] | CodeSet | Side of the market specified on the Order Mass Action Request
Price | [0..1] | Price |
TransactTime | [0..1] | UTCTimestamp | Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderMassActionRequest

Category: OrderMassHandling

Message Functionality

The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CA
ClOrdID | [1..1] | String | Unique ID of Order Mass Action Request as assigned by the institution.
SecondaryClOrdID | [0..1] | String |
MassActionType | [1..1] | CodeSet | Specifies the type of action requested
MassActionScope | [1..1] | CodeSet | Specifies the scope of the action
MassActionReason | [0..1] | CodeSet | Specifies the reason for the action requested.
MarketID | [0..1] | Exchange | MarketID for which orders are to be affected
MarketSegmentID | [0..1] | String | MarketSegmentID for which orders are to be affected. Mutually exclusive with TargetMarketSegmentGrp component.
TargetMarketSegmentGrp | [0..*] | Group | List of market segments for which orders are to be affected. Mutually exclusive with MarketSegmentID(1300).
TradingSessionID | [0..1] | String | Trading Session in which orders are to be affected
TradingSessionSubID | [0..1] | CodeSet |
Parties | [0..*] | Group |
TargetParties | [0..*] | Group | Can be used to specify the parties to whom the Order Mass Action should apply.
Instrument | [0..1] | Component |
UnderlyingInstrument | [0..1] | Component |
Side | [0..1] | CodeSet | Can be used to filter for orders of a single instrument.
Price | [0..1] | Price | Can be used to filter for orders of a single instrument.
TransactTime | [1..1] | UTCTimestamp |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderMassCancelReport

Category: OrderMassHandling

Message Functionality

The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = r (lowercase R)
ClOrdID | [0..1] | String | ClOrdID provided on the Order Mass Cancel Request. Unavailable in case of an unsolicited report, such as after a trading halt or a corporate action requiring the deletion of outstanding orders.
SecondaryClOrdID | [0..1] | String |
OrderID | [1..1] | String | Unique Identifier for the Order Mass Cancel Request assigned by the recipient of the Order Mass Cancel Request.
MassActionReportID | [1..1] | String | Unique Identifier for the Order Mass Cancel Report assigned by the recipient of the Order Mass Cancel Request
SecondaryOrderID | [0..1] | String | Secondary Order ID assigned by the recipient of the Order Mass Cancel Request.
MassCancelRequestType | [1..1] | CodeSet | Order Mass Cancel Request Type accepted by the system
MassCancelResponse | [1..1] | CodeSet | Indicates the action taken by the counterparty order handling system as a result of the Cancel Request. 0 - Indicates Order Mass Cancel Request was rejected.
MassCancelRejectReason | [0..1] | CodeSet | Indicates why Order Mass Cancel Request was rejected. Required if MassCancelResponse = 0
TotalAffectedOrders | [0..1] | int | Optional field used to indicate the total number of orders affected by the Order Mass Cancel Request
AffectedOrdGrp | [0..*] | Group | List of orders affected by the Order Mass Cancel Request
NotAffectedOrdGrp | [0..*] | Group | List of orders not affected by Order Mass Cancel Request.
TradingSessionID | [0..1] | String | Trading Session in which orders are to be canceled
TradingSessionSubID | [0..1] | CodeSet |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
TargetParties | [0..*] | Group | Should be populated with the values provided on the associated OrderMassCancelRequest(MsgType=Q).
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UnderlyingInstrument | [0..1] | Component | Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
Side | [0..1] | CodeSet | Side of the market specified on the Order Mass Cancel Request
TransactTime | [0..1] | UTCTimestamp | Time this report was initiated/released by the sells-side (broker, exchange, ECN) or sell-side executing system.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderMassCancelRequest

Category: OrderMassHandling

Message Functionality

The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = q (lowercase Q)
ClOrdID | [1..1] | String | Unique ID of Order Mass Cancel Request as assigned by the institution.
SecondaryClOrdID | [0..1] | String |
MassCancelRequestType | [1..1] | CodeSet | Specifies the type of cancellation requested
TradingSessionID | [0..1] | String | Trading Session in which orders are to be canceled
TradingSessionSubID | [0..1] | CodeSet |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "common components of application messages"
TargetParties | [0..*] | Group | Can be used to specify the parties to whom the Order Mass Cancel should apply.
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UnderlyingInstrument | [0..1] | Component | Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
MarketID | [0..1] | Exchange | Required for MassCancelRequestType = 8 (Cancel orders for a market)
MarketSegmentID | [0..1] | String | Required for MassCancelRequestType = 9 (Cancel orders for a market segment)
Side | [0..1] | CodeSet | Optional qualifier used to indicate the side of the market for which orders are to be canceled. Absence of this field indicates that orders are to be canceled regardless of side.
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader or trading system.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

OrderMassStatusRequest

Category: OrderMassHandling

Message Functionality

The order mass status request message requests the status for orders matching criteria specified within the request.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AF
MassStatusReqID | [1..1] | String | Unique ID of mass status request as assigned by the institution.
MassStatusReqType | [1..1] | CodeSet |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TargetParties | [0..*] | Group | Can be used to specify the parties to whom the Order Mass Status Request should apply.
Account | [0..1] | String | Account
AcctIDSource | [0..1] | CodeSet |
TradingSessionID | [0..1] | String | Trading Session
TradingSessionSubID | [0..1] | CodeSet |
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UnderlyingInstrument | [0..1] | Component | Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
Side | [0..1] | CodeSet | Optional qualifier used to indicate the side of the market for which orders will be returned.
StandardTrailer | [1..1] | Component |

OrderStatusRequest

Category: SingleGeneralOrderHandling

Message Functionality

The order status request message is used by the institution to generate an order status message back from the broker.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = H
OrderID | [0..1] | String | Conditionally required if ClOrdID(11) is not provided. Either OrderID or ClOrdID must be provided.
ClOrdID | [0..1] | String | The ClOrdID of the order whose status is being requested. Conditionally required if the OrderID(37) is not provided. Either OrderID or ClOrdID must be provided.
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
OrdStatusReqID | [0..1] | String | Optional, can be used to uniquely identify a specific Order Status Request message. Echoed back on Execution Report if provided.
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages". Must match original order
UndInstrmtGrp | [0..*] | Group | Number of underlyings
MarketSegmentID | [0..1] | String |
Side | [1..1] | CodeSet |
StandardTrailer | [1..1] | Component |

PartyActionReport

Category: PartiesAction

Message Functionality

Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DI
EffectiveBusinessDate | [0..1] | LocalMktDate |
PartyActionRequestID | [0..1] | String | Conditionally required when responding to a PartyActionRequest(35=DH) message.
PartyActionReportID | [1..1] | String |
PartyActionType | [1..1] | CodeSet |
PartyActionResponse | [1..1] | CodeSet |
PartyActionRejectReason | [0..1] | CodeSet | Conditionally required when PartyActionResponse(2332) = 2 (Rejected).
ApplTestMessageIndicator | [0..1] | Boolean | Conditionally required if present in the PartyActionRequest(35=DH) message.
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
InstrumentScope | [0..1] | Component |
RequestingPartyGrp | [0..*] | Group | May be used to identify the party making the request and their role.
Parties | [1..*] | Group | Used to specify the trading party on which the action is applied to. If in response to PartyActionRequest(35=DH) message, this should echo back the values from the request.
RelatedPartyDetailGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
CopyMsgIndicator | [0..1] | Boolean |
StandardTrailer | [1..1] | Component |

PartyActionRequest

Category: PartiesAction

Message Functionality

The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DH
PartyActionRequestID | [1..1] | String |
PartyActionType | [1..1] | CodeSet |
ApplTestMessageIndicator | [0..1] | Boolean |
MarketID | [0..1] | Exchange | Use to reduce the scope to a market
MarketSegmentID | [0..1] | String | Use to reduce the scope to a market segment
InstrumentScope | [0..1] | Component | Use to reduce the scope of instruments
RequestingPartyGrp | [0..*] | Group | May be used to identify the party making the request and their role.
Parties | [1..*] | Group | Used to specify the trading party on which the action is applied to.
RelatedPartyDetailGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PartyDetailsDefinitionRequest

Category: PartiesReferenceData

Message Functionality

The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties.

The recipient of the message responds with a PartyDetailsDefinitionRequestAck(35=CY) to indicate whether the request was accepted or rejected.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CX
PartyDetailsListRequestID | [1..1] | String |
RequestingPartyGrp | [0..*] | Group | Can be used to identify the party making the request and their role.
PartyDetailsUpdateGrp | [1..*] | Group | Specifies the parties and relationships between parties to be defined, modified, or deleted.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyDetailsDefinitionRequestAck

Category: PartiesReferenceData

Message Functionality

The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CY
PartyDetailsListRequestID | [1..1] | String |
PartyDetailRequestStatus | [1..1] | CodeSet |
PartyDetailRequestResult | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group |
PartyDetailAckGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyDetailsListReport

Category: PartiesReferenceData

Message Functionality

The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CG
ApplicationSequenceControl | [0..1] | Component |
PartyDetailsListReportID | [1..1] | String |
PartyDetailsListRequestID | [0..1] | String | Conditionally required when responding to the PartyDetailsListRequest message.
RequestResult | [0..1] | CodeSet | Conditionally required when responding to the PartyDetailsListRequest message.
TotNoParties | [0..1] | int |
LastFragment | [0..1] | CodeSet |
PartyDetailGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyDetailsListRequest

Category: PartiesReferenceData

Message Functionality

The PartyDetailsListRequest is used to request party detail information.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CF
PartyDetailsListRequestID | [1..1] | String |
RequestingPartyGrp | [0..*] | Group | May be used to identify the party making the request and their role.
Parties | [0..*] | Group | Scope of the query/request for specific party(-ies).
RequestedPartyRoleGrp | [0..*] | Group | Scope of the query/request for specific party role(s)
PartyRelationshipGrp | [0..*] | Group | Scope of the query/reqeust for specific party relationship(s)
SubscriptionRequestType | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyDetailsListUpdateReport

Category: PartiesReferenceData

Message Functionality

The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CK
ApplicationSequenceControl | [0..1] | Component |
PartyDetailsListReportID | [1..1] | String |
PartyDetailsListRequestID | [0..1] | String | Conditionally required when responding to the PartyDetailsListRequest(35=CF) message.
TotNoParties | [0..1] | int |
LastFragment | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group | May be used to specify the requesting party in the event the request was made verbally or via other means.
PartyDetailsUpdateGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PartyEntitlementsDefinitionRequest

Category: PartiesReferenceData

Message Functionality

The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DA
EntitlementRequestID | [1..1] | String |
RequestingPartyGrp | [0..*] | Group | Can be used to identify the party making the request and their role.
PartyEntitlementUpdateGrp | [1..*] | Group | Specifies the entitlements to be defined, modified or deleted for the given party(-ies) and related party(-ies).
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyEntitlementsDefinitionRequestAck

Category: PartiesReferenceData

Message Functionality

The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DB
EntitlementRequestID | [1..1] | String |
EntitlementRequestStatus | [1..1] | CodeSet |
EntitlementRequestResult | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group |
PartyEntitlementAckGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyEntitlementsReport

Category: PartiesReferenceData

Message Functionality

The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CV
ApplicationSequenceControl | [0..1] | Component |
EntitlementReportID | [1..1] | String |
EntitlementRequestID | [0..1] | String | Conditionally required when responding to PartyEntitlementsRequest(35=CU).
RequestResult | [0..1] | CodeSet | Conditionally required when responding to Party Entitlements Request.
TotNoParties | [0..1] | int |
LastFragment | [0..1] | CodeSet |
PartyEntitlementGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyEntitlementsRequest

Category: PartiesReferenceData

Message Functionality

The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CU
EntitlementRequestID | [0..1] | String |
SubscriptionRequestType | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group | May be used to identify the party making the request and their role.
Parties | [0..*] | Group | Scope of the query/request for specific party(-ies).
RequestedPartyRoleGrp | [0..*] | Group | Scope of the query/request for specific party roles. For example, "all information for PartyRole=24".
EntitlementStatus | [0..1] | CodeSet |
EntitlementTypeGrp | [0..*] | Group |
EntitlementPlatform | [0..1] | String |
InstrumentScopeGrp | [0..*] | Group | Scope of the query/request for specific securities.
MarketSegmentScopeGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyEntitlementsUpdateReport

Category: PartiesReferenceData

Message Functionality

The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CZ
ApplicationSequenceControl | [0..1] | Component |
EntitlementReportID | [1..1] | String |
EntitlementRequestID | [0..1] | String | Conditionally required when responding to a PartyEntitlementsRequest(35=CU) message.
TotNoParties | [0..1] | int |
LastFragment | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group | May be used to specify the requesting party in the event the request was made verbally or via other means.
PartyEntitlementUpdateGrp | [1..*] | Group | Specifies the updated entitlements to be enforced for the given party(-ies) and related party(-ies).
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PartyRiskLimitCheckRequest

Category: PartiesAction

Message Functionality

PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType=DE

RiskLimitCheckRequestID
[0..1]
String
Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified. RiskLimitCheckRequestID(2318) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via RiskLimitCheckRequestRefID(2322). The alternative is an entity-based model in which RiskLimitCheckID(2319) is used to statically identify a given request. In this case RiskLimitCheckID(2319) is required and RiskLimitRequestID(1666) can be optionally specified.

RiskLimitCheckID
[0..1]
String
Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be specified.

RiskLimitCheckTransType
[1..1]
CodeSet

RiskLimitCheckType
[1..1]
CodeSet

RiskLimitCheckRequestRefID
[0..1]
int
Conditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace), and message-chaining model is used.

RefOrderID
[0..1]
String
Used to specify the transaction reference for this limit check request.

RefOrderIDSource
[0..1]
CodeSet
Identifies the type of reference specified in RefOrderID(1080) for this limit check request.

RiskLimitCheckRequestType
[0..1]
CodeSet

RiskLimitCheckAmount
[0..1]
Amt
Specifies the amount being requested or consumed, as indicated by RiskLimitCheckType(2321).

Currency
[0..1]
Currency

CurrencyCodeSource
[0..1]
CodeSet

RiskLimitID
[0..1]
String

RequestingPartyGrp
[0..*]
Group
May be used to identify the party making the limit check request and their role.

Parties
[0..*]
Group
May be used to specify the trading party on which the limit check request is for. Each request is for a single trading party and the specified transaction reference.

RelatedPartyDetailGrp
[0..*]
Group

Instrument
[0..1]
Component

LegOrdGrp
[0..*]
Group

UndInstrmtGrp
[0..*]
Group

Side
[0..1]
CodeSet

TransactTime
[0..1]
UTCTimestamp

Text
[0..1]
String

EncodedTextLen
[0..1]
Length
Must be set if EncodedText(355) field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.

StandardTrailer
[1..1]
Component

PartyRiskLimitCheckRequestAck

Category: PartiesAction

Message Functionality

PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DG
RiskLimitCheckRequestID | [0..1] | String | Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message
RiskLimitCheckID | [0..1] | String | Either RiskLimitCheckRequestID(2318) or RiskLimitCheckID(2319) must be provided from the request message.
RiskLimitCheckRequestStatus | [1..1] | CodeSet |
RiskLimitCheckRequestResult | [0..1] | CodeSet |
RiskLimitCheckTransType | [1..1] | CodeSet | Identifies the RiskLimitCheckTransType(2320) this message is responding to as specified in the request message.
RiskLimitCheckType | [1..1] | CodeSet | Identifies the RiskLimitCheckType(2321) this message is responding to as specified in the request message.
RiskLimitCheckRequestRefID | [0..1] | int | Conditionally required when RiskLimitCheckTransType(2320) = 1 (Cancel) or 2 (Replace)
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
RefOrderID | [0..1] | String |
RefOrderIDSource | [0..1] | CodeSet |
Side | [0..1] | CodeSet |
RiskLimitApprovedAmount | [0..1] | Amt | Conditionally required when RiskLimitCheckRequestStatus(2325)=1 (Partially approved)
RiskLimitCheckAmount | [0..1] | Amt |
RiskLimitID | [0..1] | String |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
ExpireTime | [0..1] | UTCTimestamp | Optionally used to specify when the approved credit limit being reserved will expire.
RequestingPartyGrp | [0..*] | Group |
Parties | [0..*] | Group | The trading party identified in the limit check request.
RelatedPartyDetailGrp | [0..*] | Group |
Instrument | [0..1] | Component |
LegOrdGrp | [0..*] | Group |
UndInstrmtGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PartyRiskLimitsDefinitionRequest

Category: PartiesReferenceData

Message Functionality

PartyRiskLimitDefinitionRequest is used for defining new risk limits.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CS
RiskLimitRequestID | [1..1] | String |
RequestingPartyGrp | [0..*] | Group | May be used to identify the party making the request and their role.
PartyRiskLimitsUpdateGrp | [0..*] | Group | Risk limits to be enforced for given party(-ies) and related party(-ies).
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyRiskLimitsDefinitionRequestAck

Category: PartiesReferenceData

Message Functionality

PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CT
RiskLimitRequestID | [1..1] | String |
RiskLimitRequestResult | [0..1] | CodeSet |
RiskLimitRequestStatus | [1..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group |
PartyRiskLimitsAckGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyRiskLimitsReport

Category: PartiesReferenceData

Message Functionality

The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CM
ApplicationSequenceControl | [0..1] | Component |
RiskLimitReportID | [1..1] | String |
RiskLimitRequestID | [0..1] | String | Conditionally required when responding to PartyRiskLimitsRequest(35=CL).
RiskLimitRequestType | [0..1] | CodeSet | Can be used when responding to a PartyRiskLimitsRequest(35=CL).
RequestResult | [0..1] | CodeSet | Conditionally required when responding to a PartyRiskLimitsRequest(35=CL).
UnsolicitedIndicator | [0..1] | CodeSet |
TotNoParties | [0..1] | int |
LastFragment | [0..1] | CodeSet |
PartyRiskLimitsGrp | [0..*] | Group | Optionally includes utilization (consumption) information.
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyRiskLimitsReportAck

Category: PartiesReferenceData

Message Functionality

PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DE
RiskLimitReportID | [1..1] | String | The identifier of the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) message.
RiskLimitRequestID | [0..1] | String |
RiskLimitReportStatus | [1..1] | CodeSet |
RiskLimitReportRejectReason | [0..1] | CodeSet | Conditionally required when RiskLimitReportStatus(2316)=1 (Rejected).
PartyRiskLimitsUpdateGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PartyRiskLimitsRequest

Category: PartiesReferenceData

Message Functionality

The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CL
RiskLimitRequestID | [1..1] | String |
RiskLimitRequestType | [0..1] | CodeSet | Scope of risk limit information.
SubscriptionRequestType | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group | May be used to identify the party making the request and their role.
Parties | [0..*] | Group | Scope of the query/request for specific party(-ies)
RequestedPartyRoleGrp | [0..*] | Group | Scope of the query/request for specific party role(s). For example, "all information for PartyRole=24."
RequestedRiskLimitTypesGrp | [0..*] | Group |
RiskLimitPlatform | [0..1] | String |
RiskInstrumentScopeGrp | [0..*] | Group | Scope of the query/request for specific securities. Absence means all instruments for a given party or party role.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

PartyRiskLimitsUpdateReport

Category: PartiesReferenceData

Message Functionality

The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=CR
ApplicationSequenceControl | [0..1] | Component |
RiskLimitReportID | [1..1] | String |
RiskLimitRequestID | [0..1] | String | Conditionally required when sent as part of a subscription requested by a PartyRiskLimitsRequest(35=CL).
RiskLimitRequestType | [0..1] | CodeSet | Can be used if sent as part of a subscription started by a PartyRiskLimitsRequest(35=CL).
TotNoParties | [0..1] | int |
LastFragment | [0..1] | CodeSet |
RequestingPartyGrp | [0..*] | Group | May be used to specify the requesting party in the event the request was made verbally or via other means.
PartyRiskLimitsUpdateGrp | [0..*] | Group |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PayManagementReport

Category: PayManagement

Message Functionality

PayManagementReport(35=EA) may be used to respond to the PayManagementRequest(35=DY) message. It provides the status of the request (e.g. accepted, disputed) and may provide additional information related to the request.

PayManagementReport(35=EA) may also be sent unsolicited by the broker to a client. In which case the client may acknowledge and resolve disputes out-of-band or with a simple PayManagementReportAck(35=EB).

PayManagementReport(35=EA) may also be sent unsolicited to report the progress status of the payment itself with PayReportTransType(2804)=2 (Status).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EA
PayReportID | [1..1] | String |
PayRequestID | [0..1] | String | Conditionally required when responding to PayManagementRequest(35=DY).
PayReportTransType | [1..1] | CodeSet |
PayReportRefID | [0..1] | String | Required for PayReportTransType(2804)=1 (Replace).
ReplaceText | [0..1] | String | May be used to provide reason for PayReportTransType(2804)=1 (Replace).
EncodedReplaceTextLen | [0..1] | Length | Must be set if EncodedReplaceText(2801) field is specified and must immediately precede it.
EncodedReplaceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ReplaceText(2805) field in the encoded format specified via the MessageEncoding(347) field.
PayRequestStatus | [0..1] | CodeSet | PayRequestStatus(2813)=0 (Received) is not applicable in this message.
PayDisputeReason | [0..1] | int | May be used to provide reason for PayRequestStatus(2813)=3 (Disputed).
RejectText | [0..1] | String | May be used to elaborate the reason for rejection or dispute.
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
ClearingBusinessDate | [0..1] | LocalMktDate | Echos back the business date of the PayManagementRequest(35=DY) message if this report is responding to a request. When the report is sent unsolicited, this is the business date of the report. This may carry the same date as the payment calculation date in PostTradePaymentCalculationDate(2825).
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Instrument | [0..1] | Component | May be included with minimal detail to identify the security or contract for which payments are to be made.
RelatedTradeGrp | [0..*] | Group | May be included to identify the trade(s) for which payments are to be made. Each instance identifies a separate trade.
Parties | [0..*] | Group | Identifies the parties to the contracts or trades. The account to be debited or credited is identified in the PostTradePayment component.
PostTradePayment | [1..1] | Component |
SettlDetails | [0..*] | Group |
StandardTrailer | [1..1] | Component |

PayManagementReportAck

Category: PayManagement

Message Functionality

PayManagementReportAck(35=EB) is used as a response to the PayManagementReport(35=EA) message. It may be used to accept, reject or dispute the details of the PayManagementReport(35=EA) depending on the business rules of the receiver. This message may also be used to acknowledge the receipt of a PayManagementReport(35=EA) message.

Structure

Name | Mult. | Type | Description
StandardHeader | [0..1] | Component | MsgType=EB
PayReportID | [1..1] | String |
PayReportStatus | [1..1] | CodeSet |
PayDisputeReason | [0..1] | int | May be used to provide reason for PayReportStatus(2806)=3 (Disputed).
RejectText | [0..1] | String | May be used to elaborate the reason for rejection or dispute.
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PayManagementRequest

Category: PayManagement

Message Functionality

PayManagementRequest(35=DY) message is used to communicate a future or expected payment to be made or received related to a trade or contract after its settlement.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DY
PayRequestID | [1..1] | String |
PayRequestTransType | [1..1] | CodeSet |
PayRequestRefID | [0..1] | String | Required for PayRequestTransType(2811)=1 (Cancel).
CancelText | [0..1] | String | May be used to provide reason for PayRequestTransType(2811)=1 (Cancel).
EncodedCancelTextLen | [0..1] | Length | Must be set if EncodedCancelText(2808) field is specified and must immediately precede it.
EncodedCancelText | [0..1] | data | Encoded (non-ASCII characters) representation of the CancelText(2807) field in the encoded format specified via the MessageEncoding(347) field.
ClearingBusinessDate | [0..1] | LocalMktDate | The business date of the request. This may carry the same date as the payment calculation date in PostTradePaymentCalculationDate(2825).
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Instrument | [0..1] | Component | May be included with minimal detail to identify the security or contract for which payments are to be made.
RelatedTradeGrp | [0..*] | Group | May be included to identify the trade(s) for which payments are to be made. Each instance identifies a separate trade.
Parties | [0..*] | Group | Identifies the parties to the contracts or trades. The account to be debited or credited is identified in the PostTradePayment component.
PostTradePayment | [1..1] | Component |
SettlDetails | [0..*] | Group |
StandardTrailer | [1..1] | Component |

PayManagementRequestAck

Category: PayManagement

Message Functionality

PayManagementRequestAck(35=DZ) is used to acknowledge the receipt of the PayManagementRequest(35=DY) message (i.e. a technical acknowledgement of receipt). Acceptance or rejection of the request is reported in the corresponding PayManagementReport(35=EA).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgTyp=DZ
PayRequestID | [1..1] | String |
PayRequestStatus | [1..1] | CodeSet | Only PayRequestStatus(2813)=0 (Received) is applicable in this message.
StandardTrailer | [1..1] | Component |

PositionMaintenanceReport

Category: PositionMaintenance

Message Functionality

The Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AM
PosMaintRptID | [1..1] | String | Unique identifier for this position report
PosTransType | [1..1] | CodeSet |
PositionID | [0..1] | String | Unique identifier for this position entity.
PosReqID | [0..1] | String | Unique identifier for the position maintenance request associated with this report
PosMaintAction | [1..1] | CodeSet |
OrigPosReqRefID | [0..1] | String | Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
PosMaintStatus | [0..1] | CodeSet | Status of PositionMaintenanceRequest. Condtionally required when responding to a PositionMaintenanceRequest.
PosMaintResult | [0..1] | CodeSet |
ClearingBusinessDate | [1..1] | LocalMktDate | The Clearing Business Date covered by this request
PreviousClearingBusinessDate | [0..1] | LocalMktDate | The business date previous to the clearing business date referred to by this maintenance request.
ValuationDate | [0..1] | LocalMktDate | Valuation date of the position(s) in this report.
ValuationTime | [0..1] | LocalMktTime | Valuation time of the position(s) in this report.
ValuationBusinessCenter | [0..1] | String | Business center of ValuationDate(2085) and ValuationTime(2086). Single value only.
DiscountFactor | [0..1] | float | For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
ClearedIndicator | [0..1] | CodeSet |
ContractRefPosType | [0..1] | CodeSet |
PositionCapacity | [0..1] | CodeSet |
TerminatedIndicator | [0..1] | Boolean |
InputSource | [0..1] | String |
Parties | [0..*] | Group | Position Account
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
PosMaintRptRefID | [0..1] | String | Reference to a PosMaintRptID (Tag 721) from a previous Position Maintenance Report that is being replaced or canceled
Instrument | [1..1] | Component |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate |
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
ContraryInstructionIndicator | [0..1] | Boolean | Can be set to true when a position maintenance request is being performed contrary to current money position, i.e. for an exercise of an out of the money position or an abandonement (do not exercise ) of an in the money position
PriorSpreadIndicator | [0..1] | Boolean |
InstrmtLegGrp | [0..*] | Group | Specifies the number of legs that make up the Security
RelatedInstrumentGrp | [0..*] | Group |
UndInstrmtGrp | [0..*] | Group | Specifies the number of underlying legs that make up the Security
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
TransactTime | [0..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary. Conditionally required except when requests for reports are processed in batch, transaction time is not available, or when PosReqID is not present.
PositionQty | [0..*] | Group | Conditionally required when PosMaintAction(712) = 1(New), 2(Replace) or 4(Reverse).
PositionAmountData | [0..*] | Group | Insert here here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
RegulatoryTradeIDGrp | [0..*] | Group | The source, value and relationship of multiple trade identifiers for the same trade, e.g. Unique Swap Identifiers.
PaymentGrp | [0..*] | Group | Additional payments or bullet payments.
AdjustmentType | [0..1] | CodeSet | Type of adjustment to be applied. Delta_plus, Delta_minus, Final. If Adjustment Type is null, the PCS request will be processed as Margin Disposition only
ThresholdAmount | [0..1] | PriceOffset |
RelatedTradeGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

PositionMaintenanceRequest

Category: PositionMaintenance

Message Functionality

The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AL
PosReqID | [0..1] | String | Unique identifier for the position maintenance request as assigned by the submitter. Conditionally required when used in a request/reply scenario (i.e. not required in batch scenario)
PosTransType | [1..1] | CodeSet |
PosMaintAction | [1..1] | CodeSet |
OrigPosReqRefID | [0..1] | String | Reference to the PosReqID of a previous maintenance request that is being replaced or canceled.
PosMaintRptRefID | [0..1] | String | Reference to a PosMaintRptID from a previous Position Maintenance Report that is being replaced or canceled.
ClearingBusinessDate | [1..1] | LocalMktDate | The Clearing Business Date referred to by this maintenance request
SettlDate | [0..1] | LocalMktDate |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
Parties | [1..*] | Group | The Following PartyRoles can be specified:. ClearingOrganization. Clearing Firm. Position Account
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
Instrument | [1..1] | Component |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Specifies the number of legs that make up the Security
RelatedInstrumentGrp | [0..*] | Group |
UndInstrmtGrp | [0..*] | Group | Specifies the number of underlying legs that make up the Security
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
TransactTime | [0..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
PositionQty | [1..*] | Group |
PositionAmountData | [0..*] | Group |
AdjustmentType | [0..1] | CodeSet | Type of adjustment to be applied, used for PCS & PAJ. Delta_plus, Delta_minus, Final, If Adjustment Type is null, the request will be processed as Margin Disposition
ContraryInstructionIndicator | [0..1] | Boolean | Boolean - if Y then indicates you are requesting a position maintenance that acting
PriorSpreadIndicator | [0..1] | Boolean | Boolean - Y indicates you are requesting rollover of prior day's spread submissions
ThresholdAmount | [0..1] | PriceOffset |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

PositionReport

Category: PositionMaintenance

Message Functionality

The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AP
ApplicationSequenceControl | [0..1] | Component |
PosMaintRptID | [1..1] | String | Unique identifier for this position report
PositionID | [0..1] | String | Unique identifier for this position entity.
PosReqID | [0..1] | String | Unique identifier for the Request for Positions associated with this report. This field should not be provided if the report was sent unsolicited.
PosReqType | [0..1] | CodeSet | Will be 7=Net Position if the report contains net position information for margin requirements.
PosReportAction | [0..1] | CodeSet |
MarginReqmtInqID | [0..1] | String | Unique identifier for the inquiry associated with this report. This field should not be provided if the report was sent unsolicited.
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
TotalNumPosReports | [0..1] | int | Total number of Position Reports being returned
TotNumReports | [0..1] | int |
LastRptRequested | [0..1] | CodeSet |
PosReqResult | [0..1] | CodeSet | Result of a Request for Position
UnsolicitedIndicator | [0..1] | CodeSet | Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
RegulatoryReportType | [0..1] | CodeSet |
RegulatoryReportTypeBusinessDate | [0..1] | LocalMktDate | May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).
TransactionAttributeGrp | [0..*] | Group |
TrdRegTimestamps | [0..*] | Group |
ClearingBusinessDate | [1..1] | LocalMktDate | The Clearing Business Date referred to by this maintenance request
PreviousClearingBusinessDate | [0..1] | LocalMktDate | The business date previous to the clearing business date referred to by this maintenance request.
ClearingPortfolioID | [0..1] | String |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
PriceType | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
MessageEventSource | [0..1] | String | Used to identify the event or source which gave rise to a message
ClearedIndicator | [0..1] | CodeSet |
ContractRefPosType | [0..1] | CodeSet |
PositionCapacity | [0..1] | CodeSet |
TerminatedIndicator | [0..1] | Boolean |
TerminationDate | [0..1] | LocalMktDate |
IntraFirmTradeIndicator | [0..1] | Boolean |
TradeContinuation | [0..1] | CodeSet |
TradeContinuationText | [0..1] | String |
EncodedTradeContinuationTextLen | [0..1] | Length | Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
EncodedTradeContinuationText | [0..1] | data | Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
TradeCollateralization | [0..1] | CodeSet |
Parties | [1..*] | Group | Position Account
Account | [0..1] | String | Account may also be specified through via Parties Block using Party Role 27 which signifies Account
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin). Account may also be specified through via Parties Block using Party Role 27 which signifies Account
TaxonomyType | [0..1] | CodeSet |
Instrument | [0..1] | Component |
FinancingDetails | [0..1] | Component |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Position Settlement Date
SettlPrice | [0..1] | Price |
SettlPriceFxRateCalc | [0..1] | CodeSet | Expresses whether to multiply or divide SettlPrice(730) to arrive at the amount reported in PosAmt(708).
SettlForwardPoints | [0..1] | PriceOffset |
SettlPriceUnitOfMeasure | [0..1] | CodeSet |
SettlPriceUnitOfMeasureCurrency | [0..1] | Currency |
SettlPriceUnitOfMeasureCurrencyCodeSource | [0..1] | CodeSet |
SettlPriceType | [0..1] | CodeSet | Values = Final, Theoretical
PriorSettlPrice | [0..1] | Price |
PositionContingentPrice | [0..1] | Price |
DiscountFactor | [0..1] | float | For a forward position this is an appropriate value to discount the mark to market amount from the contract’s maturity date back to present value.
ValuationDate | [0..1] | LocalMktDate | Valuation date of the position(s) in this report
ValuationTime | [0..1] | LocalMktTime | Valuation time of the position(s) in this report
ValuationBusinessCenter | [0..1] | String | Business center of ValuationDate(2085) and ValuationTime(2086). Single value only.
MatchStatus | [0..1] | CodeSet | Used to indicate if a Position Report is matched or unmatched
InstrmtLegGrp | [0..*] | Group | Specifies the number of legs that make up the Security
RelatedInstrumentGrp | [0..*] | Group |
CollateralAmountGrp | [0..*] | Group |
CollateralizationValueDate | [0..1] | LocalMktDate |
PosUndInstrmtGrp | [0..*] | Group | Specifies the number of underlying legs that make up the Security
TransactTime | [0..1] | UTCTimestamp |
PositionQty | [0..*] | Group | Insert here the set of "Position Qty" fields defined in "Common Components of Application Messages"
PositionAmountData | [0..*] | Group | Insert here the set of "Position Amount Data" fields defined in "Common Components of Application Messages"
RegulatoryTradeIDGrp | [0..*] | Group |
PaymentGrp | [0..*] | Group |
RegistStatus | [0..1] | CodeSet | RegNonRegInd
DeliveryDate | [0..1] | LocalMktDate |
ModelType | [0..1] | CodeSet |
PriceDelta | [0..1] | float |
RelatedTradeGrp | [0..*] | Group |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

PositionTransferInstruction

Category: PositionMaintenance

Message Functionality

The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = DL

TransferInstructionID
[1..1]
String
Submitting, cancelling, changing, accepting, and declining a transfer are all considered separate instructions, and each must have a unique ID. Chaining of firm generated IDs is not supported; TransferID(2437) assigned by the CCP must be used when sending an instruction referencing a previously submitted transfer.

TransferID
[0..1]
String
Conditionally required when responding to a PositionTransferReport(35=DN) message (e.g. when accepting or declining a transfer) or performing an action on a transfer (e.g. cancel or replace).

TransferTransType
[0..1]
CodeSet

TransferType
[0..1]
CodeSet

TransferScope
[0..1]
CodeSet

Parties
[1..*]
Group
Specifies the source of the position transfer, e.g. the transferor.

TargetParties
[1..*]
Group
Specifies the target of the position transfer.

ClearingBusinessDate
[0..1]
LocalMktDate
Business date the transfer would clear.

TradeDate
[0..1]
LocalMktDate
Trade date associated with the position being transferred.

TransactTime
[0..1]
UTCTimestamp

Instrument
[0..1]
Component
If not specified, indicates the transfer is for all instruments.

UndInstrmtGrp
[0..*]
Group

PositionQty
[0..*]
Group
Position to transfer from the perspective of the source party prior to the transfer. If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.

ClearingTradePrice
[0..1]
Price
Price at which the position is transferred.

Currency
[0..1]
Currency

CurrencyCodeSource
[0..1]
CodeSet

PriceType
[0..1]
CodeSet

PositionAmountData
[0..*]
Group
Optionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.

Text
[0..1]
String

EncodedTextLen
[0..1]
Length
Must be set if EncodedText(355) field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.

StandardTrailer
[1..1]
Component

PositionTransferInstructionAck

Category: PositionMaintenance

Message Functionality

The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DM
TransferInstructionID | [1..1] | String | The identifier of the PositionTransferInstruction(35=DL) this message is responding to.
TransferID | [0..1] | String | Optional when responding to a "new" transfer. When responding to a PositionTransferInstruction(35=DM) accepting, declining, or cancelling a transfer already initiated, this field can echo the TransferID(2437) sent.
TransferTransType | [0..1] | CodeSet |
TransferType | [0..1] | CodeSet |
TransferStatus | [0..1] | CodeSet |
TransferRejectReason | [0..1] | CodeSet | Conditionally required when TransferStatus(2442) = 1(Rejected by intermediary).
TransferScope | [0..1] | CodeSet |
Parties | [0..*] | Group | Specifies the source of the position transfer, e.g. the transferor.
TargetParties | [0..*] | Group | Specifies the target of the position transfer.
TransactTime | [0..1] | UTCTimestamp |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

PositionTransferReport

Category: PositionMaintenance

Message Functionality

The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = DN
TransferInstructionID | [0..1] | String | Conditionally required when sent in response to a PositionTransferInstruction(35=DM).
TransferReportID | [1..1] | String |
TransferID | [1..1] | String |
TransferTransType | [1..1] | CodeSet |
TransferReportType | [1..1] | CodeSet |
TransferStatus | [1..1] | CodeSet |
TransferRejectReason | [0..1] | CodeSet | Conditionally required when TransferStatus(2422) = 1(Rejected by intermediary).
TransferScope | [0..1] | CodeSet |
Parties | [1..*] | Group | Specifies the source of the position transfer, e.g. the transferor.
TargetParties | [1..*] | Group | Specifies the target of the position transfer.
ClearingBusinessDate | [0..1] | LocalMktDate | Business date the transfer would clear.
TradeDate | [0..1] | LocalMktDate | Trade date associated with the position being transferred.
TransactTime | [0..1] | UTCTimestamp |
Instrument | [0..1] | Component | If not specified, indicates the transfer is for all instruments.
UndInstrmtGrp | [0..*] | Group |
PositionQty | [0..*] | Group | Position to transfer from the perspective of the source party prior to the transfer. If not specified, indicates transfer of all positions for a specified instrument, if Instrument is specified, or transfer of all positions if Instrument is not specified.
ClearingTradePrice | [0..1] | Price | Price at which the position is transferred.
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
PositionAmountData | [0..*] | Group | Optionally used to include cash residuals, etc., from the perspective of the source party prior to the transfer.
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [0..1] | Component |

Quote

Category: QuotationNegotiation

Message Functionality

The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = S
QuoteReqID | [0..1] | String | Required when quote is in response to a QuoteRequest(35=R) message.
QuoteID | [1..1] | String |
BidID | [0..1] | String | Unique identifier for the bid side of the quote.
OfferID | [0..1] | String | Unique identifier for the ask side of the quote.
SecondaryQuoteID | [0..1] | String | Can be used when modifying an existing quote.
QuoteMsgID | [0..1] | String | Optionally used to supply a message identifier for a quote.
QuoteRespID | [0..1] | String | Required when responding to the QuoteResponse(35=AJ) message. The counterparty specified ID of the QuoteResponse(35=AJ) message.
RefOrderID | [0..1] | String | May be used to refer to a related quote.
RefOrderIDSource | [0..1] | CodeSet | Conditionally required if RefOrderID(1080) is specified.
QuoteType | [0..1] | CodeSet | If not specified, the default is an indicative quote.
QuoteModelType | [0..1] | CodeSet |
PrivateQuote | [0..1] | CodeSet | Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
SingleQuoteIndicator | [0..1] | CodeSet |
QuotQualGrp | [0..*] | Group |
TrdType | [0..1] | CodeSet |
NegotiationMethod | [0..1] | CodeSet |
QuoteResponseLevel | [0..1] | CodeSet |
QuoteAttributeGrp | [0..*] | Group | May be used by the quote provider to indicate pre-trade transparency waiver determination in the context of MiFID II.
ValueChecksGrp | [0..*] | Group |
Parties | [0..*] | Group |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
Instrument | [1..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
Side | [0..1] | CodeSet | Required for 1-sided tradeable or counter quotes of single instruments. Omit for 2-sided tradeable quote.
OrderQtyData | [0..1] | Component | Conditionally required for Tradeable or Counter quotes of single instruments when applicable for the type of instrument.
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date". For NDFs this is required.
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
CurrencyCodeSource | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency | Required for NDFs to specify the settlement currency (fixing currency).
SettlCurrencyCodeSource | [0..1] | CodeSet |
RateSource | [0..*] | Group |
Stipulations | [0..*] | Group |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
OwnerType | [0..1] | CodeSet |
SolicitedFlag | [0..1] | CodeSet |
LegQuotGrp | [0..*] | Group | Required for multileg quotes
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
MktBidPx | [0..1] | Price | Can be used by markets that require showing the current best bid and offer
MktOfferPx | [0..1] | Price | Can be used by markets that require showing the current best bid and offer
MinBidSize | [0..1] | Qty | Used for markets that use a minimum and maximum bid size.
BidSize | [0..1] | Qty | If MinBidSize(647) is specified, BidSize(134) is interpreted to contain the maximum bid size.
TotalBidSize | [0..1] | Qty |
MinOfferSize | [0..1] | Qty | Used for markets that use a minimum and maximum offer size.
OfferSize | [0..1] | Qty | If MinOfferSize(648) is specified, OfferSize(135) is interpreted to contain the maximum offer size.
TotalOfferSize | [0..1] | Qty |
MinQty | [0..1] | Qty | For use in private/directed quote negotiations.
ExposureDuration | [0..1] | int |
ExposureDurationUnit | [0..1] | CodeSet |
ValidUntilTime | [0..1] | UTCTimestamp | The time when the quote will expire
BidSpotRate | [0..1] | Price |
OfferSpotRate | [0..1] | Price |
BidForwardPoints | [0..1] | PriceOffset |
OfferForwardPoints | [0..1] | PriceOffset |
BidSwapPoints | [0..1] | PriceOffset |
OfferSwapPoints | [0..1] | PriceOffset |
MidPx | [0..1] | Price |
BidYield | [0..1] | Percentage |
MidYield | [0..1] | Percentage |
OfferYield | [0..1] | Percentage |
TransactTime | [0..1] | UTCTimestamp |
TrdRegTimestamps | [0..*] | Group |
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for
BidForwardPoints2 | [0..1] | PriceOffset | Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
OfferForwardPoints2 | [0..1] | PriceOffset | Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
SettlCurrBidFxRate | [0..1] | float | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this quote message
SettlCurrOfferFxRate | [0..1] | float | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this quote message
SettlCurrFxRateCalc | [0..1] | CodeSet | Can be used when the quote is provided in a currency other than the instruments trading currency.
CommissionData | [0..1] | Component | Can be used to show the counterparty the commission associated with the transaction.
CustOrderCapacity | [0..1] | CodeSet |
ExDestination | [0..1] | Exchange | Used when routing quotes to multiple markets
ExDestinationIDSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
RegulatoryReportType | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
BidSpread | [0..1] | float | SpreadOrBenchmarkCurveData component may be used to specify the benchmark.
OfferSpread | [0..1] | float | SpreadOrBenchmarkCurveData component may be used to specify the benchmark.
SpreadOrBenchmarkCurveData | [0..1] | Component | Spread(218) may be used for a mid-spread value.
RelativeValueGrp | [0..*] | Group |
YieldData | [0..1] | Component |
RoutingGrp | [0..*] | Group |
TradeContinuation | [0..1] | CodeSet | May be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
TradeContinuationText | [0..1] | String |
EncodedTradeContinuationTextLen | [0..1] | Length | Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
EncodedTradeContinuationText | [0..1] | data | Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
SelfMatchPreventionID | [0..1] | String |
SelfMatchPreventionInstruction | [0..1] | CodeSet |
ThrottleInst | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StrikeTime | [0..1] | UTCTimestamp | Conditionally required when QuoteQual(695) = d (Deferred spot) is specified.
StandardTrailer | [1..1] | Component |

QuoteAck

Category: QuotationNegotiation

Message Functionality

The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | 35=CW
QuoteID | [0..1] | String | Contains the QuoteID(117) of a single Quote(35=S).
QuoteMsgID | [0..1] | String | Contains the QuoteMsgID(1166) of a single Quote(35=S) or QuoteCancel(35=Z).
QuoteReqID | [0..1] | String |
QuoteType | [0..1] | CodeSet |
QuoteCancelType | [0..1] | CodeSet |
SecondaryQuoteID | [0..1] | String |
QuoteAckStatus | [1..1] | CodeSet |
QuoteRejectReason | [0..1] | CodeSet | Conditionally required when QuoteAckStatus(1865) = 2(Rejected).
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
Parties | [0..*] | Group |
QuoteAttributeGrp | [0..*] | Group | May be used by the quote receiver to inform quote provider of pre-trade transparency waiver determination in the context of MiFID II.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

QuoteCancel

Category: QuotationNegotiation

Message Functionality

The Quote Cancel message is used by an originator of quotes to cancel quotes.

The Quote Cancel message supports cancellation of:

All quotes

Quotes for a specific symbol or security ID

All quotes for a security type

All quotes for an underlying

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = Z
QuoteReqID | [0..1] | String | Required when quote is in response to a Quote Request message
QuoteID | [0..1] | String | Conditionally required when QuoteCancelType(298) = 5 (Cancel specified single quote) and SecondarlyQuoteID(1751) is not specified. Maps to QuoteID(117) of a single Quote(35=S) or QuoteEntryID(299) of a MassQuote(35=i)
SecondaryQuoteID | [0..1] | String | Conditionally required when QuoteCancelType(298) = 5 (Cancel specific single quote) and QuoteID(117) is not specified.
QuoteMsgID | [0..1] | String | Optionally used to supply a message identifier for a quote cancel.
QuoteCancelType | [1..1] | CodeSet | Identifies the type of Quote Cancel request.
QuoteType | [0..1] | CodeSet | Conditionally required when QuoteCancelType(298)=6(Cancel by type of quote).
QuoteResponseLevel | [0..1] | CodeSet | Level of Response requested from receiver of quote messages.
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TargetParties | [0..*] | Group | Can be used to specify the parties to whom the Quote Cancel should be applied.
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
QuotCxlEntriesGrp | [0..*] | Group | The number of securities (instruments) whose quotes are to be canceled. Not required when cancelling all quotes.
StandardTrailer | [1..1] | Component |

QuoteRequest

Category: QuotationNegotiation

Message Functionality

In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = R
QuoteReqID | [1..1] | String |
RFQReqID | [0..1] | String | For tradeable quote model - used to indicate to which RFQ Request this Quote Request is in response.
ClOrdID | [0..1] | String | Required only in two party models when QuoteType(537) = '1' (Tradeable) and the OrdType(40) = '2' (Limit).
BookingType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
PrivateQuote | [0..1] | CodeSet | Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
RespondentType | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
RootParties | [0..*] | Group | Insert here the set of "Root Parties" fields defined in "common components of application messages". Used for acting parties that applies to the whole message, not individual legs, sides, etc.
QuotReqGrp | [1..*] | Group | Number of related symbols (instruments) in Request
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

QuoteRequestReject

Category: QuotationNegotiation

Message Functionality

The Quote Request Reject message is used to reject Quote Request messages for all quoting models.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AG
QuoteReqID | [1..1] | String |
RFQReqID | [0..1] | String | For tradeable quote model - used to indicate to which RFQ Request this Quote Request is in response.
QuoteRequestRejectReason | [1..1] | CodeSet | Reason Quote was rejected
PrivateQuote | [0..1] | CodeSet | Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes.
RespondentType | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
RootParties | [0..*] | Group | Insert here the set of "Root Parties" fields defined in "common components of application messages". Used for acting parties that applies to the whole message, not individual legs, sides, etc.
QuotReqRjctGrp | [1..*] | Group | Number of related symbols (instruments) in Request
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

QuoteResponse

Category: QuotationNegotiation

Message Functionality

The QuoteResponse(35=AJ) message is used for the following purposes:

Respond to an IOI(35=6) message

Respond to a Quote(35=S) message

Counter a Quote

End a negotiation dialog

Follow-up or end a QuoteRequest(35=R) dialog that did not receive a response.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AJ
QuoteRespID | [1..1] | String | Unique ID as assigned by the Initiator
QuoteID | [0..1] | String | Required only when responding to a Quote.
QuoteMsgID | [0..1] | String | Optionally used when responding to a Quote.
QuoteReqID | [0..1] | String | Contains the QuoteReqID(131) of the QuoteRequest(35=R).
QuoteRespType | [1..1] | CodeSet |
ClOrdID | [0..1] | String | Unique ID as assigned by the Initiator. Required only in two-party models when QuoteRespType(694) = 1 (Hit/Lift) or 2 (Counter quote).
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
IOIID | [0..1] | String | Required only when responding to an IOI.
QuoteType | [0..1] | CodeSet | Default is Indicative.
PreTradeAnonymity | [0..1] | Boolean |
QuotQualGrp | [0..*] | Group |
TrdType | [0..1] | CodeSet | May be used by SEFs (Swap Execution Facilities) to indicate a block swap transaction.
RegulatoryTransactionType | [0..1] | CodeSet |
NegotiationMethod | [0..1] | CodeSet |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". For multilegs supply minimally a value for Symbol (55).
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages". For multilegs supply minimally a value for Symbol (55).
UndInstrmtGrp | [0..*] | Group | Number of underlyings
Side | [0..1] | CodeSet | Required when countering a single instrument quote or "hit/lift" an IOI or Quote.
OrderQtyData | [0..1] | Component | Conditionally required when countering a single instrument quote or "hit/lift" an IOI or Quote when applicable for the type of instrument.
MinQty | [0..1] | Qty |
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date"
TerminationDate | [0..1] | LocalMktDate |
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
CurrencyCodeSource | [0..1] | CodeSet |
Stipulations | [0..*] | Group | Optional
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet | Used to identify the source of the Account code.
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
LegQuotGrp | [0..*] | Group | Required for multileg quote response
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
MktBidPx | [0..1] | Price | Can be used by markets that require showing the current best bid and offer
MktOfferPx | [0..1] | Price | Can be used by markets that require showing the current best bid and offer
MinBidSize | [0..1] | Qty | Specifies the minimum bid size. Used for markets that use a minimum and maximum bid size.
BidSize | [0..1] | Qty | Specifies the bid size. If MinBidSize is specified, BidSize is interpreted to contain the maximum bid size.
MinOfferSize | [0..1] | Qty | Specifies the minimum offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
OfferSize | [0..1] | Qty | Specified the offer size. If MinOfferSize is specified, OfferSize is interpreted to contain the maximum offer size.
ValidUntilTime | [0..1] | UTCTimestamp | The time when the QuoteResponse(35=AJ) will expire. Required for FI when the QuoteRespType(694) is either 1 (Hit/Lift) or 2 (Counter quote) to indicate to the respondent when the offer is valid until.
BidSpotRate | [0..1] | Price | May be applicable for F/X quotes
OfferSpotRate | [0..1] | Price | May be applicable for F/X quotes
BidForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
OfferForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
MidPx | [0..1] | Price |
BidYield | [0..1] | Percentage |
MidYield | [0..1] | Percentage |
OfferYield | [0..1] | Percentage |
TransactTime | [0..1] | UTCTimestamp |
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for.
BidForwardPoints2 | [0..1] | PriceOffset | Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
OfferForwardPoints2 | [0..1] | PriceOffset | Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
SettlCurrBidFxRate | [0..1] | float | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this quote message
SettlCurrOfferFxRate | [0..1] | float | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this quote message
SettlCurrFxRateCalc | [0..1] | CodeSet | Can be used when the quote is provided in a currency other than the instruments trading currency.
CommissionData | [0..1] | Component | Can be used to show the counterparty the commission associated with the transaction.
CustOrderCapacity | [0..1] | CodeSet | For Futures Exchanges
ExDestination | [0..1] | Exchange | Used when routing quotes to multiple markets
ExDestinationIDSource | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
CoverPrice | [0..1] | Price |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" fields defined in "Common Components of Application Messages"
TradeContinuation | [0..1] | CodeSet | May be used to indicate the quote/negotiation is for the specified post-execution trade continuation or lifecycle event.
TradeContinuationText | [0..1] | String |
EncodedTradeContinuationTextLen | [0..1] | Length | Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
EncodedTradeContinuationText | [0..1] | data | Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
StrikeTime | [0..1] | UTCTimestamp | Conditionally required when QuoteQual(695) = d (Deferred spot) is specified.
StandardTrailer | [1..1] | Component |

QuoteStatusReport

Category: QuotationNegotiation

Message Functionality

The quote status report message is used:

as the response to a Quote Status Request message

as a response to a Quote Cancel message

as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AI
QuoteStatusReqID | [0..1] | String |
QuoteReqID | [0..1] | String | Required when quote is in response to a Quote Request message
QuoteID | [0..1] | String | Contains the QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
BidID | [0..1] | String | Contains the BidID(390) of a single Quote(35=S).
OfferID | [0..1] | String | Contains the QuoteID(1867) of a single Quote(35=S).
SecondaryQuoteID | [0..1] | String |
QuoteMsgID | [0..1] | String | Contains the QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
QuoteRespID | [0..1] | String | Required when responding to a QuoteResponse(35=AJ) message.
QuoteType | [0..1] | CodeSet | If not specified, the default is an indicative quote.
QuoteCancelType | [0..1] | CodeSet |
Parties | [0..*] | Group |
TargetParties | [0..*] | Group | Can be populated with the values provided on the associated QuoteStatusRequest(MsgType=A).
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
Instrument | [0..1] | Component | Conditionally required when reporting status of a single security quote.
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
Side | [0..1] | CodeSet |
OrderQtyData | [0..1] | Component | Conditionally required for quotes of single instrument depending on the type of instrument when QuoteType(537)=1 (Tradeable).
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date"
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
TerminationDate | [0..1] | LocalMktDate |
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted prices. May differ from the 'normal' trading currency of the instrument being quoted
CurrencyCodeSource | [0..1] | CodeSet |
Stipulations | [0..*] | Group |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
LegQuotStatGrp | [0..*] | Group | Conditionally required for multileg quote status reports.
QuotQualGrp | [0..*] | Group |
QuoteAttributeGrp | [0..*] | Group |
EventInitiatorType | [0..1] | CodeSet |
NegotiationMethod | [0..1] | CodeSet |
ExpireTime | [0..1] | UTCTimestamp |
Price | [0..1] | Price |
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component |
YieldData | [0..1] | Component |
BidQuoteID | [0..1] | String |
OfferQuoteID | [0..1] | String |
BidMDEntryID | [0..1] | String |
OfferMDEntryID | [0..1] | String |
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
MktBidPx | [0..1] | Price | Can be used by markets that require showing the current best bid and offer
MktOfferPx | [0..1] | Price | Can be used by markets that require showing the current best bid and offer
MinBidSize | [0..1] | Qty | Used for markets that use a minimum and maximum bid size.
BidSize | [0..1] | Qty | If MinBidSize(647) is specified, BidSize(134) is interpreted to contain the maximum bid size.
TotalBidSize | [0..1] | Qty |
MinOfferSize | [0..1] | Qty | Used for markets that use a minimum and maximum offer size.
OfferSize | [0..1] | Qty | If MinOfferSize(648) is specified, OfferSize(135) is interpreted to contain the maximum offer size.
TotalOfferSize | [0..1] | Qty |
MinQty | [0..1] | Qty |
ValidUntilTime | [0..1] | UTCTimestamp |
BidSpotRate | [0..1] | Price |
OfferSpotRate | [0..1] | Price |
BidForwardPoints | [0..1] | PriceOffset |
OfferForwardPoints | [0..1] | PriceOffset |
MidPx | [0..1] | Price |
BidYield | [0..1] | Percentage |
MidYield | [0..1] | Percentage |
OfferYield | [0..1] | Percentage |
TransactTime | [0..1] | UTCTimestamp |
TrdRegTimestamps | [0..*] | Group |
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for
BidForwardPoints2 | [0..1] | PriceOffset | Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
OfferForwardPoints2 | [0..1] | PriceOffset | Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
SettlCurrBidFxRate | [0..1] | float | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all bid prices contained in this message
SettlCurrOfferFxRate | [0..1] | float | Can be used when the quote is provided in a currency other than the instrument's 'normal' trading currency. Applies to all offer prices contained in this message
SettlCurrFxRateCalc | [0..1] | CodeSet | Can be used when the quote is provided in a currency other than the instruments trading currency.
CommissionData | [0..1] | Component | Can be used to show the counterparty the commission associated with the transaction.
CustOrderCapacity | [0..1] | CodeSet |
ExDestination | [0..1] | Exchange | Used when routing quotes to multiple markets
ExDestinationIDSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
RegulatoryReportType | [0..1] | CodeSet |
QuoteStatus | [0..1] | CodeSet |
QuoteRejectReason | [0..1] | CodeSet |
RejectText | [0..1] | String | Reason description for rejecting the quote.
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
TradeContinuation | [0..1] | CodeSet | If specified, this should echo the value in the message this status message is in response to.
TradeContinuationText | [0..1] | String |
EncodedTradeContinuationTextLen | [0..1] | Length | Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.
EncodedTradeContinuationText | [0..1] | data | Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.
ThrottleResponse | [0..1] | Component |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StrikeTime | [0..1] | UTCTimestamp | Conditionally required when QuoteQual(695) = d (Deferred spot) is specified.
StandardTrailer | [1..1] | Component |

QuoteStatusRequest

Category: QuotationNegotiation

Message Functionality

The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:

For the issuer of a quote in a market to query the status of that quote (using the QuoteID to specify the target quote).

To subscribe and unsubscribe for Quote Status Report messages for one or more securities.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = a (lowercase)
QuoteStatusReqID | [0..1] | String |
QuoteID | [0..1] | String | Maps to:. - QuoteID(117) of a single Quote. - QuoteEntryID(299) of a Mass Quote.
Instrument | [0..1] | Component | Conditionally required when requesting status of a single security quote.
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Required for multileg quotes
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TargetParties | [0..*] | Group | Can be used to specify the parties to whom the Quote Status Request should apply.
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe for Quote Status Report messages
StandardTrailer | [1..1] | Component |

RFQRequest

Category: QuotationNegotiation

Message Functionality

In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AH
RFQReqID | [1..1] | String |
Parties | [0..*] | Group | Insert here the set of Parties (firm identification) fields defined in COMMON COMPONENTS OF APPLICATION MESSAGES
RFQReqGrp | [1..*] | Group | Number of related symbols (instruments) in Request
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe for Quote Requests that are sent into a market
PrivateQuote | [0..1] | CodeSet | Used to indicate whether a private negotiation is requested or if the response should be public. Only relevant in markets supporting both Private and Public quotes. If field is not provided in message, the model used must be bilaterally agreed.
StandardTrailer | [1..1] | Component |

RegistrationInstructions

Category: RegistrationInstruction

Message Functionality

The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = o (lowercase O)
RegistID | [1..1] | String |
ClearingBusinessDate | [0..1] | LocalMktDate |
RegistTransType | [1..1] | CodeSet |
RegistRefID | [1..1] | String | Required for Cancel and Replace RegistTransType messages
ClOrdID | [0..1] | String | Unique identifier of the order as assigned by institution or intermediary to which Registration relates
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
RegistAcctType | [0..1] | String |
TaxAdvantageType | [0..1] | CodeSet |
OwnershipType | [0..1] | CodeSet |
RgstDtlsGrp | [0..*] | Group | Number of registration details in this message (number of repeating groups to follow)
RgstDistInstGrp | [0..*] | Group | Number of Distribution instructions in this message (number of repeating groups to follow)
StandardTrailer | [1..1] | Component |

RegistrationInstructionsResponse

Category: RegistrationInstruction

Message Functionality

The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = p (lowercase P)
RegistID | [1..1] | String | Unique identifier of the original Registration Instructions details
RegistTransType | [1..1] | CodeSet | Identifies original Registration Instructions transaction type
RegistRefID | [1..1] | String | Required for Cancel and Replace RegistTransType messages
ClOrdID | [0..1] | String | Unique identifier of the order as assigned by institution or intermediary.
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
RegistStatus | [1..1] | CodeSet |
RegistRejReasonCode | [0..1] | CodeSet |
RegistRejReasonText | [0..1] | String |
StandardTrailer | [1..1] | Component |

Reject

Category: Session

Message Functionality

The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 3
RefSeqNum | [1..1] | SeqNum | MsgSeqNum of rejected message
RefTagID | [0..1] | int | The tag number of the FIX field being referenced.
RefMsgType | [0..1] | CodeSet | The MsgType of the FIX message being referenced.
RefApplVerID | [0..1] | CodeSet | Recommended when rejecting an application message that does not explicitly provide ApplVerID ( 1128) on the message being rejected. In this case the value from the DefaultApplVerID(1137) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
RefApplExtID | [0..1] | int | Recommended when rejecting an application message that does not explicitly provide ApplExtID(1156) on the rejected message. In this case the value from the DefaultApplExtID(1407) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
RefCstmApplVerID | [0..1] | String | Recommended when rejecting an application message that does not explicitly provide CstmApplVerID(1129) on the message being rejected. In this case the value from the DefaultCstmApplVerID(1408) or the default value specified in the NoMsgTypes repeating group on the logon message should be provided.
SessionRejectReason | [0..1] | CodeSet | Code to identify reason for a session-level Reject message.
Text | [0..1] | String | Where possible, message to explain reason for rejection
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

RequestForPositions

Category: PositionMaintenance

Message Functionality

The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AN
PosReqID | [1..1] | String | Unique identifier for the Request for Positions as assigned by the submitter
PosReqType | [1..1] | CodeSet |
MatchStatus | [0..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
Parties | [1..*] | Group | Position Account
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
Instrument | [0..1] | Component |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Specifies the number of legs that make up the Security
UndInstrmtGrp | [0..*] | Group | Specifies the number of underlying legs that make up the Security
ClearingBusinessDate | [1..1] | LocalMktDate | The Clearing Business Date referred to by this request
SettlDate | [0..1] | LocalMktDate |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
TrdgSesGrp | [0..*] | Group | Specifies the number of repeating TradingSessionIDs
TransactTime | [1..1] | UTCTimestamp | Time this order request was initiated/released by the trader, trading system, or intermediary.
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

RequestForPositionsAck

Category: PositionMaintenance

Message Functionality

The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AO
PosMaintRptID | [1..1] | String | Unique identifier for this position report
PosReqID | [0..1] | String | Unique identifier for the Request for Position associated with this report. This field should not be provided if the report was sent unsolicited.
TotalNumPosReports | [0..1] | int | Total number of Position Reports being returned
TotNumReports | [0..1] | int |
UnsolicitedIndicator | [0..1] | CodeSet | Set to 'Y' if message is sent as a result of a subscription request or out of band configuration as opposed to a Position Request.
PosReqResult | [1..1] | CodeSet |
PosReqStatus | [1..1] | CodeSet |
PosReqType | [0..1] | CodeSet |
MatchStatus | [0..1] | CodeSet |
ClearingBusinessDate | [0..1] | LocalMktDate |
SubscriptionRequestType | [0..1] | CodeSet |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
Parties | [1..*] | Group | Position Account
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet | Type of account associated with the order (Origin)
Instrument | [0..1] | Component |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group | Specifies the number of legs that make up the Security
UndInstrmtGrp | [0..*] | Group | Specifies the number of underlying legs that make up the Security
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

ResendRequest

Category: Session

Message Functionality

The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 2
BeginSeqNo | [1..1] | SeqNum |
EndSeqNo | [1..1] | SeqNum |
StandardTrailer | [1..1] | Component |

SecurityDefinition

Category: SecuritiesReferenceData

Message Functionality

The SecurityDefinition(35=d) message is used for the following:

Accept the security defined in a SecurityDefinition(35=d) message.

Accept the security defined in a SecurityDefinition(35=d) message with changes to the definition and/or identity of the security.

Reject the security requested in a SecurityDefinition(35=d) message.

Respond to a request for securities within a specified market segment.

Convey comprehensive security definition for all market segments that the security participates in.

Convey the security's trading rules that differ from default rules for the market segment.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = d (lowercase)
ApplicationSequenceControl | [0..1] | Component |
SecurityReportID | [0..1] | int | Used to identify the SecurityDefinition(35=d) message.
ClearingBusinessDate | [0..1] | LocalMktDate |
SecurityReqID | [0..1] | String |
OrderRequestID | [0..1] | int |
SecurityResponseID | [0..1] | String | Used to identify the response to a SecurityDefinitionRequest(35=c) message.
SecurityResponseType | [0..1] | CodeSet |
SecurityRequestResult | [0..1] | CodeSet | Allow result of query request to be returned to requester
SecurityRejectReason | [0..1] | CodeSet | Used to specify a rejection reason when SecurityResponseType(323)=5 (Reject security proposal).
CorporateAction | [0..1] | CodeSet |
Instrument | [0..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
SecurityClassificationGrp | [0..*] | Group | Used to specify forms of product classifications
Currency | [0..1] | Currency | Currency in which the price is denominated
CurrencyCodeSource | [0..1] | CodeSet |
PreviousAdjustedOpenInterest | [0..1] | Amt |
PreviousUnadjustedOpenInterest | [0..1] | Amt |
PriorSettlPrice | [0..1] | Price |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Stipulations | [0..*] | Group |
NumOfSimpleInstruments | [0..1] | int |
NumOfComplexInstruments | [0..1] | int |
InstrmtLegGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component |
YieldData | [0..1] | Component |
MarketSegmentGrp | [0..*] | Group | Contains all the security details related to listing and trading the security
LastUpdateTime | [0..1] | UTCTimestamp | Represents the time at which a security was last updated
EffectiveBusinessDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
StandardTrailer | [1..1] | Component |

SecurityDefinitionRequest

Category: SecuritiesReferenceData

Message Functionality

The SecurityDefinitionRequest(35=c) message is used for the following:

Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs.

Request a set of individual securities for a single market segment.

Request all securities, independent of market segment.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = c (lowercase)
SecurityReqID | [1..1] | String |
SecurityRequestType | [1..1] | CodeSet |
MarketID | [0..1] | Exchange | Identifies the market for which the security definition request is being made.
MarketSegmentID | [0..1] | String | Identifies the segment of the market for which the security definition request is being made.
Instrument | [0..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
TradingSessionID | [0..1] | String | Optional trading session identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionSubID | [0..1] | CodeSet |
Stipulations | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component |
YieldData | [0..1] | Component |
ExpirationCycle | [0..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Subscribe or unsubscribe for security status to security specified in request.
StandardTrailer | [1..1] | Component |

SecurityDefinitionUpdateReport

Category: SecuritiesReferenceData

Message Functionality

This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BP
ApplicationSequenceControl | [0..1] | Component |
SecurityReportID | [0..1] | int | Used to identify the SecurityDefinitionUpdateReport(35=BP) message in a bulk message transfer. Not used in request/response messaging.
SecurityReqID | [0..1] | String | Conditionally required when responding to the SecurityDefinitionRequest(35=c) message.
SecurityResponseID | [0..1] | String | Used to identify the SecurityDefinitionUpdateReport(35=BP) message.
SecurityResponseType | [0..1] | CodeSet |
ClearingBusinessDate | [0..1] | LocalMktDate |
SecurityUpdateAction | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet |
Instrument | [0..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
PreviousAdjustedOpenInterest | [0..1] | Amt |
PreviousUnadjustedOpenInterest | [0..1] | Amt |
PriorSettlPrice | [0..1] | Price |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Stipulations | [0..*] | Group |
NumOfSimpleInstruments | [0..1] | int |
NumOfComplexInstruments | [0..1] | int |
InstrmtLegGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component |
YieldData | [0..1] | Component |
MarketSegmentGrp | [0..*] | Group | Contains all the security details related to listing and trading the security
LastUpdateTime | [0..1] | UTCTimestamp | Represents the time at which a security was last updated
EffectiveBusinessDate | [0..1] | LocalMktDate |
TransactTime | [0..1] | UTCTimestamp |
StandardTrailer | [1..1] | Component |

SecurityList

Category: SecuritiesReferenceData

Message Functionality

The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = y (lowercase Y)
ApplicationSequenceControl | [0..1] | Component |
SecurityReportID | [0..1] | int |
ClearingBusinessDate | [0..1] | LocalMktDate |
SecurityListID | [0..1] | String | Identifies a specific Security List Entry
SecurityListRefID | [0..1] | String | Provides a reference to another Security List
SecurityListDesc | [0..1] | String |
EncodedSecurityListDescLen | [0..1] | Length |
EncodedSecurityListDesc | [0..1] | data |
SecurityListType | [0..1] | CodeSet | Identifies a list type
SecurityListTypeSource | [0..1] | CodeSet | Identifies the source of a list type
SecurityReqID | [0..1] | String |
SecurityResponseID | [0..1] | String | Identifier for the Security List message
SecurityRequestResult | [0..1] | CodeSet | Result of the Security Request identified by the SecurityReqID
SecurityRejectReason | [0..1] | CodeSet | Used to specify a rejection reason when SecurityResponseType (323) is equal to 1 (Invalid or unsupported request) or 5 (Request for instrument data not supported).
TransactTime | [0..1] | UTCTimestamp |
TotNoRelatedSym | [0..1] | int | Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
MarketID | [0..1] | Exchange | Identifies the market which lists and trades the instrument.
MarketSegmentID | [0..1] | String | Identifies the segment of the market to which the specify trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
SecListGrp | [0..*] | Group | Specifies the number of repeating symbols (instruments) specified
StandardTrailer | [1..1] | Component |

SecurityListRequest

Category: SecuritiesReferenceData

Message Functionality

The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = x (lowercase X)
SecurityReqID | [1..1] | String |
SecurityListRequestType | [1..1] | CodeSet | Type of Security List Request being made
SecurityListID | [0..1] | String | Identifies a specific list
SecurityListType | [0..1] | CodeSet | Identifies a list type.
SecurityListTypeSource | [0..1] | CodeSet | Identifies the source a list type
MarketID | [0..1] | Exchange | Identifies the market which lists and trades the instrument.
MarketSegmentID | [0..1] | String | Identifies the segment of the market to which the specify trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". of the requested Security
InstrumentExtension | [0..1] | Component | Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
RelatedInstrumentGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
TradingSessionID | [0..1] | String | Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionSubID | [0..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Subscribe or unsubscribe for security status to security specified in request.
StandardTrailer | [1..1] | Component |

SecurityListUpdateReport

Category: SecuritiesReferenceData

Message Functionality

The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BK
ApplicationSequenceControl | [0..1] | Component |
SecurityReportID | [0..1] | int | Identifier for the Security List Update message in a bulk transfer environment (No Request/Response)
SecurityListID | [0..1] | String | Identifies a specific Security List entity
SecurityListRefID | [0..1] | String | Provides a reference to another Security List
SecurityListDesc | [0..1] | String |
EncodedSecurityListDescLen | [0..1] | Length |
EncodedSecurityListDesc | [0..1] | data |
SecurityListType | [0..1] | CodeSet | Identifies a list type
SecurityListTypeSource | [0..1] | CodeSet | Identifies the sourec as a listype
SecurityReqID | [0..1] | String |
SecurityResponseID | [0..1] | String | Identifier for the Security List message.
SecurityRequestResult | [0..1] | CodeSet | Result of the Security Request identified by the SecurityReqID.
TotNoRelatedSym | [0..1] | int | Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
ClearingBusinessDate | [0..1] | LocalMktDate |
SecurityUpdateAction | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet | Identifies the type of Corporate Action that triggered the update
MarketID | [0..1] | Exchange | Identifies the market which lists and trades the instrument.
MarketSegmentID | [0..1] | String | Identifies the segment of the market to which the specific trading rules and listing rules apply. The segment may indicate the venue, whether retail or wholesale, or even segregation by nationality.
TransactTime | [0..1] | UTCTimestamp |
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
SecLstUpdRelSymGrp | [0..*] | Group | Specifies the number of repeating symbols (instruments) specified
StandardTrailer | [1..1] | Component |

SecurityMassStatus

Category: SecuritiesReferenceData

Message Functionality

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CO
ApplicationSequenceControl | [0..1] | Component |
SecurityStatusReqID | [0..1] | String | Required when mass status is in response to a SecurityMassStatusRequest(35=CN) message.
SecurityListID | [0..1] | String | Identifies all securities for a security list identifier.
MarketID | [0..1] | Exchange | Identifies all securities for a market.
MarketSegmentID | [0..1] | String | Identifies all securities for a market segment.
TradeDate | [0..1] | LocalMktDate | Business day that the state change applies to.
TradingSessionID | [0..1] | String | Identifies all securities for a trading session.
TradingSessionSubID | [0..1] | CodeSet | Identifies all securities for a trading sub-session.
InstrumentScope | [0..1] | Component |
UnsolicitedIndicator | [0..1] | CodeSet | Set to "Y" if message is sent as a result of a subscription request not a snapshot request.
SecurityMassTradingStatus | [0..1] | CodeSet |
FastMarketIndicator | [0..1] | Boolean |
SecurityMassTradingEvent | [0..1] | CodeSet |
MassHaltReason | [0..1] | CodeSet |
MDBookType | [0..1] | CodeSet | Used to relay changes in the book type.
MarketDepth | [0..1] | int | Used to relay changes in Market Depth.
TransactTime | [0..1] | UTCTimestamp | Time of state change for security list.
Adjustment | [0..1] | CodeSet |
SecMassStatGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

SecurityMassStatusRequest

Category: SecuritiesReferenceData

Message Functionality

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CN
SecurityStatusReqID | [1..1] | String | Must be unique, or the ID of previous Security Mass Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
InstrumentScope | [0..1] | Component |
SubscriptionRequestType | [1..1] | CodeSet | SubcriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
SecurityListID | [0..1] | String |
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

SecurityRiskMetricsReport

Category: SecuritiesReferenceData

Message Functionality

SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType(35)=EG
SecurityRiskMetricsReportID | [1..1] | String |
RiskMetricsSecurityGroup | [0..1] | String | May be used to identify the group of related instruments provided in SecurityRiskMetricGrp. Conditionally required when RiskMetricsSecuritySubGroup(2990) is present.
RiskMetricsSecuritySubGroup | [0..1] | String | May be used with RiskMetricsSecurityGroup(2989) to provide a more granular group identification.
TransactTime | [0..1] | UTCTimestamp |
UnderlyingInstrument | [0..1] | Component | UnderlyingPx(810) within the component may be used when valuation calculation uses a single reference price.
UnderlyingBidPx | [0..1] | Price | May be used to specify the (best) bid of the underlying instrument when valuation calculation uses real-time prices.
UnderlyingOfferPx | [0..1] | Price | May be used to specify the (best) offer of the underlying instrument when valuation calculation uses real-time prices.
MetricsCalculationPriceSource | [0..1] | CodeSet |
RiskFreeRate | [0..1] | float | May be used to identify the risk free rate used in the pricing model specified.
AssetValuationModel | [0..1] | CodeSet |
LastFragment | [0..1] | CodeSet |
SecurityRiskMetricGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

SecurityStatus

Category: SecuritiesReferenceData

Message Functionality

The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = f (lowercase)
ApplicationSequenceControl | [0..1] | Component |
SecurityStatusReqID | [0..1] | String |
Instrument | [1..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
TradeDate | [0..1] | LocalMktDate | Business day that the state change applies to.
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
UnsolicitedIndicator | [0..1] | CodeSet | Set to 'Y' if message is sent as a result of a subscription request not a snapshot request
SecurityTradingStatus | [0..1] | CodeSet |
MarketMakerActivity | [0..1] | CodeSet |
FastMarketIndicator | [0..1] | Boolean |
SecurityTradingEvent | [0..1] | CodeSet |
NextAuctionTime | [0..1] | UTCTimestamp |
FinancialStatus | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet |
HaltReason | [0..1] | CodeSet |
InViewOfCommon | [0..1] | CodeSet |
DueToRelated | [0..1] | CodeSet |
MDBookType | [0..1] | CodeSet | Used to relay changes in the book type
MarketDepth | [0..1] | int | Used to relay changes in market depth.
BuyVolume | [0..1] | Qty |
SellVolume | [0..1] | Qty |
HighPx | [0..1] | Price |
LowPx | [0..1] | Price |
LastPx | [0..1] | Price | Represents the last price for that security either on a consolidated or an individual participant basis at the time it is disseminated.
ClearingPriceParametersGrp | [0..*] | Group |
SettlPrice | [0..1] | Price |
SettlPriceType | [0..1] | CodeSet |
SettlPriceDeterminationMethod | [0..1] | CodeSet |
TransactTime | [0..1] | UTCTimestamp | Time of status information.
Adjustment | [0..1] | CodeSet |
FirstPx | [0..1] | Price | Represents the price of the first fill of the trading session.
LinkageHandlingIndicator | [0..1] | Boolean |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

SecurityStatusRequest

Category: SecuritiesReferenceData

Message Functionality

The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = e (lowercase)
SecurityStatusReqID | [1..1] | String | Must be unique, or the ID of previous Security Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrumentExtension | [0..1] | Component | Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group | Number of underlyings
InstrmtLegGrp | [0..*] | Group | Number of legs that make up the Security
RelatedInstrumentGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
SubscriptionRequestType | [1..1] | CodeSet | SubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

SecurityTypeRequest

Category: SecuritiesReferenceData

Message Functionality

The Security Type Request message is used to return a list of security types available from a counterparty or market.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = v (lowercase V)
SecurityReqID | [1..1] | String |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
MarketID | [0..1] | Exchange | Optional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
MarketSegmentID | [0..1] | String | Optional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionID | [0..1] | String | Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionSubID | [0..1] | CodeSet |
Product | [0..1] | CodeSet | Used to qualify which security types are returned
SecurityType | [0..1] | CodeSet | Used to qualify which security type is returned
SecuritySubType | [0..1] | String | Used to qualify which security types are returned
StandardTrailer | [1..1] | Component |

SecurityTypes

Category: SecuritiesReferenceData

Message Functionality

The Security Type Request message is used to return a list of security types available from a counterparty or market.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = w (lowercase W)
ApplicationSequenceControl | [0..1] | Component |
SecurityReqID | [1..1] | String |
SecurityResponseID | [1..1] | String | Identifier for the security response message
SecurityResponseType | [1..1] | CodeSet | The result of the security request identified by SecurityReqID
TotNoSecurityTypes | [0..1] | int | Indicates total number of security types in the event that multiple Security Type messages are used to return results
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
SecTypesGrp | [0..*] | Group |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
MarketID | [0..1] | Exchange | Optional MarketID to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
MarketSegmentID | [0..1] | String | Optional Market Segment Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionID | [0..1] | String | Optional Trading Session Identifier to specify a particular trading session for which you want to obtain a list of securities that are tradeable.
TradingSessionSubID | [0..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Subscribe or unsubscribe for security status to security specified in request.
StandardTrailer | [1..1] | Component |

SequenceReset

Category: Session

Message Functionality

The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 4
GapFillFlag | [0..1] | CodeSet |
NewSeqNo | [1..1] | SeqNum |
StandardTrailer | [1..1] | Component |

SettlementInstructionRequest

Category: SettlementInstruction

Message Functionality

The Settlement Instruction Request message is used to request standing settlement instructions from another party.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = AV

SettlInstReqID
[1..1]
String
Unique message ID

TransactTime
[1..1]
UTCTimestamp
Date/Time this request message was generated

Parties
[0..*]
Group
Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages". Used here for party whose instructions this message is requesting and (optionally) for settlement location. Not required if database identifiers are being used to request settlement instructions. Required otherwise.

AllocAccount
[0..1]
String
Should not be populated if StandInstDbType is populated

AllocAcctIDSource
[0..1]
CodeSet
Required if AllocAccount populated. Should not be populated if StandInstDbType is populated

Side
[0..1]
CodeSet
Should not be populated if StandInstDbType is populated

Product
[0..1]
CodeSet
Should not be populated if StandInstDbType is populated

SecurityType
[0..1]
CodeSet
Should not be populated if StandInstDbType is populated

CFICode
[0..1]
String
Should not be populated if StandInstDbType is populated

UPICode
[0..1]
String
Should not be populated if StandInstDbType is populated

SettlCurrency
[0..1]
Currency
Should not be populated if StandInstDbType is populated

SettlCurrencyCodeSource
[0..1]
CodeSet

EffectiveTime
[0..1]
UTCTimestamp
Should not be populated if StandInstDbType is populated

ExpireTime
[0..1]
UTCTimestamp
Should not be populated if StandInstDbType is populated

LastUpdateTime
[0..1]
UTCTimestamp
Should not be populated if StandInstDbType is populated

StandInstDbType
[0..1]
CodeSet
Should not be populated if any of AllocAccount through to LastUpdateTime are populated

StandInstDbName
[0..1]
String
Should not be populated if any of AllocAccount through to LastUpdateTime are populated

StandInstDbID
[0..1]
String
The identifier of the standing instructions within the database specified in StandInstDbType. Required if StandInstDbType populated. Should not be populated if any of AllocAccount through to LastUpdateTime are populated

StandardTrailer
[1..1]
Component

SettlementInstructions

Category: SettlementInstruction

Message Functionality

The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = T
SettlInstMsgID | [1..1] | String | Unique identifier for this message
SettlInstReqID | [0..1] | String | Only used when this message is used to respond to a settlement instruction request (to which this ID refers)
SettlInstMode | [1..1] | CodeSet | 1=Standing Instructions, 2=Specific Allocation Account Overriding, 3=Specific Allocation Account Standing , 4=Specific Order, 5=Reject SSI request
SettlInstReqRejCode | [0..1] | CodeSet | Required for SettlInstMode = 5. Used to provide reason for rejecting a Settlement Instruction Request message.
Text | [0..1] | String | Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
ClOrdID | [0..1] | String | Required for SettlInstMode(160) = 4 and when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID.
TransactTime | [1..1] | UTCTimestamp | Date/time this message was generated
SettlInstGrp | [0..*] | Group | Required except where SettlInstMode is 5=Reject SSI request
StandardTrailer | [1..1] | Component |

SettlementObligationReport

Category: SettlementInstruction

Message Functionality

The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BQ
ApplicationSequenceControl | [0..1] | Component |
ClearingBusinessDate | [0..1] | LocalMktDate |
SettlementCycleNo | [0..1] | int | Settlement cycle in which the settlement obligation was generated
SettlObligMsgID | [1..1] | String | Unique identifier for this message
SettlObligMode | [1..1] | CodeSet | Used to identify the reporting mode of the settlement obligation which is either preliminary or final
Text | [0..1] | String | Can be used to provide any additional rejection text where rejecting a Settlement Instruction Request message.
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
TransactTime | [0..1] | UTCTimestamp | Time when the Settlemnt Obligation Report was created.
SettlObligationInstructions | [1..*] | Group |
StandardTrailer | [1..1] | Component |

SettlementStatusReport

Category: SettlementStatusManagement

Message Functionality

SettlementStatusReport(35=EE) is a response to the SettlementStatusRequest(35=EC) to provide settlement status for the requested trade. It may also be sent unsolicited without an explicit request message by the party able to provide the settlement status for the trade identified in the report message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType(35)=EE
SettlStatusReportID | [1..1] | String | Unique identifier assigned by sender of this message.
SettlStatusRequestID | [0..1] | String | Identifier of SettlementStatusRequest(35=EC) message being responded to.
SettlStatus | [1..1] | String |
SettlStatusReason | [0..1] | String | May be used when additional settlement status reason is available.
SettlStatusReasonText | [0..1] | String | May be used to provide additional textual status reason accompanying SettlStatusReason(2969).
EncodedSettlStatusReasonTextLen | [0..1] | Length | Must be set if EncodedSettlStatusReasonText(2972) is specified and must immediately precede it.
EncodedSettlStatusReasonText | [0..1] | data | Encoded (non-ASCII characters) representation of SettlStatusReasonText(2970) field in the encoded format specified via the MessageEncoding(347) field.
Parties | [0..*] | Group |
RegulatoryTradeIDGrp | [0..*] | Group | May be used to specify the UTI (ISO 23897) of the trade this status report is for. Either RegulatoryTradeIDGrp or SettleTradeDetails must be present.
SettlTradeDetails | [0..1] | Component | May be used to provide trade details this status report is for. Either RegulatoryTradeIDGrp or SettlTradeDetails must be present.
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

SettlementStatusReportAck

Category: SettlementStatusManagement

Message Functionality

SettlementStatusReportAck(35=EF) is used to respond to the SettlementStatusReport(35=EE) to acknowledge or reject the report.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType(35)=EF
SettlStatusReportID | [1..1] | String | Identifier of SettlementStatusReport(35=EE) message being responded to.
SettlStatusReportStatus | [1..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [0..1] | Component |

SettlementStatusRequest

Category: SettlementStatusManagement

Message Functionality

SettlementStatusRequest(35=EC) is used to request for the settlement status of a trade.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType(35)=EC
SettlStatusRequestID | [1..1] | String | Unique identifier assigned by sender of this message.
SubscriptionRequestType | [1..1] | CodeSet |
Parties | [0..*] | Group |
RegulatoryTradeIDGrp | [0..*] | Group | May be used to specify the UTI (ISO 23897) of the trade this status request is for. Either RegulatoryTradeIDGrp or SettlTradeDetails must be present.
SettlTradeDetails | [0..1] | Component | May be used to provide trade details to look-up the trade this status request is for. Either RegulatoryTradeIDGrp or SettlTradeDetails must be present.
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

SettlementStatusRequestAck

Category: SettlementStatusManagement

Message Functionality

SettlementStatusRequestAck(35=ED) is used to respond to the SettlementStatusRequest(35=EC) to acknowledge the request and provide status for the request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType(35)=ED
SettlStatusRequestID | [1..1] | String | Identifier of SettlementStatusRequest(35=EC) message being responded to.
SettlStatusRequestStatus | [1..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

StreamAssignmentReport

Category: MarketData

Message Functionality

The StreamAssignmentReport(35=CD) message is in response to the StreamAssignmentRequest(35=CC) message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CD
StreamAsgnRptID | [1..1] | String | Unique identifier of the Stream Assignment Report.
StreamAsgnReqType | [0..1] | CodeSet | Required if report is being sent in response to a StreamAssignmentRequest. The value should be the same as the value in the corresponding request.
StreamAsgnReqID | [0..1] | String | Conditionally required if Stream Assignment Report is being sent in response to a StreamAssignmentRequest(MsgType=CC). Not required for unsolicited stream assignments.
StrmAsgnRptGrp | [0..*] | Group | Stream assignments
StandardTrailer | [1..1] | Component |

StreamAssignmentReportACK

Category: MarketData

Message Functionality

This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CE
StreamAsgnAckType | [1..1] | CodeSet |
StreamAsgnRptID | [1..1] | String |
StreamAsgnRejReason | [0..1] | CodeSet |
Text | [0..1] | String | Can be used to provide additional information regarding the assignment report, such as reject description.
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

StreamAssignmentRequest

Category: MarketData

Message Functionality

In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CC
StreamAsgnReqID | [1..1] | String | Unique identifier of the request.
StreamAsgnReqType | [1..1] | CodeSet | Type of assignment being requested.
StrmAsgnReqGrp | [1..*] | Group | Assignment requests
StandardTrailer | [1..1] | Component |

TestActionReport

Category: Testing

Message Functionality

TestActionReport(35=EP) is used to report the testing results of the identified test suite that has been executed with TestActionRequest(35=EN). In the context of algorithmic trading, the results may be used to create a certificate for the algorithm upon meeting the success criteria.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EP
TestActionReportID | [1..1] | String | Identifier of report assigned by report initiator.
TestSuiteRequestID | [1..1] | String | Use to identify the test suite.
StrategyParametersGrp | [0..*] | Group |
AlgoSystemModuleGrp | [0..*] | Group |
TestScenarioGrp | [0..*] | Group | Must contain all scenarios of the test suite identified by TestSuiteRequestID(3062). Set TestScenarioStatus(3030) to 0=Undefined for test scenarios that have not been executed yet, e.g. because the TestActionRequest(35=EN) message used the TestScenarioGrp to limit the test scenarios to be executed.
TestSuiteStatus | [0..1] | CodeSet | Overall status across all individual test scenarios defined in TestScenarioGrp.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

TestActionRequest

Category: Testing

Message Functionality

TestActionRequest(35=EN) is used to manage test executions or request for testing activity state of the identified test suite.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EN
TestActionRequestID | [1..1] | String | Unique identifier assigned by request initiator.
TestActionType | [1..1] | CodeSet |
TestSuiteRequestID | [1..1] | String | Use to identify the test suite the TestActionType(3067) applies to.
Parties | [0..*] | Group | May be used to specify the algorithm related to the test suite.
TestScenarioGrp | [0..*] | Group | May be used to provide a list of references to test scenarios of the test suite identified by TestSuiteRequestID(3062) to be executed, using TestScenarioID(3029) with TestScenarioStatus(3030)=0 (Undefined).
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

TestActionRequestAck

Category: Testing

Message Functionality

TestActionRequestAck(35=EO) is used to respond to the TestActionRequest(35=EN) to acknowledge the request and provide status for the request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EO
TestActionRequestID | [1..1] | String | Identifier of request assigned by request initiator.
TestSuiteRequestID | [1..1] | String |
TestSuiteActivityState | [1..1] | CodeSet |
TestActionRequestStatus | [1..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

TestRequest

Category: Session

Message Functionality

The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = 1
TestReqID | [1..1] | String |
StandardTrailer | [1..1] | Component |

TestSuiteDefinitionRequest

Category: Testing

Message Functionality

TestSuiteDefinitionRequest(35=EL) is used to convey to the test system the suite of test scenarios to perform.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EL
TestSuiteRequestID | [1..1] | String | Unique identifier assigned by request initiator.
TestSuiteRequestTransType | [1..1] | CodeSet |
TestSuiteRequestRefID | [0..1] | String | Required for TestSuiteRequestTransType(3064)=1 (Cancel).
Parties | [0..*] | Group | May be used to specify the algorithm related to the test schedule.
StrategyParametersGrp | [0..*] | Group |
AlgoSystemModuleGrp | [0..*] | Group | May be used with test suites related to the testing of algorithms.
TestScenarioGroupID | [0..1] | String | May be used to define a shortcut for TestScenarioGrp. The shortcut always references all test scenarios of the test suite. It must not be used to define shortcuts for a subset of test scenarios of a test suite.
TestScenarioGrp | [1..*] | Group |
TransactTime | [1..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

TestSuiteDefinitionRequestAck

Category: Testing

Message Functionality

TestSuiteDefinitionRequestAck(35=EM) is used to respond to the TestSuiteDefinitionRequest(35= EL) to acknowledge the request and provide status for the request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=EM
TestSuiteRequestID | [1..1] | String | Identifier of request assigned by request initiator.
TestSuiteRequestStatus | [1..1] | CodeSet |
TestGatewayDetailGrp | [0..*] | Group | May be used to return information about market data and order entry gateways for execution venues.
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

TradeAggregationReport

Category: TradeManagement

Message Functionality

TradeAggregationReport(35=DX) is used to respond to the TradeAggregationRequest(35=DW) message. It provides the status of the request (e.g. accepted or rejected) and may also provide additional information supplied by the respondent.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DX
TradeAggregationReportID | [1..1] | String | Unique identifier for the report message.
TradeAggregationRequestID | [0..1] | String | Unique identifier for the TradeAggregationRequest(35=DW) message being responded to.
TradeAggregationRequestStatus | [1..1] | CodeSet |
TradeID | [0..1] | String | Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted). The trade identifier for the group of aggregated trades.
TradeAggregationRejectReason | [0..1] | CodeSet |
AggregatedQty | [0..1] | Qty | Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
AvgPx | [0..1] | Price |
AvgSpotRate | [0..1] | Price |
AvgForwardPoints | [0..1] | PriceOffset |
SettlDate | [0..1] | LocalMktDate |
Instrument | [0..1] | Component | Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
Side | [0..1] | CodeSet | Conditionally required when TradeAggregationRequestStatus(2790)=0 (Accepted).
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
StandardTrailer | [1..1] | Component |

TradeAggregationRequest

Category: TradeManagement

Message Functionality

TradeAggregationRequest(35=DW) is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DW
TradeAggregationRequestID | [1..1] | String | Unique identifier for the message.
TradeAggregationRequestRefID | [0..1] | String | Required when TradeAggregationTransType(2788)=1 (Cancel) or 2 (Replace)
TradeAggregationTransType | [1..1] | CodeSet |
AggregatedQty | [0..1] | Qty |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
AvgPx | [0..1] | Price |
Side | [1..1] | CodeSet |
PricePrecision | [0..1] | int |
OrderAggregationGrp | [0..*] | Group | Maybe used to specify the IDs of the orders being aggregated together.
ExecutionAggregationGrp | [0..*] | Group | Maybe used to specify the IDs of the execution fills being aggregated together.
Account | [0..1] | String |
Instrument | [1..1] | Component |
Parties | [0..*] | Group |
StandardTrailer | [1..1] | Component |

TradeCaptureReport

Category: TradeCapture

Message Functionality

The Trade Capture Report message can be:

Used to report trades between counterparties.

Used to report trades to a trade matching system.

Sent unsolicited between counterparties.

Sent as a reply to a Trade Capture Report Request.

Used to report unmatched and matched trades.

Structure

Name
Mult.
Type
Description

StandardHeader
[1..1]
Component
MsgType = AE

ApplicationSequenceControl
[0..1]
Component

TradeReportID
[0..1]
String
TradeReportID(571) is conditionally required in a message-chaining model in which a subsequent message may refer to a prior message via TradeReportRefID(572). The alternative to a message-chain model is an entity-based model in which TradeID(1003) is used to identify a trade. In this case, TradeID(1003) is required and TradeReportID(571) can be optionally specified.

TradeID
[0..1]
String

SecondaryTradeID
[0..1]
String

FirmTradeID
[0..1]
String

SecondaryFirmTradeID
[0..1]
String

PackageID
[0..1]
String

TradeNumber
[0..1]
int

TradeReportTransType
[0..1]
CodeSet

TradeReportType
[0..1]
CodeSet

TrdRptStatus
[0..1]
CodeSet
Status of the trade report. In 3-party listed derivatives model, this is used to convey status of a trade to a counterparty. Used specifically in a "give-up" (also known as "claim") model.

TradeRequestID
[0..1]
String
Identifier for the trade capture report request associated with this trade capture report.

TrdType
[0..1]
CodeSet
For optional use in reporting trades.

TrdSubType
[0..1]
CodeSet
For optional use in reporting trades.

SecondaryTrdType
[0..1]
CodeSet
For optional use in reporting trades. Conditionally requires presence of TrdType(828).

TertiaryTrdType
[0..1]
CodeSet
For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType(855).

TradeTypeGrp
[0..*]
Group
For optional use in reporting trades as alternative to the use of individual fields.

AnonymousTradeIndicator
[0..1]
Boolean

AlgorithmicTradeIndicator
[0..1]
CodeSet

OffsetInstruction
[0..1]
CodeSet

TradePriceConditionGrp
[0..*]
Group

TradeHandlingInstr
[0..1]
CodeSet

OrigTradeHandlingInstr
[0..1]
CodeSet

OrigTradeDate
[0..1]
LocalMktDate

OrigTradeID
[0..1]
String

OrigSecondaryTradeID
[0..1]
String

TransferReason
[0..1]
String

ExecType
[0..1]
CodeSet
Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.

TotNumTradeReports
[0..1]
int

LastRptRequested
[0..1]
CodeSet

ManualOrderIndicator
[0..1]
Boolean
May be used to indicate manual reporting of the trade.

UnsolicitedIndicator
[0..1]
CodeSet
Set to 'Y' if message is sent as a result of a subscription request or out of band configuration.

SubscriptionRequestType
[0..1]
CodeSet
If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.

TradeReportRefID
[0..1]
String
The TradeReportID(571) that is being referenced for trade correction or cancelation.

SecondaryTradeReportRefID
[0..1]
String

SecondaryTradeReportID
[0..1]
String

TradeLinkID
[0..1]
String

TrdMatchID
[0..1]
String

ExecID
[0..1]
String
Market (exchange) assigned execution identifier as provided in the ExecutionReport(35=8) message. Conditionally required if ExecRefID(19) is present and refers to the new execution identifer assigned by the market (exchange).

ExecRefID
[0..1]
String
Reference to an execution identifier previously assigned by the market (exchange). If specified, ExecID(17) is required.

SecondaryExecID
[0..1]
String

ExecRestatementReason
[0..1]
CodeSet

RegulatoryTransactionType
[0..1]
CodeSet

RegulatoryTradeIDGrp
[0..*]
Group

PreviouslyReported
[0..1]
CodeSet

PriceType
[0..1]
CodeSet
Can be used to indicate cabinet trade pricing.

PriceQualifierGrp
[0..*]
Group

CrossType
[0..1]
CodeSet

RootParties
[0..*]
Group
Used for acting parties that applies to the whole message, not individual legs, sides, etc.

AsOfIndicator
[0..1]
CodeSet

SettlSessID
[0..1]
CodeSet

SettlSessSubID
[0..1]
String

VenueType
[0..1]
CodeSet

MarketSegmentID
[0..1]
String

MarketID
[0..1]
Exchange

TaxonomyType
[0..1]
CodeSet

Instrument
[1..1]
Component

InstrumentExtension
[0..1]
Component

FinancingDetails
[0..1]
Component

PaymentGrp
[0..*]
Group

QtyType
[0..1]
CodeSet

YieldData
[0..1]
Component

UndInstrmtGrp
[0..*]
Group

RelatedInstrumentGrp
[0..*]
Group

CollateralAmountGrp
[0..*]
Group

CollateralizationValueDate
[0..1]
LocalMktDate

RateSource
[0..*]
Group

TransactionAttributeGrp
[0..*]
Group

UnderlyingTradingSessionID
[0..1]
String

UnderlyingTradingSessionSubID
[0..1]
String

LastQty
[0..1]
Qty
Conditionally required except when reporting trades to parties who will derive trade level quantity from the leg level information for multi-legged trades

LastQtyVariance
[0..1]
Qty

LastQtyChanged
[0..1]
Qty

LastMultipliedQty
[0..1]
Qty

TotalTradeQty
[0..1]
Qty

TotalTradeMultipliedQty
[0..1]
Qty

LastPx
[0..1]
Price
Conditionally required except when reporting trades to parties who will derive trade level price from the leg level information for multi-legged trades

MidPx
[0..1]
Price

DifferentialPrice
[0..1]
PriceOffset
Used to specify the differential price when reporting the individual leg of a spread trade.

CalculatedCcyLastQty
[0..1]
Qty

PriceMarkup
[0..1]
PriceOffset
Dealer's markup of market price to LastPx(31).

AveragePriceDetail
[0..1]
Component

Currency
[0..1]
Currency
Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).

CurrencyCodeSource
[0..1]
CodeSet

SettlCurrency
[0..1]
Currency
Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).

SettlCurrencyCodeSource
[0..1]
CodeSet

SettlPriceFxRateCalc
[0..1]
CodeSet
For FX trades expresses whether to multiply or divide LastPx(31) to arrive at GrossTradeAmt(381).

LastParPx
[0..1]
Price

LastSpotRate
[0..1]
Price
Applicable for F/X orders

LastForwardPoints
[0..1]
PriceOffset
Applicable for F/X orders

LastSwapPoints
[0..1]
PriceOffset

PricePrecision
[0..1]
int

LastMkt
[0..1]
Exchange

ClearingTradePrice
[0..1]
Price
Used when clearing price differs from execution price.

TradePriceNegotiationMethod
[0..1]
CodeSet

LastUpfrontPrice
[0..1]
Price
Upfront Price for CDS transactions. Conditionally required if TradePriceNegotiationMethod(1740) = 4(Percent of par and upfront amount), 5(Deal spread and upfront amount) or 6(Upfront points and upfront amount).

UpfrontPriceType
[0..1]
CodeSet

TradeDate
[0..1]
LocalMktDate
Used when reporting other than current day trades.

ClearingBusinessDate
[0..1]
LocalMktDate

ClearingPortfolioID
[0..1]
String

AvgPx
[0..1]
Price
If used then the LastPx(31) will contain the original price on the execution.

SpreadOrBenchmarkCurveData
[0..1]
Component

AvgPxGroupID
[0..1]
String

AvgPxIndicator
[0..1]
CodeSet

ValuationDate
[0..1]
LocalMktDate

ValuationTime
[0..1]
LocalMktTime

ValuationBusinessCenter
[0..1]
String

PositionAmountData
[0..*]
Group

MultiLegReportingType
[0..1]
CodeSet
Type of report if multileg instrument. Provided to support a scenario for trades of multileg instruments between two parties.

TradeLegRefID
[0..1]
String
Reference to the leg of a multileg instrument to which this trade refers. Used when MultiLegReportingType(442) = 2 (Individual leg of a multileg security).

TrdInstrmtLegGrp
[0..*]
Group
Identifies a multileg execution if present and non-zero.

TransactTime
[0..1]
UTCTimestamp
Time the transaction represented by when this TradeCaptureReport(35=AE) occurred. Execution time of trade. Also describes the time of block trades.

TrdRegTimestamps
[0..*]
Group

SettlType
[0..1]
CodeSet

SettlDate
[0..1]
LocalMktDate
Takes precedence over SettlType(63) value and conditionally required/omitted for specific SettlType(63) values.

TerminationDate
[0..1]
LocalMktDate

UnderlyingSettlementDate
[0..1]
LocalMktDate
The settlement date for the underlying instrument of a derivatives security.

MatchStatus
[0..1]
CodeSet

ExecMethod
[0..1]
CodeSet

MatchType
[0..1]
CodeSet

TradeQtyGrp
[0..*]
Group

TrdCapRptSideGrp
[1..2]
Group

Volatility
[0..1]
float

TimeToExpiration
[0..1]
float

DividendYield
[0..1]
Percentage

RiskFreeRate
[0..1]
float

PriceDelta
[0..1]
float

CurrencyRatio
[0..1]
float

CopyMsgIndicator
[0..1]
Boolean

TrdRepIndicatorsGrp
[0..*]
Group

TradeReportingIndicator
[0..1]
CodeSet

PublishTrdIndicator
[0..1]
CodeSet

TradePublishIndicator
[0..1]
CodeSet

TrdRegPublicationGrp
[0..*]
Group

ShortSaleReason
[0..1]
CodeSet

TierCode
[0..1]
String
Indicates the algorithm (tier) used to match a trade.

MessageEventSource
[0..1]
String

LastUpdateTime
[0..1]
UTCTimestamp
Used to indicate reports after a specific time.

RndPx
[0..1]
Price
Specifies the rounded price to quoted precision.

TZTransactTime
[0..1]
TZTimestamp

ReportedPxDiff
[0..1]
Boolean

GrossTradeAmt
[0..1]
Amt
(LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.

TotalGrossTradeAmt
[0..1]
Amt

TradeReportRejectReason
[0..1]
CodeSet
Indicates the reason that a trade report was rejected.

RejectText
[0..1]
String

EncodedRejectTextLen
[0..1]
Length

EncodedRejectText
[0..1]
data

FeeMultiplier
[0..1]
float

ClearedIndicator
[0..1]
CodeSet

ClearingIntention
[0..1]
CodeSet

TradeClearingInstruction
[0..1]
CodeSet

BackloadedTradeIndicator
[0..1]
Boolean

ConfirmationMethod
[0..1]
CodeSet

MandatoryClearingIndicator
[0..1]
Boolean

MandatoryClearingJurisdictionGrp
[0..*]
Group

MixedSwapIndicator
[0..1]
Boolean

MultiAssetSwapIndicator
[0..1]
Boolean

InternationalSwapIndicator
[0..1]
Boolean

OffMarketPriceIndicator
[0..1]
Boolean

VerificationMethod
[0..1]
CodeSet

ClearingRequirementException
[0..1]
CodeSet

IRSDirection
[0..1]
CodeSet

RegulatoryReportType
[0..1]
CodeSet

RegulatoryReportTypeBusinessDate
[0..1]
LocalMktDate
May be used when the business event date differs from when the regulatory report is actually being submitted (typically specified in TrdRegTimestamps component).

VoluntaryRegulatoryReport
[0..1]
Boolean

MultiJurisdictionReportingIndicator
[0..1]
CodeSet

TradeCollateralization
[0..1]
CodeSet

TradeContinuation
[0..1]
CodeSet

TradeContingency
[0..1]
CodeSet

TradeVersion
[0..1]
String

HistoricalReportIndicator
[0..1]
Boolean

DeltaCrossed
[0..1]
Boolean

TradeContinuationText
[0..1]
String

EncodedTradeContinuationTextLen
[0..1]
Length
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.

EncodedTradeContinuationText
[0..1]
data
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.

IntraFirmTradeIndicator
[0..1]
Boolean

AffiliatedFirmsTradeIndicator
[0..1]
Boolean

AttachmentGrp
[0..*]
Group

RiskLimitCheckStatus
[0..1]
CodeSet

StandardTrailer
[1..1]
Component

TradeCaptureReportAck

Category: TradeCapture

Message Functionality

The Trade Capture Report Ack message can be:

Used to acknowledge trade capture reports received from a counterparty.

Used to reject a trade capture report received from a counterparty.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AR
TradeReportID | [0..1] | String |
TradeID | [0..1] | String |
SecondaryTradeID | [0..1] | String |
FirmTradeID | [0..1] | String |
SecondaryFirmTradeID | [0..1] | String |
TradeReportTransType | [0..1] | CodeSet |
TradeReportType | [0..1] | CodeSet | Indicates action to take on trade.
TrdType | [0..1] | CodeSet |
TrdSubType | [0..1] | CodeSet |
SecondaryTrdType | [0..1] | CodeSet |
OffsetInstruction | [0..1] | CodeSet |
TradeHandlingInstr | [0..1] | CodeSet |
OrigTradeHandlingInstr | [0..1] | CodeSet |
OrigTradeDate | [0..1] | LocalMktDate |
OrigTradeID | [0..1] | String |
OrigSecondaryTradeID | [0..1] | String |
TransferReason | [0..1] | String |
RootParties | [0..*] | Group |
ExecType | [0..1] | CodeSet | Type of execution being reported. Uses subset of ExecType(150) for trade capture reports.
TradeReportRefID | [0..1] | String | The TradeReportID(571) that is being referenced for trade correction or cancelation.
SecondaryTradeReportRefID | [0..1] | String | The SecondaryTradeReportID that is being referenced for some action, such as correction or cancellation
TrdRptStatus | [0..1] | CodeSet | Status of trade report.
TrdAckStatus | [0..1] | CodeSet |
TradeReportRejectReason | [0..1] | CodeSet |
RejectText | [0..1] | String | Reason description for rejecting the TradeCaptureReport(35=AE).
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
SecondaryTradeReportID | [0..1] | String |
SubscriptionRequestType | [0..1] | CodeSet | If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
TradeLinkID | [0..1] | String |
TrdMatchID | [0..1] | String |
ExecID | [0..1] | String | Exchanged assigned execution identifier (trade identifier).
SecondaryExecID | [0..1] | String |
ExecRestatementReason | [0..1] | CodeSet |
PreviouslyReported | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
CrossType | [0..1] | CodeSet |
UnderlyingTradingSessionID | [0..1] | String |
UnderlyingTradingSessionSubID | [0..1] | String |
SettlSessID | [0..1] | CodeSet |
SettlSessSubID | [0..1] | String |
QtyType | [0..1] | CodeSet |
LastQty | [0..1] | Qty |
LastPx | [0..1] | Price |
VenueType | [0..1] | CodeSet |
MarketSegmentID | [0..1] | String |
MarketID | [0..1] | Exchange |
Instrument | [1..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
LastParPx | [0..1] | Price |
CalculatedCcyLastQty | [0..1] | Qty |
LastSwapPoints | [0..1] | PriceOffset |
PriceMarkup | [0..1] | PriceOffset | Dealer's markup of market price to LastPx(31).
AveragePriceDetail | [0..1] | Component |
Currency | [0..1] | Currency | Primary currency of the specified currency pair. Used to qualify LastQty(32) and GrossTradeAmt(381).
CurrencyCodeSource | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency | Contra currency of the deal. Used to qualify CalculatedCcyLastQty(1056).
SettlCurrencyCodeSource | [0..1] | CodeSet |
LastSpotRate | [0..1] | Price |
LastForwardPoints | [0..1] | PriceOffset |
LastMkt | [0..1] | Exchange |
TradeDate | [0..1] | LocalMktDate |
ClearingBusinessDate | [0..1] | LocalMktDate |
AvgPx | [0..1] | Price |
AvgPxGroupID | [0..1] | String |
AvgPxIndicator | [0..1] | CodeSet |
MultiLegReportingType | [0..1] | CodeSet |
TradeLegRefID | [0..1] | String |
TransactTime | [0..1] | UTCTimestamp | Time this message was issued by matching system, trading system or counterparty.
SettlType | [0..1] | CodeSet |
UndInstrmtGrp | [0..*] | Group |
MatchStatus | [0..1] | CodeSet |
MatchType | [0..1] | CodeSet |
CopyMsgIndicator | [0..1] | Boolean |
TrdRepIndicatorsGrp | [0..*] | Group |
PublishTrdIndicator | [0..1] | CodeSet |
TradePublishIndicator | [0..1] | CodeSet |
ShortSaleReason | [0..1] | CodeSet |
TrdInstrmtLegGrp | [0..*] | Group |
TrdRegTimestamps | [0..*] | Group |
ResponseTransportType | [0..1] | CodeSet |
ResponseDestination | [0..1] | String |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data |
AsOfIndicator | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
PositionAmountData | [0..*] | Group |
TierCode | [0..1] | String | Indicates the algorithm (tier) used to match a trade.
MessageEventSource | [0..1] | String |
LastUpdateTime | [0..1] | UTCTimestamp | Used to indicate reports after a specific time.
RndPx | [0..1] | Price | Specifies the rounded price to quoted precision.
TradeQtyGrp | [0..*] | Group |
TrdCapRptAckSideGrp | [0..*] | Group |
RptSys | [0..1] | String |
GrossTradeAmt | [0..1] | Amt | (LastQty(32) * LastPx(31) or LastParPx(669)). For Fixed Income, LastParPx(669) is used when LastPx(31) is not expressed as "percent of par" price.
SettlDate | [0..1] | LocalMktDate |
FeeMultiplier | [0..1] | float |
RiskLimitCheckStatus | [0..1] | CodeSet |
StandardTrailer | [1..1] | Component |

TradeCaptureReportRequest

Category: TradeCapture

Message Functionality

The Trade Capture Report Request can be used to:

Request one or more trade capture reports based upon selection criteria provided on the trade capture report request

Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AD
TradeRequestID | [1..1] | String | Unique identifier for the trade request.
TradeID | [0..1] | String |
SecondaryTradeID | [0..1] | String |
FirmTradeID | [0..1] | String |
SecondaryFirmTradeID | [0..1] | String |
TradeRequestType | [1..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | If the field is absent, SubscriptionRequestType(263)=0(Snapshot) will be the default.
TradeReportID | [0..1] | String | Can be used to request a specific trade report.
SecondaryTradeReportID | [0..1] | String | To request a specific trade report
SecondaryExecID | [0..1] | String | To request all trades based on secondary execution identifier
ExecID | [0..1] | String |
ExecType | [0..1] | CodeSet | Can be used to request all trades of a specific execution type.
OrderID | [0..1] | String |
ClOrdID | [0..1] | String |
MatchStatus | [0..1] | CodeSet |
TrdType | [0..1] | CodeSet | Can be used to request all trades of a specific trade type.
TrdSubType | [0..1] | CodeSet | Can be used to request all trades of a specific trade sub type.
OffsetInstruction | [0..1] | CodeSet |
TradeHandlingInstr | [0..1] | CodeSet |
TransferReason | [0..1] | String | Can be used to request all trades for a specific transfer reason.
SecondaryTrdType | [0..1] | CodeSet | Can be used to request all trades of a specific secondary trade type.
TradeLinkID | [0..1] | String | Can be used to request all trades of a specific trade link identifier.
TrdMatchID | [0..1] | String | Can be used to request a trade matching a specific TrdMatchID(880).
Parties | [0..*] | Group | Used to specify the parties for the trades to be returned (clearing firm, execution broker, trader id, etc.). ExecutingBroker. ClearingFirm. ContraBroker. ContraClearingFirm. SettlementLocation - depository, CSD, or other settlement party. ExecutingTrader. InitiatingTrader. OrderOriginator
Instrument | [0..1] | Component |
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
TrdCapDtGrp | [0..*] | Group | Number of date ranges provided (must be 1 or 2 if specified)
ClearingBusinessDate | [0..1] | LocalMktDate | Can be used to request trades for a specific clearing business date.
TradingSessionID | [0..1] | String | Can be used to request trades for a specific trading session.
TradingSessionSubID | [0..1] | CodeSet | Can be used to request trades for a specific trading session.
TimeBracket | [0..1] | String | Can be used to request trades within a specific time bracket.
Side | [0..1] | CodeSet | Can be used to request trades for a specific side of a trade.
MultiLegReportingType | [0..1] | CodeSet | Used to indicate if trades are to be returned for the individual legs of a multileg instrument or for the overall instrument.
TradeInputSource | [0..1] | String | Can be used to requests trades that were submitted from a specific trade input source.
TradeInputDevice | [0..1] | String | Can be used to request trades that were submitted from a specific trade input device.
ResponseTransportType | [0..1] | CodeSet |
ResponseDestination | [0..1] | String |
Text | [0..1] | String | Used to match specific values within Text(58) fields.
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
MessageEventSource | [0..1] | String |
StandardTrailer | [1..1] | Component |

TradeCaptureReportRequestAck

Category: TradeCapture

Message Functionality

The Trade Capture Request Ack message is used to:

Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod.

Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments.

Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request or the Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = AQ
TradeRequestID | [1..1] | String | Identifier for the trade request
TradeID | [0..1] | String |
SecondaryTradeID | [0..1] | String |
FirmTradeID | [0..1] | String |
SecondaryFirmTradeID | [0..1] | String |
TradeRequestType | [1..1] | CodeSet |
SubscriptionRequestType | [0..1] | CodeSet | Used to subscribe / unsubscribe for trade capture reports. If the field is absent, the value 0 will be the default
TotNumTradeReports | [0..1] | int | Number of trade reports returned
TradeRequestResult | [1..1] | CodeSet | Result of Trade Request
TradeRequestStatus | [1..1] | CodeSet | Status of Trade Request
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrumentExtension | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group | Number of legs. NoLegs > 0 identifies a Multi-leg Execution
MultiLegReportingType | [0..1] | CodeSet | Specify type of multileg reporting to be returned.
ResponseTransportType | [0..1] | CodeSet | Ability to specify whether the response to the request should be delivered inband or via pre-arranged out-of-band transport.
ResponseDestination | [0..1] | String | URI destination name. Used if ResponseTransportType is out-of-band.
Text | [0..1] | String | May be used by the executing market to record any execution Details that are particular to that market
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
MessageEventSource | [0..1] | String | Used to identify the event or source which gave rise to a message
StandardTrailer | [1..1] | Component |

TradeMatchReport

Category: TradeCapture

Message Functionality

The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DC
ApplicationSequenceControl | [0..1] | Component |
TrdMatchID | [1..1] | String | Unique identifier common for all trades included in a match event.
MatchType | [0..1] | CodeSet |
TradeReportType | [0..1] | CodeSet |
ClearingBusinessDate | [0..1] | LocalMktDate |
TrdType | [0..1] | CodeSet |
TrdSubType | [0..1] | CodeSet |
TradeDate | [0..1] | LocalMktDate | Used when reporting other than current day trades.
MarketID | [0..1] | Exchange |
MarketSegmentID | [0..1] | String |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
VenueType | [0..1] | CodeSet |
TradeMatchTimestamp | [0..1] | UTCTimestamp |
TransactTime | [0..1] | UTCTimestamp | Time of the match event or transaction that resulted in this match report.
MultiLegReportingType | [0..1] | CodeSet | Differentiates match events involving complex instruments (MultiLegReportingType(442)=3(multileg security)) from those only involving simple instruments (MultiLegReportingType(442)=1(single security)). MultiLegReportingType(442)=2(individual leg of multileg security) should not be used.
InstrmtMatchSideGrp | [0..*] | Group | Conditionally required when TradeReportType(856) = Submit(0).
StandardTrailer | [1..1] | Component |

TradeMatchReportAck

Category: TradeCapture

Message Functionality

The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType=DD
ApplicationSequenceControl | [0..1] | Component |
TrdMatchID | [1..1] | String | Identifier of the TradeMatchReport(35=DC) being acknowledged.
TradeMatchAckStatus | [1..1] | CodeSet |
TradeMatchRejectReason | [0..1] | CodeSet | Conditionally required when TradeMatchAckStatus(1896) = Rejected(2).
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |
StandardTrailer | [1..1] | Component |

TradingSessionList

Category: MarketStructureReferenceData

Message Functionality

The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BJ
ApplicationSequenceControl | [0..1] | Component |
TradSesReqID | [0..1] | String | Provided for a response to a specific Trading Session List Request message (snapshot).
TrdSessLstGrp | [1..*] | Group |
StandardTrailer | [1..1] | Component |

TradingSessionListRequest

Category: MarketStructureReferenceData

Message Functionality

The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BI
TradSesReqID | [1..1] | String | Must be unique, or the ID of previous Trading Session List Request to disable if SubscriptionRequestType(263) = 2 (Disable previous Snapshot + Update Request).
MarketID | [0..1] | Exchange | Market for which Trading Session applies
MarketSegmentID | [0..1] | String | Market Segment for which Trading Session applies
TradingSessionID | [0..1] | String | Trading Session for which status is being requested
TradingSessionSubID | [0..1] | CodeSet |
SecurityExchange | [0..1] | Exchange |
TradSesMethod | [0..1] | CodeSet | Method of Trading
TradSesMode | [0..1] | CodeSet | Trading Session Mode
SubscriptionRequestType | [1..1] | CodeSet |
StandardTrailer | [1..1] | Component |

TradingSessionListUpdateReport

Category: MarketStructureReferenceData

Message Functionality

The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = BS
ApplicationSequenceControl | [0..1] | Component |
TradSesReqID | [0..1] | String | Provided for a response to a specific Trading Session List Request message (snapshot).
TrdSessLstGrp | [1..*] | Group |
StandardTrailer | [1..1] | Component |

TradingSessionStatus

Category: MarketStructureReferenceData

Message Functionality

The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = h (lowercase)
ApplicationSequenceControl | [0..1] | Component |
TradSesReqID | [0..1] | String | Conditionally required when responding to a specific TradingSessionStatusRequest(35=g)
MarketID | [0..1] | Exchange | Market for which trading session applies
MarketSegmentID | [0..1] | String | Market Segment for which trading session applies
TradeDate | [0..1] | LocalMktDate | Business day for which trading session applies to.
TradingSessionID | [1..1] | String | Identifier for trading session
TradingSessionSubID | [0..1] | CodeSet |
TradSesMethod | [0..1] | CodeSet |
TradSesMode | [0..1] | CodeSet |
UnsolicitedIndicator | [0..1] | CodeSet | Set to 'Y' if message is sent unsolicited as a result of a previous subscription request.
TradSesStatus | [1..1] | CodeSet |
TradSesEvent | [0..1] | CodeSet | Identifies an event related to the trading status of a trading session
FastMarketIndicator | [0..1] | Boolean | Indicates if trading session is in fast market.
TradSesStatusRejReason | [0..1] | CodeSet | Use with TradSesStatus(340) = 6(Request Rejected).
TradSesStartTime | [0..1] | UTCTimestamp | Starting time of the trading session
TradSesOpenTime | [0..1] | UTCTimestamp | Time of the opening of the trading session
TradSesPreCloseTime | [0..1] | UTCTimestamp | Time of the pre-close of the trading session
TradSesCloseTime | [0..1] | UTCTimestamp | Closing time of the trading session
TradSesEndTime | [0..1] | UTCTimestamp | End time of the trading session
TradSesControl | [0..1] | CodeSet | Indicates how control of trading session and subsession transitions are performed
TotalVolumeTraded | [0..1] | Qty |
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
Instrument | [0..1] | Component | Use if status information applies only to a subset of all instruments. Use SecurityStatus(35=f) message instead for status on a single instrument.
StandardTrailer | [1..1] | Component |

TradingSessionStatusRequest

Category: MarketStructureReferenceData

Message Functionality

The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = g (lowercase)
TradSesReqID | [1..1] | String | Must be unique, or the ID of previous Trading Session Status Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).
MarketID | [0..1] | Exchange | Market for which Trading Session applies
MarketSegmentID | [0..1] | String | Market Segment for which Trading Session applies
TradingSessionID | [0..1] | String | Trading Session for which status is being requested
TradingSessionSubID | [0..1] | CodeSet |
TradSesMethod | [0..1] | CodeSet | Method of trading
TradSesMode | [0..1] | CodeSet | Trading Session Mode
SubscriptionRequestType | [1..1] | CodeSet |
SecurityExchange | [0..1] | Exchange |
StandardTrailer | [1..1] | Component |

UserNotification

Category: UserManagement

Message Functionality

The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = CB
UsernameGrp | [0..*] | Group | List of users to which the notification is directed
UserStatus | [1..1] | CodeSet | Reason for notification - when possible provide an explanation.
ThrottleParamsGrp | [0..*] | Group |
Text | [0..1] | String | Explanation for user notification.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
StandardTrailer | [1..1] | Component |

UserRequest

Category: UserManagement

Message Functionality

This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = "BE"
UserRequestID | [1..1] | String |
UserRequestType | [1..1] | CodeSet |
Username | [1..1] | String |
Password | [0..1] | String |
NewPassword | [0..1] | String |
EncryptedPasswordMethod | [0..1] | int |
EncryptedPasswordLen | [0..1] | Length |
EncryptedPassword | [0..1] | data |
EncryptedNewPasswordLen | [0..1] | Length |
EncryptedNewPassword | [0..1] | data |
RawDataLength | [0..1] | Length |
RawData | [0..1] | data | Can be used to hand structures etc to other API's etc
StandardTrailer | [1..1] | Component |

UserResponse

Category: UserManagement

Message Functionality

This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component | MsgType = "BF"
UserRequestID | [1..1] | String |
Username | [1..1] | String |
UserStatus | [0..1] | CodeSet |
ThrottleParamsGrp | [0..*] | Group |
UserStatusText | [0..1] | String | Reason a request was not carried out
StandardTrailer | [1..1] | Component |

XMLnonFIX

Category: Session

Message Functionality

Structure

Name | Mult. | Type | Description
StandardHeader | [1..1] | Component |
AttachmentGrp | [0..*] | Group |
StandardTrailer | [1..1] | Component |

Message Elements

Data Types

Data type
Base type
Description

Amt
float
float field typically representing a Price times a Qty

Boolean
char
char field containing one of two values:. 'Y' = True/Yes. 'N' = False/No

char

Single character value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. m != M).

Country
String
string field representing a country using ISO 3166 Country code (2 character) values (see Appendix 6-B).

Currency
String
string field representing a currency type using ISO 4217 Currency code (3 character) values (see Appendix 6-A).

data

string field containing opaque or non-ASCII data with no format or content restrictions. Data fields are always immediately preceded by a length field. The length field should specify the number of bytes of the value of the data field (up to but not including the terminating SOH). The number of bytes does not equal the number of characters when multibyte character sets are used. Caution: The value of these fields may contain the delimiter (SOH) character. Note that the value specified for these fields must be followed by the delimiter (SOH) character as all tag-value fields are terminated with an SOH.

Exchange
String
string field representing a market or exchange using ISO 10383 Market Identifier Code (MIC) values (see"Appendix 6-C).

float

Sequence of digits with optional decimal point and sign character (ASCII characters "-", "0" - "9" and "."); the absence of the decimal point within the string will be interpreted as the float representation of an integer value. All float fields must accommodate up to fifteen significant digits. The number of decimal places used should be a factor of business/market needs and mutual agreement between counterparties. Note that float values may contain leading zeros (e.g. "00023.23" = "23.23") and may contain or omit trailing zeros after the decimal point (e.g. "23.0" = "23.0000" = "23" = "23."). Note that fields which are derived from float may contain negative values unless explicitly specified otherwise.

int

Sequence of digits without commas or decimals and optional sign character (ASCII characters "-" and "0" - "9" ). The sign character utilizes one byte (i.e. positive int is "99999" while negative int is "-99999"). Note that int values may contain leading zeros (e.g. "00023" = "23").

Language
String
Identifier for a national language - uses ISO 639-1 standard

Length
int
int field representing the length in bytes. Value must be positive.

LocalMktDate
String
string field representing a Date of Local Market (as opposed to UTC) in YYYYMMDD format. This is the "normal" date field used by the FIX Protocol. Valid values:. YYYY = 0000-9999, MM = 01-12, DD = 01-31

LocalMktTime
String
string field representing the time local to a particular market center. Used where offset to UTC varies throughout the year and the defining market center is identified in a corresponding field. Format is HH:MM:SS where HH = 00-23 hours, MM = 00-59 minutes, SS = 00-59 seconds. In general only the hour token is non-zero.

MonthYear
String
string field representing month of a year. An optional day of the month can be appended or an optional week code. Valid formats:. YYYYMM. YYYYMMDD. YYYYMMWW. Valid values:. YYYY = 0000-9999; MM = 01-12; DD = 01-31; WW = w1, w2, w3, w4, w5.

MultipleCharValue
String
string field containing one or more space delimited single character values (e.g.

MultipleStringValue
String
string field containing one or more space delimited multiple character values (e.g.

NumInGroup
int
int field representing the number of entries in a repeating group. Value must be positive.

Percentage
float
float field representing a percentage (e.g. 0.05 represents 5% and 0.9525 represents 95.25%). Note the number of decimal places may vary.

Price
float
float field representing a price. Note the number of decimal places may vary. For certain asset classes prices may be negative values. For example, prices for options strategies can be negative under certain market conditions. Refer to Volume 7: FIX Usage by Product for asset classes that support negative price values.

PriceOffset
float
float field representing a price offset, which can be mathematically added to a "Price". Note the number of decimal places may vary and some fields such as LastForwardPoints may be negative.

Qty
float
float field capable of storing either a whole number (no decimal places) of "shares" (securities denominated in whole units) or a decimal value containing decimal places for non-share quantity asset classes (securities denominated in fractional units).

SeqNum
int
int field representing a message sequence number. Value must be positive.

String

Alpha-numeric free format strings, can include any character or punctuation except the delimiter. All String fields are case sensitive (i.e. morstatt != Morstatt).

TagNum
int
int field representing a field's tag number when using FIX "Tag=Value" syntax. Value must be positive and may not contain leading zeros.

TZTimeOnly
String
string field representing the time represented based on ISO 8601. This is the time with a UTC offset to allow identification of local time and timezone of that time. Format is HH:MM[:SS][Z

TZTimestamp
String
string field representing a time/date combination representing local time with an offset to UTC to allow identification of local time and timezone offset of that time. The representation is based on ISO 8601. Format is YYYYMMDD-HH:MM:SS.sss*[Z

UTCDateOnly
String
string field representing Date represented in UTC (Universal Time Coordinated, also known as "GMT") in YYYYMMDD format. This special-purpose field is paired with UTCTimeOnly to form a proper UTCTimestamp for bandwidth-sensitive messages. Valid values:. YYYY = 0000-9999, MM = 01-12, DD = 01-31.

UTCTimeOnly
String
string field representing time-only represented in UTC (Universal Time Coordinated, also known as "GMT") in either HH:MM:SS (whole seconds) or HH:MM:SS.sss* (milliseconds) format, colons, and period required. This special-purpose field is paired with UTCDateOnly to form a proper UTCTimestamp for bandwidth-sensitive messages. Valid values:. HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second), sss* fractions of seconds. The fractions of seconds may be empty when no fractions of seconds are conveyed (in such a case the period is not conveyed), it may include 3 digits to convey milliseconds, 6 digits to convey microseconds, 9 digits to convey nanoseconds, 12 digits to convey picoseconds; Other number of digits may be used with bilateral agreement.

UTCTimestamp
String
string field representing time/date combination represented in UTC (Universal Time Coordinated, also known as "GMT") in either YYYYMMDD-HH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss* format, colons, dash, and period required. Valid values:. YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second), sss* fractions of seconds. The fractions of seconds may be empty when no fractions of seconds are conveyed (in such a case the period is not conveyed), it may include 3 digits to convey milliseconds, 6 digits to convey microseconds, 9 digits to convey nanoseconds, 12 digits to convey picoseconds; Other number of digits may be used with bilateral agreement. Leap Seconds: Note that UTC includes corrections for leap seconds, which are inserted to account for slowing of the rotation of the earth. Leap second insertion is declared by the International Earth Rotation Service (IERS) and has, since 1972, only occurred on the night of Dec. 31 or Jun 30. The IERS considers March 31 and September 30 as secondary dates for leap second insertion, but has never utilized these dates. During a leap second insertion, a UTCTimestamp field may read "19981231-23:59:59", "19981231-23:59:60", "19990101-00:00:00". (see http://tycho.usno.navy.mil/leapsec.html)

XID
String
The purpose of the XID datatype is to define a unique identifier that is global to a FIX message. An identifier defined using this datatype uniquely identifies its containing element, whatever its type and name is. The constraint added by this datatype is that the values of all the fields that have an XID datatype in a FIX message must be unique.

XIDREF
String
The XIDREF datatype defines a reference to an identifier defined by the XID datatype.

XMLData
String
Contains an XML document raw data with no format or content restrictions. XMLData fields are always immediately preceded by a length field. The length field should specify the number of bytes of the value of the data field (up to but not including the terminating SOH).

Data Dictionary

Account

Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.

Type: String

Used in groups: BidCompReqGrp, ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, ExecutionReport, MassOrder, MassOrderAck, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, Quote, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RegistrationInstructions, RegistrationInstructionsResponse, RequestForPositions, RequestForPositionsAck, TradeAggregationRequest

AccountSummaryReportID

Unique identifier for the AccountSummaryReport(35=CQ).

Type: String

Used in messages: AccountSummaryReport

AccountType

Type of account associated with an order

Type: int

Allowed values in AccountTypeCodeSet:

Code | Name | Description
1 | CarriedCustomerSide | Account is carried on customer side of the books
2 | CarriedNonCustomerSide | Account is carried on non-customer side of books
3 | HouseTrader | House Trader
4 | FloorTrader | Floor Trader
6 | CarriedNonCustomerSideCrossMargined | Account is carried on non-customer side of books and is cross margined
7 | HouseTraderCrossMargined | Account is house trader and is cross margined
8 | JointBackOfficeAccount | Joint back office account (JBO)
9 | EquitiesSpecialist | Equities specialist
10 | OptionsMarketMaker | Options market maker
11 | OptionsFirmAccount | Options firm account
12 | AccountCustomerNonCustomerOrders | Account for customer and non-customer orders. Account aggregates orders from customers and non-customers. In the context of IIROC UMIR this account type can be used for bundled orders (BU), i.e. orders including client, non-client and principal orders.
13 | AccountOrdersMultipleCustomers | Account for orders from multiple customers. Account aggregates orders from multiple customers. In the context of IIROC UMIR this account type can be used for multiple client orders (MC), i.e. orders including orders from more than one client but no principal or non-client orders.

Used in groups: ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, ExecutionReport, MassOrder, MassOrderAck, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, Quote, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RequestForPositions, RequestForPositionsAck

AccruedInterestAmt

Amount of Accrued Interest for convertible bonds and fixed income

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport

AccruedInterestRate

The amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond.

Type: Percentage

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport

AcctIDSource

Used to identify the source of the Account (1) code. This is especially useful if the account is a new account that the Respondent may not have setup yet in their system.

Type: int

Allowed values in AcctIDSourceCodeSet:

Code | Name | Description
1 | BIC | BIC
2 | SIDCode | SID Code
3 | TFM | TFM (GSPTA)
4 | OMGEO | OMGEO (Alert ID)
5 | DTCCCode | DTCC Code
6 | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
99 | Other | Other (custom or proprietary)

Used in groups: BidCompReqGrp, ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: ExecutionReport, MassOrder, MassOrderAck, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, Quote, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RegistrationInstructions, RegistrationInstructionsResponse, RequestForPositions, RequestForPositionsAck

AccumulatedReturnModifiedVariationMargin

The economic cost of the variation margin from one trading day to the next.

Type: float

Used in groups: ClearingPriceParametersGrp

AdditionalDividendsIndicator

Indicates whether additional dividends are applicable.

Type: Boolean

Used in components: DividendConditions

AdditionalTermBondCouponFrequencyPeriod

Time unit multiplier for the frequency of the bond's coupon payment.

Type: int

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondCouponFrequencyUnit

Time unit associated with the frequency of the bond's coupon payment.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondCouponRate

Coupon rate of the bond. See also CouponRate(223).

Type: Percentage

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondCouponType

Coupon type of the bond.

Type: int

Allowed values in CouponTypeCodeSet:

Code | Name | Description
0 | Zero | Zero
1 | FixedRate | Fixed rate
2 | FloatingRate | Floating rate
3 | Structured | Structured

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondCurrency

Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondCurrentTotalIssuedAmount

Total issued amount of the bond.

Type: Amt

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondDayCount

The day count convention used in interest calculations for a bond or an interest bearing security.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondDesc

Description of the bond.

Type: String

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondIssuer

Issuer of the bond.

Type: String

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondMaturityDate

The maturity date of the bond.

Type: LocalMktDate

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondParValue

The par value of the bond.

Type: Amt

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondRefGrp

The AdditionalTermBondRefGrp is a repeating group subcomponent of the AdditionalTermGrp component used to identify an underlying reference bond for a swap.

Name | Mult. | Type | Description
NoAdditionalTermBondRefs | [1..1] | NumInGroup |
AdditionalTermBondSecurityID | [0..1] | String | Required if NoAdditionalTermBondRefs(40000) > 0.
AdditionalTermBondSecurityIDSource | [0..1] | CodeSet | Conditionally required when AdditionalTermBondSecurityID(40001) is specified.
AdditionalTermBondDesc | [0..1] | String |
EncodedAdditionalTermBondDescLen | [0..1] | Length | Must be set if EncodedAdditionalTermBondDesc(40005) field is specified and must immediately precede it.
EncodedAdditionalTermBondDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the AdditionalTermBondDesc(40003) field in the encoded format specified via the MessageEncoding(347) field.
AdditionalTermBondCurrency | [0..1] | Currency |
AdditionalTermBondIssuer | [0..1] | String |
EncodedAdditionalTermBondIssuerLen | [0..1] | Length | Must be set if EncodedAdditionalTermBondIssuer(40009) field is specified and must immediately precede it.
EncodedAdditionalTermBondIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the AdditionalTermBondIssuer(40007) field in the encoded format specified via the MessageEncoding(347) field.
AdditionalTermBondSeniority | [0..1] | CodeSet |
AdditionalTermBondCouponType | [0..1] | CodeSet |
AdditionalTermBondCouponRate | [0..1] | Percentage |
AdditionalTermBondMaturityDate | [0..1] | LocalMktDate |
AdditionalTermBondParValue | [0..1] | Amt |
AdditionalTermBondCurrentTotalIssuedAmount | [0..1] | Amt |
AdditionalTermBondCouponFrequencyPeriod | [0..1] | int | Conditionally required when AdditionalTermBondCouponFrequencyUnit(40017) is specified.
AdditionalTermBondCouponFrequencyUnit | [0..1] | CodeSet | Conditionally required when AdditionalTermBondCouponFrequencyPeriod(40016) is specified.
AdditionalTermBondDayCount | [0..1] | CodeSet |

Used in groups: AdditionalTermGrp

AdditionalTermBondSecurityID

Security identifier of the bond.

Type: String

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondSecurityIDSource

Identifies the source scheme of the AdditionalTermBondSecurityID(40001) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: AdditionalTermBondRefGrp

AdditionalTermBondSeniority

Specifies the bond's payment priority in the event of a default.

Type: String

Allowed values in SeniorityCodeSet:

Code | Name | Description
SD | SeniorSecured | Senior Secured
SR | Senior | Senior
SB | Subordinated | Subordinated
JR | Junior | Junior. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
MZ | Mezzanine | Mezzanine. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
SN | SeniorNonPreferred | Senior Non-Preferred. For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).

Used in groups: AdditionalTermBondRefGrp

AdditionalTermConditionPrecedentBondIndicator

Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.

Type: Boolean

Used in groups: AdditionalTermGrp

AdditionalTermDiscrepancyClauseIndicator

Indicates whether the discrepancy clause is applicable.

Type: Boolean

Used in groups: AdditionalTermGrp

AdditionalTermGrp

The AdditionalTermGrp is a repeating subcomponent of the Instrument component used to report additional contract terms.

Name | Mult. | Type | Description
NoAdditionalTerms | [1..1] | NumInGroup |
AdditionalTermConditionPrecedentBondIndicator | [0..1] | Boolean | Required if NoAdditionalTerms(40019) > 0.
AdditionalTermDiscrepancyClauseIndicator | [0..1] | Boolean |
AdditionalTermBondRefGrp | [0..*] | Group |

Used in components: Instrument

Adjustment

Identifies the type of adjustment.

Type: int

Allowed values in AdjustmentCodeSet:

Code | Name | Description
1 | Cancel | Cancel
2 | Error | Error
3 | Correction | Correction

Used in messages: SecurityMassStatus, SecurityStatus

AdjustmentType

Type of adjustment to be applied. Used for Position Change Submission (PCS), Position Adjustment (PAJ), and Customer Gross Margin (CGM).

Type: int

Allowed values in AdjustmentTypeCodeSet:

Code | Name | Description
0 | ProcessRequestAsMarginDisposition | Process request as margin disposition
1 | DeltaPlus | Delta plus
2 | DeltaMinus | Delta minus
3 | Final | Final
4 | CustomerSpecificPosition | Customer specific position

Used in messages: PositionMaintenanceReport, PositionMaintenanceRequest

AdvId

Unique identifier of advertisement message.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: Advertisement

AdvRefID

Reference identifier used with CANCEL and REPLACE transaction types.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: Advertisement

AdvSide

Broker's side of advertised trade

Type: char

Allowed values in AdvSideCodeSet:

Code | Name | Description
B | Buy | Buy
S | Sell | Sell
T | Trade | Trade
X | Cross | Cross

Used in messages: Advertisement

AdvTransType

Identifies advertisement message transaction type

Type: String

Allowed values in AdvTransTypeCodeSet:

Code | Name | Description
N | New | New
C | Cancel | Cancel
R | Replace | Replace

Used in messages: Advertisement

AffectedMarketSegmentGrp

List of market segments that have been affected by a mass action.

Name | Mult. | Type | Description
NoAffectedMarketSegments | [1..1] | NumInGroup |
AffectedMarketSegmentID | [0..1] | String | Required when NoAffectedMarketSegments(1791) > 0.

Used in messages: OrderMassActionReport

AffectedMarketSegmentID

Market segment within an affected market repeating segment group.

Type: String

Used in groups: AffectedMarketSegmentGrp

AffectedOrderID

OrderID(37) of an order affected by a mass cancel or mass action request.

Type: String

Used in groups: AffectedOrdGrp

AffectedOrdGrp

Name | Mult. | Type | Description
NoAffectedOrders | [1..1] | NumInGroup |
AffectedOrigClOrdID | [0..1] | String | Required if NoAffectedOrders(534) > 0. Indicates the client order id of an order affected by this request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID(11)) this field should contain string "MANUAL".
AffectedOrderID | [0..1] | String | Contains the OrderID(37) assigned by the counterparty of an affected order. Conditionally required when AffectedOrigClOrdID(1824) = "MANUAL".
AffectedSecondaryOrderID | [0..1] | String | Contains the SecondaryOrderID(198) assigned by the counterparty of an affected order.

Used in messages: OrderMassActionReport, OrderMassCancelReport

AffectedOrigClOrdID

OrigClOrdID(41) of an order affected by a mass cancel or mass action request.

Type: String

Used in groups: AffectedOrdGrp

AffectedSecondaryOrderID

SecondaryOrderID(198) of an order affected by a mass cancel or mass action request.

Type: String

Used in groups: AffectedOrdGrp

AffiliatedFirmsTradeIndicator

Indicates whether the transaction or position was entered into between two affiliated firms. I.e. one counterparty has an ownership interest in the other counterparty but less than the majority interest.

Type: Boolean

Used in messages: ExecutionReport, NewOrderSingle, TradeCaptureReport

AffirmStatus

Specifies the affirmation status of the confirmation.

Type: int

Allowed values in AffirmStatusCodeSet:

Code | Name | Description
1 | Received | Received
2 | ConfirmRejected | Confirm rejected, i.e. not affirmed
3 | Affirmed | Affirmed

Used in messages: Confirmation, ConfirmationAck

AggregatedBook

Specifies whether or not book entries should be aggregated. (Not specified) = broker option

Type: Boolean

Allowed values in AggregatedBookCodeSet:

Code | Name | Description
Y | BookEntriesToBeAggregated | book entries to be aggregated
N | BookEntriesShouldNotBeAggregated | book entries should not be aggregated

Used in messages: MarketDataRequest

AggregatedQty

Total quantity of orders or fills quantity aggregated.

Type: Qty

Used in messages: TradeAggregationReport, TradeAggregationRequest

AggressorIndicator

Used to identify whether the order initiator is an aggressor or not in the trade.

Type: Boolean

Allowed values in AggressorIndicatorCodeSet:

Code | Name | Description
Y | OrderInitiatorIsAggressor | Order initiator is aggressor
N | OrderInitiatorIsPassive | Order initiator is passive

Used in components: MDStatisticParameters

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport

AggressorSide

Side of aggressive order or quote resulting in match event.

Type: char

Allowed values in SideCodeSet:

Code | Name | Description
1 | Buy | Buy. For Securities Financing indicates the receipt of securities or collateral.
2 | Sell | Sell. For Securities Financing indicates the delivery of securities or collateral.
3 | BuyMinus | Buy minus
4 | SellPlus | Sell plus
5 | SellShort | Sell short
6 | SellShortExempt | Sell short exempt
7 | Undisclosed | Undisclosed
8 | Cross | Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
9 | CrossShort | Cross short
A | CrossShortExempt | Cross short exempt
B | AsDefined | "As Defined" (for use with multileg instruments)
C | Opposite | "Opposite" (for use with multileg instruments)
D | Subscribe | Subscribe (e.g. CIV)
E | Redeem | Redeem (e.g. CIV)
F | Lend | Lend (FINANCING - identifies direction of collateral)
G | Borrow | Borrow (FINANCING - identifies direction of collateral)
H | SellUndisclosed | Sell undisclosed. In the context of ESMA RTS 22, this allows for reporting of transactions where the investment firm (broker) is not able to determine whether the sell is a short sale transaction. Corresponds to RTS 22 "short selling indicator" value of 'UNDI'.

Used in groups: MDFullGrp, MDIncGrp

AggressorTime

Timestamp of aggressive order or quote resulting in match event.

Type: UTCTimestamp

Used in groups: MDFullGrp, MDIncGrp

AgreementCurrency

Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.

Type: Currency

Used in components: FinancingDetails

AgreementCurrencyCodeSource

Identifies class or source of the AgreementCurrency(918) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: FinancingDetails

AgreementDate

A reference to the date the underlying agreement specified by AgreementID and AgreementDesc was executed.

Type: LocalMktDate

Used in components: FinancingDetails

AgreementDesc

The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction. See http://www.fpml.org/coding-scheme/master-agreement-type for derivative values.

Type: String

Used in components: FinancingDetails

AgreementID

A common reference to the applicable standing agreement between the counterparties to a financing transaction.

Type: String

Used in components: FinancingDetails

AgreementVersion

The version of the master agreement

Type: String

Used in components: FinancingDetails

AlgoCertificateDesc

Description of a certificate issued by an algorithmic trading firm.

Type: String

Used in messages: AlgoCertificateReport, AlgoCertificateRequest

AlgoCertificateID

Unique identifier for a certificate issued by an algorithmic trading firm.

Type: String

Used in messages: AlgoCertificateReport, AlgoCertificateRequest

AlgoCertificateReportID

Unique identifier of the AlgoCertificateReport(35=EJ).

Type: String

Used in messages: AlgoCertificateReport, AlgoCertificateReportAck

AlgoCertificateReportRefID

Reference identifier of the AlgoCertificateReport(35=EJ).

Type: String

Used in messages: AlgoCertificateReport

AlgoCertificateReportStatus

Status of the report being responded to.

Type: int

Allowed values in AlgoCertificateReportStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected. Rejection reason provided in RejectText(1328).

Used in messages: AlgoCertificateReportAck

AlgoCertificateReportTransType

Identifies the message transaction type.

Type: int

Allowed values in AlgoCertificateReportTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel
2 | Replace | Replace

Used in messages: AlgoCertificateReport

AlgoCertificateReportType

Specifies the type of business event related to an algo certification report.

Type: int

Allowed values in AlgoCertificateReportTypeCodeSet:

Code | Name | Description
0 | CertificateInformation | Certificate information. The recipient of the report is informed about a certificate.
1 | CertificateStateChanged | Certificate state changed. The recipient of the report is informed that the status of a certificate has changed. The new state is provided with AlgoCertificateStatus(3022).

Used in messages: AlgoCertificateReport, AlgoCertificateReportAck

AlgoCertificateRequestID

Unique identifier of the AlgoCertificateRequest(35=EH).

Type: String

Used in messages: AlgoCertificateReport, AlgoCertificateRequest, AlgoCertificateRequestAck

AlgoCertificateRequestRefID

Reference identifier of the AlgoCertificateRequest(35=EH).

Type: String

Used in messages: AlgoCertificateRequest

AlgoCertificateRequestStatus

Status of the AlgoCertificateRequest(35=EH) message being responded to.

Type: int

Allowed values in AlgoCertificateRequestStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected. Rejection reason provided in RejectText(1328).

Used in messages: AlgoCertificateRequestAck

AlgoCertificateRequestTransType

Identifies the message transaction type.

Type: int

Allowed values in AlgoCertificateRequestTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel
2 | Replace | Replace

Used in messages: AlgoCertificateRequest

AlgoCertificateRequestType

Specifies the type of business event related to an algo certification request.

Type: int

Allowed values in AlgoCertificateRequestTypeCodeSet:

Code | Name | Description
0 | CertificateInformation | Certificate information. The recipient of the request is asked to provide certificates based on the criteria defined as part of the request.
1 | GenerateCertificate | Generate certificate. The recipient of the request is asked to generate a new certificate based on the information defined or referenced in the request.
2 | ChangeCertificateStatus | Change certificate status. The recipient of the request is asked to update the status of the certificate referenced in the request. The requested status is provided with AlgoCertificateStatus(3022).
3 | ForwardCertificate | Forward certificate. The recipient of the request is asked to submit the certificate referenced in the request to the venue identified in the TargetParties component.

Used in messages: AlgoCertificateRequest, AlgoCertificateRequestAck

AlgoCertificateStatus

Status of the certification as provided by the regulatory authority.

Type: int

Allowed values in AlgoCertificateStatusCodeSet:

Code | Name | Description
0 | Draft | Draft. Algo certificate created.
1 | Approved | Approved. Algo certificate approved by authorized person.
2 | Submitted | Submitted. Algo certificate sent to venue.
3 | Registered | Registered. Algo certificate accepted and registered by venue.

Used in messages: AlgoCertificateReport, AlgoCertificateRequest

AlgorithmicTradeIndicator

Indicates that the order or trade originates from a computer program or algorithm requiring little-to-no human intervention.

Type: int

Allowed values in AlgorithmicTradeIndicatorCodeSet:

Code | Name | Description
0 | NonAlgorithmicTrade | Non-algorithmic trade
1 | AlgorithmicTrade | Algorithmic trade. In the context of ESMA MiFID II, a trade has to be flagged as "algorithmic" if at least one of the matched orders was submitted by a trading algorithm. See Directive 2014/65/EU Article 4(1)(39).

Used in groups: MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, TradeCaptureReport

AlgoSystemModuleGrp

AlgoSystemModuleGrp is a repeating group used to provide information regarding the modules of a system for algorithmic trading.

Name | Mult. | Type | Description
NoAlgoSystemModules | [1..1] | NumInGroup |
AlgoSystemModuleName | [0..1] | String | Required if NoAlgoSystemModules(3025)>0.
AlgoSystemModuleVersion | [0..1] | String | Required if NoAlgoSystemModules(3025)>0.
AlgoSystemModuleLastUpdateTime | [0..1] | UTCTimestamp |

Used in messages: AlgoCertificateReport, TestActionReport, TestSuiteDefinitionRequest

AlgoSystemModuleLastUpdateTime

Support Timestamp of last update to Algo System Module.

Type: UTCTimestamp

Used in groups: AlgoSystemModuleGrp

AlgoSystemModuleName

Name of the component of a system for algorithmic trading.

Type: String

Used in groups: AlgoSystemModuleGrp

AlgoSystemModuleVersion

Version (e.g. build or commit number) of the component of a system for algorithmic trading.

Type: String

Used in groups: AlgoSystemModuleGrp

AlgoTestDesc

Description of means of testing for an algorithm.

Type: String

Used in messages: AlgoCertificateReport

AllDividendsIndicator

Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.

Type: Boolean

Used in components: DividendConditions

AllocAccount

Sub-account mnemonic

Type: String

Used in components: SettlTradeDetails

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

Used in messages: Confirmation, ConfirmationRequest, SettlementInstructionRequest

AllocAccountType

Type of account associated with a confirmation or other trade-level message

Type: int

Allowed values in AllocAccountTypeCodeSet:

Code | Name | Description
1 | CarriedCustomerSide | Account is carried pn customer side of books
2 | CarriedNonCustomerSide | Account is carried on non-customer side of books
3 | HouseTrader | House trader
4 | FloorTrader | Floor trader
6 | CarriedNonCustomerSideCrossMargined | Account is carried on non-customer side of books and is cross margined
7 | HouseTraderCrossMargined | Account is house trader and is cross margined
8 | JointBackOfficeAccount | Joint back office account (JBO)

Used in messages: Confirmation, ConfirmationRequest

AllocAccruedInterestAmt

Amount of Accrued Interest for convertible bonds and fixed income at the allocation-level.

Type: Amt

Used in groups: AllocGrp

AllocAcctIDSource

Used to identify the source of the AllocAccount (79) code.

See AcctIDSource (660) for valid values.

Type: int

Allowed values in AcctIDSourceCodeSet:

Code | Name | Description
1 | BIC | BIC
2 | SIDCode | SID Code
3 | TFM | TFM (GSPTA)
4 | OMGEO | OMGEO (Alert ID)
5 | DTCCCode | DTCC Code
6 | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
99 | Other | Other (custom or proprietary)

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

Used in messages: Confirmation, ConfirmationRequest, SettlementInstructionRequest

AllocAckGrp

This repeating group is optionally used for messages with AllocStatus(87) = 2 (Account level reject), to provide details of the individual accounts that were accepted or rejected. In the case of a reject, the reasons for the rejection should be specified.

Name | Mult. | Type | Description
NoAllocs | [1..1] | NumInGroup | Indicates number of allocation groups to follow.
AllocAccount | [0..1] | String | Required if NoAllocs(78) > 0. Must be first field in repeating group.
AllocAcctIDSource | [0..1] | CodeSet |
AllocPrice | [0..1] | Price | Used when performing "executed price" vs. "average price" allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).
AllocPositionEffect | [0..1] | CodeSet |
IndividualAllocID | [0..1] | String |
ParentAllocID | [0..1] | String |
FirmMnemonic | [0..1] | String |
ClearedIndicator | [0..1] | CodeSet | Used to communicate the status of central clearing workflow.
AllocLegRefID | [0..1] | String | The field may not be used in any message where there are no legs.
AllocRegulatoryTradeIDGrp | [0..*] | Group |
IndividualAllocRejCode | [0..1] | CodeSet | Required if NoAllocs(78) > 0 and AllocStatus(87) = 2 (Account level reject).
NestedParties | [0..*] | Group |
AllocHandlInst | [0..1] | CodeSet |
AllocText | [0..1] | String | Can be used here to hold text relating to the rejection of this AllocAccount(366))
EncodedAllocTextLen | [0..1] | Length | Must be set if EncodedAllocText(361) field is specified and must immediately precede it.
EncodedAllocText | [0..1] | data | Encoded (non-ASCII characters) representation of the AllocText(161) field in the encoded format specified via the MessageEncoding(347) field.
FirmAllocText | [0..1] | String |
EncodedFirmAllocTextLen | [0..1] | Length | Must be set if EncodedFirmAllocText(1734) field is specified and must immediately precede it.
EncodedFirmAllocText | [0..1] | data | Encoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field.
SecondaryIndividualAllocID | [0..1] | String |
AllocCustomerCapacity | [0..1] | String |
IndividualAllocType | [0..1] | CodeSet |
AllocQty | [0..1] | Qty |
AllocCalculatedCcyQty | [0..1] | Qty |
CustodialLotID | [0..1] | String | Only used for specific lot trades.
VersusPurchaseDate | [0..1] | LocalMktDate | Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
VersusPurchasePrice | [0..1] | Price | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
CurrentCostBasis | [0..1] | Amt | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
AllocAvgPxGroupID | [0..1] | String |
AllocAvgPxIndicator | [0..1] | CodeSet |

Used in messages: AllocationInstructionAck, AllocationReportAck

AllocationRollupInstruction

An indicator to override the normal procedure to roll up allocations for the same take-up firm.

Type: int

Allowed values in AllocationRollupInstructionCodeSet:

Code | Name | Description
0 | Rollup | Roll up
1 | DoNotRollUp | Do not roll up

Used in groups: AllocGrp, TrdAllocGrp

AllocAvgPx

AvgPx (6) for a specific AllocAccount (79)

For Fixed Income this is always expressed as "percent of par" price type.

Type: Price

Used in groups: AllocGrp

AllocAvgPxGroupID

Used by submitting firm to group trades being sub-allocated into an average price group. The trades in the average price group will be used to calculate an average price for the group.

Type: String

Used in groups: AllocAckGrp, AllocGrp

AllocAvgPxIndicator

Average pricing indicator at the allocation level.

Type: int

Allowed values in AvgPxIndicatorCodeSet:

Code | Name | Description
0 | NoAveragePricing | No average pricing
1 | Trade | Trade is part of an average price group identified by the AvgPxGroupID(1731)
2 | LastTrade | Last trade of the average price group identified by the AvgPxGroupID(1731)
3 | NotionalValueAveragePxGroupTrade | Trade is part of a notional value average price group. A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero.
4 | AveragePricedTrade | Trade is average priced

Used in groups: AllocAckGrp, AllocGrp

AllocCalculatedCcyQty

Used for the calculated quantity of the other side of the currency trade applicable to the allocation instance.

Type: Qty

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

AllocCancReplaceReason

Reason for cancelling or replacing an Allocation Instruction or Allocation Report message

Type: int

Allowed values in AllocCancReplaceReasonCodeSet:

Code | Name | Description
1 | OriginalDetailsIncomplete | Original details incomplete/incorrect
2 | ChangeInUnderlyingOrderDetails | Change in underlying order details
3 | CancelledByGiveupFirm | Cancelled by give-up firm
99 | Other | Other

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

AllocClearingFeeIndicator

ClearingFeeIndicator(635) for Allocation, see ClearingFeeIndicator(635) for permitted values.

Type: String

Used in groups: TrdAllocGrp

AllocCommissionAmount

The commission amount.

Type: Amt

Used in groups: AllocCommissionDataGrp

AllocCommissionAmountShared

Commission amount to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement. If specified, this amount should not exceed the amount in AllocCommissionAmount(2654).

Type: Amt

Used in groups: AllocCommissionDataGrp

AllocCommissionAmountSubType

Further sub classification of the AllocCommissionAmountType(2655).

Type: int

Allowed values in CommissionAmountSubTypeCodeSet:

Code | Name | Description
0 | ResearchPaymentAccount | Research payment account (RPA)
1 | CommissionSharingAgreement | Commission sharing agreement (CSA)
2 | OtherTypeResearchPayment | Other type of research payment. A type of research payment other than RPA or CSA.

Used in groups: AllocCommissionDataGrp

AllocCommissionAmountType

Indicates what type of commission is being expressed in AllocCommissionAmount(2654).

Type: int

Allowed values in CommissionAmountTypeCodeSet:

Code | Name | Description
0 | Unspecified | Unspecified
1 | Acceptance | Acceptance. The bank's charge for issuing a Letter of Credit.
2 | Broker | Broker. The executing broker's commission.
3 | ClearingBroker | Clearing broker. The clearing broker's commission.
4 | Retail | Retail. Commission charged by or related to retail sales.
5 | SalesCommission | Sales commission. The commission charged by the sales desk.
6 | LocalCommission | Local commission. Commission paid to local broker in a cross-border transaction.
7 | ResearchPayment | Research payment

Used in groups: AllocCommissionDataGrp

AllocCommissionBasis

Specifies the basis or unit used to calculate the commission.

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | Amount per unit. Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
2 | Percent | Percent
3 | Absolute | Absolute. Total monetary amount.
4 | PercentageWaivedCashDiscount | Percentage waived, cash discount basis. For use with CIV buy orders.
5 | PercentageWaivedEnhancedUnits | Percentage waived, enhanced units basis. For use with CIV buy orders.
6 | PointsPerBondOrContract | Points per bond or contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
7 | BasisPoints | Basis points. The commission is expressed in basis points in reference to the gross price of the reference asset.
8 | AmountPerContract | Amount per contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.

Used in groups: AllocCommissionDataGrp

AllocCommissionCurrency

Specifies the currency denomination of the commission amount if different from the trade's currency.

AllocCommissionCurrencyCodeSource(2925) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: AllocCommissionDataGrp

AllocCommissionCurrencyCodeSource

Identifies class or source of the AllocCommissionCurrency(2657) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: AllocCommissionDataGrp

AllocCommissionDataGrp

The AllocCommissionDataGrp component block is used to carry commission information such as the type of commission and the rate at the allocation level. It provides a means to express commission applicable for the specified allocation account.

Name | Mult. | Type | Description
NoAllocCommissions | [1..1] | NumInGroup |
AllocCommissionAmount | [0..1] | Amt | Required if NoAllocCommissions(2653) > 0. If the commission is based on a percentage of trade quantity or a factor of "unit of measure", AllocCommissionRate(2660) and AllocCommissionUnitOfMeasure(2658) may also be specified as appropriate.
AllocCommissionAmountType | [0..1] | CodeSet | Required if NoAllocCommissions(2653) > 0.
AllocCommissionAmountSubType | [0..1] | CodeSet |
AllocCommissionBasis | [0..1] | CodeSet | Required if NoAllocCommissions(2653) > 0.
AllocCommissionCurrency | [0..1] | Currency |
AllocCommissionCurrencyCodeSource | [0..1] | CodeSet |
AllocCommissionUnitOfMeasure | [0..1] | CodeSet |
AllocCommissionUnitOfMeasureCurrency | [0..1] | Currency |
AllocCommissionUnitOfMeasureCurrencyCodeSource | [0..1] | CodeSet |
AllocCommissionRate | [0..1] | float |
AllocCommissionSharedIndicator | [0..1] | Boolean |
AllocCommissionAmountShared | [0..1] | Amt | If specified, AllocCommissionSharedIndicator(2661) must be set to "Y".
AllocCommissionLegRefID | [0..1] | String | This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
AllocCommissionDesc | [0..1] | String |
EncodedAllocCommissionDescLen | [0..1] | Length | Must be set if EncodedAllocCommissionDesc(2666) is specified and must immediately precede it.
EncodedAllocCommissionDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field.

Used in groups: AllocGrp, TrdAllocGrp

AllocCommissionDesc

Description of the commission.

Type: String

Used in groups: AllocCommissionDataGrp

AllocCommissionLegRefID

Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).

Type: String

Used in groups: AllocCommissionDataGrp

AllocCommissionRate

The commission rate when AllocCommissionAmount(2654) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage or expressed in basis points, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.

Type: float

Used in groups: AllocCommissionDataGrp

AllocCommissionSharedIndicator

Indicates whether the amount in AllocCommissionAmount(2654) is to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.

Type: Boolean

Used in groups: AllocCommissionDataGrp

AllocCommissionUnitOfMeasure

The commission rate unit of measure.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: AllocCommissionDataGrp

AllocCommissionUnitOfMeasureCurrency

Indicates the currency of the unit of measure. Conditionally required when AllocCommissionUnitOfMeasure(2658) = Ccy (Currency).

Type: Currency

Used in groups: AllocCommissionDataGrp

AllocCommissionUnitOfMeasureCurrencyCodeSource

Identifies class or source of the AllocCommissionUnitOfMeasureCurrency(2659) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: AllocCommissionDataGrp

AllocCustomerCapacity

Capacity of customer in the allocation block.

Type: String

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

AllocGrossTradeAmt

Total amount traded for this account (i.e. quantity * price) expressed in units of currency.

Type: Amt

Used in groups: AllocGrp

AllocGroupAmount

Indicates the notional units or amount being allocated.

Type: Amt

Used in groups: AllocGrp

AllocGroupID

Intended to be used by a central counterparty to assign an identifier to allocations of trades for the same instrument traded at the same price.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationReport, AllocationReportAck

AllocGroupQuantity

Indicates the total quantity of an allocation group. Includes any allocated quantity.

Type: Qty

Used in messages: AllocationInstructionAlert, AllocationReport

AllocGroupRemainingQuantity

Indicates the remaining quantity of an allocation group that has not yet been allocated.

Type: Qty

Used in messages: AllocationInstructionAlert, AllocationReport

AllocGroupRemainingSubQty

Remaining quantity in the subgroup of an allocation group.

Type: Qty

Used in groups: AllocGroupSubQtyGrp

AllocGroupStatus

Status of the trade give-up relative to the group identified in AllocGroupID(1730).

Type: int

Allowed values in AllocGroupStatusCodeSet:

Code | Name | Description
0 | Added | Added. This trade has been associated with the group for the first time.
1 | Canceled | Canceled. This trade has been removed from the group.
2 | Replaced | Replaced. This trade already in the group has been updated.
3 | Changed | Changed. An allocated trade or give-up has moved from one allocation group to another.
4 | Pending | Pending. A request to assign or change an allocation group is pending.

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationReport

AllocGroupSubQty

Total quantity in the subgroup of an allocation group.

Type: Qty

Used in groups: AllocGroupSubQtyGrp

AllocGroupSubQtyAttributeGrp

This repeating group is used to identify attributes of trades in subgroups of an average pricing group.

Name | Mult. | Type | Description
NoAllocGroupSubQtyAttributes | [1..1] | NumInGroup |
AllocGroupSubQtyType | [0..1] | CodeSet | Required if NoAllocGroupSubQtyAttributes (2979) > 0.
AllocGroupSubQtyValue | [0..1] | String | Required if NoAllocGroupSubQtyAttributes (2979) > 0.

Used in groups: AllocGroupSubQtyGrp

AllocGroupSubQtyGrp

This repeating group is used to identify subgroups of an average pricing group. The total and remaining quantities of the average pricing group are split into sub-quantities based on trade attributes.

Name | Mult. | Type | Description
NoAllocGroupSubQtys | [1..1] | NumInGroup |
AllocGroupSubQty | [0..1] | Qty | Required if NoAllocGroupSubQtys(2975) > 0.
AllocGroupSubQtyOffset | [0..1] | Qty |
AllocGroupRemainingSubQty | [0..1] | Qty |
AllocGroupSubQtyID | [0..1] | String | Conditionally required if AllocGroupSubQtyAttributeGrp is not present.
AllocGroupSubQtyAttributeGrp | [0..*] | Group | Conditionally required if AllocGroupSubQtyID(2974) is not present.

Used in messages: AllocationInstructionAlert

AllocGroupSubQtyID

Identifier for quantity subgroup assigned by the clearinghouse.

Type: String

Used in groups: AllocGroupSubQtyGrp

Used in messages: AllocationInstruction

AllocGroupSubQtyOffset

Change in quantity in the subgroup of an allocation group.

Type: Qty

Used in groups: AllocGroupSubQtyGrp

AllocGroupSubQtyType

Type of trade attribute defining a subgroup in an allocation group.

Type: int

Allowed values in AllocGroupSubQtyTypeCodeSet:

Code | Name | Description
1 | TradeType | Trade type
2 | TradePublicationIndicator | Trade publication indicator
3 | OrderHandlingInstruction | Order handling instruction

Used in groups: AllocGroupSubQtyAttributeGrp

AllocGroupSubQtyValue

Value of the trade attribute defining a subgroup in an allocation group.

Type: String

Used in groups: AllocGroupSubQtyAttributeGrp

AllocGrp

The AllocGrp component conveys the details of each account when a trade (or block trade) is allocated into one or more accounts.

Name
Mult.
Type
Description

NoAllocs
[1..1]
NumInGroup

AllocAccount
[0..1]
String
Required if NoAllocs(78) > 0. May specify the broker of credit if ProcessCode(81) is step-out or soft-dollar step-out and Institution does not wish to disclose individual account breakdowns to the executing broker.

AllocAcctIDSource
[0..1]
CodeSet

MatchStatus
[0..1]
CodeSet

AllocPrice
[0..1]
Price
Used when performing "executed price" vs. "average price" allocations (e.g. Japan). AllocAccount(79) plus AllocPrice(366) form a unique Allocs entry. Used in lieu of AllocAvgPx(153).

AllocQty
[0..1]
Qty
Conditionally required except when for AllocTransType="Cancel", or when AllocType= "Ready-To-Book" or "Warehouse instruction".

AllocCalculatedCcyQty
[0..1]
Qty

CustodialLotID
[0..1]
String
Only used for specific lot trades.

VersusPurchaseDate
[0..1]
LocalMktDate
Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.

VersusPurchasePrice
[0..1]
Price
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.

CurrentCostBasis
[0..1]
Amt
Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

IndividualAllocID
[0..1]
String

FirmMnemonic
[0..1]
String
Allocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).

ParentAllocID
[0..1]
String

AllocLegRefID
[0..1]
String
The field may not be used in any message where there are no legs.

AllocRegulatoryTradeIDGrp
[0..*]
Group

AllocTrdRegTimestamps
[0..*]
Group

ProcessCode
[0..1]
CodeSet

SecondaryIndividualAllocID
[0..1]
String
Can be used by an intermediary to specify an allocation ID assigned by the intermediary's system.

AllocMethod
[0..1]
CodeSet
Specifies the method under which a trade quantity was allocated.

AllocationRollupInstruction
[0..1]
CodeSet
An indicator to override the normal procedure to roll up allocations for the same Carry Firm.

AllocCustomerCapacity
[0..1]
String
Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.

AllocPositionEffect
[0..1]
CodeSet

IndividualAllocType
[0..1]
CodeSet

NestedParties
[0..*]
Group
Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages". Used for NestedPartyRole=BrokerOfCredit, ClientID, Settlement location (PSET), etc. Note: this field can be used for settlement location (PSET) information.

NotifyBrokerOfCredit
[0..1]
CodeSet

AllocHandlInst
[0..1]
CodeSet

AllocText
[0..1]
String
Free format text field related to this AllocAccount

EncodedAllocTextLen
[0..1]
Length
Must be set if EncodedAllocText field is specified and must immediately precede it.

EncodedAllocText
[0..1]
data
Encoded (non-ASCII characters) representation of the AllocText field in the encoded format specified via the MessageEncoding field.

FirmAllocText
[0..1]
String

EncodedFirmAllocTextLen
[0..1]
Length

EncodedFirmAllocText
[0..1]
data

CommissionData
[0..1]
Component

AllocCommissionDataGrp
[0..*]
Group
Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed.

AllocAvgPx
[0..1]
Price
AvgPx for this AllocAccount. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points) for this allocation, expressed in terms of Currency(15). For Fixed Income always express value as "percent of par".

AllocNetMoney
[0..1]
Amt
NetMoney for this AllocAccount. ((AllocQty * AllocAvgPx) - Commission - sum of MiscFeeAmt + AccruedInterestAmt) if a Sell. ((AllocQty * AllocAvgPx) + Commission + sum of MiscFeeAmt + AccruedInterestAmt) if a Buy. For FX, if specified, expressed in terms of Currency(15).

SettlCurrAmt
[0..1]
Amt
Replaced by AllocSettlCurrAmt

AllocGrossTradeAmt
[0..1]
Amt

AllocSettlCurrAmt
[0..1]
Amt
AllocNetMoney in AllocSettlCurrency for this AllocAccount if AllocSettlCurrency is different from "overall" Currency

SettlCurrency
[0..1]
Currency
Replaced by AllocSettlCurrency. SettlCurrency for this AllocAccount if different from "overall" Currency. Required if SettlCurrAmt is specified.

AllocSettlCurrency
[0..1]
Currency
AllocSettlCurrency for this AllocAccount if different from "overall" Currency. Required if AllocSettlCurrAmt is specified. Required for NDFs.

AllocSettlCurrencyCodeSource
[0..1]
CodeSet

SettlCurrFxRate
[0..1]
float
Foreign exchange rate used to compute AllocSettlCurrAmt from Currency to AllocSettlCurrency

SettlCurrFxRateCalc
[0..1]
CodeSet
Specifies whether the SettlCurrFxRate should be multiplied or divided

AllocAccruedInterestAmt
[0..1]
Amt
Applicable for Convertible Bonds and fixed income

AllocInterestAtMaturity
[0..1]
Amt
Applicable for securities that pay interest in lump-sum at maturity

MiscFeesGrp
[0..*]
Group

ClrInstGrp
[0..*]
Group

ClearingFeeIndicator
[0..1]
CodeSet

AllocSettlInstType
[0..1]
CodeSet
Used to indicate whether settlement instructions are provided on this message, and if not, how they are to be derived. Absence of this field implies use of default instructions.

SettlInstructionsData
[0..1]
Component
Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages". Used to communicate settlement instructions for this AllocAccount detail. Required if AllocSettlInstType = 2 or 3.

AllocRefRiskLimitCheckID
[0..1]
String
Conditionally required when AllocRefRiskLimitCheckIDType(2393) is specified.

AllocRefRiskLimitCheckIDType
[0..1]
CodeSet
Conditionally required when AllocRefRiskLimitCheckID(2392) is specified.

AllocRiskLimitCheckStatus
[0..1]
CodeSet

AllocGroupAmount
[0..1]
Amt

AllocAvgPxGroupID
[0..1]
String

AllocAvgPxIndicator
[0..1]
CodeSet

TradeAllocAmtGrp
[0..*]
Group

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

AllocHandlInst

Indicates how the receiver (i.e. third party) of allocation information should handle/process the account details.

Type: int

Allowed values in AllocHandlInstCodeSet:

Code | Name | Description
1 | Match | Match
2 | Forward | Forward
3 | ForwardAndMatch | Forward and Match
4 | AutoClaimGiveUp | Auto claim give-up. Indicates that the give-up and take-up party are the same and that trade give-up is to be claimed automatically.

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, TrdAllocGrp

AllocID

Unique identifier for allocation message.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in components: SettlTradeDetails

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, Confirmation, ConfirmationRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

AllocInterestAtMaturity

Amount of interest (i.e. lump-sum) at maturity at the account-level.

Type: Amt

Used in groups: AllocGrp

AllocIntermedReqType

Response to allocation to be communicated to a counterparty through an intermediary, i.e. clearing house. Used in conjunction with AllocType = "Request to Intermediary" and AllocReportType = "Request to Intermediary"

Type: int

Allowed values in AllocIntermedReqTypeCodeSet:

Code | Name | Description
1 | PendingAccept | Pending Accept
2 | PendingRelease | Pending Release
3 | PendingReversal | Pending Reversal
4 | Accept | Accept
5 | BlockLevelReject | Block Level Reject
6 | AccountLevelReject | Account Level Reject

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck

AllocLegRefID

Unique identifier for a specific leg (uniqueness not defined as part of the FIX specification). AllocLegRefID(2727) references the value from LegID(1788) in the current multileg order or trade message specifying to which leg the allocation instance applies.

Type: String

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

AllocLinkID

Can be used to link two different Allocation messages (each with unique AllocID (70)) together, i.e. for F/X "Netting" or "Swaps". Should be unique.

Type: String

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

AllocLinkType

Identifies the type of Allocation linkage when AllocLinkID(196) is used.

Type: int

Allowed values in AllocLinkTypeCodeSet:

Code | Name | Description
0 | FXNetting | FX Netting
1 | FXSwap | FX Swap

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

AllocMethod

Specifies the method under which a trade quantity was allocated.

Type: int

Allowed values in AllocMethodCodeSet:

Code | Name | Description
1 | Automatic | Automatic
2 | Guarantor | Guarantor
3 | Manual | Manual
4 | BrokerAssigned | Broker assigned

Used in groups: AllocGrp, TrdAllocGrp

AllocNetMoney

NetMoney(118) for a specific AllocAccount(79).

Type: Amt

Used in groups: AllocGrp

AllocNoOrdersType

Indicates how the orders being booked and allocated by an AllocationInstruction or AllocationReport message are identified, e.g. by explicit definition in the OrdAllocGrp or ExecAllocGrp components, or not identified explicitly.

Type: int

Allowed values in AllocNoOrdersTypeCodeSet:

Code | Name | Description
0 | NotSpecified | Not specified
1 | ExplicitListProvided | Explicit list provided

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

AllocPositionEffect

Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.

Type: char

Allowed values in AllocPositionEffectCodeSet:

Code | Name | Description
O | Open | Open
C | Close | Close
R | Rolled | Rolled
F | FIFO | FIFO

Used in groups: AllocAckGrp, AllocGrp

AllocPrice

Executed price for an AllocAccount (79) entry used when using "executed price" vs. "average price" allocations (e.g. Japan).

Type: Price

Used in groups: AllocAckGrp, AllocGrp

AllocQty

Quantity to be allocated to specific sub-account

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in components: SettlTradeDetails

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

Used in messages: Confirmation

AllocRefRiskLimitCheckID

The reference identifier to the PartyRiskLimitCheckRequest(35=DF), or a similar out of band message, message that contained the approval or rejection for risk/credit limit check for this allocation.

Type: String

Used in groups: AllocGrp, TrdAllocGrp

AllocRefRiskLimitCheckIDType

Specifies which type of identifier is specified in AllocRefRiskLimitCheckID(2392) field.

Type: int

Allowed values in RefRiskLimitCheckIDTypeCodeSet:

Code | Name | Description
0 | RiskLimitRequestID | RiskLimitRequestID(1666)
1 | RiskLimitCheckID | RiskLimitCheckID(2319)
3 | OutOfBandID | Out of band identifier

Used in groups: AllocGrp, TrdAllocGrp

AllocRegulatoryLegRefID

Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).

Type: String

Used in groups: AllocRegulatoryTradeIDGrp

AllocRegulatoryTradeID

Trade identifier required by government regulators or other regulatory organizations for regulatory reporting purposes. For example, unique swap identifer (USI) as required by the U.S. Commodity Futures Trading Commission.

Type: String

Used in groups: AllocRegulatoryTradeIDGrp

AllocRegulatoryTradeIDEvent

Identifies the event which caused the origination of the identifier in AllocRegulatoryTradeID(1909). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2(Clearing).

Type: int

Allowed values in RegulatoryTradeIDEventCodeSet:

Code | Name | Description
0 | InitialBlockTrade | Initial block trade.
1 | Allocation | Allocation. Determination that the block trade will not be further allocated.
2 | Clearing | Clearing
3 | Compression | Compression
4 | Novation | Novation
5 | Termination | Termination
6 | PostTrdVal | Post-trade valuation

Used in groups: AllocRegulatoryTradeIDGrp

AllocRegulatoryTradeIDGrp

The AllocRegulatoryTradeIDGrp is a repeating component within the TrdAllocGrp component used to report the source, value and relationship of multiple trade identifiers for the same trade allocation instance.

This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) are required to be reported, showing the chaining of these identifiers as needed.

Name | Mult. | Type | Description
NoAllocRegulatoryTradeIDs | [1..1] | NumInGroup |
AllocRegulatoryTradeID | [0..1] | String | Required if NoAllocRegulatoryTradeIDs(1908) > 0.
AllocRegulatoryTradeIDSource | [0..1] | CodeSet |
AllocRegulatoryTradeIDEvent | [0..1] | CodeSet |
AllocRegulatoryTradeIDType | [0..1] | CodeSet |
AllocRegulatoryLegRefID | [0..1] | String | This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
AllocRegulatoryTradeIDScope | [0..1] | CodeSet |

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

AllocRegulatoryTradeIDScope

Specifies the scope to which the AllocRegulatoryTradeID(1909) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.

Type: int

Allowed values in RegulatoryTradeIDScopeCodeSet:

Code | Name | Description
1 | ClearingMember | Clearing member
2 | Client | Client

Used in groups: AllocRegulatoryTradeIDGrp

AllocRegulatoryTradeIDSource

Identifies the reporting entity that originated the value in RegulatoryTradeID(1903). The reporting entity identifier may be assigned by a regulator or from a supported standard identifier source scheme.

Type: String

Allowed values in RegulatoryTradeIDSourceCodeSet:

Code | Name | Description
1 | UniqueTransactionIdentifier | Unique Transaction Identifier (ISO 23897)

Used in groups: AllocRegulatoryTradeIDGrp

AllocRegulatoryTradeIDType

Specifies the type of trade identifier provided in AllocRegulatoryTradeID(1909), within the context of the hierarchy of trade events.

Type: int

Allowed values in RegulatoryTradeIDTypeCodeSet:

Code
Name
Description

0
Current
Current. The default if not specified.

1
Previous
Previous. The previous trade's identifier when reporting a cleared trade or novation of a previous trade.

2
Block
Block. The block trade's identifier when reporting an allocated subtrade.

3
Related
Related. The related trade identifier when reporting a mixed swap.

4
ClearedBlockTrade
Cleared block trade. Assigned by the CCP to a bunched order/trade when it needs to be cleared with the standby clearing firm prior to post-trade allocation.

5
TradingVenueTransactionIdentifier
Trading venue transaction identifier. Assigned by the trading venue to a transaction. In the context of ESMA RTS 22 and RTS 24, this is an unique transaction identification "number generated by trading venues and disseminated to both the buying and selling parties in accordance with Article 12 of [RTS 24 on the maintenance of relevant data relating to orders in financial instruments under Article 25 of Regulation 600/2014 EU]." (quoted text from RTS 22). "Uniqueness" may be defined per relevant regulations.

6
ReportTrackingNumber
Report tracking number. In the context of EMIR Refit this is a "unique code assigned to the execution of an order and common for a group of reports related to the same execution" (see Q28 in https://www.esma.europa.eu/sites/default/files/library/esma74-362-2281_final_report_guidelines_emir_refit.pdf). Also referred to as the RTN.

Used in groups: AllocRegulatoryTradeIDGrp

AllocRejCode

Identifies reason for rejection.

Type: int

Allowed values in AllocRejCodeCodeSet:

Code | Name | Description
0 | UnknownAccount | Unknown or missing account(s)
1 | IncorrectQuantity | Incorrect or missing block quantity
2 | IncorrectAveragePrice | Incorrect or missing average price
3 | UnknownExecutingBrokerMnemonic | Unknown executing broker mnemonic
4 | CommissionDifference | Incorrect or missing commission
5 | UnknownOrderID | Unknown OrderID(37)
6 | UnknownListID | Unknown ListID(66)
7 | OtherSeeText | Other (further in Text (58))
8 | IncorrectAllocatedQuantity | Incorrect or missing allocated quantity
9 | CalculationDifference | Calculation difference
10 | UnknownOrStaleExecID | Unknown or Stale ExecID(17)
11 | MismatchedData | Mismatched data
12 | UnknownClOrdID | Unknown ClOrdID(11)
13 | WarehouseRequestRejected | Warehouse request rejected
14 | DuplicateOrMissingIndividualAllocID | Duplicate or missing IndividualAllocID(467)
15 | TradeNotRecognized | Trade not recognized
16 | DuplicateTrade | Trade previously allocated
17 | IncorrectOrMissingInstrument | Incorrect or missing instrument
18 | IncorrectOrMissingSettlDate | Incorrect or missing settlement date
19 | IncorrectOrMissingFundIDOrFundName | Incorrect or missing fund ID or fund name
20 | IncorrectOrMissingSettlInstructions | Incorrect or missing settlement instructions
21 | IncorrectOrMissingFees | Incorrect or missing fees
22 | IncorrectOrMissingTax | Incorrect or missing tax
23 | UnknownOrMissingParty | Unknown or missing party
24 | IncorrectOrMissingSide | Incorrect or missing side
25 | IncorrectOrMissingNetMoney | Incorrect or missing net-money
26 | IncorrectOrMissingTradeDate | Incorrect or missing trade date
27 | IncorrectOrMissingSettlCcyInstructions | Incorrect or missing settlement currency instructions
28 | IncorrectOrMissingProcessCode | Incorrrect or missing ProcessCode(81)
99 | Other | Other. Use Text(58) for further reject reasons.

Used in messages: AllocationInstructionAck, AllocationReport, AllocationReportAck

AllocReportID

Unique identifier for Allocation Report message.

Type: String

Used in messages: AllocationReport, AllocationReportAck

AllocReportRefID

Reference identifier to be used with AllocTransType (7) = Replace or Cancel

Type: String

Used in messages: AllocationReport

AllocReportType

Describes the specific type or purpose of an Allocation Report message

Type: int

Allowed values in AllocReportTypeCodeSet:

Code | Name | Description
2 | PreliminaryRequestToIntermediary | Preliminary request to intermediary
3 | SellsideCalculatedUsingPreliminary | Sellside calculated using preliminary (includes MiscFees and NetMoney)
4 | SellsideCalculatedWithoutPreliminary | Sellside calculated without preliminary (sent unsolicited by sellside, includes MiscFees and NetMoney)
5 | WarehouseRecap | Warehouse recap
8 | RequestToIntermediary | Request to intermediary
9 | Accept | Accept
10 | Reject | Reject
11 | AcceptPending | Accept Pending
12 | Complete | Complete
14 | ReversePending | Reverse Pending
15 | Giveup | Give-up
16 | Takeup | Take-up
17 | Reversal | Reversal
18 | Alleged | Alleged reversal
19 | SubAllocationGiveup | Sub-allocation give-up

Used in messages: AllocationReport, AllocationReportAck

AllocRequestID

Unique identifier for the request message.

Type: String

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationInstructionAlertRequestAck, AllocationReport, AllocationReportAck

AllocRequestStatus

Status of the AllocationInstructionAlertRequest(35=DU).

Type: int

Allowed values in AllocRequestStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | Rejected | Rejected

Used in messages: AllocationInstructionAlertRequestAck

AllocReversalStatus

Identifies the status of a reversal transaction.

Type: int

Allowed values in AllocReversalStatusCodeSet:

Code | Name | Description
0 | Completed | Completed
1 | Refused | Refused
2 | Cancelled | Cancelled

Used in messages: AllocationReport

AllocRiskLimitCheckStatus

Indicates the status of the risk limit check performed on a trade for this allocation instance.

Type: int

Allowed values in RiskLimitCheckStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted. For use when none of the more specific status enumerations apply.
1 | Rejected | Rejected. For use when none of the more specific status enumerations apply.
2 | ClaimRequired | Claim required. Indicates that the clearing firm is required to accept or decline the trade.
3 | PreDefinedLimitCheckSucceeded | Pre-defined limit check succeeded. Indicates a check enforced automatically by the clearing house.
4 | PreDefinedLimitCheckFailed | Pre-defined limit check failed. Indicates a check enforced automatically by the clearing house.
5 | PreDefinedAutoAcceptRuleInvoked | Pre-defined auto-accept rule invoked. Indicates that the clearing firm is required to accept or decline the trade because no limit or rule applies.
6 | PreDefinedAutoRejectRuleInvoked | Pre-defined auto-reject rule invoked. Indicates a check enforced automatically by the clearing house. Note that clearing house rules of engagement may still require a clearing firm accept or reject the trade.
7 | AcceptedByClearingFirm | Accepted by clearing firm. Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for accepting the trade.
8 | RejectedByClearingFirm | Rejected by clearing firm. Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for rejecting the trade.
9 | Pending | Pending. Indicates that one or more side level risk checks are in progress.
10 | AcceptedByCreditHub | Accepted by credit hub. Indicates that a credit hub accepted the trade. An identifier assigned by the credit hub may appear in the appropriate RefRiskLimitCheckID(2334) field.
11 | RejectedByCreditHub | Rejected by credit hub. Indicates that a credit hub rejected the trade.
12 | PendingCreditHubCheck | Pending credit hub check. Indicates that a check is pending at a credit hub.
13 | AcceptedByExecVenue | Accepted by execution venue. Indicates acceptance by an execution venue, such as a SEF.
14 | RejectedByExecVenue | Rejected by execution venue. Indicates that the trade was rejected by an execution venue, such as a SEF.

Used in groups: AllocGrp

AllocSettlCurrAmt

Total amount due expressed in settlement currency (includes the effect of the forex transaction) for a specific AllocAccount (79).

Type: Amt

Used in groups: AllocGrp

AllocSettlCurrency

Currency code of settlement denomination for a specific AllocAccount (79).

Type: Currency

Used in groups: AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

AllocSettlCurrencyCodeSource

Identifies class or source of the AllocSettlCurrency(736) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

AllocSettlInstType

Used to indicate whether settlement instructions are provided on an allocation instruction message, and if not, how they are to be derived.

Type: int

Allowed values in AllocSettlInstTypeCodeSet:

Code | Name | Description
0 | UseDefaultInstructions | Use default instructions
1 | DeriveFromParametersProvided | Derive from parameters provided
2 | FullDetailsProvided | Full details provided
3 | SSIDBIDsProvided | SSI DB IDs provided
4 | PhoneForInstructions | Phone for instructions

Used in groups: AllocGrp

AllocStatus

Identifies status of allocation.

Type: int

Allowed values in AllocStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted (successfully processed)
1 | BlockLevelReject | Block level reject
2 | AccountLevelReject | Account level reject
3 | Received | Received (received not yet processed)
4 | Incomplete | Incomplete
5 | RejectedByIntermediary | Rejected by intermediary
6 | AllocationPending | Allocation pending
7 | Reversed | Reversed
8 | CancelledByIntermediary | Cancelled by intermediary.
9 | Claimed | Claimed
10 | Refused | Refused
11 | PendingGiveUpApproval | Pending give-up approval
12 | Cancelled | Cancelled
13 | PendingTakeUpApproval | Pending take-up approval
14 | ReversalPending | Reversal pending

Used in messages: AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck

AllocText

Free format text related to a specific AllocAccount (79).

Type: String

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

AllocTransType

Identifies allocation transaction type *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***

Type: char

Allowed values in AllocTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Replace | Replace
2 | Cancel | Cancel
6 | Reversal | Reversal

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, AllocationReportAck

AllocTrdRegTimestamp

Same as TrdRegTimestamp(769). Used to provide relevant timestamp for the allocation account.

Type: UTCTimestamp

Used in groups: AllocTrdRegTimestamps

AllocTrdRegTimestamps

The AllocTrdRegTimestamps component block is used to convey trading or regulatory timestamps associated with an allocation for one account.

Name | Mult. | Type | Description
NoAllocTrdRegTimestamps | [1..1] | NumInGroup |
AllocTrdRegTimestamp | [0..1] | UTCTimestamp | Required if NoAllocTrdRegTimestamps(3008) > 0.
AllocTrdRegTimestampType | [0..1] | CodeSet | Required if NoAllocTrdRegTimestamps(3008) > 0.
AllocTrdRegTimestampSrc | [0..1] | String |

Used in groups: AllocGrp

AllocTrdRegTimestampSrc

Same as TrdRegTimestampOrigin(771). Used to indicate the "origin" or source of the timestamp relevant for the allocation account.

Type: String

Used in groups: AllocTrdRegTimestamps

AllocTrdRegTimestampType

Same as TrdRegTimestampType(770). Used to indicate the timestamp type relevant for the allocation account.

Type: int

Allowed values in TrdRegTimestampTypeCodeSet:

Code | Name | Description
1 | ExecutionTime | Execution time. Timestamp for the order execution. In the context of US futures markets (CFTC regulated) this is the non-qualified reporting time of order execution.
2 | TimeIn | Time in. Timestamp for receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp of when the order was received on the trading floor (booth).
3 | TimeOut | Time out. Timestamp for sending an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp when the trade was received from the pit.
4 | BrokerReceipt | Broker receipt. Timestamp for a broker receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the time at which the broker received the order.
5 | BrokerExecution | Broker execution. Timestamp for the broker executing an order. In the context of US futures markets (CFTC regulated) this is the time at which a broker executed the order for another broker.
6 | DeskReceipt | Desk receipt. Timestamp for the transmission of an order to an internal desk or department on the same day the firm received the order.
7 | SubmissionToClearing | Submission to clearing. The timestamp when the trade was officially acknowledged by the Clearing House.
8 | TimePriority | Time priority. A timestamp (manually or electronically) assigned by a market to specify time priority for an order or quote.
9 | OrderbookEntryTime | Orderbook entry time. Timestamp for an order representing the time it was entered in the orderbook of the execution venue. The orderbook entry time cannot change during the lifetime of the order.
10 | OrderSubmissionTime | Order submission time. Time the order was sent by the submitter.
11 | PubliclyReported | Publicly reported. In the context of MiFID II, this is used to identify the time at which the transaction was first published to the market.
12 | PublicReportUpdated | Public report updated. In the context of MiFID II, this is used to identify the time at which the transaction's publication to the market was last updated
13 | NonPubliclyReported | Non-publicly reported
14 | NonPublicReportUpdated | Non-public report updated
15 | SubmittedForConfirmation | Submitted for confirmation
16 | UpdatedForConfirmation | Updated for confirmation
17 | Confirmed | Confirmed
18 | UpdatedForClearing | Updated for clearing
19 | Cleared | Cleared
20 | AllocationsSubmitted | Allocations submitted
21 | AllocationsUpdated | Allocations updated
22 | AllocationsCompleted | Allocations completed
23 | SubmittedToRepository | Submitted to repository
24 | PostTrdContntnEvnt | Post-trade continuation event
25 | PostTradeValuation | Post-trade valuation
26 | PreviousTimePriority | Previous time priority. Can be used in conjunction with TrdRegTimestampType(770) = 8 (Time priority) to provide the current and last priority timestamp in a single message.
27 | IdentifierAssigned | Identifier assigned. Timestamp for the assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
28 | PreviousIdentifierAssigned | Previous identifier assigned. Timestamp of previous assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
29 | OrderCancellationTime | Order cancellation time. Timestamp for the cancellation of an order or quote.
30 | OrderModificationTime | Order modification time. Timestamp for the modification of an order or quote.
31 | OrderRoutingTime | Order routing time. Timestamp for the routing of an order to another broker or electronic execution venue.
32 | TradeCancellationTime | Trade cancellation time. Timestamp for the cancellation of an execution (ExecType(150) = H (Trade Cancel)) or trade (TradeReportType(856) = 6 (Trade Report Cancel)).
33 | TradeModificationTime | Trade modification time. Timestamp for the modification of an execution (ExecType(150) = G (Trade Correct)) or trade (TradeReportType(856) = 5 (No/Was)).
34 | ReferenceTimeForNBBO | Reference time for NBBO. Timestamp for an NBBO reference price.
35 | Affirmed | Affirmed

Used in groups: AllocTrdRegTimestamps

AllocType

Describes the specific type or purpose of an Allocation message (i.e. "Buyside Calculated")

(see Volume : "Glossary" for value definitions)

*** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***

Type: int

Allowed values in AllocTypeCodeSet:

Code | Name | Description
1 | Calculated | Calculated (includes MiscFees and NetMoney)
2 | Preliminary | Preliminary (without MiscFees and NetMoney)
5 | ReadyToBook | Ready-To-Book
7 | WarehouseInstruction | Warehouse instruction
8 | RequestToIntermediary | Request to intermediary
9 | Accept | Accept
10 | Reject | Reject
11 | AcceptPending | Accept Pending
12 | IncompleteGroup | Incomplete group
13 | CompleteGroup | Complete group
14 | ReversalPending | Reversal Pending
15 | ReopenGroup | Reopen group
16 | CancelGroup | Cancel group
17 | Giveup | Give-up
18 | Takeup | Take-up
19 | RefuseTakeup | Refuse take-up
20 | InitiateReversal | Initiate reversal
21 | Reverse | Reverse
22 | RefuseReversal | Refuse reversal
23 | SubAllocationGiveup | Sub-allocation give-up
24 | ApproveGiveup | Approve give-up
25 | ApproveTakeup | Approve take-up
26 | NotionalValueAveragePxGroupAlloc | Notional value average price group allocation. Used when conducting notional value average price (NVAP) group allocation with a clearinghouse.

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert

AllowableOneSidednessCurr

The currency that AllowableOneSidednessValue (766) is expressed in if AllowableOneSidednessValue is used.

Type: Currency

Used in messages: NewOrderList

AllowableOneSidednessPct

The maximum percentage that execution of one side of a program trade can exceed execution of the other.

Type: Percentage

Used in messages: NewOrderList

AllowableOneSidednessValue

The maximum amount that execution of one side of a program trade can exceed execution of the other.

Type: Amt

Used in messages: NewOrderList

AltMDSourceID

Session layer source for market data

(For the standard FIX session layer, this would be the TargetCompID (56) where market data can be obtained).

Type: String

Used in groups: MDRjctGrp

AnnualTradingBusinessDays

Number of trading business days in a year.

Type: int

Used in components: MDStatisticParameters

Used in groups: ClearingPriceParametersGrp

AnonymousTradeIndicator

Indicates whether the trade or transaction was executed anonymously.

Type: Boolean

Used in groups: MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, TradeCaptureReport

ApplBegSeqNum

Beginning range of application sequence numbers

Type: SeqNum

Used in groups: ApplIDRequestAckGrp, ApplIDRequestGrp

ApplEndSeqNum

Ending range of application sequence numbers

Type: SeqNum

Used in groups: ApplIDRequestAckGrp, ApplIDRequestGrp

ApplExtID

The extension pack number associated with an application message.

Type: int

Used in components: StandardHeader

ApplicationSequenceControl

The ApplicationSequenceControl is used for application sequencing and recovery. Consisting of ApplSeqNum (1181), ApplID (1180), ApplLastSeqNum (1350), and ApplResendFlag (1352), FIX application messages that carries this component block will be able to use application level sequencing. ApplID, ApplSeqNum and ApplLastSeqNum fields identify the application id, application sequence number and the previous application sequence number (in case of intentional gaps) on each application message that carries this block.

Name
Mult.
Type
Description

ApplID
[0..1]
String
Identifies the application with which a message is associated. Used only if application sequencing is in effect.

ApplSeqNum
[0..1]
SeqNum
Application sequence number assigned to the message by the application generating the message. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified.

ApplLastSeqNum
[0..1]
SeqNum
The previous sequence number in the application sequence stream. Permits an application to publish messages with sequence gaps where it cannot be avoided. Used only if application sequencing is in effect. Conditionally required if ApplID has been specified

ApplResendFlag
[0..1]
Boolean
Used to indicate that a message is being sent in response to an Application Message Request. Used only if application sequencing is in effect. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request.

Used in messages: AccountSummaryReport, AssignmentReport, ContraryIntentionReport, DerivativeSecurityList, DerivativeSecurityListUpdateReport, ExecutionReport, IOI, MarginRequirementReport, MarketDataIncrementalRefresh, MarketDataReport, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDefinition, MarketDefinitionUpdateReport, MassOrderAck, News, PartyDetailsListReport, PartyDetailsListUpdateReport, PartyEntitlementsReport, PartyEntitlementsUpdateReport, PartyRiskLimitsReport, PartyRiskLimitsUpdateReport, PositionReport, SecurityDefinition, SecurityDefinitionUpdateReport, SecurityList, SecurityListUpdateReport, SecurityMassStatus, SecurityStatus, SecurityTypes, SettlementObligationReport, TradeCaptureReport, TradeMatchReport, TradeMatchReportAck, TradingSessionList, TradingSessionListUpdateReport, TradingSessionStatus

ApplID

Identifies the application with which a message is associated. Used only if application sequencing is in effect.

Type: String

Used in components: ApplicationSequenceControl

ApplIDReportGrp

Name | Mult. | Type | Description
NoApplIDs | [1..1] | NumInGroup | Number of applications
RefApplID | [0..1] | String |
ApplNewSeqNum | [0..1] | SeqNum |
RefApplLastSeqNum | [0..1] | SeqNum |

Used in messages: ApplicationMessageReport

ApplIDRequestAckGrp

Name | Mult. | Type | Description
NoApplIDs | [1..1] | NumInGroup | Number of applications
RefApplID | [0..1] | String |
RefApplReqID | [0..1] | String |
ApplBegSeqNum | [0..1] | SeqNum |
ApplEndSeqNum | [0..1] | SeqNum |
RefApplLastSeqNum | [0..1] | SeqNum |
ApplResponseError | [0..1] | CodeSet |
NestedParties | [0..*] | Group |

Used in messages: ApplicationMessageRequestAck

ApplIDRequestGrp

Name | Mult. | Type | Description
NoApplIDs | [1..1] | NumInGroup | Specifies number of application id occurrences
RefApplID | [0..1] | String |
RefApplReqID | [0..1] | String |
ApplBegSeqNum | [0..1] | SeqNum | Message sequence number of first message in range to be resent
ApplEndSeqNum | [0..1] | SeqNum | Message sequence number of last message in range to be resent. If request is for a single message ApplBeginSeqNo = ApplEndSeqNo. If request is for all messages subsequent to a particular message, ApplEndSeqNo = "0" (representing infinity).
NestedParties | [0..*] | Group |

Used in messages: ApplicationMessageRequest

ApplLastSeqNum

Application sequence number of last message in transmission

Type: SeqNum

Used in components: ApplicationSequenceControl

ApplNewSeqNum

Used to specify a new application sequence number.

Type: SeqNum

Used in groups: ApplIDReportGrp

ApplQueueAction

Action to take to resolve an application message queue (backlog).

Type: int

Allowed values in ApplQueueActionCodeSet:

Code | Name | Description
0 | NoActionTaken | No Action Taken
1 | QueueFlushed | Queue Flushed
2 | OverlayLast | Overlay Last
3 | EndSession | End Session

Used in messages: MarketDataRequest

ApplQueueDepth

Current number of application messages that were queued at the time that the message was created by the counterparty.

Type: int

Used in messages: MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh

ApplQueueMax

Used to specify the maximum number of application messages that can be queued bedore a corrective action needs to take place to resolve the queuing issue.

Type: int

Used in messages: MarketDataRequest

ApplQueueResolution

Resolution taken when ApplQueueDepth (813) exceeds ApplQueueMax (812) or system specified maximum queue size.

Type: int

Allowed values in ApplQueueResolutionCodeSet:

Code | Name | Description
0 | NoActionTaken | No Action Taken
1 | QueueFlushed | Queue Flushed
2 | OverlayLast | Overlay Last
3 | EndSession | End Session

Used in messages: MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh

ApplReportID

Identifier for the Application Sequence Reset

Type: String

Used in messages: ApplicationMessageReport

ApplReportType

Type of report

Type: int

Allowed values in ApplReportTypeCodeSet:

Code | Name | Description
0 | ApplSeqNumReset | Reset ApplSeqNum to new value specified in ApplNewSeqNum(1399)
1 | LastMessageSent | Reports that the last message has been sent for the ApplIDs Refer to RefApplLastSeqNum(1357) for the application sequence number of the last message.
2 | ApplicationAlive | Heartbeat message indicating that Application identified by RefApplID(1355) is still alive. Refer to RefApplLastSeqNum(1357) for the application sequence number of the previous message.
3 | ResendComplete | Application message re-send completed.

Used in messages: ApplicationMessageReport

ApplReqID

Unique identifier for request

Type: String

Used in messages: ApplicationMessageReport, ApplicationMessageRequest, ApplicationMessageRequestAck

ApplReqType

Type of Application Message Request being made.

Type: int

Allowed values in ApplReqTypeCodeSet:

Code | Name | Description
0 | Retransmission | Retransmission of application messages for the specified Applications
1 | Subscription | Subscription to the specified Applications
2 | RequestLastSeqNum | Request for the last ApplLastSeqNum published for the specified Applications
3 | RequestApplications | Request valid set of Applications
4 | Unsubscribe | Unsubscribe to the specified Applications
5 | CancelRetransmission | Cancel retransmission
6 | CancelRetransmissionUnsubscribe | Cancel retransmission and unsubscribe to the specified applications

Used in messages: ApplicationMessageRequest, ApplicationMessageRequestAck

ApplResendFlag

Used to indicate that a message is being sent in response to an Application Message Request. It is possible for both ApplResendFlag and PossDupFlag to be set on the same message if the Sender's cache size is greater than zero and the message is being resent due to a session level resend request

Type: Boolean

Used in components: ApplicationSequenceControl

ApplResponseError

Used to return an error code or text associated with a response to an Application Request.

Type: int

Allowed values in ApplResponseErrorCodeSet:

Code | Name | Description
0 | ApplicationDoesNotExist | Application does not exist
1 | MessagesRequestedAreNotAvailable | Messages requested are not available
2 | UserNotAuthorizedForApplication | User not authorized for application

Used in groups: ApplIDRequestAckGrp

ApplResponseID

Identifier for the Applicaton Message Request Ack

Type: String

Used in messages: ApplicationMessageRequestAck

ApplResponseType

Used to indicate the type of acknowledgement being sent.

Type: int

Allowed values in ApplResponseTypeCodeSet:

Code | Name | Description
0 | RequestSuccessfullyProcessed | Request successfully processed
1 | ApplicationDoesNotExist | Application does not exist
2 | MessagesNotAvailable | Messages not available

Used in messages: ApplicationMessageRequestAck

ApplSeqNum

Data sequence number to be used when FIX session is not in effect

Type: SeqNum

Used in components: ApplicationSequenceControl

ApplTestMessageIndicator

Used to indicate whether the message being sent is to test the receiving application's availability to process the message. When set to "Y" the message is a test message. If not specified, the message is by default not a test message.

Type: Boolean

Used in messages: PartyActionReport, PartyActionRequest

ApplTotalMessageCount

Total number of messages included in transmission.

Type: int

Used in messages: ApplicationMessageRequestAck

ApplVerID

Specifies the application layer version being applied at the message level.

Type: String

Allowed values in ApplVerIDCodeSet:

Code | Name | Description
0 | FIX27 | FIX27
1 | FIX30 | FIX30
2 | FIX40 | FIX40
3 | FIX41 | FIX41
4 | FIX42 | FIX42
5 | FIX43 | FIX43
6 | FIX44 | FIX44
7 | FIX50 | FIX50
8 | FIX50SP1 | FIX50SP1
9 | FIX50SP2 | FIX50SP2
10 | FIXLatest | FIXLatest

Used in components: StandardHeader

ApprovalTime

Date and time the details within the message have been approved.

Type: UTCTimestamp

Used in messages: AlgoCertificateReport, AlgoCertificateRequest

AsgnRptID

Unique identifier for the Assignment Report

Type: String

Used in messages: AssignmentReport

AsOfIndicator

A trade that is being submitted for a trade date prior to the current trade or clearing date, e.g. in an open outcry market an out trade being submitted for the previous trading session or trading day.

Type: char

Allowed values in AsOfIndicatorCodeSet:

Code | Name | Description
0 | False | false - trade is not an AsOf trade
1 | True | true - trade is an AsOf trade

Used in messages: TradeCaptureReport, TradeCaptureReportAck

AssetAttributeGrp

The AssetAttributeGrp is a repeating subcomponent of the Instrument component used to detail attributes of the instrument asset.

Name | Mult. | Type | Description
NoAssetAttributes | [1..1] | NumInGroup |
AssetAttributeType | [0..1] | String | Required if NoAssetAttributes(2304) > 0.
AssetAttributeValue | [0..1] | String |
AssetAttributeLimit | [0..1] | String |

Used in components: Instrument

AssetAttributeLimit

Limit or lower acceptable value of the attribute.

Type: String

Used in groups: AssetAttributeGrp

AssetAttributeType

Specifies the name of the attribute.

See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.

Type: String

Used in groups: AssetAttributeGrp

AssetAttributeValue

Specifies the value of the asset attribute.

Type: String

Used in groups: AssetAttributeGrp

AssetClass

The broad asset category for assessing risk exposure.

Type: int

Allowed values in AssetClassCodeSet:

Code | Name | Description
1 | InterestRate | Interest rate
2 | Currency | Currency
3 | Credit | Credit
4 | Equity | Equity
5 | Commodity | Commodity
6 | Other | Other
7 | Cash | Cash
8 | Debt | Debt
9 | Fund | Fund. Such as mutual fund, collective investment vehicle, investment program, specialized account program.
10 | LoanFacility | Loan facility
11 | Index | Index. A main index identified as a security type, for example under EU SFTR reporting.

Used in components: Instrument

AssetGroup

Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).

Type: int

Allowed values in AssetGroupCodeSet:

Code | Name | Description
1 | Financials | Financials. A categorization which usually includes rates, foreign exchange, credit, bonds and equity products or assets.
2 | Commodities | Commodities. A categorization which usually includes hard commodities such as agricultural, metals, freight, energy products or assets.
3 | AlternativeInvestments | Alternative investments. A categorization which usually includes weather, housing, and commodity indices products or assets.

Used in components: Instrument

AssetSubClass

The subcategory description of the asset class.

Type: int

Allowed values in AssetSubClassCodeSet:

Code
Name
Description

1
SingleCurrency
Single currency

2
CrossCurrency
Cross currency

3
Basket
Basket [for multi-currency]

4
SingleName
Single name

5
CreditIndex
Credit index

6
IndexTranche
Index tranche

7
CreditBasket
Credit basket

8
Exotic
Exotic

9
Common
Common

10
Preferred
Preferred

11
EquityIndex
Equity index

12
EquityBasket
Equity basket

13
Metals
Metals

14
Bullion
Bullion

15
Energy
Energy

16
CommodityIndex
Commodity index

17
Agricultural
Agricultural

18
Environmental
Environmental

19
Freight
Freight

20
Government
Government

21
Agency
Agency

22
Corporate
Corporate

23
Financing
Financing

24
MoneyMarket
Money market

25
Mortgage
Mortgage

26
Municipal
Municipal

27
MutualFund
Mutual fund

28
CollectiveInvestmentVehicle
Collective investment vehicle

29
InvestmentProgram
Investment program. A generalized fund for major investors.

30
SpecializedAccountProgram
Specialized account program. A specialized fund setup for a particular account or group of accounts.

31
TermLoan
Term loan

32
BridgeLoan
Bridge loan

33
LetterOfCredit
Letter of credit

34
DividendIndex
Dividend index

35
StockDividend
Stock dividend

36
ExchangeTradedFund
Exchange traded fund

37
VolatilityIndex
Volatility index

38
FXCrossRates
FX cross rates

39
FXEmergingMarkets
FX emerging markets

40
FXMajors
FX Majors

41
Fertilizer
Fertilizer

42
IndustrialProduct
Industrial product

43
Inflation
Inflation

44
Paper
Paper

45
Polypropylene
Polypropylene

46
OfficialEconomicStatistics
Official economic statistics

47
OtherC10
Other C10. Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".

48
Other
Other. May be used with any AssetClass(1938) values.

Used in components: Instrument

AssetSubType

Used to provide a more specific description of the asset specified in AssetType(1940).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

Type: String

Used in components: Instrument

AssetType

Used to provide more specific description of the asset specified in AssetSubClass(1939).

See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed.

Other values may be used by mutual agreement of the counterparties.

Type: String

Used in components: Instrument

AssetValuationModel

Identifies the model used for asset valuation or pricing calculations.

Type: int

Allowed values in AssetValuationModelCodeSet:

Code | Name | Description
1 | BlackScholes | Black-Scholes
2 | Whaley | Whaley
3 | Bachelier | Bachelier
4 | Kirk | Kirk
5 | Curran | Curran
6 | Black76 | Black-76
7 | Binomial | Binomial
99 | OtherModel | Other model

Used in messages: SecurityRiskMetricsReport

AssignmentMethod

Method by which short positions are assigned to an exercise notice during exercise and assignment processing

Type: char

Allowed values in AssignmentMethodCodeSet:

Code | Name | Description
P | ProRata | Pro rata
R | Random | Random

Used in messages: AssignmentReport

AssignmentUnit

Quantity Increment used in performing assignment.

Type: Qty

Used in messages: AssignmentReport

AttachmentClassification

Specifies semantically the type of the attached document from a business perspective. The default classification scheme reuses the FIX standard classification scheme of a high level section (pretrade, trade, posttrade, etc.) and a category, then a specific application or document type. The expression follows {"section/category/application type"}.

The goal here is to map the attachment into the sections and categories of the FIX business messages if possible. The classification scheme can be expanded or replaced by counterparty agreement. This approach permits the introduction and reference to other business ontologies.

Example:

posttrade/confirmation/confirm

pretrade//termsheet

Type: String

Used in groups: AttachmentGrp

AttachmentEncodingType

The encoding type of the content provided in EncodedAttachment(2112).

Type: int

Allowed values in AttachmentEncodingTypeCodeSet:

Code | Name | Description
0 | Base64 | Base64 encoding.
1 | RawBinary | Raw binary. Unencoded binary content.

Used in groups: AttachmentGrp

AttachmentExternalURL

Used to specify an external URL where the attachment can be obtained.

Type: String

Used in groups: AttachmentGrp

AttachmentGrp

The AttachmentGrp component provides the ability to attach other media type documents to a FIX message for transmission. The media type can be any of the media types (previously referred to as MIME types) that are listed by IANA (www.iana.org) [RFC2046].

The AttachmentGrp is intended to be used to attach documents in other formats, such as PDF, TIFF, and Microsoft Word, for example to a FIX message.

Note when the AttachmentGrp is used within a business message, such as the TradeCaptureReport(35=AE), the attachment should supplement the data already contained in the business message It is not intended to replace the content of the business message. The standard fields within the business message should be populated, even if they duplicate data expressed within the attachment(s).

Name | Mult. | Type | Description
NoAttachments | [1..1] | NumInGroup |
AttachmentName | [0..1] | String | Required if NoAttachments(2104) > 0.
AttachmentMediaType | [0..1] | String | Required if EncodedAttachment(2112) is present.
AttachmentClassification | [0..1] | String |
AttachmentExternalURL | [0..1] | String | Either AttachmentExternalURL(2108) or EncodedAttachment(2112) must be specified if NoAttachments(2104) > 0.
AttachmentEncodingType | [0..1] | CodeSet | Required if EncodedAttachment(2112) is present.
UnencodedAttachmentLen | [0..1] | int |
EncodedAttachmentLen | [0..1] | Length | Must be set if EncodedAttachment(2112) is specified and must immediately precede it.
EncodedAttachment | [0..1] | data | Either AttachmentExternalURL(2108) or EncodedAttachment(2112) must be specified if NoAttachments(2104) > 0.
AttachmentKeywordGrp | [0..*] | Group |

Used in messages: Email, TradeCaptureReport, XMLnonFIX

AttachmentKeyword

Can be used to provide data or keyword tagging of the content of the attachment.

Type: String

Used in groups: AttachmentKeywordGrp

AttachmentKeywordGrp

The AttachmentKeywordGrp component provides a place to associate keywords with an attachment document to support the current approach of tagging to support metadata.

Name | Mult. | Type | Description
NoAttachmentKeywords | [1..1] | NumInGroup |
AttachmentKeyword | [0..1] | String | Required if NoAttachmentKeywords(2113) > 0.

Used in groups: AttachmentGrp

AttachmentMediaType

The MIME media type (and optional subtype) of the attachment. The values used are those assigned, listed and maintained by IANA (www.iana.org) [RFC2046]. See http://www.iana.org/assignments/media-types/index.html for available types.

Examples values (RFC number provided for reference here only):

"application/pdf" (see [RFC3778])

"application/msword" (for .doc files)

"multipart/signed" (see [RFC1847])

"application/vnd.openxmlformats-officedocument.wordprocessingml.document" (for .docx files)

Type: String

Used in groups: AttachmentGrp

AttachmentName

Specifies the file name of the attachment.

Type: String

Used in groups: AttachmentGrp

AttachmentPoint

Lower bound percentage of the loss that the tranche can endure.

Type: Percentage

Used in components: Instrument

AttrbGrp

Name | Mult. | Type | Description
NoInstrAttrib | [1..1] | NumInGroup |
InstrAttribType | [0..1] | CodeSet |
InstrAttribValue | [0..1] | String |

Used in components: InstrumentExtension

AuctionAllocationPct

Percentage of matched quantity to be allocated to the submitter of the response to an auction order.

Type: Percentage

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

AuctionInstruction

Instruction related to system generated auctions, e.g. flash order auctions.

Type: int

Allowed values in AuctionInstructionCodeSet:

Code | Name | Description
0 | AutomatedAuctionPermitted | Automatic auction permitted (default)
1 | AutomatedAuctionNotPermitted | Automatic auction not permitted

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

AuctionType

Type of auction order.

Type: int

Allowed values in AuctionTypeCodeSet:

Code | Name | Description
0 | None | None
1 | BlockOrderAuction | Block order auction
2 | DirectedOrderAuction | Directed order auction
3 | ExposureOrderAuction | Exposure order auction
4 | FlashOrderAuction | Flash order auction
5 | FacilitationOrderAuction | Facilitation order auction
6 | SolicitationOrderAuction | Solicitation order auction
7 | PriceImprovementMechanism | Price improvement mechanism (PIM)
8 | DirectedOrderPriceImprovementMechanism | Directed Order price improvement mechanism (PIM)

Used in groups: AuctionTypeRuleGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

AuctionTypeProductComplex

Identifies an entire suite of products for which the auction order type rule applies.

Type: String

Used in groups: AuctionTypeRuleGrp

AuctionTypeRuleGrp

The AuctionTypeRuleGrp component is used to specify the auction rule applicable for a given product group or complex, for example.

Name | Mult. | Type | Description
NoAuctionTypeRules | [1..1] | NumInGroup |
AuctionType | [0..1] | CodeSet | Required if NoAuctionTypeRules(2548) > 0. AuctionType(1803) = 0 (None) can be used to invalidate all auction types on the instrument level that are defined on a market segment level.
AuctionTypeProductComplex | [0..1] | String | Can be used to limit auction order type to specific product suite. Use multiple entries with the same AuctionType(1803) if multiple but not all product suites are supported.

Used in components: TradingSessionRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

AutoAcceptIndicator

Identifies whether or not an allocation has been automatically accepted on behalf of the Carry Firm by the Clearing House.

Type: Boolean

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

AutomaticExerciseIndicator

Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.

Type: Boolean

Used in components: OptionExercise

AutomaticExerciseThresholdRate

The threshold rate for triggering automatic exercise.

Type: float

Used in components: OptionExercise

AveragePriceDetail

The AveragePriceDetail component provides average pricing details in a trade report, including the average pricing model and the start and end times of averaging period.

Name | Mult. | Type | Description
AveragePriceType | [0..1] | CodeSet |
AveragePriceStartTime | [0..1] | UTCTimestamp | Required if AveragePriceType(2763)=2 (Percent of volume average price) or 0 (Time weighted average price).
AveragePriceEndTime | [0..1] | UTCTimestamp | Required if AveragePriceType(2763)=2 (Percent of volume average price) or 0 (Time weighted average price).

Used in messages: TradeCaptureReport, TradeCaptureReportAck

AveragePriceEndTime

End of the time period during which price averaging occurred.

Type: UTCTimestamp

Used in components: AveragePriceDetail

AveragePriceStartTime

Start of the time period during which price averaging occurred.

Type: UTCTimestamp

Used in components: AveragePriceDetail

AveragePriceType

The average pricing model used for block trades.

Type: int

Allowed values in AveragePriceTypeCodeSet:

Code | Name | Description
0 | TimeWeightedAveragePrice | Time weighted average price. TWAP is the simple average price of a security over a specified time without regard to the volume traded.
1 | VolumeWeightedAveragePrice | Volume weighted average price. VWAP is the sum of the currency amount traded for all trades in the averaging group (price times quantity) divided by the total quantity.
2 | PercentOfVolumeAveragePrice | Percent of volume average price. POV is the sum of the currency amount traded for all trades executed as part of an order intended to purchase a specified percentage of the total volume of an instrument, divided by the total quantity.
3 | LimitOrderAveragePrice | Limit order average price. The limit order average price is the currency amount of all trades executed to fill a limit order, divided by the total quantity.

Used in components: AveragePriceDetail

AvgForwardPoints

The average forward points. May be a negative value.

Type: PriceOffset

Used in messages: TradeAggregationReport

AvgParPx

Used to express average price as percent of par (used where AvgPx field is expressed in some other way)

Type: Price

Used in components: SettlTradeDetails

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation

AvgPx

Calculated average price of all fills on this order.

For Fixed Income trades AvgPx is always expressed as percent-of-par, regardless of the PriceType (423) of LastPx (31). I.e., AvgPx will contain an average of percent-of-par values (see LastParPx (669)) for issues traded in Yield, Spread or Discount.

Type: Price

Used in components: SettlTradeDetails

Used in groups: OrdListStatGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionAck, ExecutionReport, TradeAggregationReport, TradeAggregationRequest, TradeCaptureReport, TradeCaptureReportAck

AvgPxGroupID

Used by submitting firm to group trades being allocated into an average price group. The trades in average price group will be used to calculate an average price for the group.

Type: String

Used in groups: TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationReport, AllocationReportAck, TradeCaptureReport, TradeCaptureReportAck

AvgPxIndicator

Average pricing indicator.

Type: int

Allowed values in AvgPxIndicatorCodeSet:

Code | Name | Description
0 | NoAveragePricing | No average pricing
1 | Trade | Trade is part of an average price group identified by the AvgPxGroupID(1731)
2 | LastTrade | Last trade of the average price group identified by the AvgPxGroupID(1731)
3 | NotionalValueAveragePxGroupTrade | Trade is part of a notional value average price group. A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero.
4 | AveragePricedTrade | Trade is average priced

Used in groups: MDFullGrp, MDIncGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, AllocationReportAck, TradeCaptureReport, TradeCaptureReportAck

AvgPxPrecision

Indicates number of decimal places to be used for average pricing. Absence of this field indicates that default precision arranged by the broker/institution is to be used.

Type: int

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation

AvgSpotRate

The average FX spot rate.

Type: Price

Used in messages: TradeAggregationReport

BackloadedTradeIndicator

Indicates that the trade being reported occurred in the past and is still in effect or active.

Type: Boolean

Used in messages: TradeCaptureReport

BaseTradingRules

Trading rules that are applicable to a market, market segment or individual security independent of a trading session.

Name | Mult. | Type | Description
TickRules | [0..*] | Group | Specifies price tick rules for the security.
LotTypeRules | [0..*] | Group | Specifies the lot types that are valid for trading.
PriceLimits | [0..1] | Component | Specifies the price limits that are valid for trading.
PriceRangeRuleGrp | [0..*] | Group | Specifies the valid price range tables for trading.
QuoteSizeRuleGrp | [0..*] | Group | Specifies the valid quote sizes for trading.
ExpirationCycle | [0..1] | CodeSet |
TradeVolType | [0..1] | CodeSet |
MinTradeVol | [0..1] | Qty |
MaxTradeVol | [0..1] | Qty | For listed derivatives this indicates the minimum quantity necessary for an order or trade to qualify as a block trade.
MaxPriceVariation | [0..1] | float |
ImpliedMarketIndicator | [0..1] | CodeSet |
TradingCurrency | [0..1] | Currency |
TradingCurrencyCodeSource | [0..1] | CodeSet |
RoundLot | [0..1] | Qty |
MultilegModel | [0..1] | CodeSet | Used for multileg security only.
MultilegPriceMethod | [0..1] | CodeSet | Used for multileg security only.
PriceType | [0..1] | CodeSet | Defines the default price type used for trading.
FastMarketPercentage | [0..1] | Percentage | Can be used as a factor to be applied to other base trading rules during a fast market, e.g. to widen price or size ranges by the specified percentage factor.
QuoteSideIndicator | [0..1] | CodeSet |

Used in components: SecurityTradingRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

BasisFeatureDate

BasisFeatureDate allows requesting firms within fixed income the ability to request an alternative yield-to-worst, -maturity, -extended or other call. This flows through the confirm process.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in messages: ExecutionReport

BasisFeaturePrice

Price for BasisFeatureDate.

See BasisFeatureDate (259)

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Price

Used in messages: ExecutionReport

BasisPxType

Code to represent the basis price type.

Type: char

Allowed values in BasisPxTypeCodeSet:

Code | Name | Description
2 | ClosingPriceAtMorningSession | Closing price at morning session
3 | ClosingPrice | Closing price
4 | CurrentPrice | Current price
5 | SQ | SQ
6 | VWAPThroughADay | VWAP through a day
7 | VWAPThroughAMorningSession | VWAP through a morning session
8 | VWAPThroughAnAfternoonSession | VWAP through an afternoon session
9 | VWAPThroughADayExcept | VWAP through a day except "YORI" (an opening auction)
A | VWAPThroughAMorningSessionExcept | VWAP through a morning session except "YORI" (an opening auction)
B | VWAPThroughAnAfternoonSessionExcept | VWAP through an afternoon session except "YORI" (an opening auction)
C | Strike | Strike
D | Open | Open
Z | Others | Others

Used in messages: BidRequest

BeginSeqNo

Message sequence number of first message in range to be resent

Type: SeqNum

Used in messages: ResendRequest

BeginString

Identifies beginning of new message and session protocol version by means of a session profile identifier (see FIX Session Layer for details). ALWAYS FIRST FIELD IN MESSAGE. (Always unencrypted).

Type: String

Allowed values in BeginStringCodeSet:

Code | Name | Description
FIX.4.2 | FIX42 | Session profile FIX.4.2
FIX.4.4 | FIX44 | Session profile FIX4
FIXT.1.1 | FIXT11 | Session profile FIXT or LFXIT. The choice between FIXT and LFIXT is subject to counterparty agreement.

Used in components: StandardHeader

BenchmarkCurveCurrency

Specifies currency used for benchmark curve.

BenchmarkCurveCurrencyCodeSource(2950) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in components: SpreadOrBenchmarkCurveData

BenchmarkCurveCurrencyCodeSource

Identifies class or source of the BenchmarkCurveCurrency(220) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: SpreadOrBenchmarkCurveData

BenchmarkCurveName

Name of benchmark curve.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Allowed values in BenchmarkCurveNameCodeSet:

Code | Name | Description
EONIA | EONIA | EONIA
EUREPO | EUREPO | EUREPO
Euribor | Euribor | EURIBOR (deprecated use enum EURIBOR instead). Deprecated use of EURIBOR for the enumeration.
FutureSWAP | FutureSWAP | FutureSWAP
LIBID | LIBID | LIBID
LIBOR | LIBOR | LIBOR (London Inter-Bank Offer)
MuniAAA | MuniAAA | MuniAAA
OTHER | OTHER | OTHER
Pfandbriefe | Pfandbriefe | Pfandbriefe
SONIA | SONIA | SONIA
SWAP | SWAP | SWAP
Treasury | Treasury | Treasury
FEDEFF | FedFundRateEffective | US Federal Reserve fed funds effective rate. US Federal Reserve fed funds effective rate or the weighted average of the actual negotiated rates banks pay each other to to borrow funds.
FEDOPEN | FedOpen | US fed funds target rate. Fed funds target rate as determined by the US Federal Reserve Federal Open Market Committee.
EURIBOR | EURIBOR | Euro interbank offer rate
AUBSW | AUBSW | Australian Bank Bill Swap Rate
BUBOR | BUBOR | Budapest Bank Offered Rate
CDOR | CDOR | Canadian Dollar Offered Rate
CIBOR | CIBOR | Copenhagen Interbank Offered Rate
EONIASWAP | EONIASWAP | Euro Overnight Index Average Swap Rate
ESTR | ESTR | Euro Short Term Rate. Replaces EONIA.
EURODOLLAR | EURODOLLAR | Euro Dollar Rate
EUROSWISS | EUROSWISS | Euro Swiss Franc Rate
GCFREPO | GCFREPO | DTCC General Collateral Finance Repo Index
ISDAFIX | ISDAFIX | ICE Swap Rate
JIBAR | JIBAR | Johannesburg Interbank Agreed Rate
MOSPRIM | MOSPRIM | Moscow Prime Offered Rate
NIBOR | NIBOR | Nigeria Three Month Interbank Rate
PRIBOR | PRIBOR | Czech Republic Interbank Offered Rate
SOFR | SOFR | Secured Overnight Financing Rate. Replaces LIBOR.
STIBOR | STIBOR | Stockholm Interbank Offered Rate
TELBOR | TELBOR | Bank of Israel Interbank Offered Rate
TIBOR | TIBOR | Tokyo Interbank Offered Rate
WIBOR | WIBOR | Warsaw Interbank Offered Rate
AONIA | AONIA | Reserve Bank of Australia Interbank Overnight Cash Rate. Also known as AUD Overnight Index Average.
AONIA-R | AONIAR | Realised AONIA. "Realised AONIA applies a compounding formula to the daily AONIA rate, to determine the compounded average rate over the prior 1 to 6 month period." (source https://www.asx.com.au/documents/products/realised-aonia-explained.pdf).
BKBM | BKBM | New Zealand Bank Bill Market Rate
CD91D | CD91D | Republic of Korea 90-Day Certificate of Deposit Rate
CORRA | CORRA | Canadian Overnight Repo Rate Average
DIRR-TN | DIRRTN | Danish Interbank Interest Rate-Tomorrow or Next
EIBOR | EIBOR | Emirates Interbank Offered Rate
FixingRepoRate | FixingRepoRate | China Interbank Overnight Repo Rate
HIBOR | HIBOR | Hong Kong Interbank Offered Rate
IBR | IBR | Colombia Overnight Interbank Reference Rate
KLIBOR | KLIBOR | Kuala Lumpur Interbank Offered Rate
MIBOR | MIBOR | Mumbia Interbank Offered Rate
NZONIA | NZONIA | New Zealand Overnight Indexed Swaps (OIS)
PHIREF | PHIREF | Philippines Interbank Reference Rate
REIBOR | REIBOR | Reykjavik Interbank Offered Rate
SAIBOR | SAIBOR | Saudi Arabian Interbank Offered Rate
SARON | SARON | Swiss Average Rate Overnight
SORA | SORA | Singapore Swap Offer Rate
TLREF | TLREF | Turkish Lira Overnight Reference Rate
TIIE | TIIE | Mexico Interbank Equilibrium Interest Rate
THBFIX | THBFIX | Thai Baht Interest Rate Fixing
TONAR | TONAR | Tokyo Overnight Average Rate

Used in components: SpreadOrBenchmarkCurveData

BenchmarkCurvePoint

Point on benchmark curve. Free form values: e.g. "Y", "7Y", "INTERPOLATED".

Sample values:

M = combination of a number between 1-12 and a "M" for month

Y = combination of number between 1-100 and a "Y" for year}

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon

See Fixed Income-specific documentation at http://www.fixtradingcommunity.org for additional values.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: SpreadOrBenchmarkCurveData

BenchmarkPrice

Specifies the price of the benchmark.

Type: Price

Used in components: SpreadOrBenchmarkCurveData

BenchmarkPriceType

Identifies type of BenchmarkPrice (662).

See PriceType (423) for valid values.

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in components: SpreadOrBenchmarkCurveData

BenchmarkSecurityID

The identifier of the benchmark security, e.g. Treasury against Corporate bond.

See SecurityID (tag 48) for description and valid values.

Type: String

Used in components: SpreadOrBenchmarkCurveData

BenchmarkSecurityIDSource

Identifies class or source of the BenchmarkSecurityID(699) value.

Required if BenchmarkSecurityID is specified.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: SpreadOrBenchmarkCurveData

BidCompReqGrp

Name | Mult. | Type | Description
NoBidComponents | [1..1] | NumInGroup | Used if BidType="Disclosed"
ListID | [0..1] | String | Required if NoBidComponents > 0. Must be first field in repeating group.
Side | [0..1] | CodeSet | When used in request for a "Disclosed" bid indicates that bid is required on assumption that SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
TradingSessionID | [0..1] | String | Indicates off-exchange type activities for Detail.
TradingSessionSubID | [0..1] | CodeSet |
NetGrossInd | [0..1] | CodeSet | Indicates Net or Gross for selling Detail.
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |

Used in messages: BidRequest

BidCompRspGrp

Name | Mult. | Type | Description
NoBidComponents | [1..1] | NumInGroup | Number of bid repeating groups
CommissionData | [1..1] | Component | First element Commission required if NoBidComponents > 0.
ListID | [0..1] | String |
Country | [0..1] | Country | ISO Country Code
Side | [0..1] | CodeSet | When used in response to a "Disclosed" request indicates whether SideValue1 is Buy or Sell. SideValue2 can be derived by inference.
Price | [0..1] | Price | Second element of price
PriceType | [0..1] | CodeSet |
FairValue | [0..1] | Amt | The difference between the value of a future and the value of the underlying equities after allowing for the discounted cash flows associated with the underlying stocks (E.g. Dividends etc).
NetGrossInd | [0..1] | CodeSet | Net/Gross
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: BidResponse

BidDescReqGrp

Name | Mult. | Type | Description
NoBidDescriptors | [1..1] | NumInGroup | Used if BidType="Non Disclosed"
BidDescriptorType | [0..1] | CodeSet | Required if NoBidDescriptors > 0. Must be first field in repeating group.
BidDescriptor | [0..1] | String |
SideValueInd | [0..1] | CodeSet | Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
LiquidityValue | [0..1] | Amt | Value between LiquidityPctLow and LiquidityPctHigh in Currency
LiquidityNumSecurities | [0..1] | int | Number of Securites between LiquidityPctLow and LiquidityPctHigh in Currency
LiquidityPctLow | [0..1] | Percentage | Liquidity indicator or lower limit if LiquidityNumSecurities > 1
LiquidityPctHigh | [0..1] | Percentage | Upper liquidity indicator if LiquidityNumSecurities > 1
EFPTrackingError | [0..1] | Percentage | Eg Used in EFP (Exchange For Physical) trades 12%
FairValue | [0..1] | Amt | Used in EFP trades
OutsideIndexPct | [0..1] | Percentage | Used in EFP trades
ValueOfFutures | [0..1] | Amt | Used in EFP trades

Used in messages: BidRequest

BidDescriptor

BidDescriptor value. Usage depends upon BidDescriptorTyp (399).

If BidDescriptorType = 1

Industrials etc - Free text

If BidDescriptorType = 2

"FR" etc - ISO Country Codes

If BidDescriptorType = 3

FT00, FT250, STOX - Free text

Type: String

Used in groups: BidDescReqGrp

BidDescriptorType

Code to identify the type of BidDescriptor (400).

Type: int

Allowed values in BidDescriptorTypeCodeSet:

Code | Name | Description
1 | Sector | Sector
2 | Country | Country
3 | Index | Index

Used in groups: BidDescReqGrp

BidForwardPoints

Bid F/X forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

BidForwardPoints2

Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

BidID

For bid lists, unique identifier for BidResponse(35=I) as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day.

For quotes, unique identifier for the bid side of the quote assigned by the quote issuer.

Type: String

Used in messages: BidRequest, BidResponse, ListExecute, NewOrderList, Quote, QuoteStatusReport

BidMDEntryID

The market data entry identifier of the bid side of a quote

Type: String

Used in messages: QuoteStatusReport

BidPx

Bid price/rate

Type: Price

Used in groups: QuotEntryAckGrp, QuotEntryGrp, SecurityRiskMetricGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

BidQuoteID

Marketplace assigned quote identifier for the bid side. Can be used to indicate priority.

Type: String

Used in messages: QuoteStatusReport

BidRequestTransType

Identifies the Bid Request message type.

Type: char

Allowed values in BidRequestTransTypeCodeSet:

Code | Name | Description
C | Cancel | Cancel
N | New | New

Used in messages: BidRequest

BidSize

Quantity of bid

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

BidSpotRate

Bid F/X spot rate.

Type: Price

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

BidSpread

Basis points relative to a benchmark curve on the bid side, such as LIBOR, or a known security, such as 10Y US Treasury bond. The benchmark security or curve name is specified in the SpreadOrBenchmarkCurveData component.

Type: float

Used in messages: Quote

BidSwapPoints

The bid FX Swap points for an FX Swap. It is the "far bid forward points - near offer forward point". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in messages: Quote

BidTradeType

Code to represent the type of trade.

(Prior to FIX 4.4 this field was named "TradeType")

Type: char

Allowed values in BidTradeTypeCodeSet:

Code | Name | Description
A | Agency | Agency
G | VWAPGuarantee | VWAP Guarantee
J | GuaranteedClose | Guaranteed Close
R | RiskTrade | Risk Trade

Used in messages: BidRequest

BidType

Code to identify the type of Bid Request.

Type: int

Allowed values in BidTypeCodeSet:

Code | Name | Description
1 | NonDisclosed | "Non Disclosed" style (e.g. US/European)
2 | Disclosed | "Disclosed" style (e.g. Japanese)
3 | NoBiddingProcess | No bidding process

Used in messages: BidRequest, NewOrderList

BidVolatility

Volatility based on bid prices.

Type: float

Used in groups: SecurityRiskMetricGrp

BidYield

Bid yield

Type: Percentage

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

BlockTradeEligibilityIndicator

Indicates if a given instrument is eligible for block trading.

Type: Boolean

Used in components: Instrument

BlockTrdAllocIndicator

Indication that a block trade will be allocated.

Type: int

Allowed values in BlockTrdAllocIndicatorCodeSet:

Code | Name | Description
0 | BlockToBeAllocated | Block to be allocated
1 | BlockNotToBeAllocated | Block not to be allocated
2 | AllocatedTrade | Allocated trade. A sub-trade of a block trade.

Used in groups: TrdCapRptSideGrp

BodyLength

Message length, in bytes, forward to the CheckSum field. ALWAYS SECOND FIELD IN MESSAGE. (Always unencrypted)

Type: Length

Used in components: StandardHeader

BookingRefID

Common reference passed to a post-trade booking process (e.g. industry matching utility).

Type: String

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

BookingType

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).

Type: int

Allowed values in BookingTypeCodeSet:

Code | Name | Description
0 | RegularBooking | Regular booking
1 | CFD | CFD (Contract for difference)
2 | TotalReturnSwap | Total Return Swap

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp, QuotEntryAckGrp, QuotEntryGrp, SideCrossOrdModGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteRequest, QuoteStatusReport

BookingUnit

Indicates what constitutes a bookable unit.

Type: char

Allowed values in BookingUnitCodeSet:

Code | Name | Description
0 | EachPartialExecutionIsABookableUnit | Each partial execution is a bookable unit
1 | AggregatePartialExecutionsOnThisOrder | Aggregate partial executions on this order, and book one trade per order
2 | AggregateExecutionsForThisSymbol | Aggregate executions for this symbol, side, and settlement date

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

BrokerConfirmationDesc

Describes the type of broker confirmation executed between the parites. Can be used as an alterative to MasterConfirmationDesc(1962). See http://www.fpml.org/coding-scheme/broker-confirmation-type for values.

Type: String

Used in components: FinancingDetails

BusinessCenter

A business center whose calendar is used for date adjustment, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: BusinessCenterGrp

BusinessCenterGrp

BusinessCenterGrp is a repeating subcomponent within the DateAdjustment component. It is used to specify the set of business centers whose calendars drive the date adjustment. The business centers defined here apply to all adjustable dates in the instrument unless specifically overridden in the respective specified components elsewhere.

Name | Mult. | Type | Description
NoBusinessCenters | [1..1] | NumInGroup |
BusinessCenter | [0..1] | String | Required if NoBusinessCenters(40278) > 0.

Used in components: DateAdjustment

BusinessDayConvention

The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument unless specifically overridden.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: DateAdjustment

BusinessDayType

Relative identification of a business day.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: ClearingPriceParametersGrp

BusinessRejectReason

Code to identify reason for a Business Message Reject message.

Type: int

Allowed values in BusinessRejectReasonCodeSet:

Code | Name | Description
0 | Other | Other
1 | UnknownID | Unknown ID
2 | UnknownSecurity | Unknown Security
3 | UnsupportedMessageType | Unsupported Message Type
4 | ApplicationNotAvailable | Application not available
5 | ConditionallyRequiredFieldMissing | Conditionally required field missing
6 | NotAuthorized | Not Authorized
7 | DeliverToFirmNotAvailableAtThisTime | DeliverTo firm not available at this time
8 | ThrottleLimitExceeded | Throttle limit exceeded
9 | ThrottleLimitExceededSessionDisconnected | Throttle limit exceeded, session will be disconnected
10 | ThrottledMessagesRejectedOnRequest | Throttled messages rejected on request
18 | InvalidPriceIncrement | Invalid price increment

Used in messages: BusinessMessageReject

BusinessRejectRefID

The value of the business-level "ID" field on the message being referenced.

Type: String

Used in messages: BusinessMessageReject

BuyVolume

Quantity bought.

Type: Qty

Used in messages: SecurityStatus

CalculatedCcyLastQty

Used for the calculated quantity of the other side of the currency trade. Can be derived from LastQty and LastPx.

Type: Qty

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

CalculationMethod

Specifies how the calculation will be made.

Type: int

Allowed values in CalculationMethodCodeSet:

Code | Name | Description
0 | Automatic | Automatic (default).
1 | Manual | Manual.

Used in groups: ClearingPriceParametersGrp

CancellationRights

For CIV - A one character code identifying whether Cancellation rights/Cooling off period applies.

Type: char

Allowed values in CancellationRightsCodeSet:

Code | Name | Description
Y | Yes | Yes
N | NoExecutionOnly | No - Execution Only
M | NoWaiverAgreement | No - Waiver agreement
O | NoInstitutional | No - Institutional

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

CancelText

Identifies the reason for cancelation.

Type: String

Used in messages: PayManagementRequest

CapPrice

Used to express the ceiling price of a capped call

Type: Price

Used in components: Instrument

CardExpDate

The expiry date of the payment card as specified on the card being used for payment.

Type: LocalMktDate

Used in groups: SettlInstGrp

CardHolderName

The name of the payment card holder as specified on the card being used for payment.

Type: String

Used in groups: SettlInstGrp

CardIssNum

The issue number of the payment card as specified on the card being used for payment. This is only applicable to certain types of card.

Type: String

Used in groups: SettlInstGrp

CardNumber

The number of the payment card as specified on the card being used for payment.

Type: String

Used in groups: SettlInstGrp

CardStartDate

The start date of the card as specified on the card being used for payment.

Type: LocalMktDate

Used in groups: SettlInstGrp

CashDistribAgentAcctName

Name of account at agent bank for distributions.

Type: String

Used in groups: RgstDistInstGrp

CashDistribAgentAcctNumber

Account number at agent bank for distributions.

Type: String

Used in groups: RgstDistInstGrp

CashDistribAgentCode

BIC (Bank Identification Code–Swift managed) code of agent bank for cash distributions

Type: String

Used in groups: RgstDistInstGrp

CashDistribAgentName

Name of local agent bank if for cash distributions

Type: String

Used in groups: RgstDistInstGrp

CashDistribCurr

Specifies currency to be used for Cash Distributions see "Appendix 6-A Valid Currency Codes".

Type: Currency

Used in groups: RgstDistInstGrp

CashDistribPayRef

Free format Payment reference to assist with reconciliation of distributions.

Type: String

Used in groups: RgstDistInstGrp

CashMargin

Identifies whether an order is a margin order or a non-margin order. This is primarily used when sending orders to Japanese exchanges to indicate sell margin or buy to cover. The same tag could be assigned also by buy-side to indicate the intent to sell or buy margin and the sell-side to accept or reject (base on some validation criteria) the margin request.

Type: char

Allowed values in CashMarginCodeSet:

Code | Name | Description
1 | Cash | Cash
2 | MarginOpen | Margin Open
3 | MarginClose | Margin Close

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

CashOrderQty

Specifies the approximate order quantity desired in total monetary units vs. as tradeable units (e.g. number of shares). The broker or fund manager (for CIV orders) would be responsible for converting and calculating a tradeable unit (e.g. share) quantity (OrderQty (38)) based upon this amount to be used for the actual order and subsequent messages.

Type: Qty

Used in components: OrderQtyData

CashOutstanding

Starting consideration less repayments

Type: Amt

Used in messages: CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse

CashSettlAccruedInterestIndicator

Indicates whether accrued interest is included or not in the value provided in CashSettlAmount(40034). For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.

For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.

Type: Boolean

Used in groups: CashSettlTermGrp

CashSettlAmount

The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.

Type: Amt

Used in groups: CashSettlTermGrp

CashSettlBusinessCenter

Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: CashSettlTermGrp

CashSettlBusinessDays

The number of business days used in the determination of the cash settlement payment date.

Type: int

Used in groups: CashSettlTermGrp

CashSettlCurrency

Specifies the currency the CashSettlAmount(40034) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: CashSettlTermGrp

CashSettlDateAdjusted

The adjusted cash settlement date.

Type: LocalMktDate

Used in components: CashSettlDate

CashSettlDateBusinessCenter

The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: CashSettlDateBusinessCenterGrp

CashSettlDateBusinessCenterGrp

CashSettlDateBusinessCenterGrp is a repeating subcomponent within the CashSettlDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component within the Instrument component.

Name | Mult. | Type | Description
NoCashSettlDateBusinessCenters | [1..1] | NumInGroup |
CashSettlDateBusinessCenter | [0..1] | String | Required if NoCashSettlDateBusinessCenters(42214) > 0.

Used in components: CashSettlDate

CashSettlDateBusinessDayConvention

The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: CashSettlDate

CashSettlDate

The CashSettlDate component is a subcomponent within the CashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.

Name | Mult. | Type | Description
CashSettlDateUnadjusted | [0..1] | LocalMktDate |
CashSettlDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in the Instrument component. The specified value would be specific to this instance of the cash settlement provision.
CashSettlDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in the Instrument component. The specified values would be specific to this instance of the cash settlement provision.
CashSettlDateRelativeTo | [0..1] | int |
CashSettlDateOffsetPeriod | [0..1] | int | Conditionally required when CashSettlDateOffsetUnit(42211) is specified.
CashSettlDateOffsetUnit | [0..1] | CodeSet | Conditionally required when CashSettlDateOffsetPeriod(42210) is specified.
CashSettlDateOffsetDayType | [0..1] | CodeSet |
CashSettlDateAdjusted | [0..1] | LocalMktDate |

Used in groups: CashSettlTermGrp

CashSettlDateOffsetDayType

Specifies the day type of the relative cash settlement date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: CashSettlDate

CashSettlDateOffsetPeriod

Time unit multiplier for the relative cash settlement date offset.

Type: int

Used in components: CashSettlDate

CashSettlDateOffsetUnit

Time unit associated with the relative cash settlement date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: CashSettlDate

CashSettlDateRelativeTo

Specifies the anchor date when the cash settlement date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: CashSettlDate

CashSettlDateUnadjusted

The unadjusted cash settlement date.

Type: LocalMktDate

Used in components: CashSettlDate

CashSettlDealer

Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.

Type: String

Used in groups: CashSettlDealerGrp

CashSettlDealerGrp

CashSettlDealerGrp is a repeating subcomponent within the CashSettlTermGrp component. It is used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.

Name | Mult. | Type | Description
NoCashSettlDealers | [1..1] | NumInGroup |
CashSettlDealer | [0..1] | String | Required if NoCashSettlDealers(40277) > 0.

Used in groups: CashSettlTermGrp

CashSettlFixedTermIndicator

Indicates whether fixed settlement is applicable or not applicable in a recovery lock.

Type: Boolean

Used in groups: CashSettlTermGrp

CashSettlMinimumQuoteAmount

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.

Type: Amt

Used in groups: CashSettlTermGrp

CashSettlMinimumQuoteCurrency

Specifies the currency the CashSettlMinimumQuoteAmount(40030) is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: CashSettlTermGrp

CashSettlNumOfValuationDates

Where multiple valuation dates are specified as being applicable for cash settlement, this specifies the number of applicable valuation dates.

Type: int

Used in groups: CashSettlTermGrp

CashSettlPriceDefault

The default election for determining settlement price.

Type: int

Allowed values in CashSettlPriceDefaultCodeSet:

Code | Name | Description
0 | Close | Close. Official closing price.
1 | Hedge | Hedge. Determined by the hedging party.

Used in groups: CashSettlTermGrp

CashSettlPriceSource

The source from which the settlement price is to be obtained.

See http://www.fpml.org/coding-scheme/settlement-price-source for values.

Type: String

Used in groups: CashSettlTermGrp

CashSettlQuoteAmount

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.

Type: Amt

Used in groups: CashSettlTermGrp

CashSettlQuoteCurrency

Specifies the currency the CashSettlQuoteAmount(40028) is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: CashSettlTermGrp

CashSettlQuoteMethod

The type of quote used to determine the cash settlement price.

Type: int

Allowed values in CashSettlQuoteMethodCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer

Used in groups: CashSettlTermGrp

CashSettlRecoveryFactor

Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - CashSettlRecoveryFactor(40035)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.

Type: float

Used in groups: CashSettlTermGrp

CashSettlTermGrp

The CashSettlTermGrp is a repeating component within the Instrument component used to report cash settlement terms referenced from UnderlyingInstruments.

Name | Mult. | Type | Description
NoCashSettlTerms | [1..1] | NumInGroup |
CashSettlCurrency | [0..1] | Currency | Required if NoCashSettlTerms(40022) > 0.
CashSettlValuationFirstBusinessDayOffset | [0..1] | int |
CashSettlValuationSubsequentBusinessDaysOffset | [0..1] | int |
CashSettlNumOfValuationDates | [0..1] | int |
CashSettlValuationTime | [0..1] | LocalMktTime |
CashSettlBusinessCenter | [0..1] | String |
CashSettlQuoteMethod | [0..1] | CodeSet |
CashSettlQuoteAmount | [0..1] | Amt |
CashSettlQuoteCurrency | [0..1] | Currency |
CashSettlMinimumQuoteAmount | [0..1] | Amt |
CashSettlMinimumQuoteCurrency | [0..1] | Currency |
CashSettlDealerGrp | [0..*] | Group |
CashSettlPriceSource | [0..1] | String |
CashSettlPriceDefault | [0..1] | CodeSet |
CashSettlBusinessDays | [0..1] | int |
CashSettlAmount | [0..1] | Amt |
CashSettlDate | [0..1] | Component |
CashSettlRecoveryFactor | [0..1] | float |
CashSettlFixedTermIndicator | [0..1] | Boolean |
CashSettlAccruedInterestIndicator | [0..1] | Boolean |
CashSettlValuationMethod | [0..1] | CodeSet |
CashSettlTermXID | [0..1] | XID |

Used in components: Instrument

CashSettlTermXID

A named string value referenced by UnderlyingSettlTermXIDRef(41315).

Type: XID

Used in groups: CashSettlTermGrp

CashSettlValuationFirstBusinessDayOffset

The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for the purpose of cash settlement.

Type: int

Used in groups: CashSettlTermGrp

CashSettlValuationMethod

The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.

Type: int

Allowed values in CashSettlValuationMethodCodeSet:

Code | Name | Description
0 | Market | Market
1 | Highest | Highest
2 | AverageMarket | Average market
3 | AverageHighest | Average highest
4 | BlendedMarket | Blended market
5 | BlendedHighest | Blended highest
6 | AverageBlendedMarket | Average blended market
7 | AverageBlendedHighest | Average blended highest

Used in groups: CashSettlTermGrp

CashSettlValuationSubsequentBusinessDaysOffset

The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.

Type: int

Used in groups: CashSettlTermGrp

CashSettlValuationTime

The time of valuation.

Type: LocalMktTime

Used in groups: CashSettlTermGrp

CcyAmt

Net flow of Currency 1

Type: Amt

Used in groups: SettlObligationInstructions

CFICode

Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. ISO 10962 is maintained by ANNA (Association of National Numbering Agencies) acting as Registration Authority. See "Appendix 6-B FIX Fields Based Upon Other Standards". See also the Product (460) and SecurityType (167) fields. It is recommended that CFICode be used instead of SecurityType (167) for non-Fixed Income instruments.

A subset of possible values applicable to FIX usage are identified in "Appendix 6-D CFICode Usage - ISO 10962 Classification of Financial Instruments (CFI code)"

Type: String

Used in components: Instrument

Used in groups: SecTypesGrp, SettlInstGrp

Used in messages: SettlementInstructionRequest

CheckSum

Three byte, simple checksum (see Volume 2: "Checksum Calculation" for description). ALWAYS LAST FIELD IN MESSAGE; i.e. serves, with the trailing <SOH>, as the end-of-message delimiter. Always defined as three characters. (Always unencrypted)

Type: String

Used in components: StandardTrailer

ClearedIndicator

Indicates whether the trade or position being reported was cleared through a clearing organization.

Type: int

Allowed values in ClearedIndicatorCodeSet:

Code | Name | Description
0 | NotCleared | Not cleared. Trade or position has not yet been submitted for clearing.
1 | Cleared | Cleared. Trade or position has been successfully cleared.
2 | Submitted | Submitted. Trade or position has been submitted for clearing.
3 | Rejected | Rejected. Trade or position was rejected by clearing.

Used in groups: AllocAckGrp

Used in messages: Confirmation, PositionMaintenanceReport, PositionReport, TradeCaptureReport

ClearingAccountType

Designates the account type to be used for the order when submitted to clearing.

Type: int

Allowed values in ClearingAccountTypeCodeSet:

Code | Name | Description
1 | Customer | Customer
2 | Firm | Firm
3 | MarketMaker | Market maker

Used in groups: ClearingAccountTypeGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

ClearingAccountTypeGrp

The ClearingAccountTypeGrp component is used specify the type of clearing account types.

Name | Mult. | Type | Description
NoClearingAccountTypes | [1..1] | NumInGroup |
ClearingAccountType | [0..1] | CodeSet | Required if NoClearingAccountTypes(1918) > 0.

Used in groups: PriceMovementGrp

ClearingBusinessDate

The business date for which the trade is expected to be cleared.

Type: LocalMktDate

Used in messages: AccountSummaryReport, AdjustedPositionReport, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AllocationReportAck, AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, ContraryIntentionReport, DerivativeSecurityList, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataSnapshotFullRefresh, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport, RegistrationInstructions, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionUpdateReport, SecurityList, SecurityListUpdateReport, SettlementObligationReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeMatchReport

ClearingFeeIndicator

Indicates type of fee being assessed of the customer for trade executions at an exchange. Applicable for futures markets only at this time.

(Values source CBOT, CME, NYBOT, and NYMEX):

Type: String

Allowed values in ClearingFeeIndicatorCodeSet:

Code | Name | Description
1 | FirstYearDelegate | 1st year delegate trading for own account
2 | SecondYearDelegate | 2nd year delegate trading for own account
3 | ThirdYearDelegate | 3rd year delegate trading for own account
4 | FourthYearDelegate | 4th year delegate trading for own account
5 | FifthYearDelegate | 5th year delegate trading for own account
9 | SixthYearDelegate | 6th year delegate trading for own account
B | CBOEMember | CBOE Member
C | NonMemberAndCustomer | Non-member and Customer
E | EquityMemberAndClearingMember | Equity Member and Clearing Member
F | FullAndAssociateMember | Full and Associate Member trading for own account and as floor brokers
H | Firms106HAnd106J | 106.H and 106.J firms
I | GIM | GIM, IDEM and COM Membership Interest Holders
L | Lessee106FEmployees | Lessee 106.F Employees
M | AllOtherOwnershipTypes | All other ownership types

Used in groups: AllocGrp, ListOrdGrp, SideCrossOrdModGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, TradeCaptureReportAck

ClearingInstruction

Eligibility of this trade for clearing and central counterparty processing.

Type: int

Allowed values in ClearingInstructionCodeSet:

Code | Name | Description
0 | ProcessNormally | Process normally
1 | ExcludeFromAllNetting | Exclude from all netting
2 | BilateralNettingOnly | Bilateral netting only
3 | ExClearing | Ex clearing
4 | SpecialTrade | Special trade
5 | MultilateralNetting | Multilateral netting
6 | ClearAgainstCentralCounterparty | Clear against central counterparty
7 | ExcludeFromCentralCounterparty | Exclude from central counterparty
8 | ManualMode | Manual mode (pre-posting and/or pre-giveup)
9 | AutomaticPostingMode | Automatic posting mode (trade posting to the position account number specified)
10 | AutomaticGiveUpMode | Automatic give-up mode (trade give-up to the give-up destination number specified)
11 | QualifiedServiceRepresentativeQSR | Qualified Service Representative QSR
12 | CustomerTrade | Customer trade
13 | SelfClearing | Self clearing
14 | BuyIn | Buy-in

Used in groups: ClrInstGrp

ClearingIntention

Specifies the party's or parties' intention to clear the trade.

Type: int

Allowed values in ClearingIntentionCodeSet:

Code | Name | Description
0 | DoNotIntendToClear | Do not intend to clear
1 | IntendToClear | Intend to clear

Used in messages: TradeCaptureReport

ClearingPortfolioID

When the transaction is cleared and included in a portfolio of transactions this identifies the portfolio by its unique identifier.

Type: String

Used in messages: MarginRequirementReport, PositionReport, TradeCaptureReport

ClearingPriceOffset

Constant value required for the calculation of the clearing price, e.g. for variance futures.

Type: PriceOffset

Used in groups: ClearingPriceParametersGrp

ClearingPriceParametersGrp

This component is used convey parameters that are relevant for the calculation of clearing prices that are different from the trading prices due to the nature of the product, e.g. variance futures.

Name | Mult. | Type | Description
NoClearingPriceParameters | [1..1] | NumInGroup | Number of parameter sets.
BusinessDayType | [0..1] | CodeSet | Required if NoClearingPriceParameters (2580) > 0. Use to identify the relative business day to which the parameters apply.
ClearingPriceOffset | [0..1] | PriceOffset |
VegaMultiplier | [0..1] | float |
AnnualTradingBusinessDays | [0..1] | int |
TotalTradingBusinessDays | [0..1] | int |
TradingBusinessDays | [0..1] | int |
StandardVariance | [0..1] | float |
RealizedVariance | [0..1] | float |
RelatedClosePrice | [0..1] | Price |
RiskFreeRate | [0..1] | float | Interest rate until the instrument expires and used to calculate DiscountFactor(1592).
OvernightInterestRate | [0..1] | float | Used to calculate AccumulatedReturnModifiedVariationMargin(2591).
AccumulatedReturnModifiedVariationMargin | [0..1] | float |
DiscountFactor | [0..1] | float |
Volatility | [0..1] | float |
ClearingSettlPrice | [0..1] | Price |
CalculationMethod | [0..1] | CodeSet |

Used in messages: SecurityStatus

ClearingRequirementException

Specifies whether a party to a swap is using an exception to a clearing requirement. In the US, one such clearing requirement is CFTC's rule pursuant to CEA Section 2(h)(1).

Type: int

Allowed values in ClearingRequirementExceptionCodeSet:

Code | Name | Description
0 | NoException | No exception
1 | Exception | Exception. Used to indicate an exception to a clearing requirement without elaborating on the type of exception.
2 | EndUserException | End-user exception. In the US, see CFTC Final Rule on End-User Exception to Clearing Requirements for Swaps Fact Sheet http://www.cftc.gov/ucm/groups/public/@newsroom/documents/file/eue_factsheet_final.pdf
3 | InterAffiliateException | Inter-affiliate exception. In the US, see CFTC Final Rule - Clearing Exemption for Swaps Between Certain Affiliated Entities http://www.cftc.gov//ucm/groups/public/@lrfederalregister/documents/file/2013-07970a.pdf
4 | TreasuryAffiliateException | Treasury affiliate exception. In the US, see CFTC No Action Letter 13-22 No Action Relief from the Clearing Requirement for Swaps Entered into by Eligible Treasury Affiliates http://www.cftc.gov/ucm/groups/public/@lrlettergeneral/documents/letter/13-22.pdf
5 | CooperativeException | Cooperative exception. Clearing exception for certain swaps entered into by cooperatives. In the US, see Regulation 50.51(a) Definition of Exempt Cooperative: https://www.federalregister.gov/articles/2013/08/22/2013-19945/clearing-exemption-for-certain-swaps-entered-into-by-cooperatives

Used in messages: TradeCaptureReport

ClearingSettlPrice

Clearing settlement price.

Type: Price

Used in groups: ClearingPriceParametersGrp

ClearingTradePrice

Alternate clearing price

Type: Price

Used in messages: PositionTransferInstruction, PositionTransferReport, TradeCaptureReport

ClientBidID

Unique identifier for a Bid Request as assigned by institution. Uniqueness must be guaranteed within a single trading day.

Type: String

Used in messages: BidRequest, BidResponse, ListExecute, NewOrderList

ClOrdID

Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) (identified by SenderCompID(49) or OnBehalfOfCompID(115) as appropriate). Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID(11) field.

Type: String

Used in components: TradeReportOrderDetail

Used in groups: InstrmtStrkPxGrp, ListOrdGrp, OrdAllocGrp, OrdListStatGrp, OrderAggregationGrp, OrderEntryAckGrp, OrderEntryGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Email, ExecutionAck, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderStatusRequest, QuoteRequest, QuoteResponse, RegistrationInstructions, RegistrationInstructionsResponse, SettlementInstructions, TradeCaptureReportRequest

ClOrdLinkID

Permits order originators to tie together groups of orders in which trades resulting from orders are associated for a specific purpose, for example the calculation of average execution price for a customer or to associate lists submitted to a broker as waves of a larger program trade.

Type: String

Used in groups: ListOrdGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderStatusRequest

ClrInstGrp

Name | Mult. | Type | Description
NoClearingInstructions | [1..1] | NumInGroup |
ClearingInstruction | [0..1] | CodeSet | Required if NoClearingInstructions > 0

Used in groups: AllocGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

CollAction

Action proposed for an Underlying Instrument instance.

Type: int

Allowed values in CollActionCodeSet:

Code | Name | Description
0 | Retain | Retain
1 | Add | Add
2 | Remove | Remove

Used in groups: UndInstrmtCollGrp

CollApplType

conveys how the collateral should be/has been applied

Type: int

Allowed values in CollApplTypeCodeSet:

Code | Name | Description
0 | SpecificDeposit | Specific Deposit
1 | General | General

Used in messages: CollateralReport, CollateralResponse

CollAsgnID

Collateral Assignment Identifier

Type: String

Used in messages: CollateralAssignment, CollateralResponse

CollAsgnReason

Reason for Collateral Assignment

Type: int

Allowed values in CollAsgnReasonCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Scheduled | Scheduled
2 | TimeWarning | Time Warning
3 | MarginDeficiency | Margin Deficiency. In a CollateralRequest(35=AX), this indicates there is a margin deficiency. In a CollateralAssignment(35=AY), this indicates that the assignment is a deposit to meet margin deficiency.
4 | MarginExcess | Margin Excess. In a CollateralRequest(35=AX), this indicates there is excess margin. In a CollateralAssignment(35=AY), this indicates that the assignment is a withdrawal of the margin excess.
5 | ForwardCollateralDemand | Forward Collateral Demand
6 | EventOfDefault | Event of default
7 | AdverseTaxEvent | Adverse tax event
8 | TransferDeposit | Transfer deposit. Collateral deposit in which the asset is to be transferred from an undesignated holding into collateral. I.e. there is no intermediate conversion to cash.
9 | TransferWithdrawal | Transfer withdrawal. Collateral withdrawal in which the asset is to be transferred from collateral into an undesignated holding. I.e. there is no intermediate conversion to cash.
10 | Pledge | Pledge. The purpose of the collateral assignment is to pledge or "lock up" a value of a basket of securities, individual security or fund as collateral.

Used in messages: CollateralAssignment, CollateralRequest, CollateralResponse

CollAsgnRefID

Collateral Assignment Identifier to which a transaction refers

Type: String

Used in messages: CollateralAssignment

CollAsgnRejectReason

Collateral Assignment Reject Reason

Type: int

Allowed values in CollAsgnRejectReasonCodeSet:

Code | Name | Description
0 | UnknownDeal | Unknown deal (order / trade)
1 | UnknownOrInvalidInstrument | Unknown or invalid instrument
2 | UnauthorizedTransaction | Unauthorized transaction
3 | InsufficientCollateral | Insufficient collateral
4 | InvalidTypeOfCollateral | Invalid type of collateral
5 | ExcessiveSubstitution | Excessive substitution
99 | Other | Other

Used in messages: CollateralResponse

CollAsgnRespType

Type of collateral assignment response.

Type: int

Allowed values in CollAsgnRespTypeCodeSet:

Code | Name | Description
0 | Received | Received
1 | Accepted | Accepted
2 | Declined | Declined
3 | Rejected | Rejected
4 | TransactionPending | Transaction pending. The collateral assignment transaction is pending at the recipient.
5 | TransactionCompletedWithWarning | Transaction completed with warning - see Text(58) for further information. The collateral assignment transaction was accepted and completed but with warnings.

Used in messages: CollateralResponse

CollAsgnTransType

Collateral Assignment Transaction Type

Type: int

Allowed values in CollAsgnTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Replace | Replace
2 | Cancel | Cancel
3 | Release | Release
4 | Reverse | Reverse

Used in messages: CollateralAssignment, CollateralResponse

CollateralAmountGrp

The Collateral Amount Group component block is a repeating group that provides the current value of the collateral type on deposit. The currency of the collateral value may be optionally included.

Name | Mult. | Type | Description
NoCollateralAmounts | [1..1] | NumInGroup |
CurrentCollateralAmount | [0..1] | Amt | Required if NoCollateralAmounts(1703) > 0.
CollateralCurrency | [0..1] | Currency | Can be used to specify the currency of CollateralAmount(1704) if Currency(15) is not specified or is not the same.
CollateralCurrencyCodeSource | [0..1] | CodeSet |
CollateralAmountType | [0..1] | CodeSet |
CollateralFXRate | [0..1] | float |
CollateralFXRateCalc | [0..1] | CodeSet |
CollateralType | [0..1] | String |
CollateralAmountMarketSegmentID | [0..1] | String |
CollateralAmountMarketID | [0..1] | String |
HaircutIndicator | [0..1] | Boolean |
CollateralPortfolioID | [0..1] | String |
CollateralPercentOverage | [0..1] | Percentage |
CollateralMarketPrice | [0..1] | Price |
CollateralReinvestmentRate | [0..1] | Percentage | May be used to specify the average reinvestment rate when there are multiple instances of the CollateralReinvestmentGrp.
CollateralReinvestmentGrp | [0..*] | Group |
UnderlyingRefID | [0..1] | String | May be used to indicate that this entry applies to the underlying collateral instrument being referenced by the value in UnderlyingID(2874).

Used in messages: AccountSummaryReport, CollateralReport, CollateralResponse, PositionReport, TradeCaptureReport

CollateralAmountMarketID

Market associated with the collateral amount.

Type: String

Used in groups: CollateralAmountGrp

CollateralAmountMarketSegmentID

Market segment associated with the collateral amount.

Type: String

Used in groups: CollateralAmountGrp

CollateralAmountType

The type of value in CurrentCollateralAmount(1704).

Type: int

Allowed values in CollateralAmountTypeCodeSet:

Code | Name | Description
0 | MarketValuation | Market valuation (the default)
1 | PortfolioValue | Portfolio value before processing pledge request
2 | ValueConfirmed | Value confirmed as "locked-up" for processing a pledge request
3 | CollateralCreditValue | Credit value of collateral at CCP processing a pledge request
4 | AdditionalCollateralValue | Additional collateral value. Additional collateral deposited by the collateral provider at trade or post-trade. CollateralPercentOverage(2690) gives the overage percent
5 | EstimatedMarketValuation | Estimated market valuation. Estimated market valuation of collateral. In the context of EU SFTR this may be used for value of re-use of collateral.

Used in groups: CollateralAmountGrp

CollateralCurrency

Currency of the collateral; optional, defaults to the Settlement Currency if not specified.

Type: Currency

Used in groups: CollateralAmountGrp

CollateralCurrencyCodeSource

Identifies class or source of the CollateralCurrency(1705) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: CollateralAmountGrp

CollateralFXRate

Foreign exchange rate used to compute the CurrentCollateralAmount(1704) from the CollateralCurrency(1646) and the Currency(15).

Type: float

Used in groups: CollateralAmountGrp

CollateralFXRateCalc

Specifies whether or not CollateralFXRate(2090) should be multipled or divided.

Type: char

Allowed values in UnderlyingFXRateCalcCodeSet:

Code | Name | Description
D | Divide | Divide
M | Multiply | Multiply

Used in groups: CollateralAmountGrp

CollateralizationValueDate

Date when the collateral is to be assessed or assigned.

Type: LocalMktDate

Used in messages: CollateralReport, PositionReport, TradeCaptureReport

CollateralMarketPrice

Market price of the collateral, either from market sources or pre-agreed by the counterparties.

Type: Price

Used in groups: CollateralAmountGrp

CollateralPercentOverage

Percentage of over-collateralization particularly when CollateralAmountType(2632) = 4 (Additional collateral value)

Type: Percentage

Used in groups: CollateralAmountGrp

CollateralPortfolioID

Identifier of the collateral portfolio when reporting on a portfolio basis.

Type: String

Used in groups: CollateralAmountGrp

CollateralReinvestmentAmount

The cash amount of the specified re-investment type.

Type: Amt

Used in groups: CollateralReinvestmentGrp

CollateralReinvestmentCurrency

The currency denomination of the re-invested cash amount.

CollateralReinvestmentCurrencyCodeSource(2931) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: CollateralReinvestmentGrp

CollateralReinvestmentCurrencyCodeSource

Identifies class or source of the CollateralReinvestmentCurrency(2843) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: CollateralReinvestmentGrp

CollateralReinvestmentGrp

The CollateralReinvestmentGrp component block is a repeating group that may be used to provide a breakdown of the cash collateral's reinvestment types and amounts (e.g. CollateralType(1704)="CASH").

Name | Mult. | Type | Description
NoCollateralReinvestments | [1..1] | NumInGroup |
CollateralReinvestmentType | [0..1] | CodeSet | Required if NoCollateralReinvestments(2845) > 0.
CollateralReinvestmentAmount | [0..1] | Amt |
CollateralReinvestmentCurrency | [0..1] | Currency |
CollateralReinvestmentCurrencyCodeSource | [0..1] | CodeSet |

Used in groups: CollateralAmountGrp

CollateralReinvestmentRate

Interest rate received for collateral reinvestment.

Type: Percentage

Used in groups: CollateralAmountGrp

CollateralReinvestmentType

Indicates the type of investment the cash collateral is re-invested in.

Type: int

Allowed values in CollateralReinvestmentTypeCodeSet:

Code | Name | Description
0 | MoneyMarketFund | Money market fund. Registered money market fund. In the context of EU SFTR reporting this corresponds to code "MMFT".
1 | OtherComingledPool | Other comingled pool. Any commingled pool other than money market fund. In the context of EU SFTR reporting this corresponds to code "OCMP".
2 | RepoMarket | Repo market. The repurchase agreement market. In the context of EU SFTR reporting this corresponds to code "REPM".
3 | DirectPurchaseOfSecurities | Direct purchase of securities. In the context of EU SFTR reporting this corresponds to code "SDPU".
4 | OtherInvestments | Other investments. In the context of EU SFTR reporting this corresponds to code "OTHR".

Used in groups: CollateralReinvestmentGrp

CollateralRequestInstruction

An encoded collateral request processing instruction to the receiver.

Type: String

Used in messages: CollateralAssignment, CollateralResponse

CollateralRequestLinkID

A unique identifier to link together a set or group of requests.

Type: String

Used in messages: CollateralAssignment, CollateralResponse

CollateralRequestNumber

Ordinal number of the request within a set or group of requests.

Type: int

Used in messages: CollateralAssignment, CollateralResponse

CollateralType

Type of collateral on deposit being reported.

Type: String

Used in groups: CollateralAmountGrp

CollectAmount

Amount to be collected by the clearinghouse from the clearing firm.

Type: Amt

Used in groups: PayCollectGrp

CollInqQualGrp

Name | Mult. | Type | Description
NoCollInquiryQualifier | [1..1] | NumInGroup | Number of qualifiers to inquiry
CollInquiryQualifier | [0..1] | CodeSet | Required if NoCollInquiryQualifier > 0. Type of collateral inquiry

Used in messages: CollateralInquiry, CollateralInquiryAck

CollInquiryID

Collateral Inquiry Identifier

Type: String

Used in messages: CollateralInquiry, CollateralInquiryAck, CollateralReport

CollInquiryQualifier

Collateral inquiry qualifiers:

Type: int

Allowed values in CollInquiryQualifierCodeSet:

Code | Name | Description
0 | TradeDate | Trade Date
1 | GCInstrument | GC Instrument
2 | CollateralInstrument | Collateral Instrument
3 | SubstitutionEligible | Substitution Eligible
4 | NotAssigned | Not Assigned
5 | PartiallyAssigned | Partially Assigned
6 | FullyAssigned | Fully Assigned
7 | OutstandingTrades | Outstanding Trades (Today < end date)

Used in groups: CollInqQualGrp

CollInquiryResult

Result returned in response to Collateral Inquiry

4000+ Reserved and available for bi-laterally agreed upon user-defined values

Type: int

Allowed values in CollInquiryResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidOrUnknownInstrument | Invalid or unknown instrument
2 | InvalidOrUnknownCollateralType | Invalid or unknown collateral type
3 | InvalidParties | Invalid Parties
4 | InvalidTransportTypeRequested | Invalid Transport Type requested
5 | InvalidDestinationRequested | Invalid Destination requested
6 | NoCollateralFoundForTheTradeSpecified | No collateral found for the trade specified
7 | NoCollateralFoundForTheOrderSpecified | No collateral found for the order specified
8 | CollateralInquiryTypeNotSupported | Collateral inquiry type not supported
9 | UnauthorizedForCollateralInquiry | Unauthorized for collateral inquiry
99 | Other | Other (further information in Text (58) field)

Used in messages: CollateralInquiryAck

CollInquiryStatus

Status of Collateral Inquiry

Type: int

Allowed values in CollInquiryStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithWarnings | Accepted With Warnings
2 | Completed | Completed
3 | CompletedWithWarnings | Completed With Warnings
4 | Rejected | Rejected

Used in messages: CollateralInquiryAck

CollReqID

Collateral Request Identifier

Type: String

Used in messages: CollateralAssignment, CollateralRequest, CollateralResponse

CollRespID

Collateral Response Identifier

Type: String

Used in messages: CollateralResponse

CollRptID

Collateral Report Identifier

Type: String

Used in messages: CollateralReport, CollateralReportAck

CollRptRejectReason

Reject reason code for rejecting the collateral report.

Type: int

Allowed values in CollRptRejectReasonCodeSet:

Code | Name | Description
0 | UnknownTrade | Unknown trade or transaction
1 | UnknownInstrument | Unknown or invalid instrument
2 | UnknownCounterparty | Unknown or invalid counterparty
3 | UnknownPosition | Unknown or invalid position
4 | UnacceptableCollateral | Unacceptable or invalid type of collateral
99 | Other | Other

Used in messages: CollateralReportAck

CollRptStatus

The status of the collateral report.

Type: int

Allowed values in CollRptStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted (successfully processed)
1 | Received | Received (not yet processed)
2 | Rejected | Rejected

Used in messages: CollateralReportAck

CollStatus

Collateral Status

Type: int

Allowed values in CollStatusCodeSet:

Code | Name | Description
0 | Unassigned | Unassigned
1 | PartiallyAssigned | Partially Assigned
2 | AssignmentProposed | Assignment Proposed
3 | Assigned | Assigned (Accepted)
4 | Challenged | Challenged
5 | Reused | Reused. A modification of the details of the collateral re-use. In the context of EU SFTR reporting, to be used with RegulatoryReportType(1934)=31 (Collateral update).

Used in messages: CollateralReport

CommCurrency

Specifies currency to be used for Commission(12) if the commission currency is different from the deal currency.

CommCurrencyCodeSource(2922) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in components: CommissionData

CommCurrencyCodeSource

Identifies class or source of the CommCurrency(479) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: CommissionData

Commission

Commission. Note if CommType (13) is percentage, Commission of 5% should be represented as .05.

Type: Amt

Used in components: CommissionData

CommissionAmount

The commission amount.

Type: Amt

Used in groups: CommissionDataGrp

CommissionAmountShared

Commission amount to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement. If specified, this amount should not exceed the amount in CommissionAmount(2640).

Type: Amt

Used in groups: CommissionDataGrp

CommissionAmountSubType

Further sub classification of the CommissionAmountType(2641).

Type: int

Allowed values in CommissionAmountSubTypeCodeSet:

Code | Name | Description
0 | ResearchPaymentAccount | Research payment account (RPA)
1 | CommissionSharingAgreement | Commission sharing agreement (CSA)
2 | OtherTypeResearchPayment | Other type of research payment. A type of research payment other than RPA or CSA.

Used in groups: CommissionDataGrp

CommissionAmountType

Indicates what type of commission is being expressed in CommissionAmount(2640).

Type: int

Allowed values in CommissionAmountTypeCodeSet:

Code | Name | Description
0 | Unspecified | Unspecified
1 | Acceptance | Acceptance. The bank's charge for issuing a Letter of Credit.
2 | Broker | Broker. The executing broker's commission.
3 | ClearingBroker | Clearing broker. The clearing broker's commission.
4 | Retail | Retail. Commission charged by or related to retail sales.
5 | SalesCommission | Sales commission. The commission charged by the sales desk.
6 | LocalCommission | Local commission. Commission paid to local broker in a cross-border transaction.
7 | ResearchPayment | Research payment

Used in groups: CommissionDataGrp

CommissionBasis

Specifies the basis or unit used to calculate the commission.

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | Amount per unit. Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
2 | Percent | Percent
3 | Absolute | Absolute. Total monetary amount.
4 | PercentageWaivedCashDiscount | Percentage waived, cash discount basis. For use with CIV buy orders.
5 | PercentageWaivedEnhancedUnits | Percentage waived, enhanced units basis. For use with CIV buy orders.
6 | PointsPerBondOrContract | Points per bond or contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
7 | BasisPoints | Basis points. The commission is expressed in basis points in reference to the gross price of the reference asset.
8 | AmountPerContract | Amount per contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.

Used in groups: CommissionDataGrp

CommissionCurrency

Specifies the currency denomination of the commission amount if different from the trade's currency.

CommissionCurrencyCodeSource(2923) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: CommissionDataGrp

CommissionCurrencyCodeSource

Identifies class or source of the CommissionCurrency(2643) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: CommissionDataGrp

CommissionData

The CommissionData component block is used to carry commission information such as the type of commission and the rate. Use the CommissionDataGrp component as an alternative if multiple commissions or enhanced attributes are needed.

Name | Mult. | Type | Description
Commission | [0..1] | Amt |
CommType | [0..1] | CodeSet |
CommCurrency | [0..1] | Currency |
CommCurrencyCodeSource | [0..1] | CodeSet |
CommRate | [0..1] | float |
CommUnitOfMeasure | [0..1] | CodeSet |
FundRenewWaiv | [0..1] | CodeSet |

Used in groups: AllocGrp, BidCompRspGrp, ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport

CommissionDataGrp

The CommissionDataGrp component block is used to carry commission information such as the type of commission and the rate. It provides an alternative to the CommissionData component if multiple commissions or enhanced attributes are needed.

Name | Mult. | Type | Description
NoCommissions | [1..1] | NumInGroup |
CommissionAmount | [0..1] | Amt | Required if NoCommissions(2639) > 0. If the commission is based on a percentage of trade quantity or a factor of "unit of measure", CommissionRate(2646) and CommissionUnitOfMeasure(2644) may also be specified as appropriate.
CommissionAmountType | [0..1] | CodeSet | Required if NoCommissions(2639) > 0.
CommissionAmountSubType | [0..1] | CodeSet |
CommissionBasis | [0..1] | CodeSet | Required if NoCommissions(2639) > 0.
CommissionCurrency | [0..1] | Currency |
CommissionCurrencyCodeSource | [0..1] | CodeSet |
CommissionUnitOfMeasure | [0..1] | CodeSet |
CommissionUnitOfMeasureCurrency | [0..1] | Currency |
CommissionUnitOfMeasureCurrencyCodeSource | [0..1] | CodeSet |
CommissionRate | [0..1] | float |
CommissionSharedIndicator | [0..1] | Boolean |
CommissionAmountShared | [0..1] | Amt | If specified, CommissionSharedIndicator(2647) must be set to "Y".
CommissionLegRefID | [0..1] | String | This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
CommissionDesc | [0..1] | String |
EncodedCommissionDescLen | [0..1] | Length | Must be set if EncodedCommissionDesc(2652) is specified and must immediately precede it.
EncodedCommissionDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the CommissionDesc(2650) field in the encoded format specified via the MessageEncoding(347) field.

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

CommissionDesc

Description of the commission.

Type: String

Used in groups: CommissionDataGrp

CommissionLegRefID

Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).

Type: String

Used in groups: CommissionDataGrp

CommissionRate

The commission rate when CommissionAmount(2640) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage or expressed in basis points, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.

Type: float

Used in groups: CommissionDataGrp

CommissionSharedIndicator

Indicates whether the amount in CommissionAmount(2640) is to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.

Type: Boolean

Used in groups: CommissionDataGrp

CommissionUnitOfMeasure

The commission rate unit of measure.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: CommissionDataGrp

CommissionUnitOfMeasureCurrency

Indicates the currency of the unit of measure. Conditionally required when CommissionUnitOfMeasure(2644) = Ccy (Amount of currency).

Type: Currency

Used in groups: CommissionDataGrp

CommissionUnitOfMeasureCurrencyCodeSource

Identifies class or source of the CommissionUnitOfMeasureCurrency(2645) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: CommissionDataGrp

CommodityFinalPriceType

Final price type of the commodity as specified by the trading venue.

Type: int

Allowed values in CommodityFinalPriceTypeCodeSet:

Code | Name | Description
0 | ArgusMcCloskey | Argus McCloskey
1 | Baltic | Baltic
2 | Exchange | Exchange
3 | GlobalCoal | Global Coal
4 | IHSMcCloskey | IHS McCloskey
5 | Platts | Platts
99 | Other | Other

Used in components: InstrumentExtension

CommonPricingIndicator

When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.

Type: Boolean

Used in components: Instrument

CommRate

The commission rate when Commission(12) is based on a percentage of quantity, amount per unit or a factor of "unit of measure". If the rate is a percentage, use the decimalized form, e.g. "0.05" for a 5% commission or "0.005" for 50 basis points.

Type: float

Used in components: CommissionData

CommType

Specifies the basis or unit used to calculate the total commission based on the rate.

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | Amount per unit. Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
2 | Percent | Percent
3 | Absolute | Absolute. Total monetary amount.
4 | PercentageWaivedCashDiscount | Percentage waived, cash discount basis. For use with CIV buy orders.
5 | PercentageWaivedEnhancedUnits | Percentage waived, enhanced units basis. For use with CIV buy orders.
6 | PointsPerBondOrContract | Points per bond or contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
7 | BasisPoints | Basis points. The commission is expressed in basis points in reference to the gross price of the reference asset.
8 | AmountPerContract | Amount per contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.

Used in components: CommissionData

CommUnitOfMeasure

The commission rate unit of measure.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: CommissionData

CompIDReqGrp

Name
Mult.
Type
Description

NoCompIDs
[1..1]
NumInGroup
Used to restrict updates/request to a list of specific CompID/SubID/LocationID/DeskID combinations. If not present request applies to all applicable available counterparties. EG Unless one sell side broker was a customer of another you would not expect to see information about other brokers, similarly one fund manager etc.

RefCompID
[0..1]
String
Used to restrict updates/request to specific CompID

RefSubID
[0..1]
String
Used to restrict updates/request to specific SubID

LocationID
[0..1]
String
Used to restrict updates/request to specific LocationID

DeskID
[0..1]
String
Used to restrict updates/request to specific DeskID

Used in messages: NetworkCounterpartySystemStatusRequest

CompIDStatGrp

Name | Mult. | Type | Description
NoCompIDs | [1..1] | NumInGroup | Specifies the number of repeating CompId's
RefCompID | [1..1] | String | CompID that status is being report for. Required if NoCompIDs > 0,
RefSubID | [0..1] | String | SubID that status is being report for.
LocationID | [0..1] | String | LocationID that status is being report for.
DeskID | [0..1] | String | DeskID that status is being report for.
StatusValue | [1..1] | CodeSet |
StatusText | [0..1] | String | Additional Information, i.e. "National Holiday"

Used in messages: NetworkCounterpartySystemStatusResponse

ComplexEventAveragingObservationGrp

The ComplexEventAveragingObservationGrp is an optional subcomponent of ComplexEventPeriodGrp for specifying the weight of each of the dated observations.

Name | Mult. | Type | Description
NoComplexEventAveragingObservations | [1..1] | NumInGroup |
ComplexEventAveragingObservationNumber | [0..1] | int | Required if NoComplexEventAveragingObservations(40994) > 0.
ComplexEventAveragingWeight | [0..1] | float |

Used in groups: ComplexEventPeriodGrp

ComplexEventAveragingObservationNumber

Cross reference to the ordinal observation as specified either in the ComplexEventScheduleGrp or ComplexEventPeriodDateGrp components.

Type: int

Used in groups: ComplexEventAveragingObservationGrp

ComplexEventAveragingWeight

The weight factor to be applied to the observation.

Type: float

Used in groups: ComplexEventAveragingObservationGrp

ComplexEventBusinessCenter

The business center used to determine dates and times in the schedule or date-time group.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ComplexEventPeriodGrp

ComplexEventCalculationAgent

Used to identify the calculation agent.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: ComplexEvents

ComplexEventCondition

Specifies the condition between complex events when more than one event is specified.

Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.

Type: int

Allowed values in ComplexEventConditionCodeSet:

Code | Name | Description
1 | And | And
2 | Or | Or

Used in groups: ComplexEvents

ComplexEventCreditEventBusinessCenter

The local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ComplexEvents

ComplexEventCreditEventCurrency

Specifies the applicable currency when ComplexEventCreditEventValue(40999) is an amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventDayType

Specifies the day type for the complex credit events.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventGrp

The ComplexEventCreditEventGrp is a repeating component within the ComplexEventGrp component used to report applicable option credit events.

Name | Mult. | Type | Description
NoComplexEventCreditEvents | [1..1] | NumInGroup |
ComplexEventCreditEventType | [0..1] | String | Required if NoComplexEventCreditEvents(40996) > 0.
ComplexEventCreditEventValue | [0..1] | String |
ComplexEventCreditEventCurrency | [0..1] | Currency |
ComplexEventCreditEventPeriod | [0..1] | int | Conditionally required when ComplexEventCreditEventUnit(41002) is specified.
ComplexEventCreditEventUnit | [0..1] | CodeSet | Conditionally required when ComplexEventCreditEventPeriod(41001) is specified.
ComplexEventCreditEventDayType | [0..1] | CodeSet |
ComplexEventCreditEventRateSource | [0..1] | int |
ComplexEventCreditEventQualifierGrp | [0..*] | Group |

Used in groups: ComplexEvents

ComplexEventCreditEventMinimumSources

The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.

Type: int

Used in groups: ComplexEvents

ComplexEventCreditEventNotifyingParty

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

Type: int

Allowed values in ComplexEventCreditEventNotifyingPartyCodeSet:

Code | Name | Description
0 | SellerNotifies | Seller notifies
1 | BuyerNotifies | Buyer notifies
2 | SellerOrBuyerNotifies | Seller or buyer notifies

Used in groups: ComplexEvents

ComplexEventCreditEventPeriod

Time unit multiplier for complex credit events.

Type: int

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventQualifier

Specifies a complex event qualifier. Used to further qualify ComplexEventCreditEventType(40998).

Type: char

Allowed values in ProtectionTermEventQualifierCodeSet:

Code
Name
Description

H
RestructuringMultipleHoldingObligations
Retructuring - multiple holding obligations. In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.

E
RestructuringMultipleCreditEventNotices
Restructuring - multiple credit event notices. Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

C
FloatingRateInterestShortfall
Floating rate interest shortfall. Indicates compounding.

Used in groups: ComplexEventCreditEventQualifierGrp

ComplexEventCreditEventQualifierGrp

The ComplexEventCreditEventQualifierGrp is a repeating component within the ComplexEventCreditEventGrp component used to specify qualifying attributes to an event.

Name | Mult. | Type | Description
NoComplexEventCreditEventQualifiers | [1..1] | NumInGroup |
ComplexEventCreditEventQualifier | [0..1] | CodeSet | Required if NoComplexEventCreditEventQualifiers(41005) > 0.

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventRateSource

Identifies the source of rate information used for credit events.

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.

Type: int

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventSource

A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.

Type: String

Used in groups: ComplexEventCreditEventSourceGrp

ComplexEventCreditEventSourceGrp

The ComplexEventCreditEventSourceGrp is a repeating subcomponent of the ComplexEvents component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.

Name | Mult. | Type | Description
NoComplexEventCreditEventSources | [1..1] | NumInGroup |
ComplexEventCreditEventSource | [0..1] | String | Required if NoComplexEventCreditEventSources(41029) > 0.

Used in groups: ComplexEvents

ComplexEventCreditEventStandardSources

When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.

Type: Boolean

Used in groups: ComplexEvents

ComplexEventCreditEventsXIDRef

Reference to credit event table elsewhere in the message.

Type: XIDREF

Used in groups: ComplexEvents

ComplexEventCreditEventType

Specifies the type of credit event.

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.

Type: String

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventUnit

Time unit associated with complex credit events.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ComplexEventCreditEventGrp

ComplexEventCreditEventValue

The credit event value appropriate to ComplexEventCreditEventType(40998).

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.

Type: String

Used in groups: ComplexEventCreditEventGrp

ComplexEventCurrencyOne

Specifies the first or only reference currency of the trade.

ComplexEventCurrencyOneCodeSource(2942) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: ComplexEvents

ComplexEventCurrencyOneCodeSource

Identifies class or source of the ComplexEventCurrencyOne(2124) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: ComplexEvents

ComplexEventCurrencyTwo

Specifies the second reference currency of the trade.

ComplexEventCurrencyTwoCodeSource(2943) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: ComplexEvents

ComplexEventCurrencyTwoCodeSource

Identifies class or source of the ComplexEventCurrencyTwo(2125) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: ComplexEvents

ComplexEventDateAdjusted

The adjusted complex event date.

Type: LocalMktDate

Used in components: ComplexEventRelativeDate

ComplexEventDateBusinessCenter

The business center calendar used to adjust the complex event date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ComplexEventDateBusinessCenterGrp

ComplexEventDateBusinessCenterGrp

The ComplexEventDateBusinessCenterGrp is a repeating subcomponent of the ComplexEventRelativeDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoComplexEventDateBusinessCenters | [1..1] | NumInGroup |
ComplexEventDateBusinessCenter | [0..1] | String | Required if NoComplexEventDateBuisinessCenters(41018) > 0.

Used in components: ComplexEventRelativeDate

ComplexEventDateBusinessDayConvention

The business day convention used to adjust the complex event date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: ComplexEventRelativeDate

ComplexEventDateOffsetDayType

Specifies the day type of the relative date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: ComplexEventRelativeDate

ComplexEventDateOffsetPeriod

Time unit multiplier for the relative date offset.

Type: int

Used in components: ComplexEventRelativeDate

ComplexEventDateOffsetUnit

Time unit associated with the relative date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ComplexEventRelativeDate

ComplexEventDateRelativeTo

Specifies the anchor date when the complex event date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: ComplexEventRelativeDate

ComplexEventDates

The ComplexEventDate and ComplexEventTime components are used to constrain a complex event to a specific date range or time range. If specified the event is only effective on or within the specified dates and times.

Name | Mult. | Type | Description
NoComplexEventDates | [1..1] | NumInGroup |
ComplexEventStartDate | [0..1] | UTCDateOnly | Required if NoComplexEventDates(1491) > 0.
ComplexEventEndDate | [0..1] | UTCDateOnly | Required if NoComplexEventDates(1491) > 0.
ComplexEventTimes | [0..*] | Group |

Used in groups: ComplexEvents

ComplexEventDateUnadjusted

The unadjusted complex event date.

Type: LocalMktDate

Used in components: ComplexEventRelativeDate

ComplexEventDeterminationMethod

Specifies the method according to which an amount or a date is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: ComplexEvents

ComplexEventEndDate

Specifies the end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options

ComplexEventEndDate must always be greater than or equal to ComplexEventStartDate.

Type: UTCDateOnly

Used in groups: ComplexEventDates

ComplexEventEndTime

Specifies the end time of the time range on which a complex event date is effective.

ComplexEventEndTime must always be greater than or equal to ComplexEventStartTime.

Type: UTCTimeOnly

Used in groups: ComplexEventTimes

ComplexEventFixedFXRate

Specifies the fixed FX rate alternative for FX Quantro options.

Type: float

Used in groups: ComplexEvents

ComplexEventFixingTime

The local market fixing time.

Type: LocalMktTime

Used in components: ComplexEventRelativeDate

ComplexEventFixingTimeBusinessCenter

The business center calendar used to determine the actual fixing times.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: ComplexEventRelativeDate

ComplexEventForwardPoints

FX forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: ComplexEvents

ComplexEventFuturesPriceValuation

Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.

Type: Boolean

Used in groups: ComplexEvents

ComplexEventOptionsPriceValuation

Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.

Type: Boolean

Used in groups: ComplexEvents

ComplexEventPeriodDate

The averaging date for an Asian option.

The trigger date for a Barrier or Knock option.

Type: LocalMktDate

Used in groups: ComplexEventPeriodDateGrp

ComplexEventPeriodDateGrp

The ComplexEventPeriodDateGrp is a subcomponent of ComplexEventPeriodGrp for specifying fixed period dates and times for an Asian or Strike Schedule option or trigger dates for a Barrier or Knock option.

Name | Mult. | Type | Description
NoComplexEventPeriodDateTimes | [1..1] | NumInGroup |
ComplexEventPeriodDate | [0..1] | LocalMktDate | Required if NoComplexEventPeriodDateTimes(41007) > 0.
ComplexEventPeriodTime | [0..1] | LocalMktTime |

Used in groups: ComplexEventPeriodGrp

ComplexEventPeriodGrp

The ComplexEventPeriodGrp is a subcomponent of ComplexEvents for specifying the periods for an Asian, Barrier, Knock or Strike Schedule option feature.

Name | Mult. | Type | Description
NoComplexEventPeriods | [1..1] | NumInGroup |
ComplexEventPeriodType | [0..1] | CodeSet | Required if NoComplexEventPeriods(41010) > 0.
ComplexEventBusinessCenter | [0..1] | String |
ComplexEventScheduleGrp | [0..*] | Group |
ComplexEventPeriodDateGrp | [0..*] | Group |
ComplexEventAveragingObservationGrp | [0..*] | Group |

Used in groups: ComplexEvents

ComplexEventPeriodTime

The averaging time for an Asian option.

Type: LocalMktTime

Used in groups: ComplexEventPeriodDateGrp

ComplexEventPeriodType

Specifies the period type.

Type: int

Allowed values in ComplexEventPeriodTypeCodeSet:

Code | Name | Description
0 | AsianOut | Asian Out
1 | AsianIn | Asian In
2 | BarrierCap | Barrier Cap
3 | BarrierFloor | Barrier Floor
4 | KnockOut | Knock Out
5 | KnockIn | Knock In

Used in groups: ComplexEventPeriodGrp

ComplexEventPrice

Specifies the price at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).

Type: Price

Used in groups: ComplexEvents

ComplexEventPriceBoundaryMethod

Specifies the boundary condition to be used for the event price relative to the underlying price at the point the complex event outcome takes effect as determined by the ComplexEventPriceTimeType.

Type: int

Allowed values in ComplexEventPriceBoundaryMethodCodeSet:

Code | Name | Description
1 | LessThanComplexEventPrice | Less than ComplexEventPrice(1486)
2 | LessThanOrEqualToComplexEventPrice | Less than or equal to ComplexEventPrice(1486)
3 | EqualToComplexEventPrice | Equal to ComplexEventPrice(1486)
4 | GreaterThanOrEqualToComplexEventPrice | Greater than or equal to ComplexEventPrice(1486)
5 | GreaterThanComplexEventPrice | Greater than ComplexEventPrice(1486)

Used in groups: ComplexEvents

ComplexEventPriceBoundaryPrecision

Used in combination with ComplexEventPriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Type: Percentage

Used in groups: ComplexEvents

ComplexEventPricePercentage

Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the ComplexEventType(1484).

Type: Percentage

Used in groups: ComplexEvents

ComplexEventPriceTimeType

Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the ComplexEventType(1484).

Type: int

Allowed values in ComplexEventPriceTimeTypeCodeSet:

Code | Name | Description
1 | Expiration | Expiration
2 | Immediate | Immediate (At Any Time)
3 | SpecifiedDate | Specified Date/Time
4 | Close | Close. Official closing time of the exchange on valuation date.
5 | Open | Open. Official opening time of the exchange on valuation date.
6 | OfficialSettlPrice | Official settlement price. Official settlement price determination time.
7 | DerivativesClose | Derivatives close. Official closing time of the derivatives exchange.
8 | AsSpecifiedMasterConfirmation | As specified in Master Confirmation

Used in groups: ComplexEvents

ComplexEventPVFinalPriceElectionFallback

Specifies the fallback provisions for the hedging party in the determination of the final settlement price.

Type: int

Allowed values in ComplexEventPVFinalPriceElectionFallbackCodeSet:

Code | Name | Description
0 | Close | Close. In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
1 | HedgeElection | Hedge election. In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.

Used in groups: ComplexEvents

ComplexEventQuoteBasis

For foreign exchange Quanto option feature.

Type: int

Allowed values in ComplexEventQuoteBasisCodeSet:

Code | Name | Description
0 | Currency1PerCurrency2 | Currency 1 per currency 2
1 | Currency2PerCurrency1 | Currency 2 per currency 1

Used in groups: ComplexEvents

ComplexEventRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: ComplexEventRateSourceGrp

ComplexEventRateSourceGrp

The ComplexEventRateSourceGrp is a subcomponent of ComplexEvents for specifying primary and secondary rate sources.

Name | Mult. | Type | Description
NoComplexEventRateSources | [1..1] | NumInGroup |
ComplexEventRateSource | [0..1] | CodeSet | Required if NoComplexEventRateSources(41013) > 0.
ComplexEventRateSourceType | [0..1] | CodeSet | Required if NoComplexEventRateSources(41013) > 0.
ComplexEventReferencePage | [0..1] | String | Conditionally required when ComplexEventRateSource(41014) = 99 (Other).
ComplexEventReferencePageHeading | [0..1] | String |

Used in groups: ComplexEvents

ComplexEventRateSourceType

Indicates whether the rate source specified is a primary or secondary source.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: ComplexEventRateSourceGrp

ComplexEventReferencePage

Identifies the reference page from the rate source.

For FX, the reference page to the spot rate is to be used for the reference FX spot rate.

When ComplexEventRateSource(41014) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.

Type: String

Used in groups: ComplexEventRateSourceGrp

ComplexEventReferencePageHeading

Identifies the reference page heading from the rate source.

Type: String

Used in groups: ComplexEventRateSourceGrp

ComplexEventRelativeDate

The ComplexEventRelativeDate is a subcomponent of ComplexEvents for specifying the event date and time for an FX or Calendar Spread option or the payout date for a Barrier or Knock option.

Name | Mult. | Type | Description
ComplexEventDateUnadjusted | [0..1] | LocalMktDate |
ComplexEventDateRelativeTo | [0..1] | int |
ComplexEventDateOffsetPeriod | [0..1] | int | Conditionally required when ComplexEventDateOffsetUnit(41023) is specified.
ComplexEventDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ComplexEventDateOffsetPeriod(41022) is specified.
ComplexEventDateOffsetDayType | [0..1] | CodeSet |
ComplexEventDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the instrument provisions.
ComplexEventDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the instrument provisions.
ComplexEventDateAdjusted | [0..1] | LocalMktDate |
ComplexEventFixingTime | [0..1] | LocalMktTime |
ComplexEventFixingTimeBusinessCenter | [0..1] | String |

Used in groups: ComplexEvents

ComplexEventScheduleEndDate

The end date of the schedule.

Type: LocalMktDate

Used in groups: ComplexEventScheduleGrp

ComplexEventScheduleFrequencyPeriod

Time unit multiplier for the schedule date frequency.

Type: int

Used in groups: ComplexEventScheduleGrp

ComplexEventScheduleFrequencyUnit

Time unit associated with the schedule date frequency.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ComplexEventScheduleGrp

ComplexEventScheduleGrp

The ComplexEventScheduleGrp is a subcomponent of ComplexEventPeriodGrp for specifying a periodic schedule for an Asian, Barrier or Strike Schedule option feature.

Name | Mult. | Type | Description
NoComplexEventSchedules | [1..1] | NumInGroup |
ComplexEventScheduleStartDate | [0..1] | LocalMktDate | Required if NoComplexEventSchedules(41031) > 0.
ComplexEventScheduleEndDate | [0..1] | LocalMktDate |
ComplexEventScheduleFrequencyPeriod | [0..1] | int | Conditionally required when ComplexEventScheduleFrequencyUnit(41035) is specified.
ComplexEventScheduleFrequencyUnit | [0..1] | CodeSet | Conditionally required when ComplexEventScheduleFrequencPeriod(41034) is specified.
ComplexEventScheduleRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the schedule.

Used in groups: ComplexEventPeriodGrp

ComplexEventScheduleRollConvention

The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the DateAdjustment component in Instrument.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in groups: ComplexEventScheduleGrp

ComplexEventScheduleStartDate

The start date of the schedule.

Type: LocalMktDate

Used in groups: ComplexEventScheduleGrp

ComplexEvents

The ComplexEvent Group is a repeating block which allows specifying an unlimited number and types of advanced events, such as observation and pricing over the lifetime of an option, futures, commodities or equity swap contract. Use EvntGrp to specify more straightforward events.

Name
Mult.
Type
Description

NoComplexEvents
[1..1]
NumInGroup

ComplexEventType
[0..1]
CodeSet
Required if NoComplexEvents(1483) > 0.

ComplexOptPayoutPaySide
[0..1]
CodeSet

ComplexOptPayoutReceiveSide
[0..1]
CodeSet

ComplexOptPayoutUnderlier
[0..1]
String

ComplexOptPayoutAmount
[0..1]
Amt

ComplexOptPayoutPercentage
[0..1]
Percentage

ComplexOptPayoutTime
[0..1]
CodeSet

ComplexOptPayoutCurrency
[0..1]
Currency

ComplexOptPayoutCurrencyCodeSource
[0..1]
CodeSet

ComplexEventPrice
[0..1]
Price

ComplexEventPricePercentage
[0..1]
Percentage

ComplexEventPriceBoundaryMethod
[0..1]
CodeSet

ComplexEventPriceBoundaryPrecision
[0..1]
Percentage

ComplexEventPriceTimeType
[0..1]
CodeSet

ComplexEventCondition
[0..1]
CodeSet
Conditionally required when there are more than one ComplexEvents occurrences. A chain of ComplexEvents must be linked together through use of the ComplexEventCondition(1490) in which the relationship between any two events is described. For any two ComplexEvents the first occurrence will specify the ComplexEventCondition(1490) which links it with the second event.

ComplexEventDates
[0..*]
Group

ComplexEventCurrencyOne
[0..1]
Currency

ComplexEventCurrencyOneCodeSource
[0..1]
CodeSet

ComplexEventCurrencyTwo
[0..1]
Currency

ComplexEventCurrencyTwoCodeSource
[0..1]
CodeSet

ComplexEventQuoteBasis
[0..1]
CodeSet

ComplexEventFixedFXRate
[0..1]
float

ComplexEventSpotRate
[0..1]
Price

ComplexEventForwardPoints
[0..1]
PriceOffset

ComplexEventDeterminationMethod
[0..1]
String

ComplexEventCalculationAgent
[0..1]
CodeSet

ComplexEventStrikePrice
[0..1]
Price

ComplexEventStrikeFactor
[0..1]
float

ComplexEventStrikeNumberOfOptions
[0..1]
int

ComplexEventRateSourceGrp
[0..*]
Group

ComplexEventRelativeDate
[0..1]
Component

ComplexEventPeriodGrp
[0..*]
Group

ComplexEventCreditEventsXIDRef
[0..1]
XIDREF

ComplexEventCreditEventNotifyingParty
[0..1]
CodeSet

ComplexEventCreditEventBusinessCenter
[0..1]
String

ComplexEventCreditEventStandardSources
[0..1]
Boolean

ComplexEventCreditEventMinimumSources
[0..1]
int

ComplexEventCreditEventSourceGrp
[0..*]
Group

ComplexEventCreditEventGrp
[0..*]
Group

ComplexEventFuturesPriceValuation
[0..1]
Boolean

ComplexEventOptionsPriceValuation
[0..1]
Boolean

ComplexEventPVFinalPriceElectionFallback
[0..1]
CodeSet

ComplexEventXID
[0..1]
XID

ComplexEventXIDRef
[0..1]
XIDREF

Used in components: Instrument

ComplexEventSpotRate

FX spot rate.

Type: Price

Used in groups: ComplexEvents

ComplexEventStartDate

Specifies the start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options

ComplexEventStartDate must always be less than or equal to ComplexEventEndDate.

Type: UTCDateOnly

Used in groups: ComplexEventDates

ComplexEventStartTime

Specifies the start time of the time range on which a complex event date is effective.

ComplexEventStartTime must always be less than or equal to ComplexEventEndTime.

Type: UTCTimeOnly

Used in groups: ComplexEventTimes

ComplexEventStrikeFactor

Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.

Type: float

Used in groups: ComplexEvents

ComplexEventStrikeNumberOfOptions

Upper string number of options for a Strike Spread.

Type: int

Used in groups: ComplexEvents

ComplexEventStrikePrice

Upper strike price for Asian option feature. Strike percentage for a Strike Spread.

Type: Price

Used in groups: ComplexEvents

ComplexEventTimes

The ComplexEventTime component is nested within the ComplexEventDate in order to further qualify any dates placed on the event and is used to specify time ranges for which a complex event is effective. It is always provided within the context of start and end dates. The time range is assumed to be in effect for the entirety of the date or date range specified.

Name | Mult. | Type | Description
NoComplexEventTimes | [1..1] | NumInGroup |
ComplexEventStartTime | [0..1] | UTCTimeOnly | Required if NoComplexEventTimes(1494) > 0.
ComplexEventEndTime | [0..1] | UTCTimeOnly | Required if NoComplexEventTimes(1494) > 0.

Used in groups: ComplexEventDates

ComplexEventType

Identifies the type of complex event.

Type: int

Allowed values in ComplexEventTypeCodeSet:

Code | Name | Description
1 | Capped | Capped
2 | Trigger | Trigger
3 | KnockInUp | Knock-in up
4 | KnockInDown | Knock-in down
5 | KnockOutUp | Knock-out up
6 | KnockOutDown | Knock-out down
7 | Underlying | Underlying
8 | ResetBarrier | Reset Barrier
9 | RollingBarrier | Rolling Barrier
10 | OneTouch | One-touch
11 | NoTouch | No-touch
12 | DblOneTouch | Double one-touch
13 | DblNoTouch | Double no-touch
14 | FXComposite | Foreign exchange composite
15 | FXQuanto | Foreign exchange Quanto
16 | FXCrssCcy | Foreign exchange cross currency
17 | StrkSpread | Strike spread
18 | ClndrSpread | Calendar spread
19 | PxObsvtn | Price observation (Asian or Lookback)
20 | PassThrough | Pass-through
21 | StrkSched | Strike schedule
22 | EquityValuation | Equity valuation
23 | DividendValuation | Dividend valuation

Used in groups: ComplexEvents

ComplexEventXID

Identifier of this complex event for cross referencing elsewhere in the message.

Type: XID

Used in groups: ComplexEvents

ComplexEventXIDRef

Reference to a complex event elsewhere in the message.

Type: XIDREF

Used in groups: ComplexEvents

ComplexOptPayoutAmount

Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.

Type: Amt

Used in groups: ComplexEvents

ComplexOptPayoutCurrency

Specifies the currency of the payout amount.

ComplexOptPayoutCurrencyCodeSource(2941) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: ComplexEvents

ComplexOptPayoutCurrencyCodeSource

Identifies class or source of the ComplexOptPayoutCurrency(2122) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: ComplexEvents

ComplexOptPayoutPaySide

Trade side of payout payer.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: ComplexEvents

ComplexOptPayoutPercentage

Percentage of observed price for calculating the payout associated with the event.

Type: Percentage

Used in groups: ComplexEvents

ComplexOptPayoutReceiveSide

Trade side of payout receiver.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: ComplexEvents

ComplexOptPayoutTime

Specifies when the payout is to occur.

Type: int

Allowed values in ComplexOptPayoutTimeCodeSet:

Code | Name | Description
0 | Close | Close
1 | Open | Open
2 | OfficialSettl | Official settlement
3 | ValuationTime | Valuation time
4 | ExcahgneSettlTime | Exchange settlement time
5 | DerivativesClose | Derivatives close
6 | AsSpecified | As specified in master confirmation

Used in groups: ComplexEvents

ComplexOptPayoutUnderlier

Reference to the underlier whose payments are being passed through.

Type: String

Used in groups: ComplexEvents

ComplianceID

ID used to represent this transaction for compliance purposes (e.g. OATS reporting).

Type: String

Used in groups: ListOrdGrp, SideCrossOrdCxlGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: CrossOrderCancelReplaceRequest, CrossRequest, CrossRequestAck, ExecutionReport, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, Quote, QuoteRequest, SecurityDefinitionRequest

ComplianceText

Free text for compliance information required for regulatory reporting.

Type: String

Used in groups: ListOrdGrp, SideCrossOrdCxlGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: CrossRequest, CrossRequestAck, ExecutionReport, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, Quote, QuoteRequest, SecurityDefinitionRequest

CompressionGroupID

Use to identify a netting or compression group where trades in the group were netted or compressed. This includes both terminating trades and any remnant trades that result from the operation.

Type: String

Used in groups: TrdCapRptSideGrp

Concession

Provides the reduction in price for the secondary market in Muncipals.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport

ConfirmationMethod

Specifies how a trade was confirmed.

Type: int

Allowed values in ConfirmationMethodCodeSet:

Code | Name | Description
0 | NonElectronic | Non-electronic
1 | Electronic | Electronic
2 | Unconfirmed | Unconfirmed

Used in messages: TradeCaptureReport

ConfirmID

Message reference for Confirmation

Type: String

Used in components: SettlTradeDetails

Used in messages: Confirmation, ConfirmationAck

ConfirmRefID

Reference identifier to be used with ConfirmTransType (666) = Replace or Cancel

Type: String

Used in messages: Confirmation

ConfirmRejReason

Identifies the reason for rejecting a Confirmation.

Type: int

Allowed values in ConfirmRejReasonCodeSet:

Code | Name | Description
1 | MismatchedAccount | Incorrect or missing account
2 | MissingSettlementInstructions | Incorrect or missing settlement instructions
3 | UnknownOrMissingIndividualAllocId | Unknown or missing IndividualAllocId(467)
4 | TransactionNotRecognized | Transaction not recognized
5 | DuplicateTransaction | Duplicate transaction
6 | IncorrectOrMissingInstrument | Incorrect or missing instrument
7 | IncorrectOrMissingPrice | Incorrect or missing price
8 | IncorrectOrMissingCommission | Incorrect or missing commission
9 | IncorrectOrMissingSettlDate | Incorrect or missing settlement date
10 | IncorrectOrMissingFundIDOrFundName | Incorrect or missing fund ID or fund name
11 | IncorrectOrMissingQuantity | Incorrect or missing quantity
12 | IncorrectOrMissingFees | Incorrect or missing fees
13 | IncorrectOrMissingTax | Incorrect or missing tax
14 | IncorrectOrMissingParty | Incorrect or missing party
15 | IncorrectOrMissingSide | Incorrect or missing side
16 | IncorrectOrMissingNetMoney | Incorrect or missing net-money
17 | IncorrectOrMissingTradeDate | Incorrect or missing trade date
18 | IncorrectOrMissingSettlCcyInstructions | Incorrect or missing settlement currency instructions
19 | IncorrectOrMissingCapacity | Incorrect or missing capacity
99 | Other | Other. Use Text(58) for further reject reasons.

Used in messages: ConfirmationAck

ConfirmReqID

Unique identifier for a Confirmation Request message

Type: String

Used in messages: Confirmation, ConfirmationRequest

ConfirmStatus

Identifies the status of the Confirmation.

Type: int

Allowed values in ConfirmStatusCodeSet:

Code | Name | Description
1 | Received | Received
2 | MismatchedAccount | Mismatched Account
3 | MissingSettlementInstructions | Missing Settlement Instructions
4 | Confirmed | Confirmed
5 | RequestRejected | Request Rejected

Used in messages: Confirmation

ConfirmTransType

Identifies the Confirmation transaction type.

Type: int

Allowed values in ConfirmTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Replace | Replace
2 | Cancel | Cancel

Used in messages: Confirmation

ConfirmType

Identifies the type of Confirmation message being sent.

Type: int

Allowed values in ConfirmTypeCodeSet:

Code | Name | Description
1 | Status | Status
2 | Confirmation | Confirmation
3 | ConfirmationRequestRejected | Confirmation Request Rejected (reason can be stated in Text (58) field)

Used in messages: Confirmation, ConfirmationRequest

ContAmtCurr

Specifies currency for the Contract amount if different from the Deal Currency - see "Appendix 6-A; Valid Currency Codes".

Type: Currency

Used in groups: ContAmtGrp

ContAmtGrp

Name | Mult. | Type | Description
NoContAmts | [1..1] | NumInGroup | Number of contract details in this message (number of repeating groups to follow)
ContAmtType | [0..1] | CodeSet | Must be first field in the repeating group.
ContAmtValue | [0..1] | float |
ContAmtCurr | [0..1] | Currency |

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: ExecutionReport

ContAmtType

Type of ContAmtValue (520).

NOTE That Commission Amount / % in Contract Amounts is the commission actually charged, rather than the commission instructions given in Fields 2/3.

Type: int

Allowed values in ContAmtTypeCodeSet:

Code | Name | Description
1 | CommissionAmount | Commission amount (actual)
2 | CommissionPercent | Commission percent (actual)
3 | InitialChargeAmount | Initial Charge Amount
4 | InitialChargePercent | Initial Charge Percent
5 | DiscountAmount | Discount Amount
6 | DiscountPercent | Discount Percent
7 | DilutionLevyAmount | Dilution Levy Amount
8 | DilutionLevyPercent | Dilution Levy Percent
9 | ExitChargeAmount | Exit Charge Amount
10 | ExitChargePercent | Exit Charge Percent
11 | FundBasedRenewalCommissionPercent | Fund-Based Renewal Commission Percent (a.k.a. Trail commission)
12 | ProjectedFundValue | Projected Fund Value (i.e. for investments intended to realise or exceed a specific future value)
13 | FundBasedRenewalCommissionOnOrder | Fund-Based Renewal Commission Amount (based on Order value)
14 | FundBasedRenewalCommissionOnFund | Fund-Based Renewal Commission Amount (based on Projected Fund value)
15 | NetSettlementAmount | Net Settlement Amount

Used in groups: ContAmtGrp

ContAmtValue

Value of Contract Amount, e.g. a financial amount or percentage as indicated by ContAmtType (519).

Type: float

Used in groups: ContAmtGrp

ContingencyType

Defines the type of contingency.

Type: int

Allowed values in ContingencyTypeCodeSet:

Code | Name | Description
1 | OneCancelsTheOther | One Cancels the Other (OCO)
2 | OneTriggersTheOther | One Triggers the Other (OTO)
3 | OneUpdatesTheOtherAbsolute | One Updates the Other (OUO) - Absolute Quantity Reduction
4 | OneUpdatesTheOtherProportional | One Updates the Other (OUO) - Proportional Quantity Reduction
5 | BidAndOffer | Bid and Offer
6 | BidAndOfferOCO | Bid and Offer OCO

Used in messages: ExecutionReport, ListStatus, NewOrderList

ContIntRptID

Unique identifier for the Contrary Intention report

Type: String

Used in messages: ContraryIntentionReport

ContraBroker

Identifies contra broker. Standard NASD market-maker mnemonic is preferred.

Type: String

Used in groups: ContraGrp

ContractMultiplier

Specifies the ratio or multiply factor to convert from "nominal" units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc). Applicable For Fixed Income, Convertible Bonds, Derivatives, etc.

Type: float

Used in components: Instrument

ContractMultiplierUnit

Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit ContractMultiplier(tag 231) is expressed in.

Type: int

Allowed values in ContractMultiplierUnitCodeSet:

Code | Name | Description
0 | Shares | Shares
1 | Hours | Hours
2 | Days | Days

Used in components: Instrument

ContractPriceRefMonth

Reference month if there is no applicable MaturityMonthYear(200) value for the contract or security.

Type: MonthYear

Used in components: Instrument

ContractRefPosType

Additional information related to the pricing of a commodity swaps position, specifically an indicator referring to the position type.

Type: int

Allowed values in ContractRefPosTypeCodeSet:

Code | Name | Description
0 | TwoComponentIntercommoditySpread | Two component intercommodity spread
1 | IndexOrBasket | Index or basket
2 | TwoComponentLocationBasis | Two component locational basis
99 | Other | Other

Used in messages: PositionMaintenanceReport, PositionReport

ContractSettlMonth

Specifies when the contract (i.e. MBS/TBA) will settle.

Type: MonthYear

Used in components: Instrument

ContractualDefinition

Specifies which contract definition, such as those published by ISDA, will apply for the terms of the trade. See http://www.fpml.org/coding-scheme/contractual-definitions for values.

Type: String

Used in groups: FinancingContractualDefinitionGrp

ContractualMatrixDate

The publication date of the applicable version of the contract matrix. If not specified, the ISDA Standard Terms Supplement defines rules for which version of the matrix is applicable.

Type: LocalMktDate

Used in groups: FinancingContractualMatrixGrp

ContractualMatrixSource

Identifies the applicable contract matrix. See http://www.fpml.org/coding-scheme/matrix-type-1-0.xml for values.

Type: String

Used in groups: FinancingContractualMatrixGrp

ContractualMatrixTerm

Specifies the applicable key into the relevant contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the ContractualMatrixTerm(40045) is not applicable and is to be omitted.

See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.

Type: String

Used in groups: FinancingContractualMatrixGrp

ContraGrp

Name | Mult. | Type | Description
NoContraBrokers | [1..1] | NumInGroup | Number of ContraBrokers repeating group instances.
ContraBroker | [0..1] | String | First field in repeating group. Required if NoContraBrokers > 0.
ContraTrader | [0..1] | String |
ContraTradeQty | [0..1] | Qty |
ContraTradeTime | [0..1] | UTCTimestamp |
ContraLegRefID | [0..1] | String |

Used in messages: ExecutionReport

ContraLegRefID

Unique indicator for a specific leg for the ContraBroker (375).

Type: String

Used in groups: ContraGrp

ContraOrderOrigination

Identifies the origin of the order from the counterparty of the execution or trade.

Type: int

Allowed values in OrderOriginationCodeSet:

Code
Name
Description

1
OrderReceivedFromCustomer
Order received from a customer

2
OrderReceivedFromWithinFirm
Order received from within the firm

3
OrderReceivedFromAnotherBrokerDealer
Order received from another broker-dealer

4
OrderReceivedFromCustomerOrWithFirm
Order received from a customer or originated from within the firm

5
OrderReceivedFromDirectAccessCustomer
Order received from a direct access or sponsored access customer

6
OrderReceivedFromForeignDealerEquivalent
Order received from a foreign dealer equivalent. A foreign dealer equivalent is a person in the business of trading securities in a foreign jurisdiction in a manner analogous to an investment dealer and that is subject to the regulatory jurisdiction of a signatory to the International Organization of Securities Commissions’ (IOSCO) Multilateral Memorandum of Understanding in that foreign jurisdiction.

7
OrderReceivedFromExecutionOnlyService
Order received from an execution-only service. The acceptance and execution of orders from customers for trades that the broker-dealer has not recommended and for which the broker-dealer takes no responsibility as to the appropriateness or suitability of orders accepted or account positions held.

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

ContraRoutingArrangementIndicator

Indicates whether a routing arrangement is in place, e.g. between two brokers. May be used together with ContraOrderOrigination(2882) to further describe the origin of an order.

Type: int

Allowed values in RoutingArrangementIndicatorCodeSet:

Code | Name | Description
0 | NoRoutingArrangementInPlace | No routing arrangement in place
1 | RoutingArrangementInPlace | Routing arrangement in place

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

ContraryInstructionEligibilityIndicator

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of InTheMoneyCondition(2681). When not specified, the eligibility is undefined or not applicable.

Type: Boolean

Used in components: Instrument

ContraryInstructionIndicator

Used to indicate when a contrary instruction for exercise or abandonment is being submitted

Type: Boolean

Used in messages: PositionMaintenanceReport, PositionMaintenanceRequest

ContraTradeQty

Quantity traded with the ContraBroker (375).

Type: Qty

Used in groups: ContraGrp

ContraTrader

Identifies the trader (e.g. "badge number") of the ContraBroker.

Type: String

Used in groups: ContraGrp

ContraTradeTime

Identifes the time of the trade with the ContraBroker (375). (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: ContraGrp

ConvertibleBondEquityID

Identifies the equity in which a convertible bond can be converted to.

Type: String

Used in components: Instrument

ConvertibleBondEquityIDSource

Identifies class or source of the ConvertibleBondEquityID(1951) value.

100+ are reserved for private security.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: Instrument

CopyMsgIndicator

Indicates whether or not this message is a drop copy of another message.

Type: Boolean

Used in messages: Confirmation, ExecutionReport, MassOrderAck, NewOrderSingle, PartyActionReport, TradeCaptureReport, TradeCaptureReportAck

CorporateAction

Identifies the type of Corporate Action.

Type: MultipleCharValue

Allowed values in CorporateActionCodeSet:

Code | Name | Description
A | ExDividend | Ex-Dividend
B | ExDistribution | Ex-Distribution
C | ExRights | Ex-Rights
D | New | New
E | ExInterest | Ex-Interest
F | CashDividend | Cash Dividend
G | StockDividend | Stock Dividend
H | NonIntegerStockSplit | Non-Integer Stock Split
I | ReverseStockSplit | Reverse Stock Split
J | StandardIntegerStockSplit | Standard-Integer Stock Split
K | PositionConsolidation | Position Consolidation
L | LiquidationReorganization | Liquidation Reorganization
M | MergerReorganization | Merger Reorganization
N | RightsOffering | Rights Offering
O | ShareholderMeeting | Shareholder Meeting
P | Spinoff | Spinoff
Q | TenderOffer | Tender Offer
R | Warrant | Warrant
S | SpecialAction | Special Action
T | SymbolConversion | Symbol Conversion
U | CUSIP | CUSIP / Name Change
V | LeapRollover | Leap Rollover
W | SuccessionEvent | Succession Event

Used in groups: MDIncGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecMassStatGrp

Used in messages: MarketDataSnapshotFullRefresh, SecurityDefinition, SecurityDefinitionUpdateReport, SecurityListUpdateReport, SecurityStatus

Country

ISO Country Code in field

Type: Country

Used in groups: BidCompRspGrp

CountryOfIssue

ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (48) (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.

Type: Country

Used in components: Instrument

CouponDayCount

The day count convention used in interest calculations for a bond or an interest bearing security. Absence of this field for a bond or an interest bearing security transaction implies a "flat" trade, i.e. no accrued interest determined at time of the transaction.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: Instrument

CouponFrequencyPeriod

Time unit multiplier for the frequency of the bond's coupon payment.

Type: int

Used in components: Instrument

CouponFrequencyUnit

Time unit associated with the frequency of the bond's coupon payment.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: Instrument

CouponOtherDayCount

The industry name of the day count convention not listed in CouponDayCount(1950).

Type: String

Used in components: Instrument

CouponPaymentDate

Date interest is to be paid. Used in identifying Corporate Bond issues.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: Instrument

CouponRate

The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment. The coupon is always cited, along with maturity, in any quotation of a bond's price.

Type: Percentage

Used in components: Instrument

CouponType

Coupon type of the bond.

Type: int

Allowed values in CouponTypeCodeSet:

Code | Name | Description
0 | Zero | Zero
1 | FixedRate | Fixed rate
2 | FloatingRate | Floating rate
3 | Structured | Structured

Used in components: Instrument

CoveredOrUncovered

Used for derivative products, such as options

Type: int

Allowed values in CoveredOrUncoveredCodeSet:

Code | Name | Description
0 | Covered | Covered
1 | Uncovered | Uncovered

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

CoveredQty

Used to specify the portion of the short contract quantity that is considered covered (e.g. used for short option position).

Type: Qty

Used in groups: PositionQty, TradePositionQty

CoverPrice

The best quoted price received among those not traded.

Type: Price

Used in messages: ExecutionReport, QuoteResponse

CpctyConfGrp

Name | Mult. | Type | Description
NoCapacities | [1..1] | NumInGroup |
OrderCapacity | [1..1] | CodeSet | Specifies the capacity of the firm executing the order(s)
OrderRestrictions | [0..1] | CodeSet |
OrderCapacityQty | [0..1] | Qty | The quantity that was executed under this capacity (e.g. quantity executed as agent, as principal etc.). If any are specified, all entries in the component must have OrderCapacityQty specified and the sum of OrderCapacityQty values must equal this message's AllocQty.

Used in messages: Confirmation

CPProgram

The program under which a commercial paper offering is exempt from SEC registration identified by the paragraph number(s) within the US Securities Act of 1933 or as identified below.

Type: int

Allowed values in CPProgramCodeSet:

Code | Name | Description
1 | Program3a3 | 3(a)(3). Arising out of a current transaction with a maturity less than 9 months.
2 | Program42 | 4(2). Issued not involving any public offering.
3 | Program3a2 | 3(a)(2). Issued or guaranteed by the US, state or territorial government.
4 | Program3a3And3c7 | 3(a)(3) & 3(c)(7). Combination of 3(a)(3) and 3(c)(7).
5 | Program3a4 | 3(a)(4). Religious, education, benevolent, fraternal, charitable or reformatory purposes.
6 | Program3a5 | 3(a)(5). Issued by an institution supervised by state or federal authority or by an exempt farmer's cooperative.
7 | Program3a7 | 3(a)(7). Issued by a receiver or trustee in bankruptcy.
8 | Program3c7 | 3(c)(7). Qualified hedge-fund under the Investment Company Act of 1940.
99 | Other | Other

Used in components: Instrument

CPRegType

The description of commercial paper registration or rule under which exempt commercial paper is offered. For example "144a", "Tax Exempt" or "REG. S".

Type: String

Used in components: Instrument

CreditRating

An evaluation of a company's ability to repay obligations or its likelihood of not defaulting. These evaluation are provided by Credit Rating Agencies, i.e. S&P, Moody's.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: Instrument

CreditSupportAgreementDate

The date of the ISDA Credit Support Agreement executed between the parties and intended to govern collateral arrangements for all OTC derivatives transactions between those parties.

Type: LocalMktDate

Used in components: FinancingDetails

CreditSupportAgreementDesc

The type of ISDA Credit Support Agreement. See http://www.fpml.org/coding-scheme/credit-support-agreement-type for values.

Type: String

Used in components: FinancingDetails

CreditSupportAgreementID

A common reference or unique identifier to identify the ISDA Credit Support Agreement executed between the parties.

Type: String

Used in components: FinancingDetails

CrossedIndicator

Indicates whether the order or quote was crossed with another order or quote having the same context, e.g. having accounts with a common ownership.

Type: int

Allowed values in CrossedIndicatorCodeSet:

Code | Name | Description
0 | NoCross | No cross. Crossing did not occur.
1 | CrossRejected | Cross rejected. Crossing occurred but execution was prevented, e.g. due to self-match prevention.
2 | CrossAccepted | Cross accepted. Crossing occurred but execution was permitted.

Used in messages: ExecutionReport

CrossID

Identifier for a cross order. Must be unique during a given trading day. Recommend that firms use the order date as part of the CrossID for Good Till Cancel (GT) orders.

Type: String

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, ExecutionReport, NewOrderCross

CrossPercent

Percentage of program that crosses in Currency. Represented as a percentage.

Type: Percentage

Used in messages: BidRequest

CrossPrioritization

Indicates if one side or the other of a cross order should be prioritized.

The definition of prioritization is left to the market. In some markets prioritization means which side of the cross order is applied to the market first. In other markets - prioritization may mean that the prioritized side is fully executed (sometimes referred to as the side being protected).

Type: int

Allowed values in CrossPrioritizationCodeSet:

Code | Name | Description
0 | None | None
1 | BuySideIsPrioritized | Buy side is prioritized
2 | SellSideIsPrioritized | Sell side is prioritized

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, NewOrderCross

CrossRequestID

Unique message identifier for a cross request as assigned by the submitter of the request.

Type: String

Used in messages: CrossRequest, CrossRequestAck

CrossType

Type of cross being submitted to a market

Type: int

Allowed values in CrossTypeCodeSet:

Code
Name
Description

1
CrossAON
All-or-none cross. A cross order which is executed completely or not at all. Both sides of the cross are treated in the same manner.

2
CrossIOC
Immediate-or-cancel cross. A cross order which is immediately executed with any unfilled quantity cancelled. CrossPrioritization(550) may be used to indicate whether one side should have execution priority and any remaining quantity of the partially executed side be cancelled. Using CrossPrioritiation(550)="Y" and CrossType(549)=2(Immediate-or-cancel cross) is equivalent to non-prioritized leg having a TimeInForce(59)=3(IOC) Immediate-or-cancel.

3
CrossOneSide
One sided cross. A cross order which is executed on one side with any unfilled quantity remaining active. CrossPrioritization(550) may be used to indicate which side should have execution priority.

4
CrossSamePrice
Cross executed against book. A cross order which is executed against existing orders in the order book. The quantity on one side of the cross is executed against existing orders and quotes with the same price, and any remaining quantity of the cross is executed against the other side of the cross. The two sides of the cross may have different quantities.

5
BasisCross
Basis cross. A cross order where a basket of securities or an index participation unit is transacted at prices achieved through the execution of related exchange-traded derivative instruments in an amount that will correspond to an equivalent market exposure.

6
ContingentCross
Contingent cross. A cross order resulting from a paired order placed by a participant to execute an order on a security that is contingent on the execution of a second order for an offsetting volume of a related security.

7
VWAPCross
Volume-weighted-average-price (VWAP) cross. A cross order for the purpose of executing a trade at a volume-weighted-average-price (VWAP) of a security traded for a continuous period on or during a trading day.

8
STSCross
Special trading session cross. A closing price cross resulting from an order placed by a participant for execution in a special trading session at the last sale price.

9
CustomerToCustomer
Customer to customer cross. Cross order where both sides of the cross represent agency orders.

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, ExecutionReport, NewOrderCross, TradeCaptureReport, TradeCaptureReportAck

CstmApplVerID

Specifies a custom extension to a message being applied at the message level. Enumerated field

Type: String

Used in components: StandardHeader

CumQty

Total quantity (e.g. number of shares) filled.

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in components: TradeReportOrderDetail

Used in groups: OrdListStatGrp, OrderEntryAckGrp

Used in messages: ExecutionAck, ExecutionReport

Currency

Identifies currency used for price or quantity fields, depending on the asset class being traded. CurrencyCodeSource(2897) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Absence of this field is interpreted as the default currency for the security as defined by the respective reference data. It is recommended that systems provide the currency value whenever possible.

Type: Currency

Used in components: SettlTradeDetails

Used in groups: InstrmtMDReqGrp, InstrmtMatchSideGrp, InstrmtStrkPxGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SettlObligationInstructions

Used in messages: AccountSummaryReport, Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AssignmentReport, BidRequest, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, DerivativeSecurityListRequest, ExecutionReport, IOI, MarginRequirementReport, MarketDataStatisticsReport, MarketDefinition, MarketDefinitionUpdateReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport, Quote, QuoteResponse, QuoteStatusReport, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeAggregationRequest, TradeCaptureReport, TradeCaptureReportAck

CurrencyCodeSource

Identifies class or source of the Currency(15) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: SettlTradeDetails

Used in groups: InstrmtMDReqGrp, InstrmtMatchSideGrp, InstrmtStrkPxGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SettlObligationInstructions

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AssignmentReport, BidRequest, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, DerivativeSecurityListRequest, ExecutionReport, IOI, MarginRequirementReport, MarketDataStatisticsReport, MarketDefinition, MarketDefinitionUpdateReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport, Quote, QuoteResponse, QuoteStatusReport, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeAggregationRequest, TradeCaptureReport, TradeCaptureReportAck

CurrencyRatio

Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then CurrencyRatio = 0.7

Type: float

Used in messages: TradeCaptureReport

CurrentCollateralAmount

Currency value currently attributed to the collateral.

Type: Amt

Used in groups: CollateralAmountGrp

CurrentCostBasis

The amount that the current shares are worth. If this lot was liquidated, the total gain/loss for a trade is equal to the trade amount minus the current cost basis.

Type: Amt

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

CurrentDisplayPrice

Price at which the order is currently displayed to the market. Can be used on order messages, e.g. NewOrderSingle(35=D), to provide the current displayed price of a parent order when splitting it into smaller child orders.

Type: Price

Used in components: DisplayInstruction

CurrentWorkingPrice

Current working price of the order relative to the state of the order.

Type: Price

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

CustDirectedOrder

Indicates if the customer directed this order to a specific execution venue "Y" or not "N".

A default of "N" customer did not direct this order should be used in the case where the information is both missing and essential.

Type: Boolean

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

CustodialLotID

An opaque identifier used to communicate the custodian’s identifier for the lot. It is expected that this information would be provided by the custodian as part of a reconciliation process that occurs before trading.

Type: String

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

CustomerPriority

Specifies the kind of priority given to customers.

Type: int

Allowed values in CustomerPriorityCodeSet:

Code | Name | Description
0 | NoPriority | No priority.
1 | UnconditionalPriority | Unconditional priority.

Used in groups: MatchRules

CustOrderCapacity

Capacity of customer placing the order.

Type: int

Allowed values in CustOrderCapacityCodeSet:

Code
Name
Description

1
MemberTradingForTheirOwnAccount
Member trading for their own account

2
ClearingFirmTradingForItsProprietaryAccount
Clearing firm trading for its proprietary account

3
MemberTradingForAnotherMember
Member trading for another member

4
AllOther
All other

5
RetailCustomer
Retail customer. An order that originated from a retail customer (a natural person). In the context of the US Securities and Exchange Commission, this also means an order originated from a natural person where, prior to submission, no change was made to the terms of the order with respect to price or side of market and the order does not originate from an algorithm or other computerized trading method.

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, MarketDataStatisticsReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport

CustOrderHandlingInst

Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer.

NOTE: This field and its values have no bearing on the ExecInst and TimeInForce fields. These values should not be used instead of ExecInst or TimeInForce. This field and its values are intended for compliance reporting and/or billing purposes only.

For OrderHandlingInstSrc(1032) = 1 (FINRA OATS), valid values are (as of OATS Phase 3 as provided by FINRA. See also http://www.finra.org/Industry/Compliance/MarketTransparency/OATS/PhaseIII/index.htm for a complete list.

For OrderHandlingInstSrc(1032) = 2 (FIA Execution Source Code), only one enumeration value may be specified.

Type: MultipleStringValue

Allowed values in CustOrderHandlingInstCodeSet:

Code | Name | Description
A | PhoneSimple | Phone simple
G | GOrderAndFCMAPIorFIX | G Order(FINRA OATS), FCM API or FIX(FIA Execution Source)
ADD | AddOnOrder | Add-on order
B | PhoneComplex | Phone complex
AON | AllOrNone | All or none
C | FCMProvidedScreen | FCM provided screen
CND | ConditionalOrder | Conditional order
D | OtherProvidedScreen | Other provided screen
CNH | CashNotHeld | Cash not held
E | ClientProvidedPlatformControlledByFCM | Client provided platform controlled by FCM
CSH | DeliveryInstructionsCash | Delivery instructions - cash
F | ClientProvidedPlatformDirectToExchange | Client provided platform direct to exchange
DIR | DirectedOrder | Directed order
DLO | DiscretionaryLimitOrder | Discretionary limit order
H | AlgoEngine | Algo engine
E.W | ExchangeForPhysicalTransaction | Exchange for physical transaction
J | PriceAtExecution | Price at execution (price added at initial order entry, trading, middle office or time of give-up)
FOK | FillOrKill | Fill or kill
W | DeskElectronic | Desk - electronic
X | DeskPit | Desk - pit
IDX | IntraDayCross | Intraday cross
Y | ClientElectronic | Client - electronic
IO | ImbalanceOnly | Imbalance only
Z | ClientPit | Client - pit
IOC | ImmediateOrCancel | Immediate or cancel
ISO | IntermarketSweepOrder | Intermarket sweep order
LOO | LimitOnOpen | Limit on open
LOC | LimitOnClose | Limit on Close
MAO | MarketAtOpen | Market at Open
MAC | MarketAtClose | Market at close
MOO | MarketOnOpen | Market on open
MOC | MarketOnClose | Market on close
MPT | MergerRelatedTransferPosition | Merger related transfer position
MQT | MinimumQuantity | Minimum quantity
MTL | MarketToLimit | Market to limit
ND | DeliveryInstructionsNextDay | Delivery instructions - next day
NH | NotHeld | Not held
OPT | OptionsRelatedTransaction | Options related transaction
OVD | OverTheDay | Over the day
PEG | Pegged | Pegged
RSV | ReserveSizeOrder | Reserve size order
S.W | StopStockTransaction | Stop stock transaction
SCL | Scale | Scale
SLR | DeliveryInstructionsSellersOption | Delivery instructions - sellers option
TMO | TimeOrder | Time order
TS | TrailingStop | Trailing stop
WRK | Work | Work
F0 | StayOnOfferside | Stay on offerside
F3 | GoAlong | Go along
F6 | ParticipateDoNotInitiate | Participate do not initiate
F7 | StrictScale | Strict scale
F8 | TryToScale | Try to scale
F9 | StayOnBidside | Stay on bidside
FA | NoCross | No cross
FB | OKToCross | OK to cross
FC | CallFirst | Call first
FD | PercentOfVolume | Percent of volume
FH | ReinstateOnSystemFailure | Reinstate on system failure
FI | InstitutionOnly | Institution only
FJ | ReinstateOnTradingHalt | Reinstate on trading halt
FK | CancelOnTradingHalf | Cancel on trading half
FL | LastPeg | Last peg
FM | MidPricePeg | Mid-price peg
FN | NonNegotiable | Non-negotiable
FO | OpeningPeg | Opening peg
FP | MarketPeg | Market peg
FQ | CancelOnSystemFailure | Cancel on system failure
FR | PrimaryPeg | Primary peg
FS | Suspend | Suspend
FT | FixedPegToLocalBBO | Fixed peg to local best bid or offer at time of order
FW | PegToVWAP | Peg to VWAP
FX | TradeAlong | Trade along
FY | TryToStop | Try to stop
FZ | CancelIfNotBest | Cancel if not best
Fb | StrictLimit | Strict limit
Fc | IgnorePriceValidityChecks | Ignore price validity checks
Fd | PegToLimitPrice | Peg to Limit Price
Fe | WorkToTargetStrategy | Work to target strategy

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, AllocationReportAck, ExecutionReport, MassOrder, MassOrderAck, NewOrderSingle, OrderCancelReplaceRequest

CxlQty

Total quantity canceled for this order.

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: OrdListStatGrp, OrderEntryAckGrp

Used in messages: ExecutionReport

CxlRejReason

Code to identify reason for cancel rejection.

Type: int

Allowed values in CxlRejReasonCodeSet:

Code | Name | Description
0 | TooLateToCancel | Too late to cancel
1 | UnknownOrder | Unknown order
2 | BrokerCredit | Broker / Exchange Option
3 | OrderAlreadyInPendingStatus | Order already in Pending Cancel or Pending Replace status
4 | UnableToProcessOrderMassCancelRequest | Unable to process Order Mass Cancel Request
5 | OrigOrdModTime | OrigOrdModTime (586) did not match last TransactTime (60) of order
6 | DuplicateClOrdID | Duplicate ClOrdID (11) received
7 | PriceExceedsCurrentPrice | Price exceeds current price
8 | PriceExceedsCurrentPriceBand | Price exceeds current price band
18 | InvalidPriceIncrement | Invalid price increment
99 | Other | Other

Used in messages: OrderCancelReject

CxlRejResponseTo

Identifies the type of request that a Cancel Reject is in response to.

Type: char

Allowed values in CxlRejResponseToCodeSet:

Code | Name | Description
1 | OrderCancelRequest | Order cancel request
2 | OrderCancelReplaceRequest | Order cancel/replace request

Used in messages: OrderCancelReject

DateAdjustment

DateAdjustment is a subcomponent in the Instrument component. It is used to specify date adjustment parameters and rules. The date adjustments specified here applies to all adjustable dates for the instrument, unless specifically overridden in the respective specified components elsewhere.

Name | Mult. | Type | Description
BusinessDayConvention | [0..1] | CodeSet |
BusinessCenterGrp | [0..*] | Group |
DateRollConvention | [0..1] | CodeSet |

Used in components: Instrument

DatedDate

The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date

Type: LocalMktDate

Used in components: Instrument

DateOfBirth

The date of birth applicable to the individual, e.g. required to open some types of tax-exempt account.

Type: LocalMktDate

Used in groups: RgstDtlsGrp

DateRollConvention

The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument unless specifically overridden. Additional values may be used by mutual agreement of the counterparties.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: DateAdjustment

DayAvgPx

The average price for quantity on a GT order that has traded today.

Type: Price

Used in messages: ExecutionReport

DayBookingInst

Indicates whether or not automatic booking can occur.

Type: char

Allowed values in DayBookingInstCodeSet:

Code | Name | Description
0 | Auto | Can trigger booking without reference to the order initiator ("auto")
1 | SpeakWithOrderInitiatorBeforeBooking | Speak with order initiator before booking ("speak first")
2 | Accumulate | Accumulate

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

DayCumQty

Quantity on a GT order that has traded today.

Type: Qty

Used in messages: ExecutionReport

DayOrderQty

For GT orders, the OrderQty (38) less all quantity (adjusted for stock splits) that traded on previous days. DayOrderQty (424) = OrderQty - (CumQty (14) - DayCumQty (425))

Type: Qty

Used in messages: ExecutionReport

DealingCapacity

Identifies role of dealer; Agent, Principal, RisklessPrincipal

Type: char

Allowed values in DealingCapacityCodeSet:

Code | Name | Description
A | Agent | Agent
P | Principal | Principal
R | RisklessPrincipal | Riskless Principal

Used in groups: MDFullGrp, MDIncGrp

DefaultApplExtID

The extension pack number that is the default for a FIX session.

Type: int

Used in messages: Logon

DefaultApplVerID

Specifies the service pack release being applied, by default, to message at the session level. Enumerated field with values assigned at time of service pack release. Uses same values as ApplVerID

Type: String

Allowed values in ApplVerIDCodeSet:

Code | Name | Description
0 | FIX27 | FIX27
1 | FIX30 | FIX30
2 | FIX40 | FIX40
3 | FIX41 | FIX41
4 | FIX42 | FIX42
5 | FIX43 | FIX43
6 | FIX44 | FIX44
7 | FIX50 | FIX50
8 | FIX50SP1 | FIX50SP1
9 | FIX50SP2 | FIX50SP2
10 | FIXLatest | FIXLatest

Used in messages: Logon

DefaultCstmApplVerID

The default custom application version ID that is the default for a session.

Type: String

Used in messages: Logon

DefaultVerIndicator

Indicates that the application version identified in the fields RefApplVerID(1130), RefApplExtID(1406), and RefCstmApplVerID(1131) is the default for the message type identified in RefMsgType(372) field.

Type: Boolean

Used in groups: MsgTypeGrp

DefBidSize

Default Bid Size.

Type: Qty

Used in messages: MassQuote

DefOfferSize

Default Offer Size.

Type: Qty

Used in messages: MassQuote

DeleteReason

Reason for deletion.

Type: char

Allowed values in DeleteReasonCodeSet:

Code | Name | Description
0 | Cancellation | Cancellation / Trade Bust
1 | Error | Error

Used in groups: MDIncGrp

DeliverToCompID

Assigned value used to identify the firm targeted to receive the message if the message is delivered by a third party i.e. the third party firm identifier would be delivered in the TargetCompID (56) field and the ultimate receiver firm ID in this field.

Type: String

Used in components: StandardHeader

DeliverToLocationID

Assigned value used to identify specific message recipient's location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party

Type: String

Used in components: StandardHeader

DeliverToSubID

Assigned value used to identify specific message recipient (i.e. trader) if the message is delivered by a third party

Type: String

Used in components: StandardHeader

DeliveryDate

Date of delivery.

Type: LocalMktDate

Used in messages: PositionReport

DeliveryForm

Identifies the form of delivery.

Type: int

Allowed values in DeliveryFormCodeSet:

Code | Name | Description
1 | BookEntry | Book Entry (default)
2 | Bearer | Bearer

Used in components: InstrumentExtension

DeliveryRouteOrCharter

Specific delivery route or time charter average. Applicable to commodity freight contracts.

Type: String

Used in components: Instrument

DeliveryScheduleGrp

The DeliveryScheduleGrp is a repeating subcomponent of the Stream component used to detail step schedules associated with a delivery stream.

Name | Mult. | Type | Description
NoDeliverySchedules | [1..1] | NumInGroup |
DeliveryScheduleType | [0..1] | CodeSet | Required if NoDeliverySchedules(41037) > 0.
DeliveryScheduleXID | [0..1] | XID |
DeliveryScheduleNotional | [0..1] | Qty |
DeliveryScheduleNotionalUnitOfMeasure | [0..1] | CodeSet |
DeliveryScheduleNotionalCommodityFrequency | [0..1] | CodeSet |
DeliveryScheduleNegativeTolerance | [0..1] | float |
DeliverySchedulePositiveTolerance | [0..1] | float |
DeliveryScheduleToleranceUnitOfMeasure | [0..1] | CodeSet |
DeliveryScheduleToleranceType | [0..1] | CodeSet | Conditionally required when DeliveryScheduleNegativeTolerance(41043) or DeliverySchedulePositiveTolerance(41044) is specified.
DeliveryScheduleSettlCountry | [0..1] | Country |
DeliveryScheduleSettlTimeZone | [0..1] | String |
DeliveryScheduleSettlFlowType | [0..1] | CodeSet |
DeliveryScheduleSettlHolidaysProcessingInstruction | [0..1] | CodeSet |
DeliveryScheduleSettlDayGrp | [0..*] | Group |

Used in groups: StreamGrp

DeliveryScheduleNegativeTolerance

Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryScheduleToleranceType(41046). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in groups: DeliveryScheduleGrp

DeliveryScheduleNotional

Physical delivery quantity.

Type: Qty

Used in groups: DeliveryScheduleGrp

DeliveryScheduleNotionalCommodityFrequency

The frequency of notional delivery.

Type: int

Allowed values in StreamNotionalCommodityFrequencyCodeSet:

Code | Name | Description
0 | Term | Term
1 | PerBusinessDay | Per business day
2 | PerCalculationPeriod | Per calculation period
3 | PerSettlPeriod | Per settlement period
4 | PerCalendarDay | Per calendar day
5 | PerHour | Per hour
6 | PerMonth | Per month

Used in groups: DeliveryScheduleGrp

DeliveryScheduleNotionalUnitOfMeasure

Specifies the delivery quantity unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: DeliveryScheduleGrp

DeliverySchedulePositiveTolerance

Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryScheduleToleranceType(41046). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in groups: DeliveryScheduleGrp

DeliveryScheduleSettlCountry

Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.

Type: Country

Used in groups: DeliveryScheduleGrp

DeliveryScheduleSettlDay

Specifies the day or group of days for delivery.

Type: int

Allowed values in DeliveryScheduleSettlDayCodeSet:

Code | Name | Description
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday
8 | AllWeekdays | All weekdays
9 | AllDays | All days
10 | AllWeekends | All weekends

Used in groups: DeliveryScheduleSettlDayGrp

DeliveryScheduleSettlDayGrp

The DeliveryScheduleSettlDayGrp is a repeating subcomponent of the DeliveryScheduleGrp component used to detail commodity delivery days.

Name | Mult. | Type | Description
NoDeliveryScheduleSettlDays | [1..1] | NumInGroup |
DeliveryScheduleSettlDay | [0..1] | CodeSet | Required if NoDeliveryScheduleSettlDays(41051) > 0.
DeliveryScheduleSettlTotalHours | [0..1] | int |
DeliveryScheduleSettlTimeGrp | [0..*] | Group |

Used in groups: DeliveryScheduleGrp

DeliveryScheduleSettlEnd

The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in DeliveryScheduleSettlTimeType(41057).

Type: String

Used in groups: DeliveryScheduleSettlTimeGrp

DeliveryScheduleSettlFlowType

Specifies the commodity delivery flow type.

Type: int

Allowed values in DeliveryScheduleSettlFlowTypeCodeSet:

Code | Name | Description
0 | AllTimes | All times
1 | OnPeak | On peak
2 | OffPeak | Off peak
3 | Base | Base
4 | BlockHours | Block hours
5 | Other | Other

Used in groups: DeliveryScheduleGrp

DeliveryScheduleSettlHolidaysProcessingInstruction

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

Type: int

Allowed values in DeliveryScheduleSettlHolidaysProcessingInstructionCodeSet:

Code | Name | Description
0 | DoNotIncludeHolidays | Do not include holidays
1 | IncludeHolidays | Include holidays

Used in groups: DeliveryScheduleGrp

DeliveryScheduleSettlStart

The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in DeliveryScheduleSettlTimeType(41057).

Type: String

Used in groups: DeliveryScheduleSettlTimeGrp

DeliveryScheduleSettlTimeGrp

The DeliveryScheduleSettlTimeGrp is a repeating subcomponent of the DeliveryScheduleSettlDayGrp component used to detail commodity delivery time period.

Name | Mult. | Type | Description
NoDeliveryScheduleSettlTimes | [1..1] | NumInGroup |
DeliveryScheduleSettlStart | [0..1] | String | Required if NoDeliveryScheduleSettlTimes(41054) > 0.
DeliveryScheduleSettlEnd | [0..1] | String | Required if NoDeliveryScheduleSettlTimes(41054) > 0.
DeliveryScheduleSettlTimeType | [0..1] | CodeSet | May be defaulted to market convention or bilaterally agreed if not specified.

Used in groups: DeliveryScheduleSettlDayGrp

DeliveryScheduleSettlTimeType

Specifies the format of the delivery start and end time values.

Type: int

Allowed values in DeliveryScheduleSettlTimeTypeCodeSet:

Code
Name
Description

0
Hour
Hour of the day. Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.

1
Timestamp
HH:MM time format. Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.

Used in groups: DeliveryScheduleSettlTimeGrp

DeliveryScheduleSettlTimeZone

Delivery timezone specified as "prevailing" rather than "standard" or "daylight".

See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.

Type: String

Used in groups: DeliveryScheduleGrp

DeliveryScheduleSettlTotalHours

The sum of the total hours specified in the DeliveryScheduleSettlTimeGrp component.

Type: int

Used in groups: DeliveryScheduleSettlDayGrp

DeliveryScheduleToleranceType

Specifies the tolerance value type.

Type: int

Allowed values in DeliveryScheduleToleranceTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in groups: DeliveryScheduleGrp

DeliveryScheduleToleranceUnitOfMeasure

Specifies the tolerance value's unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: DeliveryScheduleGrp

DeliveryScheduleType

Specifies the type of delivery schedule.

Type: int

Allowed values in DeliveryScheduleTypeCodeSet:

Code | Name | Description
0 | Notional | Notional
1 | Delivery | Delivery
2 | PhysicalSettlPeriods | Physical settlement period

Used in groups: DeliveryScheduleGrp

DeliveryScheduleXID

Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.

Type: XID

Used in groups: DeliveryScheduleGrp

DeliveryStreamCommoditySource

The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.

See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.

Type: String

Used in groups: DeliveryStreamCommoditySourceGrp

DeliveryStreamCommoditySourceGrp

The DeliveryStreamCommoditySourceGrp is a repeating subcomponent of the DeliveryStream component used to detail the origins or sources of the commodity.

Name | Mult. | Type | Description
NoDeliveryStreamCommoditySources | [1..1] | NumInGroup |
DeliveryStreamCommoditySource | [0..1] | String | Required if NoDeliveryStreamCommoditySources(41085) > 0.

Used in components: DeliveryStream

DeliveryStream

The DeliveryStream component is used to optionally specify the attributes of a physical delivery stream in a swap.

Name | Mult. | Type | Description
DeliveryStreamType | [0..1] | CodeSet |
DeliveryStreamCommoditySourceGrp | [0..*] | Group |
DeliveryStreamPipeline | [0..1] | String |
DeliveryStreamEntryPoint | [0..1] | String |
DeliveryStreamWithdrawalPoint | [0..1] | String |
DeliveryStreamDeliveryPoint | [0..1] | String |
DeliveryStreamDeliveryPointSource | [0..1] | CodeSet |
DeliveryStreamDeliveryPointDesc | [0..1] | String |
DeliveryStreamDeliveryRestriction | [0..1] | CodeSet |
DeliveryStreamDeliveryContingency | [0..1] | String |
DeliveryStreamDeliveryContingentPartySide | [0..1] | CodeSet |
DeliveryStreamDeliverAtSourceIndicator | [0..1] | Boolean |
DeliveryStreamRiskApportionment | [0..1] | String |
DeliveryStreamRiskApportionmentSource | [0..1] | String |
DeliveryStreamCycleGrp | [0..*] | Group |
DeliveryStreamTitleTransferLocation | [0..1] | String |
DeliveryStreamTitleTransferCondition | [0..1] | CodeSet |
DeliveryStreamImporterOfRecord | [0..1] | String |
DeliveryStreamNegativeTolerance | [0..1] | float |
DeliveryStreamPositiveTolerance | [0..1] | float |
DeliveryStreamToleranceUnitOfMeasure | [0..1] | CodeSet |
DeliveryStreamToleranceType | [0..1] | CodeSet |
DeliveryStreamToleranceOptionSide | [0..1] | CodeSet |
DeliveryStreamTotalPositiveTolerance | [0..1] | Percentage |
DeliveryStreamTotalNegativeTolerance | [0..1] | Percentage |
DeliveryStreamNotionalConversionFactor | [0..1] | float |
DeliveryStreamTransportEquipment | [0..1] | String |
DeliveryStreamElectingPartySide | [0..1] | CodeSet |
DeliveryStreamRouteOrCharter | [0..1] | String |

Used in groups: StreamGrp

DeliveryStreamCycleDesc

The delivery cycles during which the oil product will be transported in the pipeline.

Type: String

Used in groups: DeliveryStreamCycleGrp

DeliveryStreamCycleGrp

The DeliveryStreamCycleGrp is a repeating subcomponent of the DeliveryStream component used to detail delivery cycles during which the oil product will be transported in the pipeline.

Name | Mult. | Type | Description
NoDeliveryStreamCycles | [1..1] | NumInGroup |
DeliveryStreamCycleDesc | [0..1] | String | Required if NoDeliveryStreamCycles(41081) > 0.
EncodedDeliveryStreamCycleDescLen | [0..1] | Length | Must be set if EncodedDeliveryStreamCycleDesc(41084) field is specified and must immediately precede it.
EncodedDeliveryStreamCycleDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the DeliveryStreamCycleDesc(41082) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: DeliveryStream

DeliveryStreamDeliverAtSourceIndicator

When this element is specified and set to 'Y', delivery of the coal product is to be at its source.

Type: Boolean

Used in components: DeliveryStream

DeliveryStreamDeliveryContingency

Specifies the electricity delivery contingency.

See http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.

Type: String

Used in components: DeliveryStream

DeliveryStreamDeliveryContingentPartySide

The trade side value of the party responsible for electricity delivery contingency.

Type: int

Allowed values in DeliveryStreamElectingPartySideCodeSet:

Code | Name | Description
0 | Buyer | Buyer
1 | Seller | Seller

Used in components: DeliveryStream

DeliveryStreamDeliveryPoint

The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.

For bullion, see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.

Type: String

Used in components: DeliveryStream

DeliveryStreamDeliveryPointDesc

Description of the delivery point identified in DeliveryStreamDeliveryPoint(41062).

Type: String

Used in components: DeliveryStream

DeliveryStreamDeliveryPointSource

Identifies the class or source of DeliveryStreamDeliveryPoint(41062).

Type: int

Allowed values in DeliveryStreamDeliveryPointSourceCodeSet:

Code | Name | Description
0 | Proprietary | Proprietary
1 | EIC | Energy Identification Code (EIC). Energy Identification Code specifies the location or connection point codes of energy delivery. See http://www.entsog.eu/eic-codes/eic-location-codes-v or http://www.eiccodes.eu for more information and allocated values to use in DeliveryStreamDeliveryPoint(41062).

Used in components: DeliveryStream

DeliveryStreamDeliveryRestriction

Specifies under what conditions the buyer and seller should be excused of their delivery obligations.

Type: int

Allowed values in DeliveryStreamDeliveryRestrictionCodeSet:

Code | Name | Description
1 | Firm | Firm. Never excused of delivery obligations.
2 | NonFirm | Interruptable or non-firm. Excused when interrupted for any reason or for no reason without liability.
3 | ForceMajeure | Force majeure. Excused when prevented by force majeure.
4 | SystemFirm | System firm. Must be supplied from the owned or controlled generation of pre-existing purchased power assets of the system specified.
5 | UnitFirm | Unit firm. Must be supplied from the generation assset specified.

Used in components: DeliveryStream

DeliveryStreamElectingPartySide

A reference to the party able to choose whether the gas is delivered for a particular period as found in a swing or interruptible contract.

Type: int

Allowed values in DeliveryStreamElectingPartySideCodeSet:

Code | Name | Description
0 | Buyer | Buyer
1 | Seller | Seller

Used in components: DeliveryStream

DeliveryStreamEntryPoint

The point at which the commodity will enter the delivery mechanism or pipeline.

Type: String

Used in components: DeliveryStream

DeliveryStreamImporterOfRecord

A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.

Type: String

Used in components: DeliveryStream

DeliveryStreamNegativeTolerance

Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryStreamToleranceType(41074). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in components: DeliveryStream

DeliveryStreamNotionalConversionFactor

If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.

Type: float

Used in components: DeliveryStream

DeliveryStreamPipeline

The name of the oil delivery pipeline.

Type: String

Used in components: DeliveryStream

DeliveryStreamPositiveTolerance

Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in DeliveryStreamToleranceType(41074). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in components: DeliveryStream

DeliveryStreamRiskApportionment

Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.

See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.

Type: String

Used in components: DeliveryStream

DeliveryStreamRiskApportionmentSource

Specifies the source or legal framework for the risk apportionment.

See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.

Type: String

Used in components: DeliveryStream

DeliveryStreamRouteOrCharter

Specific delivery route or time charter average. Applicable to commodity freight swaps.

Type: String

Used in components: DeliveryStream

DeliveryStreamTitleTransferCondition

Specifies the condition of title transfer.

Type: int

Allowed values in DeliveryStreamTitleTransferConditionCodeSet:

Code | Name | Description
0 | Transfers | Transfers with risk of loss
1 | DoesNotTransfer | Does not transfer with risk of loss

Used in components: DeliveryStream

DeliveryStreamTitleTransferLocation

Specifies the title transfer location.

Type: String

Used in components: DeliveryStream

DeliveryStreamToleranceOptionSide

Indicates whether the tolerance is at the seller's or buyer's option.

Type: int

Allowed values in DeliveryStreamToleranceOptionSideCodeSet:

Code | Name | Description
1 | Buyer | Buyer
2 | Seller | Seller

Used in components: DeliveryStream

DeliveryStreamToleranceType

Specifies the tolerance value type.

Type: int

Allowed values in DeliveryScheduleToleranceTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in components: DeliveryStream

DeliveryStreamToleranceUnitOfMeasure

Specifies the tolerance value's unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: DeliveryStream

DeliveryStreamTotalNegativeTolerance

The negative percent tolerance which applies to the total quantity delivered over all shipment periods.

Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).

Type: Percentage

Used in components: DeliveryStream

DeliveryStreamTotalPositiveTolerance

The positive percent tolerance which applies to the total quantity delivered over all shipment periods.

Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).

Type: Percentage

Used in components: DeliveryStream

DeliveryStreamTransportEquipment

The transportation equipment with which the commodity product will be delivered and received.

Type: String

Used in components: DeliveryStream

DeliveryStreamType

Specifies the type of delivery stream.

Type: int

Allowed values in DeliveryStreamTypeCodeSet:

Code | Name | Description
0 | Periodic | Periodic (default if not specified)
1 | Initial | Initial
2 | Single | Single

Used in components: DeliveryStream

DeliveryStreamWithdrawalPoint

The point at which the commodity product will be withdrawn prior to delivery.

Type: String

Used in components: DeliveryStream

DeliveryType

Identifies type of settlement

Type: int

Allowed values in DeliveryTypeCodeSet:

Code | Name | Description
0 | VersusPayment | "Versus Payment": Deliver (if sell) or Receive (if buy) vs. (against) Payment
1 | Free | "Free": Deliver (if sell) or Receive (if buy) Free
2 | TriParty | Tri-Party
3 | HoldInCustody | Hold In Custody
4 | DeliverByValue | Deliver-by-Value. In the context of EU SFTR reporting, indicates that the transaction is to be or was settled using the DBV mechanism.

Used in components: FinancingDetails

DeltaCrossed

Indicates that the party has taken a position on both a put and a call on the same underlying asset.

Type: Boolean

Used in messages: TradeCaptureReport

DerivativeCapPrice

Used to express the ceiling price of a capped call.

See CapPrice(1199) for complete definition.

Type: Price

Used in components: DerivativeInstrument

DerivativeCFICode

The type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.

See CFICode(461) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeContractMultiplier

Specifies the ratio or multiply factor to convert from nominal units (e.g. contracts) to total units (e.g. shares) (e.g. 1.0, 100, 1000, etc.).

See ContractMultiplier(231) for complete definition.

Type: float

Used in components: DerivativeInstrument

DerivativeContractMultiplierUnit

Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit DerivativeContractMultiplier(1266)is expressed in.

See ContractMultiplierUnit(1435) for complete definition.

Type: int

Allowed values in ContractMultiplierUnitCodeSet:

Code | Name | Description
0 | Shares | Shares
1 | Hours | Hours
2 | Days | Days

Used in components: DerivativeInstrument

DerivativeContractSettlMonth

Specifies when the contract (i.e. MBS/TBA) will settle.

See ContractSettlMonth(667) for complete definition.

Type: MonthYear

Used in components: DerivativeInstrument

DerivativeContraryInstructionEligibilityIndicator

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of DerivativeInTheMoneyCondition(2684). When not specified, the eligibility is undefined or not applicable.

See ContraryInstructionEligibilityIndicator(2685) for complete definition.

Type: Boolean

Used in components: DerivativeInstrument

DerivativeCountryOfIssue

ISO Country code of instrument issue (e.g. the country portion typically used in ISIN).

See CountryOfIssue(470) for complete definition.

Type: Country

Used in components: DerivativeInstrument

DerivativeEncodedIssuer

Encoded (non-ASCII characters) representation of the DerivativeIssuer(1275) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DerivativeIssuer(1275) field.

See EncodedIssuer(349) for complete definition.

Type: data

Used in components: DerivativeInstrument

DerivativeEncodedIssuerLen

Byte length of encoded (non-ASCII characters) DerivativeEncodedSecurityDesc (1281) field.

See EncodedIssuerLen(348) for complete definition.

Type: Length

Used in components: DerivativeInstrument

DerivativeEncodedSecurityDesc

Encoded (non-ASCII characters) representation of the DerivativeSecurityDesc(1279) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DerivativeSecurityDesc(1279) field.

See EncodedSecurityDesc(351) for complete definition.

Type: data

Used in components: DerivativeInstrument

DerivativeEncodedSecurityDescLen

Byte length of encoded (non-ASCII characters) DerivativeEncodedSecurityDesc (1281) field.

See EncodedSecurityDescLen(350) for complete definition.

Type: Length

Used in components: DerivativeInstrument

DerivativeEventDate

Date of event.

See EventDate(866) for complete definition.

Type: LocalMktDate

Used in groups: DerivativeEventsGrp

DerivativeEventPx

Predetermined price of issue at event.

See EventPx(867) for complete definition.

Type: Price

Used in groups: DerivativeEventsGrp

DerivativeEventsGrp

Name | Mult. | Type | Description
NoDerivativeEvents | [1..1] | NumInGroup |
DerivativeEventType | [0..1] | CodeSet |
DerivativeEventDate | [0..1] | LocalMktDate |
DerivativeEventTime | [0..1] | UTCTimestamp |
DerivativeEventPx | [0..1] | Price |
DerivativeEventText | [0..1] | String |

Used in components: DerivativeInstrument

DerivativeEventText

Comments related to the event.

See EventText(868) for complete definition.

Type: String

Used in groups: DerivativeEventsGrp

DerivativeEventTime

Specific time of event. To be used in combination with DerivativeEventDate(1288).

See EventTime(1145) for complete definition.

Type: UTCTimestamp

Used in groups: DerivativeEventsGrp

DerivativeEventType

Code to represent the type of event.

See EventType(865) for complete definition.

Type: int

Allowed values in EventTypeCodeSet:

Code
Name
Description

1
Put
Put

2
Call
Call

3
Tender
Tender

4
SinkingFundCall
Sinking fund call

5
Activation
Activation

6
Inactiviation
Inactivation

7
LastEligibleTradeDate
Last eligible trade date

8
SwapStartDate
Swap start date

9
SwapEndDate
Swap end date

10
SwapRollDate
Swap roll date

11
SwapNextStartDate
Swap next start date

12
SwapNextRollDate
Swap next roll date

13
FirstDeliveryDate
First delivery date

14
LastDeliveryDate
Last delivery date

15
InitialInventoryDueDate
Initial inventory due date

16
FinalInventoryDueDate
Final inventory due date

17
FirstIntentDate
First intent date

18
LastIntentDate
Last intent date

19
PositionRemovalDate
Position removal date

20
MinimumNotice
Minimum notice

21
DeliveryStartTime
Delivery start time

22
DeliveryEndTime
Delivery end time

23
FirstNoticeDate
First notice date. The first day that a notice of intent to deliver a commodity can be made by a clearing house to a buyer in fulfillment of a given month's futures contract.

24
LastNoticeDate
Last notice date. The last day on which a clearing house may inform an investor that a seller intends to make delivery of a commodity that the investor previously bought in a futures contract. The date is governed by the rules of different exchanges and clearing houses, but may also be stated in the futures contract itself.

25
FirstExerciseDate
First exercise date

26
RedemptionDate
Redemption date

27
TrdCntntnEfctvDt
Trade continuation effective date

99
Other
Other

Used in groups: DerivativeEventsGrp

DerivativeExerciseStyle

Type of exercise.

See ExerciseStyle(1194) for complete definition.

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in components: DerivativeInstrument

DerivativeFloorPrice

Used to express the floor price of a capped put.

See FloorPrice(1200) for complete definition.

Type: Price

Used in components: DerivativeInstrument

DerivativeFlowScheduleType

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

See FlowScheduleType(1439) for complete definition.

Type: int

Allowed values in FlowScheduleTypeCodeSet:

Code | Name | Description
0 | NERCEasternOffPeak | NERC Eastern Off-Peak
1 | NERCWesternOffPeak | NERC Western Off-Peak
2 | NERCCalendarAllDaysInMonth | NERC Calendar-All Days in month
3 | NERCEasternPeak | NERC Eastern Peak
4 | NERCWesternPeak | NERC Western Peak
5 | AllTimes | All times
6 | OnPeak | On peak
7 | OffPeak | Off peak
8 | Base | Base
9 | Block | Block
99 | Other | Other

Used in components: DerivativeInstrument

DerivativeInstrAttribType

Type of instrument attribute.

See InstrAttribType(871) for complete definition.

Type: int

Allowed values in InstrAttribTypeCodeSet:

Code
Name
Description

1
Flat
Flat (securities pay interest on a current basis but are traded without interest)

2
ZeroCoupon
Zero coupon

3
InterestBearing
Interest bearing (for Euro commercial paper when not issued at discount)

4
NoPeriodicPayments
No periodic payments

5
VariableRate
Variable rate

6
LessFeeForPut
Less fee for put

7
SteppedCoupon
Stepped coupon

8
CouponPeriod
Coupon period (if not semi-annual). Supply redemption date in the InstrAttribValue(872) field.

9
When
When [and if] issued

10
OriginalIssueDiscount
Original issue discount

11
Callable
Callable, puttable

12
EscrowedToMaturity
Escrowed to Maturity

13
EscrowedToRedemptionDate
Escrowed to redemption date - callable. Supply redemption date in the InstrAttribValue(872) field.

14
PreRefunded
Pre-refunded

15
InDefault
In default

16
Unrated
Unrated

17
Taxable
Taxable

18
Indexed
Indexed

19
SubjectToAlternativeMinimumTax
Subject To Alternative Minimum Tax

20
OriginalIssueDiscountPrice
Original issue discount price. Supply price in the InstrAttribValue(872) field.

21
CallableBelowMaturityValue
Callable below maturity value

22
CallableWithoutNotice
Callable without notice by mail to holder unless registered

23
PriceTickRulesForSecurity
Price tick rules for security

24
TradeTypeEligibilityDetailsForSecurity
Trade type eligibility details for security

25
InstrumentDenominator
Instrument denominator

26
InstrumentNumerator
Instrument numerator

27
InstrumentPricePrecision
Instrument price precision

28
InstrumentStrikePrice
Instrument strike price

29
TradeableIndicator
Tradeable indicator

30
InstrumentEligibleAnonOrders
Instrument is eligible to accept anonymous orders

31
MinGuaranteedFillVolume
Minimum guaranteed fill volume

32
MinGuaranteedFillStatus
Minimum guaranteed fill status

33
TradeAtSettlementEligibility
Trade at settlement (TAS) eligibility

34
TestInstrument
Test instrument. Instrument that is tradable but has no effect on the positions, exchange turnover etc.

35
DummyInstrument
Dummy instrument. Instrument that is normally halted and is only activated for trading under very special conditions (e.g. temporarily assigned for newly listed instrument). Use of a dummy instrument generally applies to systems that are unable to add reference data for new instruments intraday.

36
NegativeSettlementPriceEligibility
Negative settlement price eligibility

37
NegativeStrikePriceEligibility
Negative strike price eligibility

38
USStdContractInd
US standard contract indicator. Indicates through InstrAttribValue(872) - values Y or N - whether the underlying asset in the trade references or is economically related to a contract listed in Appendix B of CFTC Part 43 regulation. See http://www.ecfr.gov/cgi-bin/text-idx?SID=4b2d1078ad68f6564a89d7ff6c52ec43&node=17:2.0.1.1.3.0.1.8.2&rgn=div or refer to Appendix B to Part 43 in the final rule at http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2013-12133a.pdf

39
AdmittedToTradingOnTradingVenue
Admitted to trading on a trading venue

40
AverageDailyNotionalAmount
Average daily notional amount

41
AverageDailyNumberTrades
Average daily number of trades

99
Text
Text. Supply the text value in InstrAttribValue(872).

Used in groups: DerivativeInstrumentAttribute

DerivativeInstrAttribValue

Attribute value appropriate to the DerivativeInstrAttribValue(1313) field.

See InstrAttribValue(872) for complete definition.

Type: String

Used in groups: DerivativeInstrumentAttribute

DerivativeInstrmtAssignmentMethod

Method under which assignment was conducted.

See InstrmtAssignmentMethod(1049) for complete definition.

Type: char

Allowed values in InstrmtAssignmentMethodCodeSet:

Code | Name | Description
P | ProRata | Pro rata
R | Random | Random

Used in components: DerivativeInstrument

DerivativeInstrRegistry

Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value ZZ to specify physical ownership of the security (e.g. stock certificate).

See InstrRegistry(543) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeInstrumentAttribute

Name | Mult. | Type | Description
NoDerivativeInstrAttrib | [1..1] | NumInGroup |
DerivativeInstrAttribType | [0..1] | CodeSet |
DerivativeInstrAttribValue | [0..1] | String |

Used in components: DerivativeSecurityDefinition

DerivativeInstrument

Name
Mult.
Type
Description

DerivativeSymbol
[0..1]
String
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles). Use "[N/A]" for products which do not have a symbol. Required if DerivativeInstrument component is marked as required where the component is used.

DerivativeSymbolSfx
[0..1]
CodeSet

DerivativeSecurityID
[0..1]
String
Takes precedence in identifying security to counterparty over SecurityAltID block

DerivativeSecurityIDSource
[0..1]
CodeSet

DerivativeSecurityAltIDGrp
[0..*]
Group

DerivativeProduct
[0..1]
CodeSet

DerivativeProductComplex
[0..1]
String
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc

DerivFlexProductEligibilityIndicator
[0..1]
Boolean
Used to indicate if a product or group of product supports the creation of flexible securities

DerivativeSecurityGroup
[0..1]
String

DerivativeCFICode
[0..1]
String
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.

DerivativeUPICode
[0..1]
String

DerivativeSecurityType
[0..1]
CodeSet
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Required for Fixed Income. Refer to Volume 7 - Fixed Income. Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)

DerivativeSecuritySubType
[0..1]
String

DerivativeMaturityMonthYear
[0..1]
MonthYear
Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S and P futures). Note MaturityDate (a full date) can also be specified.

DerivativeMaturityDate
[0..1]
LocalMktDate
Note that standardized derivatives which are typically only referenced by month and year (e.g. S and P futures).may use MaturityMonthYear and or this field. When using MaturityMonthYear, it is recommended that markets and sell sides report the MaturityDate on all outbound messages as a means of data enrichment.

DerivativeMaturityTime
[0..1]
TZTimeOnly

DerivativeSettleOnOpenFlag
[0..1]
String

DerivativeInstrmtAssignmentMethod
[0..1]
CodeSet

DerivativeSecurityStatus
[0..1]
CodeSet

DerivativeIssueDate
[0..1]
LocalMktDate
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.

DerivativeInstrRegistry
[0..1]
String
Can be used in conjunction with ISIN to address ISIN uniqueness issues.

DerivativeCountryOfIssue
[0..1]
Country
Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.

DerivativeStateOrProvinceOfIssue
[0..1]
String

DerivativeLocaleOfIssue
[0..1]
String

DerivativeStrikePrice
[0..1]
Price

DerivativeStrikeCurrency
[0..1]
Currency

DerivativeStrikeCurrencyCodeSource
[0..1]
CodeSet

DerivativeStrikeMultiplier
[0..1]
float

DerivativeStrikeValue
[0..1]
float

DerivativeOptAttribute
[0..1]
char

DerivativeContractMultiplier
[0..1]
float

DerivativeContractMultiplierUnit
[0..1]
CodeSet

DerivativeFlowScheduleType
[0..1]
CodeSet

DerivativeMinPriceIncrement
[0..1]
float

DerivativeMinPriceIncrementAmount
[0..1]
Amt

DerivativeUnitOfMeasure
[0..1]
CodeSet

DerivativeUnitOfMeasureQty
[0..1]
Qty

DerivativeUnitOfMeasureCurrency
[0..1]
Currency

DerivativeUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

DerivativePriceUnitOfMeasure
[0..1]
CodeSet

DerivativePriceUnitOfMeasureQty
[0..1]
Qty

DerivativePriceUnitOfMeasureCurrency
[0..1]
Currency

DerivativePriceUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

DerivativeSettlMethod
[0..1]
CodeSet

DerivativePriceQuoteMethod
[0..1]
CodeSet

DerivativeValuationMethod
[0..1]
CodeSet

DerivativePriceQuoteCurrency
[0..1]
Currency

DerivativePriceQuoteCurrencyCodeSource
[0..1]
CodeSet

DerivativeListMethod
[0..1]
CodeSet

DerivativeCapPrice
[0..1]
Price

DerivativeFloorPrice
[0..1]
Price

DerivativePutOrCall
[0..1]
CodeSet

DerivativeInTheMoneyCondition
[0..1]
CodeSet
Used to express in-the-moneyness behavior in general terms for the option without the use of DerivativeStrikePrice(1261) and DerivativePutOrCall(1323).

DerivativeContraryInstructionEligibilityIndicator
[0..1]
Boolean

DerivativeExerciseStyle
[0..1]
CodeSet

DerivativeOptPayoutAmount
[0..1]
Amt

DerivativeTimeUnit
[0..1]
CodeSet

DerivativeSecurityExchange
[0..1]
Exchange
Can be used to identify the security.

DerivativePositionLimit
[0..1]
int

DerivativeNTPositionLimit
[0..1]
int

DerivativeIssuer
[0..1]
String

DerivativeEncodedIssuerLen
[0..1]
Length
Must be set if DerivativeEncodedIssuer(1278) field is specified and must immediately precede it.

DerivativeEncodedIssuer
[0..1]
data

DerivativeSecurityDesc
[0..1]
String

DerivativeEncodedSecurityDescLen
[0..1]
Length
Must be set if DerivativeEncodedSecurityDesc(1280) field is specified and must immediately precede it.

DerivativeEncodedSecurityDesc
[0..1]
data

DerivativeSecurityXML
[0..1]
Component
Embedded XML document describing security.

DerivativeContractSettlMonth
[0..1]
MonthYear
Must be present for MBS or TBA

DerivativeEventsGrp
[0..*]
Group

DerivativeInstrumentParties
[0..*]
Group

Used in components: DerivativeSecurityDefinition

Used in messages: DerivativeSecurityListRequest

DerivativeInstrumentParties

Name | Mult. | Type | Description
NoDerivativeInstrumentParties | [1..1] | NumInGroup | Should contain unique combinations of DerivativeInstrumentPartyID, DerivativeInstrumentPartyIDSource, and DerivativeInstrumentPartyRole
DerivativeInstrumentPartyID | [0..1] | String | Used to identify party id related to instrument series
DerivativeInstrumentPartyIDSource | [0..1] | CodeSet | Used to identify source of instrument series party id
DerivativeInstrumentPartyRole | [0..1] | CodeSet | Used to identify the role of instrument series party id
DerivativeInstrumentPartyRoleQualifier | [0..1] | CodeSet |
DerivativeInstrumentPartySubIDsGrp | [0..*] | Group |

Used in components: DerivativeInstrument

DerivativeInstrumentPartyID

Party identifier/code.

See PartyID(448) for complete definition.

Type: String

Used in groups: DerivativeInstrumentParties

DerivativeInstrumentPartyIDSource

Identifies class or source of the DerivativeInstrumentPartyID (1293) value.

Required if DerivativeInstrumentPartyID(1293) is specified.

See PartyIDSource(447) for complete definition.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: DerivativeInstrumentParties

DerivativeInstrumentPartyRole

Identifies the type or role of the DerivativeInstrumentPartyID (1293) specified.

See PartyRole(452) for complete definition.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: DerivativeInstrumentParties

DerivativeInstrumentPartyRoleQualifier

Used to further qualify the value of DerivativeInstrumentPartyRole(1295).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: DerivativeInstrumentParties

DerivativeInstrumentPartySubID

Party sub-identifier.

See PartySubID(523) for complete definition.

Type: String

Used in groups: DerivativeInstrumentPartySubIDsGrp

DerivativeInstrumentPartySubIDsGrp

Name | Mult. | Type | Description
NoDerivativeInstrumentPartySubIDs | [1..1] | NumInGroup |
DerivativeInstrumentPartySubID | [0..1] | String |
DerivativeInstrumentPartySubIDType | [0..1] | CodeSet |

Used in groups: DerivativeInstrumentParties

DerivativeInstrumentPartySubIDType

Type of party sub-identifier.

See PartySubIDType(803) for complete definition.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: DerivativeInstrumentPartySubIDsGrp

DerivativeInTheMoneyCondition

Specifies an option instrument's "in the money" condition in general terms.

See InTheMoneyCondition(2681) for complete definition.

Type: int

Allowed values in InTheMoneyConditionCodeSet:

Code | Name | Description
0 | StandardITM | Standard in-the-money. The option's strike price is less than the underlying settlement price for a call or greater than the underlying settlement price for a put.
1 | ATMITM | At-the-money is in-the-money. The option's strike price of either the put or call is equal to the underlying settlement price in addition to standard in-the-money behavior.
2 | ATMCallITM | At-the-money call is in-the-money. The call option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.
3 | ATMPutITM | At-the-money put is in-the-money. The put option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.

Used in components: DerivativeInstrument

DerivativeIssueDate

The date on which the security is issued.

See IssueDate(225) for complete definition.

Type: LocalMktDate

Used in components: DerivativeInstrument

DerivativeIssuer

Name of security issuer.

See Issuer(106) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeListMethod

Indicates whether instruments are pre-listed only or can also be defined via user request.

See ListMethod(1198) for complete definition.

Type: int

Allowed values in ListMethodCodeSet:

Code | Name | Description
0 | PreListedOnly | pre-listed only
1 | UserRequested | user requested

Used in components: DerivativeInstrument

DerivativeLocaleOfIssue

Identifies the locale or region of issue.

See LocaleOfIssue(472) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeMaturityDate

Date of maturity.

See MaturityDate(541) for complete definition.

Type: LocalMktDate

Used in components: DerivativeInstrument

DerivativeMaturityMonthYear

Month and Year of the maturity (used for standardized futures and options).

See MaturityMonthYear(200) for complete definition.

Type: MonthYear

Used in components: DerivativeInstrument

DerivativeMaturityTime

Time of security's maturity expressed in local time with offset to UTC specified.

See MaturityTime(1079) for complete definition.

Type: TZTimeOnly

Used in components: DerivativeInstrument

DerivativeMinPriceIncrement

Minimum price increase for a given exchange-traded Instrument.

See MinPriceIncrement(969) for complete definition.

Type: float

Used in components: DerivativeInstrument

DerivativeMinPriceIncrementAmount

Minimum price increment amount associated with the minimum price increment.

See MinPriceIncrementAmount(1146) for complete definition.

Type: Amt

Used in components: DerivativeInstrument

DerivativeNTPositionLimit

Position limit in the near-term contract for a given exchange-traded product.

See NTPositionLimit(971) for complete definition.

Type: int

Used in components: DerivativeInstrument

DerivativeOptAttribute

Provided to support versioning of option contracts as a result of corporate actions or events. Use of this field is defined by counterparty agreement or market conventions.

See OptAttribute(206) for complete definition.

Type: char

Used in components: DerivativeInstrument

DerivativeOptPayoutAmount

Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.

See OptPayoutAmount(1195) for complete definition.

Type: Amt

Used in components: DerivativeInstrument

DerivativePositionLimit

Position limit for a given exchange-traded product.

See PositionLimit(970) for complete definition.

Type: int

Used in components: DerivativeInstrument

DerivativePriceQuoteCurrency

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency(tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

See PriceQuoteCurrency(1524) for complete definition.

Type: Currency

Used in components: DerivativeInstrument

DerivativePriceQuoteCurrencyCodeSource

Identifies class or source of the DerivativePriceQuoteCurrency(1576) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: DerivativeInstrument

DerivativePriceQuoteMethod

Specifies the method for price quotation.

See PriceQuoteMethod(1196) for complete definition.

Type: String

Allowed values in PriceQuoteMethodCodeSet:

Code | Name | Description
STD | Standard | Standard, money per unit of a physical
INX | Index | Index
INT | InterestRateIndex | Interest rate Index
PCTPAR | PercentOfPar | Percent of Par

Used in components: DerivativeInstrument

DerivativePriceUnitOfMeasure

Used to express the UOM of the price if different from the contract.

See PriceUnitOfMeasureQty(1191) for complete definition.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: DerivativeInstrument

DerivativePriceUnitOfMeasureCurrency

Indicates the currency of the price unit of measure.

Conditionally required when DerivativePriceUnitOfMeasure(1315) = Ccy.

See PriceUnitOfMeasureCurrency(1717) for complete definition.

Type: Currency

Used in components: DerivativeInstrument

DerivativePriceUnitOfMeasureCurrencyCodeSource

Identifies class or source of the DerivativePriceUnitOfMeasureCurrency(1723) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: DerivativeInstrument

DerivativePriceUnitOfMeasureQty

Used to express the UOM Quantity of the price if different from the contract.

See PriceUnitOfMeasureQty(1192) for complete definition.

Type: Qty

Used in components: DerivativeInstrument

DerivativeProduct

The type of product the security is associated with.

See Product(460) for complete definition.

Type: int

Allowed values in ProductCodeSet:

Code | Name | Description
1 | AGENCY | AGENCY
2 | COMMODITY | COMMODITY
3 | CORPORATE | CORPORATE
4 | CURRENCY | CURRENCY
5 | EQUITY | EQUITY
6 | GOVERNMENT | GOVERNMENT
7 | INDEX | INDEX
8 | LOAN | LOAN
9 | MONEYMARKET | MONEYMARKET
10 | MORTGAGE | MORTGAGE
11 | MUNICIPAL | MUNICIPAL
12 | OTHER | OTHER
13 | FINANCING | FINANCING

Used in components: DerivativeInstrument

DerivativeProductComplex

Identifies an entire suite of products for a given market.

See ProductComplex(1227) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativePutOrCall

Indicates whether an option contract is a put, call, chooser or undetermined.

See PutOrCall(201) for complete definition.

Type: int

Allowed values in PutOrCallCodeSet:

Code | Name | Description
0 | Put | Put. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate receiver or into a CDS contract as a seller of protection or for the case of a Floor.
1 | Call | Call. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate payer or into a CDS contract as a buyer of protection or for the case of a Cap.
2 | Other | Other. In the context of ESMA RTS 22 reporting, this value may be used when, at the time of execution, the option right cannot be determined.
3 | Chooser | Chooser. Indicates that the option buyer may choose to buy or sell the underlying security on exercise or if a Swaption to pay or receive the underlying IRS cash flow stream or to buy or sell CDS protection.

Used in components: DerivativeInstrument

DerivativeSecurityAltID

Alternate derivative security identifier value of DerivativeSecurityAltIDSource(1220) type.

Requires DerivativeSecurityAltIDSource(1220).

Type: String

Used in groups: DerivativeSecurityAltIDGrp

DerivativeSecurityAltIDGrp

Name | Mult. | Type | Description
NoDerivativeSecurityAltID | [1..1] | NumInGroup |
DerivativeSecurityAltID | [0..1] | String |
DerivativeSecurityAltIDSource | [0..1] | CodeSet |

Used in components: DerivativeInstrument

DerivativeSecurityAltIDSource

Identifies class or source of the DerivativeSecurityAltID(1219) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: DerivativeSecurityAltIDGrp

DerivativeSecurityDefinition

Name | Mult. | Type | Description
DerivativeInstrument | [0..1] | Component | Optional block which can be used to to summarize common attributes shared across a set of option instruments which belong to the same series.
DerivativeInstrumentAttribute | [0..*] | Group | Additional attribution for the instrument series
MarketSegmentGrp | [0..*] | Group | Security trading and listing attributes for the series level
SecurityClassificationGrp | [0..*] | Group | Used to specify forms of product classifications

Used in messages: DerivativeSecurityList, DerivativeSecurityListUpdateReport

DerivativeSecurityDesc

Can be used by the venue or one of the trading parties to provide a non-normative textual description for the financial instrument.

See SecurityDesc(107) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeSecurityExchange

Market used to help identify a security.

See SecurityExchange(207) for complete definition.

Type: Exchange

Used in components: DerivativeInstrument

DerivativeSecurityGroup

An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

See SecurityGroup(1151) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeSecurityID

Security identifier value (e.g. CUSIP, SEDOL, ISIN, etc).

Requires DerivativeSecurityIDSource(1217).

See SecurityID(48) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeSecurityIDSource

Identifies class or source of the DerivativeSecurityID(1217) value.

See SecurityIDSource(22) for complete definition.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: DerivativeInstrument

DerivativeSecurityStatus

Indicates the current state of the derivative instrument.

See SecurityStatus(965) for complete definition.

Type: String

Allowed values in SecurityStatusCodeSet:

Code
Name
Description

1
Active
Active. Instrument is active, i.e. trading is possible.

2
Inactive
Inactive. Instrument has previously been active and is now no longer traded but has not expired yet. The instrument may become active again.

3
ActiveClosingOrdersOnly
Active, closing orders only. Instrument is active but only orders closing positions (reducing risk) are allowed.

4
Expired
Expired. Instrument has expired. E.g. An instrument may expire due to reaching maturity or expired based on contract definitions or exchange rules.

5
Delisted
Delisted. Instrument has been removed from securities reference data. Delisting rules varies from exchange to exchange, which may include non-compliance of capitalization, revenue, consecutive minimum closing price. The instrument may become listed again once the instrument is back in compliance. A delisted instrument would not trade on the exchange but it may still be traded over-the-counter (e.g. OTCBB) or on Pink Sheets, or other similar trading service.

6
KnockedOut
Knocked-out. Instrument has breached a pre-defined price threshold.

7
KnockOutRevoked
Knock-out revoked. Instrument reinstated, i.e. threshold has not been breached.

8
PendingExpiry
Pending Expiry. Instrument is currently still active but will expire after the current business day. For example, a contract that expires intra-day (e.g. at noon time) and is no longer tradeable but will still show up in the current day's order book with related statistics.

9
Suspended
Suspended. Instrument has been temporarily disabled for trading (i.e. halted).

10
Published
Published. Instrument information is provided prior to its first activation.

11
PendingDeletion
Pending Deletion. Instrument is awaiting deletion from security reference data.

Used in components: DerivativeInstrument

DerivativeSecuritySubType

Sub-type qualification/identification of the security type.

See SecuritySubType(762) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeSecurityType

The type of security.

See SecurityType(167) for complete definition.

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
ABS | AssetBackedSecurities | Asset-backed Securities
AN | OtherAnticipationNotes | Other Anticipation Notes (BAN, GAN, etc.)
BA | BankersAcceptance | Bankers Acceptance
BRADY | BradyBond | Brady Bond
CORP | CorporateBond | Corporate Bond
CS | CommonStock | Common Stock
EUSUPRA | EuroSupranationalCoupons | Euro Supranational Coupons. Identify the issuer name in Issuer(106).
FOR | ForeignExchangeContract | Foreign Exchange Contract
MF | MutualFund | Mutual Fund
REPO | Repurchase | Repurchase
TERM | TermLoan | Term Loan
BDN | BankDepositoryNote | Bank Depository Note
CAN | CanadianTreasuryNotes | Canadian Treasury Notes
CAP | Cap | Cap. In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
CMB | CanadianMortgageBonds | Canadian Mortgage Bonds
COFO | CertificateOfObligation | Certificate Of Obligation
CPP | CorporatePrivatePlacement | Corporate Private Placement
FAC | FederalAgencyCoupon | Federal Agency Coupon
FORWARD | Forward | Forward
FXNDF | NonDeliverableForward | Non-deliverable forward
MLEG | MultilegInstrument | Multileg Instrument
PS | PreferredStock | Preferred Stock
RVLV | RevolverLoan | Revolver Loan
BN | BankNotes | Bank Notes
BUYSELL | BuySellback | Buy Sellback
CB | ConvertibleBond | Convertible Bond
CDS | CreditDefaultSwap | Credit Default Swap
CMBS | Corp | Corp. Mortgage-backed Securities
COFP | CertificateOfParticipation | Certificate Of Participation
CTB | CanadianTreasuryBills | Canadian Treasury Bills
DR | DepositoryReceipts | Depository Receipts
FADN | FederalAgencyDiscountNote | Federal Agency Discount Note
FXSPOT | FXSpot | FX Spot
NONE | NoSecurityType | No Security Type
RVLVTRM | Revolver | Revolver/Term Loan
BOX | BillOfExchanges | Bill Of Exchanges
BRIDGE | BridgeLoan | Bridge Loan
CLLR | Collar | Collar. In an interest rate collar, this is a combination of a cap and a floor.
CMO | CollateralizedMortgageObligation | Collateralized Mortgage Obligation
DUAL | DualCurrency | Dual Currency
EUSOV | EuroSovereigns | Euro Sovereigns. Identify the issuer name in Issuer(106).
FXFWD | FXForward | FX Forward
GO | GeneralObligationBonds | General Obligation Bonds
PEF | PrivateExportFunding | Private Export Funding. Identify the issuer name in Issuer(106).
SECLOAN | SecuritiesLoan | Securities Loan
UST | USTreasuryNoteOld | US Treasury Note (Deprecated Value Use TNOTE)
CAMM | CanadianMoneyMarkets | Canadian Money Markets
CMDTYSWAP | CommoditySwap | Commodity swap
EUCORP | EuroCorporateBond | Euro Corporate Bond
FXSWAP | FXSwap | FX Swap
IET | IOETTEMortgage | IOETTE Mortgage
LOFC | LetterOfCredit | Letter Of Credit
MT | MandatoryTender | Mandatory Tender
PROV | CanadianProvincialBonds | Canadian Provincial Bonds
SECPLEDGE | SecuritiesPledge | Securities Pledge
SUPRA | USDSupranationalCoupons | USD Supranational Coupons. Identify the issuer name in Issuer(106).
USTB | USTreasuryBillOld | US Treasury Bill (Deprecated Value Use TBILL)
? | Wildcard | Wildcard entry for use on Security Definition Request
CD | CertificateOfDeposit | Certificate Of Deposit
DVPLDG | DeliveryVersusPledge | Delivery versus pledge
EUFRN | EuroCorporateFloatingRateNotes | Euro Corporate Floating Rate Notes
EXOTIC | Exotic | Exotic
FXNDS | NonDeliverableSwap | Non-deliverable Swap
MBS | MortgageBackedSecurities | Mortgage-backed Securities
RAN | RevenueAnticipationNote | Revenue Anticipation Note
SWING | SwingLineFacility | Swing Line Facility
TB | TreasuryBill | Treasury Bill - non US
CASH | Cash | Cash
CL | CallLoans | Call Loans
COLLBSKT | CollateralBasket | Collateral basket. A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
DINP | DebtorInPossession | Debtor In Possession
FLR | Floor | Floor. In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
FRN | USCorporateFloatingRateNotes | US Corporate Floating Rate Notes
FXBN | FXBankNote | FX Bank Note
MIO | MortgageInterestOnly | Mortgage Interest Only
OOC | OptionsOnCombo | Options on Combo
REV | RevenueBonds | Revenue Bonds
TBOND | USTreasuryBond | US Treasury Bond
CP | CommercialPaper | Commercial Paper
DEFLTED | Defaulted | Defaulted
FRA | FRA | Forward Rate Agreement
FXDN | ForeignCurrencyDiscountNote | Foreign Currency Discount Note. Discount notes issued in foreign currency by Fannie Mae.
MPO | MortgagePrincipalOnly | Mortgage Principal Only
Other | Other | Other
SFP | StructuredFinanceProduct | Structured finance product
SPCLA | SpecialAssessment | Special Assessment
TINT | InterestStripFromAnyBondOrNote | Interest Strip From Any Bond Or Note
XLINKD | IndexedLinked | Indexed Linked
DN | DepositNotes | Deposit Notes
ETN | ExchangeTradedNote | Exchange traded note
FUT | Future | Future
MPP | MortgagePrivatePlacement | Mortgage Private Placement
SPCLO | SpecialObligation | Special Obligation
STRUCT | StructuredNotes | Structured Notes
TBILL | USTreasuryBill | US Treasury Bill
TIPS | TreasuryInflationProtectedSecurities | Treasury Inflation Protected Securities
WITHDRN | Withdrawn | Withdrawn
EUCD | EuroCertificateOfDeposit | Euro Certificate Of Deposit
FWD | DerivativeForward | Derivative forward
MPT | MiscellaneousPassThrough | Miscellaneous Pass-through
MRGNLOAN | MarginLoan | Margin loan
REPLACD | Replaced | Replaced
SPCLT | SpecialTax | Special Tax
TCAL | PrincipalStripOfACallableBondOrNote | Principal Strip Of A Callable Bond Or Note
YANK | YankeeCorporateBond | Yankee Corporate Bond
DIMSUMCORP | OffshoreIssuedChineseYuanCorporateBond | Offshore issued Chinese Yuan (CNY) denominated corporate bond
EUCP | EuroCommercialPaper | Euro Commercial Paper
IRS | InterestRateSwap | Interest Rate Swap
MATURED | Matured | Matured
PFAND | Pfandbrief | Pfandbrief. Identify the issuer name in Issuer(106).
SECDERIV | SecuritizedDerivative | Securitized derivative
TAN | TaxAnticipationNote | Tax Anticipation Note
TPRN | PrincipalStripFromANonCallableBondOrNote | Principal Strip From A Non-Callable Bond Or Note
TRS | TotalReturnSwap | Total return swap
AMENDED | Amended | Amended and restated
ETF | ExchangeTradedFund | Exchange Traded Fund
LOANLEASE | LoanLease | Loan/lease
LQN | LiquidityNote | Liquidity Note
PRCORP | PreferredCorporateBond | Preferred Corporate Bond
TAXA | TaxAllocation | Tax Allocation
TBA | ToBeAnnounced | To Be Announced
TNOTE | USTreasuryNote | US Treasury Note
DIGITAL | DigitalAsset | Digital Asset. Asset that exists only in digital form or which is the digital representation of another asset (Source: ISO 24165 - Terms and Definitions).
DIMSUMSOV | OffshoreIssuedChineseYuanSovereignBond | Offshore issued Chinese Yuan (CNY) denominated sovereign bond
MTN | MediumTermNotes | Medium Term Notes
RETIRED | Retired | Retired
TECP | TaxExemptCommercialPaper | Tax Exempt Commercial Paper
ONITE | Overnight | Overnight
OOF | OptionsOnFutures | Options on Futures
SOV | SovereignBond | Sovereign Bond. Sovereign or government bond other than Euro and US issuer. Specify sovereign issuer in Issuer(106).
TMCP | TaxableMunicipalCP | Taxable Municipal CP
OOP | OptionsOnPhysical | Options on Physical - use not recommended
PN | PromissoryNote | Promissory Note
STN | ShortTermLoanNote | Short Term Loan Note
TFRN | USTreasuryFloatingRateNote | US Treasury Floating Rate Note
TRAN | TaxRevenueAnticipationNote | Tax Revenue Anticipation Note
OPT | Option | Option
PZFJ | PlazosFijos | Plazos Fijos
VRDN | VariableRateDemandNote | Variable Rate Demand Note
SLQN | SecuredLiquidityNote | Secured Liquidity Note
SPOTFWD | SpotForward | Spot forward
WAR | Warrant | Warrant
MCPIB | MunicipalInterestBearingCommercialPaper | Municipal Interest Bearing Commercial Paper
SWAPTION | SwapOption | Swap option
TD | TimeDeposit | Time Deposit
TMB | TaxableMunicipalBond | Taxable Municipal Bond
XMISSION | Transmission | Transmission
INDEX | Index | General type for a contract based on an established index
TLQN | TermLiquidityNote | Term Liquidity Note
VRDO | VariableRateDemandObligation | Variable Rate Demand Obligation
BDBSKT | BondBasket | Bond basket
XCN | ExtendedCommNote | Extended Comm Note
CFD | ContractForDifference | Contract for difference
YCD | YankeeCertificateOfDeposit | Yankee Certificate Of Deposit
BAB | BankAcceptedBill | Bank Accepted Bill. Also known as Bank Bill.
CRLTNSWAP | CorrelationSwap | Correlation swap
BNST | ShortTermBankNote | Short Term Bank Note
DVDNDSWAP | DiviendSwap | Dividend swap
CLCP | CallableCommercialPaper | Callable Commercial Paper
EQBSKT | EquityBasket | Equity basket
CN | CommercialNote | Commercial Note
EQFWD | EquityForward | Equity forward
CPIB | InterestBearingCommercialPaper | Interest Bearing Commercial Paper
RTRNSWAP | ReturnSwap | Return swap
EUMTN | EuroMediumTermNote | Euro Medium Term Note
VARSWAP | VarianceSwap | Variance swap
EUNCP | EuroNegotiableCommercialPaper | Euro Negotiable Commercial Paper
PRTFLIOSWAP | PortfolioSwaps | Portfolio swap
EUSTLQN | EuroStructuredLiquidityNote | Euro Structured Liquidity Note
FUTSWAP | FuturesOnASwap | Futures on a Swap
EUTD | EuroTimeDeposit | Euro Time Deposit
FWDSWAP | ForwardsOnASwap | Forwards on a Swap
FWDFRTAGMT | ForwardFreightAgreement | Forward Freight Agreement
JCD | JumboCertificateOfDeposit | Jumbo Certificate of Deposit
MMF | MoneyMarketFund | Money Market Fund
SPREADBET | SpreadBetting | Spread Betting
ETC | ExchangeTradedCommodity | Exchange traded commodity
MN | MasterNote | Master Note. Short term notes issued by Federal Farm Credit Banks Funding Corporation to provide loans and funding under Federal Farm Credit System (FFCS).
NCD | NegotiableCertificateOfDeposit | Negotiable Certificate of Deposit
NCP | NegotiableCommercialPaper | Negotiable Commercial Paper
RCD | RetailCertificateOfDeposit | Retail Certificate of Deposit
TDR | TermDepositReceipt | Term Deposit Receipt

Used in components: DerivativeInstrument

DerivativeSecurityXML

XML definition for the security.

See SecurityXML(1185) for complete definition.

Type: XMLData

Used in components: DerivativeSecurityXML

DerivativeSecurityXML

Name | Mult. | Type | Description
DerivativeSecurityXMLLen | [0..1] | Length | Must be set if DerivativeSecurityXML(1283) field is specified and must immediately precede it.
DerivativeSecurityXML | [0..1] | XMLData |
DerivativeSecurityXMLSchema | [0..1] | String |

Used in components: DerivativeInstrument

DerivativeSecurityXMLLen

The length of the DerivativeSecurityXML(1283) data block.

See SecurityXMLLen(1184) for complete definition.

Type: Length

Used in components: DerivativeSecurityXML

DerivativeSecurityXMLSchema

The schema used to validate the contents of DerivativeSecurityXML(1283).

See SecurityXMLSchema(1186) for complete definition.

Type: String

Used in components: DerivativeSecurityXML

DerivativeSettleOnOpenFlag

Indicator to determine if instrument is settle on open.

See SettleOnOpenFlag(966) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeSettlMethod

Settlement method for a contract or instrument.

See SettlMethod(1193) for complete definition.

Type: String

Allowed values in SettlMethodCodeSet:

Code | Name | Description
C | CashSettlementRequired | Cash settlement required
P | PhysicalSettlementRequired | Physical settlement required
E | Election | Election at exercise. The settlement method will be elected at the time of contract exercise.

Used in components: DerivativeInstrument

DerivativeStateOrProvinceOfIssue

A two-character state or province abbreviation.

See StateOrProvinceOfIssue(471) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeStrikeCurrency

Currency in which the strike price is denominated.

See StrikeCurrency(947) for complete definition.

Type: Currency

Used in components: DerivativeInstrument

DerivativeStrikeCurrencyCodeSource

Identifies class or source of the DerivativeStrikeCurrency(1262) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: DerivativeInstrument

DerivativeStrikeMultiplier

Multiplier applied to the strike price for the purpose of calculating the settlement value.

See StrikeMultiplier(967) for complete definition.

Type: float

Used in components: DerivativeInstrument

DerivativeStrikePrice

Strike price for an option.

See StrikePrice(202) for complete definition.

Type: Price

Used in components: DerivativeInstrument

DerivativeStrikeValue

The number of shares/units for the financial instrument involved in the option trade.

See StrikeValue(968) for complete definition.

Type: float

Used in components: DerivativeInstrument

DerivativeSymbol

Ticker symbol. Common, human understood representation of the security.

See Symbol(55) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeSymbolSfx

Additional information about the security (e.g. preferred, warrants, etc.).

See SymbolSfx(65) for complete definition.

Type: String

Allowed values in SymbolSfxCodeSet:

Code | Name | Description
CD | EUCPWithLumpSumInterest | EUCP with lump-sum interest rather than discount price
WI | WhenIssued | "When Issued" for a security to be reissued under an old CUSIP or ISIN

Used in components: DerivativeInstrument

DerivativeTimeUnit

Unit of time associated with the contract.

NOTE: Additional values may be used by mutual agreement of the counterparties.

See TimeUnit(997) for complete definition.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: DerivativeInstrument

DerivativeUnitOfMeasure

The unit of measure of the underlying commodity upon which the contract is based.

See UnitOfMeasure(996) for complete definition.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: DerivativeInstrument

DerivativeUnitOfMeasureCurrency

Indicates the currency of the unit of measure.

Conditionally required when DerivativeUnitOfMeasure(1269) = Ccy.

See UnitOfMeasureCurrency(1716) for complete definition.

Type: Currency

Used in components: DerivativeInstrument

DerivativeUnitOfMeasureCurrencyCodeSource

Identifies class or source of the DerivativeUnitOfMeasureCurrency(1722) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: DerivativeInstrument

DerivativeUnitOfMeasureQty

Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based.

See UnitOfMeasureQty(1147) for complete definition.

Type: Qty

Used in components: DerivativeInstrument

DerivativeUPICode

Uniquely identifies the product of a derivative instrument using ISO 4914. See UPICode(2891) for complete definition.

Type: String

Used in components: DerivativeInstrument

DerivativeValuationMethod

Specifies the method for price quotation.

See ValuationMethod(1197) for complete definition.

Type: String

Allowed values in ValuationMethodCodeSet:

Code | Name | Description
EQTY | PremiumStyle | premium style
FUT | FuturesStyleMarkToMarket | futures style mark-to-market
FUTDA | FuturesStyleWithAnAttachedCashAdjustment | futures style with an attached cash adjustment
CDS | CDSStyleCollateralization | CDS style collateralization of market to market and coupon
CDSD | CDSInDeliveryUseRecoveryRateToCalculate | CDS in delivery - use recovery rate to calculate obligation

Used in components: DerivativeInstrument

DerivFlexProductEligibilityIndicator

Used to indicate if a product or group of product supports the creation of flexible securities.

See FlexProductEligibilityIndicator(1242) for complete definition.

Type: Boolean

Used in components: DerivativeInstrument

Designation

Free format text defining the designation to be associated with a holding on the register. Used to identify assets of a specific underlying investor using a common registration, e.g. a broker's nominee or street name.

Type: String

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

DeskID

Identification of a Market Maker's desk

Type: String

Used in groups: CompIDReqGrp, CompIDStatGrp, MDFullGrp, MDIncGrp

DeskOrderHandlingInst

Codes that apply special information that the broker-dealer needs to report.

Type: MultipleStringValue

Allowed values in CustOrderHandlingInstCodeSet:

Code | Name | Description
A | PhoneSimple | Phone simple
G | GOrderAndFCMAPIorFIX | G Order(FINRA OATS), FCM API or FIX(FIA Execution Source)
ADD | AddOnOrder | Add-on order
B | PhoneComplex | Phone complex
AON | AllOrNone | All or none
C | FCMProvidedScreen | FCM provided screen
CND | ConditionalOrder | Conditional order
D | OtherProvidedScreen | Other provided screen
CNH | CashNotHeld | Cash not held
E | ClientProvidedPlatformControlledByFCM | Client provided platform controlled by FCM
CSH | DeliveryInstructionsCash | Delivery instructions - cash
F | ClientProvidedPlatformDirectToExchange | Client provided platform direct to exchange
DIR | DirectedOrder | Directed order
DLO | DiscretionaryLimitOrder | Discretionary limit order
H | AlgoEngine | Algo engine
E.W | ExchangeForPhysicalTransaction | Exchange for physical transaction
J | PriceAtExecution | Price at execution (price added at initial order entry, trading, middle office or time of give-up)
FOK | FillOrKill | Fill or kill
W | DeskElectronic | Desk - electronic
X | DeskPit | Desk - pit
IDX | IntraDayCross | Intraday cross
Y | ClientElectronic | Client - electronic
IO | ImbalanceOnly | Imbalance only
Z | ClientPit | Client - pit
IOC | ImmediateOrCancel | Immediate or cancel
ISO | IntermarketSweepOrder | Intermarket sweep order
LOO | LimitOnOpen | Limit on open
LOC | LimitOnClose | Limit on Close
MAO | MarketAtOpen | Market at Open
MAC | MarketAtClose | Market at close
MOO | MarketOnOpen | Market on open
MOC | MarketOnClose | Market on close
MPT | MergerRelatedTransferPosition | Merger related transfer position
MQT | MinimumQuantity | Minimum quantity
MTL | MarketToLimit | Market to limit
ND | DeliveryInstructionsNextDay | Delivery instructions - next day
NH | NotHeld | Not held
OPT | OptionsRelatedTransaction | Options related transaction
OVD | OverTheDay | Over the day
PEG | Pegged | Pegged
RSV | ReserveSizeOrder | Reserve size order
S.W | StopStockTransaction | Stop stock transaction
SCL | Scale | Scale
SLR | DeliveryInstructionsSellersOption | Delivery instructions - sellers option
TMO | TimeOrder | Time order
TS | TrailingStop | Trailing stop
WRK | Work | Work
F0 | StayOnOfferside | Stay on offerside
F3 | GoAlong | Go along
F6 | ParticipateDoNotInitiate | Participate do not initiate
F7 | StrictScale | Strict scale
F8 | TryToScale | Try to scale
F9 | StayOnBidside | Stay on bidside
FA | NoCross | No cross
FB | OKToCross | OK to cross
FC | CallFirst | Call first
FD | PercentOfVolume | Percent of volume
FH | ReinstateOnSystemFailure | Reinstate on system failure
FI | InstitutionOnly | Institution only
FJ | ReinstateOnTradingHalt | Reinstate on trading halt
FK | CancelOnTradingHalf | Cancel on trading half
FL | LastPeg | Last peg
FM | MidPricePeg | Mid-price peg
FN | NonNegotiable | Non-negotiable
FO | OpeningPeg | Opening peg
FP | MarketPeg | Market peg
FQ | CancelOnSystemFailure | Cancel on system failure
FR | PrimaryPeg | Primary peg
FS | Suspend | Suspend
FT | FixedPegToLocalBBO | Fixed peg to local best bid or offer at time of order
FW | PegToVWAP | Peg to VWAP
FX | TradeAlong | Trade along
FY | TryToStop | Try to stop
FZ | CancelIfNotBest | Cancel if not best
Fb | StrictLimit | Strict limit
Fc | IgnorePriceValidityChecks | Ignore price validity checks
Fd | PegToLimitPrice | Peg to Limit Price
Fe | WorkToTargetStrategy | Work to target strategy

Used in groups: TrdRegTimestamps

DeskType

Identifies the type of Trading Desk.

Conditionally required when InformationBarrierID(1727) is specified for OATS.

Type: String

Allowed values in DeskTypeCodeSet:

Code | Name | Description
A | Agency | Agency
AR | Arbitrage | Arbitrage
B | BlockTrading | Block trading
C | ConvertibleDesk | Convertible desk
CR | CentralRiskBooks | Central risk books
D | Derivatives | Derivatives
EC | EquityCapitalMarkets | Equity capital markets
IN | International | International
IS | Institutional | Institutional
O | Other | Other
PF | PreferredTrading | Preferred trading
PR | Proprietary | Proprietary
PT | ProgramTrading | Program trading
S | Sales | Sales
SW | Swaps | Swaps
T | TradingDeskSystem | Trading desk or system non-market maker
TR | Treasury | Treasury
FB | FloorBroker | Floor Broker

Used in groups: TrdRegTimestamps

DeskTypeSource

Identifies the class or source of DeskType(1033) values. Conditionally required when DeskType(1033) is specified.

Type: int

Allowed values in DeskTypeSourceCodeSet:

Code | Name | Description
1 | FINRAOATS | FINRA OATS

Used in groups: TrdRegTimestamps

DetachmentPoint

Upper bound percentage of the loss the tranche can endure.

Type: Percentage

Used in components: Instrument

DifferentialPrice

Used to specify the differential price when reporting the individual leg of a spread trade. Both leg price and differential price may be provided on such a report. Note that MultiLegReportingType(442) will be set to 2 (Individual leg of a multi-leg security) in this case.

Also used in pricing Trade at Settlement (TAS) and Trade At Marker (TAM) contracts for which the value is the negotiated currency offset either at settlement (TAS) or at time specified in the product definition (TAM). The final contract price is specified in LastPx(31).

Type: PriceOffset

Used in messages: TradeCaptureReport

DisclosureInstruction

Instruction to disclose information or to use default value of the receiver.

Type: int

Allowed values in DisclosureInstructionCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes
2 | UseDefaultSetting | Use default setting

Used in groups: DisclosureInstructionGrp

DisclosureInstructionGrp

Repeating group of instructions, each of which relates to one or more elements of an order. The instruction itself conveys whether the information should be disclosed, e.g. in market data, or not.

Name | Mult. | Type | Description
NoDisclosureInstructions | [1..1] | NumInGroup |
DisclosureType | [0..1] | CodeSet | Required when NoDisclosureInstructions(1812) > 0.
DisclosureInstruction | [0..1] | CodeSet |

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

DisclosureType

Information subject to disclosure.

Type: int

Allowed values in DisclosureTypeCodeSet:

Code | Name | Description
1 | Volume | Volume
2 | Price | Price
3 | Side | Side
4 | AON | AON
5 | General | General. General is used for bilateral agreed disclosure information type(s).
6 | ClearingAccount | Clearing account
7 | CMTAAccount | CMTA account

Used in groups: DisclosureInstructionGrp

DiscountFactor

Used to calculate the present value of an amount to be paid in the future.

Type: float

Used in groups: ClearingPriceParametersGrp, MDFullGrp, MDIncGrp

Used in messages: PositionMaintenanceReport, PositionReport

DiscretionInst

Code to identify the price a DiscretionOffsetValue (389) is related to and should be mathematically added to.

Type: char

Allowed values in DiscretionInstCodeSet:

Code | Name | Description
0 | RelatedToDisplayedPrice | Related to displayed price
1 | RelatedToMarketPrice | Related to market price
2 | RelatedToPrimaryPrice | Related to primary price
3 | RelatedToLocalPrimaryPrice | Related to local primary price
4 | RelatedToMidpointPrice | Related to midpoint price
5 | RelatedToLastTradePrice | Related to last trade price
6 | RelatedToVWAP | Related to VWAP
7 | AveragePriceGuarantee | Average Price Guarantee

Used in components: DiscretionInstructions

DiscretionInstructions

The presence of DiscretionInstructions component block on an order indicates that the trader wishes to display one price but will accept trades at another price.

Name | Mult. | Type | Description
DiscretionInst | [0..1] | CodeSet | What the discretionary price is related to (e.g. primary price, display price etc)
DiscretionOffsetValue | [0..1] | float | Amount (signed) added to the "related to" price specified via DiscretionInst, in the context of DiscretionOffsetType
DiscretionMoveType | [0..1] | CodeSet | Describes whether discretion price is static/fixed or floats
DiscretionOffsetType | [0..1] | CodeSet | Type of Discretion Offset (e.g. price offset, tick offset etc)
DiscretionLimitType | [0..1] | CodeSet | Specifies the nature of the resulting discretion price (e.g. or better limit, strict limit etc)
DiscretionRoundDirection | [0..1] | CodeSet | If the calculated discretion price is not a valid tick price, specifies how to round the price (e.g. to be more or less aggressive)
DiscretionScope | [0..1] | CodeSet | The scope of "related to" price of the discretion (e.g. local, global etc)

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

DiscretionLimitType

Type of Discretion Limit

Type: int

Allowed values in DiscretionLimitTypeCodeSet:

Code | Name | Description
0 | OrBetter | Or better (default) - price improvement allowed
1 | Strict | Strict - limit is a strict limit
2 | OrWorse | Or worse - for a buy the discretion price is a minimum and for a sell the discretion price is a maximum (for use for orders which have a price range)

Used in components: DiscretionInstructions

DiscretionMoveType

Describes whether discretionay price is static or floats

Type: int

Allowed values in DiscretionMoveTypeCodeSet:

Code | Name | Description
0 | Floating | Floating (default)
1 | Fixed | Fixed

Used in components: DiscretionInstructions

DiscretionOffsetType

Type of Discretion Offset value

Type: int

Allowed values in DiscretionOffsetTypeCodeSet:

Code | Name | Description
0 | Price | Price (default)
1 | BasisPoints | Basis Points
2 | Ticks | Ticks
3 | PriceTier | Price Tier / Level

Used in components: DiscretionInstructions

DiscretionOffsetValue

Amount (signed) added to the "related to" price specified via DiscretionInst (388), in the context of DiscretionOffsetType (842)

(Prior to FIX 4.4 this field was of type PriceOffset)

Type: float

Used in components: DiscretionInstructions

DiscretionPrice

The current discretionary price of the order

Type: Price

Used in messages: ExecutionReport

DiscretionRoundDirection

If the calculated discretionary price is not a valid tick price, specifies whether to round the price to be more or less aggressive

Type: int

Allowed values in DiscretionRoundDirectionCodeSet:

Code | Name | Description
1 | MoreAggressive | More aggressive - on a buy order round the price up to the nearest tick; on a sell round down to the nearest tick
2 | MorePassive | More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick

Used in components: DiscretionInstructions

DiscretionScope

The scope of the discretion

Type: int

Allowed values in DiscretionScopeCodeSet:

Code | Name | Description
1 | Local | Local (Exchange, ECN, ATS)
2 | National | National
3 | Global | Global
4 | NationalExcludingLocal | National excluding local

Used in components: DiscretionInstructions

DisplayHighQty

Defines the upper quantity limit to a randomized refresh of DisplayQty.

Type: Qty

Used in components: DisplayInstruction

DisplayInstruction

The DisplayInstruction component block is used to convey instructions on how a reserved order is to be handled in terms of when and how much of the order quantity is to be displayed to the market.

Name | Mult. | Type | Description
DisplayQty | [0..1] | Qty |
SecondaryDisplayQty | [0..1] | Qty |
InitialDisplayQty | [0..1] | Qty | Only to be used in the ExecutionReport
CurrentDisplayPrice | [0..1] | Price |
DisplayWhen | [0..1] | CodeSet |
DisplayMethod | [0..1] | CodeSet |
DisplayLowQty | [0..1] | Qty | Required when DisplayMethod = 3
DisplayHighQty | [0..1] | Qty | Required when DisplayMethod = 3
DisplayMinIncr | [0..1] | Qty | Can be used to specify larger increments than the standard increment provided by the market. Optionally used when DisplayMethod = 3
RefreshQty | [0..1] | Qty | Required when DisplayMethod = 2

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

DisplayLowQty

Defines the lower quantity limit to a randomized refresh of DisplayQty.

Type: Qty

Used in components: DisplayInstruction

DisplayMethod

Defines what value to use in DisplayQty (1138). If not specified the default DisplayMethod is "1"

Type: char

Allowed values in DisplayMethodCodeSet:

Code | Name | Description
1 | Initial | Initial (use original DisplayQty)
2 | New | New (use RefreshQty)
3 | Random | Random (randomize value)
4 | Undisclosed | Undisclosed (invisible order)

Used in components: DisplayInstruction

DisplayMinIncr

Defines the minimum increment to be used when calculating a random refresh of DisplayQty. A user specifies this when he wants a larger increment than the standard provided by the market (e.g. the round lot size).

Type: Qty

Used in components: DisplayInstruction

DisplayQty

The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.

Type: Qty

Used in components: DisplayInstruction

DisplayWhen

Instructs when to refresh DisplayQty (1138).

Type: char

Allowed values in DisplayWhenCodeSet:

Code | Name | Description
1 | Immediate | Immediate (after each fill)
2 | Exhaust | Exhaust (when DisplayQty = 0)

Used in components: DisplayInstruction

DistribPaymentMethod

Identifies the payment method for a (fractional) distribution. Used for CIV.

Type: int

Allowed values in DistribPaymentMethodCodeSet:

Code | Name | Description
1 | CREST | CREST
2 | NSCC | NSCC
3 | Euroclear | Euroclear
4 | Clearstream | Clearstream
5 | Cheque | Cheque
6 | TelegraphicTransfer | Telegraphic Transfer
7 | FedWire | Fed Wire
8 | DirectCredit | Direct Credit (BECS, BACS)
9 | ACHCredit | ACH Credit
10 | BPAY | BPAY
11 | HighValueClearingSystemHVACS | High Value Clearing System HVACS
12 | ReinvestInFund | Reinvest In Fund
999 | Other | Other

Used in groups: RgstDistInstGrp

DistribPercentage

The amount of each distribution to go to this beneficiary, expressed as a percentage

Type: Percentage

Used in groups: RgstDistInstGrp

DividendAccrualFixedRate

The dividend accrual fixed rate per annum expressed as a decimal.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: DividendConditions

DividendAccrualFloatingRate

The DividendAccrualFloatingRate component is a subcomponent of DividendConditions used to define the dividend accrual floating rate attributes of dividend payment conditions.

Name | Mult. | Type | Description
DividendFloatingRateIndex | [0..1] | String |
DividendFloatingRateIndexCurvePeriod | [0..1] | int | Conditionally required when DividendFloatingRateIndexCurveUnit(42220) is specified.
DividendFloatingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when DividendFloatingRateIndexCurvePeriod(42219) is specified.
DividendFloatingRateMultiplier | [0..1] | float |
DividendFloatingRateSpread | [0..1] | PriceOffset |
DividendFloatingRateSpreadPositionType | [0..1] | CodeSet |
DividendFloatingRateTreatment | [0..1] | CodeSet |
DividendCapRate | [0..1] | Percentage |
DividendCapRateBuySide | [0..1] | CodeSet |
DividendCapRateSellSide | [0..1] | CodeSet |
DividendFloorRate | [0..1] | Percentage |
DividendFloorRateBuySide | [0..1] | CodeSet |
DividendFloorRateSellSide | [0..1] | CodeSet |
DividendInitialRate | [0..1] | Percentage |
DividendFinalRateRoundingDirection | [0..1] | CodeSet |
DividendFinalRatePrecision | [0..1] | int |
DividendAveragingMethod | [0..1] | CodeSet |
DividendNegativeRateTreatment | [0..1] | CodeSet |

Used in components: DividendConditions

DividendAccrualPaymeentDateBusinessDayConvention

Accrual payment date adjustment business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDateAdjusted

The adjusted accrual payment date.

Type: LocalMktDate

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDateBusinessCenter

The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: DividendAccrualPaymentDateBusinessCenterGrp

DividendAccrualPaymentDateBusinessCenterGrp

DividendAccrualPaymentDateBusinessCenterGrp is a repeating subcomponent within the DividendAccrualPaymentDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoDividendAccrualPaymentDateBusinessCenters | [1..1] | NumInGroup |
DividendAccrualPaymentDateBusinessCenter | [0..1] | String | Required if NoDividendAccrualPaymentDateBusinessCenters(42236) > 0.

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDate

The DividendAccrualPaymentDate component is a subcomponent of DividendConditions used to report the dividend accrual payment date.

Name | Mult. | Type | Description
DividendAccrualPaymentDateRelativeTo | [0..1] | int |
DividendAccrualPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when DividendAccrualPaymentDateOffsetUnit(42240) is specified.
DividendAccrualPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when DividendAccrualPaymentDateOffsetPeriod(42239) is specified.
DividendAccrualPaymentDateOffsetDayType | [0..1] | CodeSet |
DividendAccrualPaymentDateUnadjusted | [0..1] | LocalMktDate |
DividendAccrualPaymeentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The value would be specific to this instance of DividendAccrualPaymentDate.
DividendAccrualPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The values would be specific to this instance of DividendAccrualPaymentDate.
DividendAccrualPaymentDateAdjusted | [0..1] | LocalMktDate |

Used in components: DividendConditions

DividendAccrualPaymentDateOffsetDayType

Specifies the day type of the relative accrual payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDateOffsetPeriod

Time unit multiplier for the relative accrual payment date offset.

Type: int

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDateOffsetUnit

Time unit associated with the relative accrual payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDateRelativeTo

Specifies the anchor date when the accrual payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: DividendAccrualPaymentDate

DividendAccrualPaymentDateUnadjusted

The unadjusted accrual payment date.

Type: LocalMktDate

Used in components: DividendAccrualPaymentDate

DividendAmountType

Indicates how the gross cash dividend amount per share is determined.

Type: int

Allowed values in DividendAmountTypeCodeSet:

Code | Name | Description
0 | RecordAmount | Record amount. 100% of the gross cash dividend per share paid over record date during relevant dividend period.
1 | ExAmount | Ex amount. 100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
2 | PaidAmount | Paid amount. 100% of gross cash dividend per share paid during relevant dividend period.
3 | PerMasterConfirm | As specified in master confirmation. The amount is determined as provided in the relevant master confirmation.

Used in components: DividendConditions

DividendAveragingMethod

When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: DividendAccrualFloatingRate

DividendCapRate

The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".

Type: Percentage

Used in components: DividendAccrualFloatingRate

DividendCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: DividendAccrualFloatingRate

DividendCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: DividendAccrualFloatingRate

DividendCashEquivalentPercentage

Declared cash-equivalent dividend percentage.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: DividendConditions

DividendCashPercentage

Declared cash dividend percentage.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: DividendConditions

DividendComposition

Defines how the composition of dividends is to be determined.

Type: int

Allowed values in DividendCompositionCodeSet:

Code | Name | Description
0 | EquityAmountReceiver | Equity amount receiver election. The equity amount receiver determines the composition of dividends (subject to conditions).
1 | CalculationAgent | Calculation agent election. The calculation agent determines the composition of dividends (subject to conditions).

Used in components: DividendConditions

DividendCompoundingMethod

The compounding method to be used when more than one dividend period contributes to a single payment.

Type: int

Allowed values in PaymentStreamCompoundingMethodCodeSet:

Code | Name | Description
0 | None | None
1 | Flat | Flat
2 | Straight | Straight
3 | SpreadExclusive | Spread exclusive

Used in components: DividendConditions

DividendConditions

The DividendConditions component is a subcomponent of PaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.

Name | Mult. | Type | Description
DividendReinvestmentIndicator | [0..1] | Boolean |
DividendEntitlementEvent | [0..1] | CodeSet |
DividendAmountType | [0..1] | CodeSet |
DividendUnderlierRefID | [0..1] | String |
DividendPeriodGrp | [0..*] | Group |
ExtraordinaryDividendPartySide | [0..1] | CodeSet |
ExtraordinaryDividendAmountType | [0..1] | CodeSet |
ExtraordinaryDividendCurrency | [0..1] | Currency |
ExtraordinaryDividendDeterminationMethod | [0..1] | String |
DividendFXTriggerDate | [0..1] | Component |
DividendAccrualFloatingRate | [0..1] | Component |
DividendAccrualFixedRate | [0..1] | Percentage |
DividendAccrualPaymentDate | [0..1] | Component |
DividendCompoundingMethod | [0..1] | CodeSet |
DividendNumOfIndexUnits | [0..1] | int |
DividendCashPercentage | [0..1] | Percentage |
DividendCashEquivalentPercentage | [0..1] | Percentage |
NonCashDividendTreatment | [0..1] | CodeSet |
DividendComposition | [0..1] | CodeSet |
SpecialDividendsIndicator | [0..1] | Boolean |
MaterialDividendsIndicator | [0..1] | Boolean |
OptionsExchangeDividendsIndicator | [0..1] | Boolean |
AdditionalDividendsIndicator | [0..1] | Boolean |
AllDividendsIndicator | [0..1] | Boolean |

Used in components: PaymentStreamFloatingRate

DividendEntitlementEvent

Defines the contract event which the receiver of the derivative is entitled to the dividend.

Type: int

Allowed values in DividendEntitlementEventCodeSet:

Code | Name | Description
0 | ExDate | Ex-date. Dividend entitlement is on the dividend ex-date.
1 | RecordDate | Record date. Dividend entitlement is on the dividend record date.

Used in components: DividendConditions

DividendFinalRatePrecision

Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: DividendAccrualFloatingRate

DividendFinalRateRoundingDirection

Specifies the rounding direction of the final rate.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: DividendAccrualFloatingRate

DividendFloatingRateIndex

The dividend accrual floating rate index.

Type: String

Used in components: DividendAccrualFloatingRate

DividendFloatingRateIndexCurvePeriod

Time unit multiplier for the dividend accrual floating rate index curve.

Type: int

Used in components: DividendAccrualFloatingRate

DividendFloatingRateIndexCurveUnit

Time unit associated with the dividend accrual floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: DividendAccrualFloatingRate

DividendFloatingRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.

Type: float

Used in components: DividendAccrualFloatingRate

DividendFloatingRateSpread

The basis points spread from the index specified in DividendFloatingRateIndex(42218).

Type: PriceOffset

Used in components: DividendAccrualFloatingRate

DividendFloatingRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: DividendAccrualFloatingRate

DividendFloatingRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: DividendAccrualFloatingRate

DividendFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: DividendAccrualFloatingRate

DividendFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: DividendAccrualFloatingRate

DividendFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: DividendAccrualFloatingRate

DividendFXTriggerDateAdjusted

The adjusted FX trigger date.

Type: LocalMktDate

Used in components: DividendFXTriggerDate

DividendFXTriggerDateBusinessCenter

The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: DividendFXTriggerDateBusinessCenterGrp

DividendFXTriggerDateBusinessCenterGrp

DividendFXTriggerDateBusinessCenterGrp is a repeating subcomponent within the DividendFXTriggerDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoDividendFXTriggerDateBusinessCenters | [1..1] | NumInGroup |
DividendFXTriggerDateBusinessCenter | [0..1] | String | Required if NoDividendFXTriggerDateBusinessCenters(42272) > 0.

Used in components: DividendFXTriggerDate

DividendFXTriggerDateBusinessDayConvention

The business day convention used for the FX trigger date adjustment.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: DividendFXTriggerDate

DividendFXTriggerDate

The DividendFXTriggerDate component is a subcomponent of DividendConditions used to report the dividend date when a foreign exchange trade is triggered.

Name | Mult. | Type | Description
DividendFXTriggerDateRelativeTo | [0..1] | int |
DividendFXTriggerDateOffsetPeriod | [0..1] | int | Conditionally required when DividendFXTriggerDateOffsetUnit(42267) is specified.
DividendFXTriggerDateOffsetUnit | [0..1] | CodeSet | Conditionally required when DividendFXTriggerDateOffsetPeriod(42266) is specified.
DividendFXTriggerDateOffsetDayType | [0..1] | CodeSet |
DividendFXTriggerDateUnadjusted | [0..1] | LocalMktDate |
DividendFXTriggerDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The value would be specific to this instance of DividendFXTriggerDate.
DividendFXTriggerDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The values would be specific to this instance of DividendFXTriggerDate.
DividendFXTriggerDateAdjusted | [0..1] | LocalMktDate |

Used in components: DividendConditions

DividendFXTriggerDateOffsetDayType

Specifies the day type of the relative FX trigger date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: DividendFXTriggerDate

DividendFXTriggerDateOffsetPeriod

Time unit multiplier for the relative FX trigger date offset.

Type: int

Used in components: DividendFXTriggerDate

DividendFXTriggerDateOffsetUnit

Time unit associated with the relative FX trigger date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: DividendFXTriggerDate

DividendFXTriggerDateRelativeTo

Specifies the anchor date when the FX trigger date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: DividendFXTriggerDate

DividendFXTriggerDateUnadjusted

The unadjusted FX trigger date.

Type: LocalMktDate

Used in components: DividendFXTriggerDate

DividendInitialRate

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: DividendAccrualFloatingRate

DividendNegativeRateTreatment

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: DividendAccrualFloatingRate

DividendNumOfIndexUnits

The number of index units applicable to dividends.

Type: int

Used in components: DividendConditions

DividendPeriodBusinessCenter

The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: DividendPeriodBusinessCenterGrp

DividendPeriodBusinessCenterGrp

DividendPeriodBusinessCenterGrp is a repeating subcomponent within the DividendPeriodGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoDividendPeriodBusinessCenters | [1..1] | NumInGroup |
DividendPeriodBusinessCenter | [0..1] | String | Required if NoDividendPeriodBusinessCenters(42294) > 0.

Used in groups: DividendPeriodGrp

DividendPeriodBusinessDayConvention

The dividend period dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: DividendPeriodGrp

DividendPeriodEndDateUnadjusted

The unadjusted date on which the dividend period will end.

Type: LocalMktDate

Used in groups: DividendPeriodGrp

DividendPeriodGrp

DividendPeriodGrp is a repeating subcomponent within the DividendConditions component. It is used to specify the valuation and payments dates of the dividend leg of a dividend swap.

Name | Mult. | Type | Description
NoDividendPeriods | [1..1] | NumInGroup |
DividendPeriodSequence | [0..1] | int | Required if NoDividendPeriods(42274) > 0.
DividendPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
DividendPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
DividendPeriodUnderlierRefID | [0..1] | String | When specified, this overrides DividendUnderlierRefID(42248). The specified value would be specific to this dividend period instance.
DividendPeriodStrikePrice | [0..1] | Price |
DividendPeriodBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this dividend period instance.
DividendPeriodBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this dividend period instance.
DividendPeriodValuationDateUnadjusted | [0..1] | LocalMktDate |
DividendPeriodValuationDateRelativeTo | [0..1] | int |
DividendPeriodValuationDateOffsetPeriod | [0..1] | int | Conditionally required when DividendPeriodValuationDateOffsetUnit(42284) is specified.
DividendPeriodValuationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when DividendPeriodValuationDateOffsetPeriod(42283) is specified.
DividendPeriodValuationDateOffsetDayType | [0..1] | CodeSet |
DividendPeriodValuationDateAdjusted | [0..1] | LocalMktDate |
DividendPeriodPaymentDateUnadjusted | [0..1] | LocalMktDate |
DividendPeriodPaymentDateRelativeTo | [0..1] | int |
DividendPeriodPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when DividendPeriodPaymentDateOffsetUnit(42290) is specified.
DividendPeriodPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when DividendPeriodPaymentDateOffsetPeriod(42289) is specified.
DividendPeriodPaymentDateOffsetDayType | [0..1] | CodeSet |
DividendPeriodPaymentDateAdjusted | [0..1] | LocalMktDate |
DividendPeriodXID | [0..1] | XID |

Used in components: DividendConditions

DividendPeriodPaymentDateAdjusted

The adjusted dividend period payment date.

Type: LocalMktDate

Used in groups: DividendPeriodGrp

DividendPeriodPaymentDateOffsetDayType

Specifies the day type of the relative dividend period payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: DividendPeriodGrp

DividendPeriodPaymentDateOffsetPeriod

Time unit multiplier for the relative dividend period payment date offset.

Type: int

Used in groups: DividendPeriodGrp

DividendPeriodPaymentDateOffsetUnit

Time unit associated with the relative dividend period payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: DividendPeriodGrp

DividendPeriodPaymentDateRelativeTo

Specifies the anchor date when the dividend period payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: DividendPeriodGrp

DividendPeriodPaymentDateUnadjusted

The unadjusted dividend period payment date.

Type: LocalMktDate

Used in groups: DividendPeriodGrp

DividendPeriodSequence

Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.

Type: int

Used in groups: DividendPeriodGrp

DividendPeriodStartDateUnadjusted

The unadjusted date on which the dividend period will begin.

Type: LocalMktDate

Used in groups: DividendPeriodGrp

DividendPeriodStrikePrice

Specifies the fixed strike price of the dividend period.

Type: Price

Used in groups: DividendPeriodGrp

DividendPeriodUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in groups: DividendPeriodGrp

DividendPeriodValuationDateAdjusted

The adjusted dividend period valuation date.

Type: LocalMktDate

Used in groups: DividendPeriodGrp

DividendPeriodValuationDateOffsetDayType

Specifies the day type of the relative dividend period valuation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: DividendPeriodGrp

DividendPeriodValuationDateOffsetPeriod

Time unit multiplier for the relative dividend period valuation date offset.

Type: int

Used in groups: DividendPeriodGrp

DividendPeriodValuationDateOffsetUnit

Time unit associated with the relative dividend period valuation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: DividendPeriodGrp

DividendPeriodValuationDateRelativeTo

Specifies the anchor date when the dividend period valuation date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: DividendPeriodGrp

DividendPeriodValuationDateUnadjusted

The unadjusted dividend period valuation date.

Type: LocalMktDate

Used in groups: DividendPeriodGrp

DividendPeriodXID

Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.

Type: XID

Used in groups: DividendPeriodGrp

DividendReinvestmentIndicator

Indicates whether the dividend will be reinvested.

Type: Boolean

Used in components: DividendConditions

DividendUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: DividendConditions

DividendYield

The continuously-compounded annualized dividend yield of the underlying(s) of an option. Used as a parameter to theoretical option pricing models.

Type: Percentage

Used in messages: ExecutionReport, TradeCaptureReport

DKReason

Reason for execution rejection.

Type: char

Allowed values in DKReasonCodeSet:

Code | Name | Description
A | UnknownSymbol | Unknown security
B | WrongSide | Wrong side
C | QuantityExceedsOrder | Quantity exceeds order
D | NoMatchingOrder | No matching order
E | PriceExceedsLimit | Price exceeds limit
F | CalculationDifference | Calculation difference
G | NoMatchingExecutionReport | No matching ExecutionReport(35=8)
Z | Other | Other

Used in messages: DontKnowTrade, ExecutionAck

DlvyInstGrp

Name | Mult. | Type | Description
NoDlvyInst | [1..1] | NumInGroup |
SettlInstSource | [0..1] | CodeSet |
DlvyInstType | [0..1] | CodeSet |
SettlParties | [0..*] | Group |

Used in components: SettlInstructionsData

DlvyInstType

Used to indicate whether a delivery instruction is used for securities or cash settlement.

Type: char

Allowed values in DlvyInstTypeCodeSet:

Code | Name | Description
C | Cash | Cash
S | Securities | Securities

Used in groups: DlvyInstGrp

DocumentationText

A sentence or phrase pertenant to the trade, not a reference to an external document. E.g. "To be registered with the U.S. Environmental Protection Agency, Acid Rain Division, SO2 Allowance Tracking System"

Type: String

Used in components: FinancingDetails

DueToRelated

Indicates whether or not the halt was due to the Related Security being halted.

Type: Boolean

Allowed values in DueToRelatedCodeSet:

Code | Name | Description
N | NotRelatedToSecurityHalt | Halt was not related to a halt of the related security
Y | RelatedToSecurityHalt | Halt was due to related security being halted

Used in messages: SecurityStatus

DuplicateClOrdIDIndicator

Used to indicate that a ClOrdID(11) value is an intentional duplicate of a previously sent value. Allows to avoid the rejection of an order with OrdRejReason(103) = 6 (Duplicate Order).

Type: Boolean

Allowed values in DuplicateClOrdIDIndicatorCodeSet:

Code | Name | Description
N | UniqueClOrdID | Unique ClOrdID(11)
Y | DuplicateClOrdID | Duplicate ClOrdID(11)

Used in messages: NewOrderSingle, OrderCancelReplaceRequest

EffectiveBusinessDate

Specifies an explicit business date for associated reference data or transaction. Used when an implicit date is not sufficiently specific.

Type: LocalMktDate

Used in messages: MarketDefinition, MarketDefinitionUpdateReport, PartyActionReport, SecurityDefinition, SecurityDefinitionUpdateReport

EffectiveTime

Time the details within the message should take effect (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: ListOrdGrp, SettlInstGrp, SettlObligationInstructions

Used in messages: AlgoCertificateReport, AlgoCertificateRequest, CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, SettlementInstructionRequest

EFPTrackingError

Eg Used in EFP trades 2% (EFP - Exchange for Physical ). Represented as a percentage.

Type: Percentage

Used in groups: BidDescReqGrp

EmailThreadID

Unique identifier for an email thread (new and chain of replies)

Type: String

Used in messages: Email

EmailType

Email message type.

Type: char

Allowed values in EmailTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Reply | Reply
2 | AdminReply | Admin Reply

Used in messages: Email

EncodedAdditionalTermBondDesc

Encoded (non-ASCII characters) representation of the AdditionalTermBondDesc(40003) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AdditionalTermBondDesc(40003) field.

Type: data

Used in groups: AdditionalTermBondRefGrp

EncodedAdditionalTermBondDescLen

Byte length of encoded (non-ASCII characters) EncodedAdditionalTermBondDesc(40005) field.

Type: Length

Used in groups: AdditionalTermBondRefGrp

EncodedAdditionalTermBondIssuer

Encoded (non-ASCII characters) representation of the AdditionalTermBondIssuer(40007) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AdditionalTermBondIssuer(40007) field.

Type: data

Used in groups: AdditionalTermBondRefGrp

EncodedAdditionalTermBondIssuerLen

Byte length of encoded (non-ASCII characters) EncodedAdditionalTermBondIssuer(40009) field.

Type: Length

Used in groups: AdditionalTermBondRefGrp

EncodedAllocCommissionDesc

Encoded (non-ASCII characters) representation of the AllocCommissionDesc(2664) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the AllocCommissionDesc(2664) field.

Type: data

Used in groups: AllocCommissionDataGrp

EncodedAllocCommissionDescLen

Byte length of the encoded (non-ASCII characters) EncodedAllocCommissionDesc(2666) field.

Type: Length

Used in groups: AllocCommissionDataGrp

EncodedAllocText

Encoded (non-ASCII characters) representation of the AllocText (161) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the AllocText field.

Type: data

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

EncodedAllocTextLen

Byte length of encoded (non-ASCII characters) EncodedAllocText (361) field.

Type: Length

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

EncodedAttachment

The content of the attachment in the encoding format specified in the AttachmentEncodingType(2109) field.

Type: data

Used in groups: AttachmentGrp

EncodedAttachmentLen

Byte length of encoded the EncodedAttachment(2112) field.

Type: Length

Used in groups: AttachmentGrp

EncodedCancelText

Encoded (non-ASCII characters) representation of the CancelText(2807) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the CancelText(2807) field.

Type: data

Used in messages: PayManagementRequest

EncodedCancelTextLen

Byte length of encoded (non-ASCII characters) EncodedCancelText(2808) field.

Type: Length

Used in messages: PayManagementRequest

EncodedCommissionDesc

Encoded (non-ASCII characters) representation of the CommissionDesc(2650) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the CommissionDesc(2650) field.

Type: data

Used in groups: CommissionDataGrp

EncodedCommissionDescLen

Byte length of the encoded (non-ASCII characters) EncodedCommissionDesc(2652) field.

Type: Length

Used in groups: CommissionDataGrp

EncodedComplianceText

Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ComplianceText(2404) field.

Type: data

Used in groups: ListOrdGrp, SideCrossOrdCxlGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, Quote, QuoteRequest, SecurityDefinitionRequest

EncodedComplianceTextLen

Byte length of encoded (non-ASCII characters) EncodedComplianceText(2352) field.

Type: Length

Used in groups: ListOrdGrp, SideCrossOrdCxlGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, Quote, QuoteRequest, SecurityDefinitionRequest

EncodedDeliveryStreamCycleDesc

Encoded (non-ASCII characters) representation of the DeliveryStreamCycleDesc(41082) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DeliveryStreamCycleDesc(41082) field.

Type: data

Used in groups: DeliveryStreamCycleGrp

EncodedDeliveryStreamCycleDescLen

Byte length of encoded (non-ASCII characters) EncodedDeliveryStreamCycleDesc(41084) field.

Type: Length

Used in groups: DeliveryStreamCycleGrp

EncodedDocumentationText

Encoded (non-ASCII characters) representation of the DocumentationText(1513) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the DocumentationText(1513) field.

Type: data

Used in components: FinancingDetails

EncodedDocumentationTextLen

Byte length of encoded (non-ASCII characters) EncodedDocumentationText(1527) field.

Type: Length

Used in components: FinancingDetails

EncodedEventText

Encoded (non-ASCII characters) representation of the EventText(868) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the EventText(868) field.

Type: data

Used in groups: EvntGrp

EncodedEventTextLen

Byte length of encoded (non-ASCII characters) EncodedEventText(868) fied.

Type: Length

Used in groups: EvntGrp

EncodedExerciseDesc

Encoded (non-ASCII characters) representation of the ExerciseDesc(41106) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ExerciseDesc(41106) field.

Type: data

Used in components: OptionExercise

EncodedExerciseDescLen

Byte length of encoded (non-ASCII characters) EncodedExerciseDesc(41102) field.

Type: Length

Used in components: OptionExercise

EncodedFinancialInstrumentFullName

Encoded (non-ASCII characters) representation of the FinancialInstrumentFullName(2714) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the FinancialInstrumentFullName(2714) field.

Type: data

Used in components: Instrument

EncodedFinancialInstrumentFullNameLen

Byte length of encoded (non-ASCII characters) EncodedFinancialInstrumentFullName(2716) field.

Type: Length

Used in components: Instrument

EncodedFirmAllocText

Encoded (non-ASCII characters) representation of the FirmAllocText(1732) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) represention should also be specified in FirmAllocText(1732) field.

Type: data

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

EncodedFirmAllocTextLen

Byte length of encoded (non-ASCII characters) EncodedFirmAllocText(1734) field.

Type: Length

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

EncodedHeadline

Encoded (non-ASCII characters) representation of the Headline (148) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Headline field.

Type: data

Used in messages: News

EncodedHeadlineLen

Byte length of encoded (non-ASCII characters) EncodedHeadline (359) field.

Type: Length

Used in messages: News

EncodedIssuer

Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Issuer field.

Type: data

Used in components: Instrument

EncodedIssuerLen

Byte length of encoded (non-ASCII characters) EncodedIssuer (349) field.

Type: Length

Used in components: Instrument

EncodedLegAdditionalTermBondDesc

Encoded (non-ASCII characters) representation of the LegAdditionalTermBondDesc(41319) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegAdditionalTermBondDesc(41319) field.

Type: data

Used in groups: LegAdditionalTermBondRefGrp

EncodedLegAdditionalTermBondDescLen

Byte length of encoded (non-ASCII characters) EncodedLegAdditionalTermBondDesc(41321) field.

Type: Length

Used in groups: LegAdditionalTermBondRefGrp

EncodedLegAdditionalTermBondIssuer

Encoded (non-ASCII characters) representation of the LegAdditionalTermBondIssuer(41323) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegAdditionalTermBondIssuer(41323) field.

Type: data

Used in groups: LegAdditionalTermBondRefGrp

EncodedLegAdditionalTermBondIssuerLen

Byte length of encoded (non-ASCII characters) EncodedLegAdditionalTermBondIssuer(41325) field.

Type: Length

Used in groups: LegAdditionalTermBondRefGrp

EncodedLegDeliveryStreamCycleDesc

Encoded (non-ASCII characters) representation of the LegDeliveryStreamCycleDesc(41457) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegLeg DeliveryStream(41457) field.

Type: data

Used in groups: LegDeliveryStreamCycleGrp

EncodedLegDeliveryStreamCycleDescLen

Byte length of encoded (non-ASCII characters) EncodedLegDeliveryStreamCycleDesc(41459) field.

Type: Length

Used in groups: LegDeliveryStreamCycleGrp

EncodedLegDocumentationText

Encoded (non-ASCII characters) representation of the LegDocumentationText(2505) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the LegDocumentationText(2505) field.

Type: data

Used in components: LegFinancingDetails

EncodedLegDocumentationTextLen

Byte length of encoded (non-ASCII characters) EncodedLegDocumentationText(2493) field.

Type: Length

Used in components: LegFinancingDetails

EncodedLegEventText

Encoded (non-ASCII characters) representation of the LegEventText(2066) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegEventText(2066) field.

Type: data

Used in groups: LegEvntGrp

EncodedLegEventTextLen

Byte length of encoded (non-ASCII characters) EncodedLegEventText(2075) field.

Type: Length

Used in groups: LegEvntGrp

EncodedLegExerciseDesc

Encoded (non-ASCII characters) representation of the LegExerciseDesc(41481) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegExerciseDesc(41481) field.

Type: data

Used in components: LegOptionExercise

EncodedLegExerciseDescLen

Byte length of encoded (non-ASCII characters) EncodedLegExerciseDesc(41483) field.

Type: Length

Used in components: LegOptionExercise

EncodedLegFinancialInstrumentFullName

Encoded (non-ASCII characters) representation of the LegFinancialInstrumentFullName(2717) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the LegFinancialInstrumentFullName(2717) field.

Type: data

Used in components: InstrumentLeg

EncodedLegFinancialInstrumentFullNameLen

Byte length of encoded (non-ASCII characters) individual multileg instrument's EncodedLegFinancialInstrumentFullName(2719).

Type: Length

Used in components: InstrumentLeg

EncodedLegIssuer

Multileg instrument's individual security's EncodedIssuer.

See EncodedIssuer (349) field for description

Type: data

Used in components: InstrumentLeg

EncodedLegIssuerLen

Multileg instrument's individual security's EncodedIssuerLen.

See EncodedIssuerLen (348) field for description

Type: Length

Used in components: InstrumentLeg

EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc

Encoded (non-ASCII characters) representation of the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field.

Type: data

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

EncodedLegMarketDisruptionFallbackUnderlierSecurityDescLen

Byte length of encoded (non-ASCII characters) EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc (41477) field.

Type: Length

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

EncodedLegOptionExpirationDesc

Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc(2178) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegOptionExpirationDesc(2178).

Type: data

Used in components: InstrumentLeg

EncodedLegOptionExpirationDescLen

Byte length of encoded (non-ASCII characters) EncodedLegOptionExpirationDesc(2180) field.

Type: Length

Used in components: InstrumentLeg

EncodedLegProvisionText

Encoded (non-ASCII characters) representation of the LegProvisionText(40472) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegProvisionText(40472) field.

Type: data

Used in groups: LegProvisionGrp

EncodedLegProvisionTextLen

Byte length of encoded (non-ASCII characters) EncodedLegProvisionText(40472) field.

Type: Length

Used in groups: LegProvisionGrp

EncodedLegSecurityDesc

Multileg instrument's individual security's EncodedSecurityDesc.

See EncodedSecurityDesc (35) field for description

Type: data

Used in components: InstrumentLeg

EncodedLegSecurityDescLen

Multileg instrument's individual security's EncodedSecurityDescLen.

See EncodedSecurityDescLen (350) field for description

Type: Length

Used in components: InstrumentLeg

EncodedLegStreamCommodityDesc

Encoded (non-ASCII characters) representation of the LegStreamCommodityDesc(41652) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegStreamCommodityDesc(41652) field.

Type: data

Used in components: LegStreamCommodity

EncodedLegStreamCommodityDescLen

Byte length of encoded (non-ASCII characters) EncodedLegStreamCommodityDesc(41654) field.

Type: Length

Used in components: LegStreamCommodity

EncodedLegStreamText

Encoded (non-ASCII characters) representation of the LegStreamText(40248) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the LegStreamText(40248) field.

Type: data

Used in groups: LegStreamGrp

EncodedLegStreamTextLen

Byte length of encoded (non-ASCII characters) EncodedLegStreamText(40979) field.

Type: Length

Used in groups: LegStreamGrp

EncodedListExecInst

Encoded (non-ASCII characters) representation of the ListExecInst (69) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ListExecInst field.

Type: data

Used in messages: NewOrderList

EncodedListExecInstLen

Byte length of encoded (non-ASCII characters) EncodedListExecInst (353) field.

Type: Length

Used in messages: NewOrderList

EncodedListStatusText

Encoded (non-ASCII characters) representation of the ListStatusText (444) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ListStatusText field.

Type: data

Used in messages: ListStatus

EncodedListStatusTextLen

Byte length of encoded (non-ASCII characters) EncodedListStatusText (446) field.

Type: Length

Used in messages: ListStatus

EncodedMarketDisruptionFallbackUnderlierSecurityDesc

Encoded (non-ASCII characters) representation of the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field.

Type: data

Used in groups: MarketDisruptionFallbackReferencePriceGrp

EncodedMarketDisruptionFallbackUnderlierSecurityDescLen

Byte length of encoded (non-ASCII characters) EncodedMarketDisruptionFallbackUnderlierSecurityDesc(41102) field.

Type: Length

Used in groups: MarketDisruptionFallbackReferencePriceGrp

EncodedMatchExceptionText

Encoded (non-ASCII characters) representation of the MatchExceptionText(2780) field in the encoded format specified via the MessageEncoding(347) field.

If used, the ASCII (English) representation should also be specified in the MatchExceptionText(2780) field.

Type: data

Used in groups: MatchExceptionGrp

EncodedMatchExceptionTextLen

Byte length of encoded (non-ASCII characters) EncodedMatchExceptionText(2798) field.

Type: Length

Used in groups: MatchExceptionGrp

EncodedMDStatisticDesc

Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MDStatisticDesc(2455) field.

Type: data

Used in components: MDStatisticParameters

EncodedMDStatisticDescLen

Byte length of encoded (non-ASCII characters) EncodedMDStatisticDesc(2482) field.

Type: Length

Used in components: MDStatisticParameters

EncodedMiscFeeSubTypeDesc

Encoded (non-ASCII characters) representation of the MiscFeeSubTypeDesc(2636) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MiscFeeSubTypeDesc(2636) field.

Type: data

Used in groups: MiscFeesSubGrp

EncodedMiscFeeSubTypeDescLen

Byte length of encoded (non-ASCII characters) EncodedMiscFeeSubTypeDesc(2638) field.

Type: Length

Used in groups: MiscFeesSubGrp

EncodedMktSegmDesc

Encoded (non-ASCII characters) representation of the MarketSegmDesc(1396) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the MarketSegmDesc field.

Type: data

Used in messages: MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport

EncodedMktSegmDescLen

Byte length of encoded (non-ASCII characters) EncodedMktSegmDesc(1324) field.

Type: Length

Used in messages: MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport

EncodedOptionExpirationDesc

Encoded (non-ASCII characters) representation of the OptionExpirationDesc(1581) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the OptionExpirationDesc(1581).

Type: data

Used in components: Instrument

EncodedOptionExpirationDescLen

Byte length of encoded (non-ASCII characters) EncodedOptionExpirationDesc(1697) field.

Type: Length

Used in components: Instrument

EncodedPaymentText

Encoded (non-ASCII characters) representation of the PaymentText(40229) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the PaymentText(40229) field.

Type: data

Used in groups: PaymentGrp

EncodedPaymentTextLen

Byte length of encoded (non-ASCII characters) EncodedPaymentText(40985) field.

Type: Length

Used in groups: PaymentGrp

EncodedPostTradePaymentDesc

Encoded (non-ASCII characters) representation of the PostTradePaymentDesc(2820) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the PostTradePaymentDesc(2820) field.

Type: data

Used in components: PostTradePayment

EncodedPostTradePaymentDescLen

Byte length of encoded (non-ASCII characters) EncodedPostTradePaymentDesc(2814) field.

Type: Length

Used in components: PostTradePayment

EncodedProvisionText

Encoded (non-ASCII characters) representation of the ProvisionText(40113) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the ProvisionText(40113) field.

Type: data

Used in groups: ProvisionGrp

EncodedProvisionTextLen

Byte length of encoded (non-ASCII characters) EncodedProvisionText(40987) field.

Type: Length

Used in groups: ProvisionGrp

EncodedRejectText

Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the RejectText(1328) field.

Type: data

Used in groups: PartyDetailAckGrp, PartyEntitlementAckGrp, PartyRiskLimitsAckGrp

Used in messages: AlgoCertificateReportAck, AlgoCertificateRequestAck, AllocationInstructionAck, AllocationInstructionAlertRequestAck, AllocationReportAck, CollateralReportAck, CollateralResponse, ExecutionReport, MassOrderAck, OrderCancelReject, PartyActionReport, PartyDetailsListReport, PartyEntitlementsReport, PartyRiskLimitCheckRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PayManagementReport, PayManagementReportAck, PositionMaintenanceReport, PositionTransferInstructionAck, PositionTransferReport, QuoteAck, QuoteStatusReport, SettlementStatusReportAck, SettlementStatusRequestAck, TestActionRequestAck, TestSuiteDefinitionRequestAck, TradeAggregationReport, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReportAck

EncodedRejectTextLen

Byte length of encoded (non-ASCII characters) EncodedRejectText(1665) field.

Type: Length

Used in groups: PartyDetailAckGrp, PartyEntitlementAckGrp, PartyRiskLimitsAckGrp

Used in messages: AlgoCertificateReportAck, AlgoCertificateRequestAck, AllocationInstructionAck, AllocationInstructionAlertRequestAck, AllocationReportAck, CollateralReportAck, CollateralResponse, ExecutionReport, MassOrderAck, OrderCancelReject, PartyActionReport, PartyDetailsListReport, PartyEntitlementsReport, PartyRiskLimitCheckRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PayManagementReport, PayManagementReportAck, PositionMaintenanceReport, PositionTransferInstructionAck, PositionTransferReport, QuoteAck, QuoteStatusReport, SettlementStatusReportAck, SettlementStatusRequestAck, TestActionRequestAck, TestSuiteDefinitionRequestAck, TradeAggregationReport, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReportAck

EncodedReplaceText

Encoded (non-ASCII characters) representation of the ReplaceText(2805) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the ReplaceText(2805) field.

Type: data

Used in messages: PayManagementReport

EncodedReplaceTextLen

Byte length of encoded (non-ASCII characters) EncodedReplaceText(2801) field.

Type: Length

Used in messages: PayManagementReport

EncodedSecurityDesc

Encoded (non-ASCII characters) representation of the SecurityDesc (107) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the SecurityDesc field.

Type: data

Used in components: Instrument

EncodedSecurityDescLen

Byte length of encoded (non-ASCII characters) EncodedSecurityDesc (351) field.

Type: Length

Used in components: Instrument

EncodedSecurityListDesc

Encoded (non-ASCII characters) representation of the SecurityListDesc(1467) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the SecurityListDesc(1467) field.

Type: data

Used in messages: SecurityList, SecurityListUpdateReport

EncodedSecurityListDescLen

Byte length of encoded (non-ASCII characters) EncodedSecurityListDesc(1469) field.

Type: Length

Used in messages: SecurityList, SecurityListUpdateReport

EncodedSettlStatusReasonText

Encoded (non-ASCII characters) representation of the SettlStatusReasonText(2970) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the SettlStatusReasonText(2970) field.

Type: data

Used in messages: SettlementStatusReport

EncodedSettlStatusReasonTextLen

Byte length of encoded (non-ASCII characters) EncodedSettlStatusReasonText(2972) field.

Type: Length

Used in messages: SettlementStatusReport

EncodedStreamCommodityDesc

Encoded (non-ASCII characters) representation of the StreamCommodityDesc(41255) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the StreamCommodityDesc(41255) field.

Type: data

Used in components: StreamCommodity

EncodedStreamCommodityDescLen

Byte length of encoded (non-ASCII characters) EncodedStreamCommodityDesc(41257) field.

Type: Length

Used in components: StreamCommodity

EncodedStreamText

Encoded (non-ASCII characters) representation of the StreamText(40056) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the StreamText(40056) field.

Type: data

Used in groups: StreamGrp

EncodedStreamTextLen

Byte length of encoded (non-ASCII characters) EncodedStreamText(40983) field.

Type: Length

Used in groups: StreamGrp

EncodedSubject

Encoded (non-ASCII characters) representation of the Subject (147) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Subject field.

Type: data

Used in messages: Email

EncodedSubjectLen

Byte length of encoded (non-ASCII characters) EncodedSubject (357) field.

Type: Length

Used in messages: Email

EncodedText

Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the Text(58) field.

Type: data

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, LinesOfTextGrp, ListOrdGrp, MDFullGrp, MDIncGrp, OrdListStatGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp, StrmAsgnRptInstrmtGrp, TrdCapRptSideGrp, TrdMatchSideGrp, TrdSessLstGrp

Used in messages: Advertisement, AlgoCertificateReport, AlgoCertificateRequest, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, ApplicationMessageReport, ApplicationMessageRequest, ApplicationMessageRequestAck, AssignmentReport, BidRequest, BusinessMessageReject, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ConfirmationAck, ConfirmationRequest, ContraryIntentionReport, DerivativeSecurityListRequest, DontKnowTrade, ExecutionAck, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatusRequest, Logon, Logout, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataRequestReject, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, PartyActionReport, PartyActionRequest, PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListReport, PartyDetailsListRequest, PartyDetailsListUpdateReport, PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsReport, PartyEntitlementsRequest, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteAck, QuoteRequest, QuoteRequestReject, QuoteResponse, QuoteStatusReport, Reject, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityTypeRequest, SecurityTypes, SettlementInstructions, SettlementObligationReport, SettlementStatusReport, SettlementStatusRequest, StreamAssignmentReportACK, TestActionReport, TestActionRequest, TestSuiteDefinitionRequest, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradeMatchReportAck, TradingSessionStatus, UserNotification

EncodedTextLen

Byte length of encoded (non-ASCII characters) EncodedText (355) field.

Type: Length

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, LinesOfTextGrp, ListOrdGrp, MDFullGrp, MDIncGrp, OrdListStatGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp, StrmAsgnRptInstrmtGrp, TrdCapRptSideGrp, TrdMatchSideGrp, TrdSessLstGrp

Used in messages: Advertisement, AlgoCertificateReport, AlgoCertificateRequest, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, ApplicationMessageReport, ApplicationMessageRequest, ApplicationMessageRequestAck, AssignmentReport, BidRequest, BusinessMessageReject, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ConfirmationAck, ConfirmationRequest, ContraryIntentionReport, DerivativeSecurityListRequest, DontKnowTrade, ExecutionAck, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatusRequest, Logon, Logout, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataRequestReject, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, PartyActionReport, PartyActionRequest, PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListReport, PartyDetailsListRequest, PartyDetailsListUpdateReport, PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsReport, PartyEntitlementsRequest, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteAck, QuoteRequest, QuoteRequestReject, QuoteResponse, QuoteStatusReport, Reject, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityTypeRequest, SecurityTypes, SettlementInstructions, SettlementObligationReport, SettlementStatusReport, SettlementStatusRequest, StreamAssignmentReportACK, TestActionReport, TestActionRequest, TestSuiteDefinitionRequest, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradeMatchReportAck, TradingSessionStatus, UserNotification

EncodedTradeContinuationText

Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the TradeContinuationText(2374) field.

Type: data

Used in groups: QuotReqGrp

Used in messages: AllocationInstruction, AllocationReport, Confirmation, ExecutionReport, PositionReport, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport

EncodedTradeContinuationTextLen

Byte length of encoded (non-ASCII characters) EncodedTradeContinuationText(2371) field.

Type: Length

Used in groups: QuotReqGrp

Used in messages: AllocationInstruction, AllocationReport, Confirmation, ExecutionReport, PositionReport, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport

EncodedUnderlyingAdditionalTermBondDesc

Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondDesc(41709) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingAdditionalTermBondDesc(41709) field.

Type: data

Used in groups: UnderlyingAdditionalTermBondRefGrp

EncodedUnderlyingAdditionalTermBondDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingAdditionalTermBondDesc(41711) field.

Type: Length

Used in groups: UnderlyingAdditionalTermBondRefGrp

EncodedUnderlyingAdditionalTermBondIssuer

Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondIssuer(42017) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingAdditionalTermBondIssuer(42017) field.

Type: data

Used in groups: UnderlyingAdditionalTermBondRefGrp

EncodedUnderlyingAdditionalTermBondIssuerLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingAdditionalTermBondIssuer(42026) field.

Type: Length

Used in groups: UnderlyingAdditionalTermBondRefGrp

EncodedUnderlyingDeliveryStreamCycleDesc

Encoded (non-ASCII characters) representation of the UnderlyingDeliveryStreamCycleDesc(41805) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingDeliveryStreamCycleDesc(41805) field.

Type: data

Used in groups: UnderlyingDeliveryStreamCycleGrp

EncodedUnderlyingDeliveryStreamCycleDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingDeliveryStreamCycleDesc(41807) field.

Type: Length

Used in groups: UnderlyingDeliveryStreamCycleGrp

EncodedUnderlyingEventText

Encoded (non-ASCII characters) representation of the UnderlyingEventText(2071) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingEventText(2071) field.

Type: data

Used in groups: UnderlyingEvntGrp

EncodedUnderlyingEventTextLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingEventText(2073) field.

Type: Length

Used in groups: UnderlyingEvntGrp

EncodedUnderlyingExerciseDesc

Encoded (non-ASCII characters) representation of the UnderlyingExerciseDesc(41810) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingExerciseDesc(41810) field.

Type: data

Used in components: UnderlyingOptionExercise

EncodedUnderlyingExerciseDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingExerciseDesc(41812) field.

Type: Length

Used in components: UnderlyingOptionExercise

EncodedUnderlyingFinancialInstrumentFullName

Encoded (non-ASCII characters) representation of the UnderlyingFinancialInstrumentFullName(2720) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingFinancialInstrumentFullName(2720) field.

Type: data

Used in components: UnderlyingInstrument

EncodedUnderlyingFinancialInstrumentFullNameLen

Byte length of encoded (non-ASCII characters) underlying instrument's EncodedUnderlyingFinancialInstrumentFullName(2722).

Type: Length

Used in components: UnderlyingInstrument

EncodedUnderlyingIssuer

Encoded (non-ASCII characters) representation of the UnderlyingIssuer (306) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingIssuer field.

Type: data

Used in components: UnderlyingInstrument

EncodedUnderlyingIssuerLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingIssuer (363) field.

Type: Length

Used in components: UnderlyingInstrument

EncodedUnderlyingMarketDisruptionFallbackUnderlierSecDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41874) field.

Type: Length

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc

Encoded (non-ASCII characters) representation of the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872).

Type: data

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

EncodedUnderlyingOptionExpirationDesc

Encoded (non-ASCII characters) representation of the UnderlyingOptionExpirationDesc(2286) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingOptionExpirationDesc(2286).

Type: data

Used in components: UnderlyingInstrument

EncodedUnderlyingOptionExpirationDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingOptionExpirationDesc(2288) field.

Type: Length

Used in components: UnderlyingInstrument

EncodedUnderlyingProvisionText

Encoded (non-ASCII characters) representation of the UnderlyingProvisionText(42170) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingProvisionText(42170) field.

Type: data

Used in groups: UnderlyingProvisionGrp

EncodedUnderlyingProvisionTextLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingProvisionText(42712) field.

Type: Length

Used in groups: UnderlyingProvisionGrp

EncodedUnderlyingSecurityDesc

Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc (307) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingSecurityeDesc field.

Type: data

Used in components: UnderlyingInstrument

EncodedUnderlyingSecurityDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingSecurityDesc (365) field.

Type: Length

Used in components: UnderlyingInstrument

EncodedUnderlyingStreamCommodityDesc

Encoded (non-ASCII characters) representation of the UnderlyingStreamCommodityDesc(41968) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingStreamCommodityDesc(41968) field.

Type: data

Used in components: UnderlyingStreamCommodity

EncodedUnderlyingStreamCommodityDescLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingStreamCommodityDesc(41970) field.

Type: Length

Used in components: UnderlyingStreamCommodity

EncodedUnderlyingStreamText

Encoded (non-ASCII characters) representation of the UnderlyingStreamText(40547) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the UnderlyingStreamText(40547) field.

Type: data

Used in groups: UnderlyingStreamGrp

EncodedUnderlyingStreamTextLen

Byte length of encoded (non-ASCII characters) EncodedUnderlyingStreamText(40989) field.

Type: Length

Used in groups: UnderlyingStreamGrp

EncodedWarningText

Encoded (non-ASCII characters) representation of the WarningText(2520) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the WarningText(2520) field.

Type: data

Used in messages: CollateralResponse

EncodedWarningTextLen

Byte length of encoded (non-ASCII characters) EncodedWarningtText(2521) field.

Type: Length

Used in messages: CollateralResponse

EncryptedNewPassword

Encrypted new password - encrypted via the method specified in the field EncryptedPasswordMethod(1400)

Type: data

Used in messages: Logon, UserRequest

EncryptedNewPasswordLen

Length of the EncryptedNewPassword(1404) field

Type: Length

Used in messages: Logon, UserRequest

EncryptedPassword

Encrypted password - encrypted via the method specified in the field EncryptedPasswordMethod(1400)

Type: data

Used in messages: Logon, UserRequest

EncryptedPasswordLen

Length of the EncryptedPassword(1402) field

Type: Length

Used in messages: Logon, UserRequest

EncryptedPasswordMethod

Enumeration defining the encryption method used to encrypt password fields.

At this time there are no encryption methods defined by FPL.

Type: int

Used in messages: Logon, UserRequest

EncryptMethod

Method of encryption.

Type: int

Allowed values in EncryptMethodCodeSet:

Code | Name | Description
0 | None | None / Other
1 | PKCS | PKCS (Proprietary)
2 | DES | DES (ECB Mode)
3 | PKCSDES | PKCS / DES (Proprietary)
4 | PGPDES | PGP / DES (Defunct)
5 | PGPDESMD5 | PGP / DES-MD5 (See app note on FIX web site)
6 | PEM | PEM / DES-MD5 (see app note on FIX web site)

Used in messages: Logon

EndAccruedInterestAmt

Accrued Interest Amount applicable to a financing transaction on the End Date.

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport

EndCash

Ending dirty cash consideration of a financing deal. i.e. reimbursed to the buyer on the End Date.

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport

EndDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral

Type: LocalMktDate

Used in components: FinancingDetails

EndMaturityMonthYear

Ending maturity month year for an option class

Type: MonthYear

Used in groups: MaturityRules

EndPriceRange

Upper boundary for price range.

Type: Price

Used in groups: PriceRangeRuleGrp

EndSeqNo

Message sequence number of last message in range to be resent. If request is for a single message BeginSeqNo (7) = EndSeqNo. If request is for all messages subsequent to a particular message, EndSeqNo = "0" (representing infinity).

Type: SeqNum

Used in messages: ResendRequest

EndStrikePxRange

Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying

Type: Price

Used in groups: StrikeRules

EndTickPriceRange

Ending price range for the specified tick increment

Type: Price

Used in groups: TickRules

EntitlementAttribCurrency

Currency for EntitlementAttribValue(1780). Can be used if these fields represent a price, price offset, or amount.

Type: Currency

Used in groups: EntitlementAttribGrp

EntitlementAttribCurrencyCodeSource

Identifies class or source of the EntitlementAttribCurrency(1781) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: EntitlementAttribGrp

EntitlementAttribDatatype

Datatype of the entitlement attribute.

Type: int

Allowed values in EntitlementAttribDatatypeCodeSet:

Code | Name | Description
1 | Int | int
2 | Length | Length
3 | NumInGroup | NumInGroup
4 | SeqNum | SeqNum
5 | TagNum | TagNum
6 | Float | float
7 | Qty | Qty
8 | Price | Price
9 | PriceOffset | PriceOffset
10 | Amt | Amt
11 | Percentage | Percentage
12 | Char | char
13 | Boolean | Boolean
14 | String | String
15 | MultipleCharValue | MultipleCharValue
16 | Currency | Currency
17 | Exchange | Exchange
18 | MonthYear | MonthYear
19 | UTCTimestamp | UTCTimestamp
20 | UTCTimeOnly | UTCTimeOnly
21 | LocalMktDate | LocalMktDate
22 | UTCDateOnly | UTCDateOnly
23 | Data | data
24 | MultipleStringValue | MultipleStringValue
25 | Country | Country
26 | Language | Language
27 | TZTimeOnly | TZTimeOnly
28 | TZTimestamp | TZTimestamp
29 | Tenor | Tenor
30 | DayOfMonth | DayOfMonth
31 | XMLData | XMLData
32 | Pattern | Pattern
33 | Reserved100Plus | Reserved100Plus
34 | Reserved1000Plus | Reserved1000Plus
35 | Reserved4000Plus | Reserved4000Plus

Used in groups: EntitlementAttribGrp

EntitlementAttribGrp

conveys a list of one or more attributes related to an entitlement. An entitlement may contain an EntitlementType, which states what can be done at a gross level, e.g. that a party can make markets. It may be limited further within EntitlementGrp, e.g. that such market making is allowed only for a list of stocks. The EntitlementAttribGrp contains fine details clarifying or limiting the EntitlementType, e.g. that such market making must be conducted with a specific minimum quote size and a specific maximum spread.

Name | Mult. | Type | Description
NoEntitlementAttrib | [1..1] | NumInGroup |
EntitlementAttribType | [0..1] | int | Required if NoEntitlementAttrib(1777) > 0.
EntitlementAttribDatatype | [0..1] | CodeSet | If specified, and this is an attribute published by FPL in the external code list, this must agree with the published datatype.
EntitlementAttribValue | [0..1] | String | Required if NoEntitlementAttrib(1777) > 0.
EntitlementAttribCurrency | [0..1] | Currency |
EntitlementAttribCurrencyCodeSource | [0..1] | CodeSet |

Used in groups: EntitlementGrp

EntitlementAttribType

Name of the entitlement attribute type. A code list of allowed values will be maintained on the FIX Protocol website.

Values "4000" and above are reserved for bilaterally agreed upon user defined enumerations.

Type: int

Used in groups: EntitlementAttribGrp

EntitlementAttribValue

Value of the entitlement attribute.

Type: String

Used in groups: EntitlementAttribGrp

EntitlementEndDate

Indicates the ending date of the entitlement.

Type: LocalMktDate

Used in groups: EntitlementGrp

EntitlementGrp

Conveys a list of entitlements for one specific party, or relationship between two parties. Each entitlement may be further limited or clarified using optional fields and components.

Name | Mult. | Type | Description
NoEntitlements | [1..1] | NumInGroup |
EntitlementIndicator | [0..1] | Boolean | Required if NoEntitlements(1773) > 0.
EntitlementType | [0..1] | CodeSet | Absence of this field indicates the meaning of the entitlement is implicit.
EntitlementSubType | [0..1] | CodeSet |
EntitlementAttribGrp | [0..*] | Group |
EntitlementID | [0..1] | String |
EntitlementPlatform | [0..1] | String |
InstrumentScopeGrp | [0..*] | Group |
MarketSegmentScopeGrp | [0..*] | Group |
EntitlementStartDate | [0..1] | LocalMktDate |
EntitlementEndDate | [0..1] | LocalMktDate |

Used in groups: PartyEntitlementAckGrp, PartyEntitlementGrp, PartyEntitlementUpdateGrp

EntitlementID

Unique identifier for a specific NoEntitlements(1773) repeating group instance.

Type: String

Used in groups: EntitlementGrp

EntitlementIndicator

Used to indicate if a party is entitled to an entitlement type specified in the EntitlementType(1775) field.

Type: Boolean

Used in groups: EntitlementGrp

EntitlementPlatform

The area to which the entitlement is applicable. This can be a trading platform or an offering.

Type: String

Used in groups: EntitlementGrp

Used in messages: PartyEntitlementsRequest

EntitlementRefID

Reference to an EntitlementID(1776). Used for modification or deletion of an entitlement.

Type: String

Used in groups: PartyEntitlementAckGrp, PartyEntitlementUpdateGrp

EntitlementReportID

Identifier for the PartyEntitlementsReport(35=CV).

Type: String

Used in messages: PartyEntitlementsReport, PartyEntitlementsUpdateReport

EntitlementRequestID

Unique identifier for PartyEntitlementsRequest(35=CU).

Type: String

Used in messages: PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsReport, PartyEntitlementsRequest, PartyEntitlementsUpdateReport

EntitlementRequestResult

Result of risk limit definition request.

Type: int

Allowed values in EntitlementRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party(-ies)
2 | InvalidRelatedParty | Invalid related party(-ies)
3 | InvalidEntitlementType | Invalid entitlement type(s)
4 | InvalidEntitlementID | Invalid entitlement ID(s) / ref ID(s)
5 | InvalidEntitlementAttribute | Invalid entitlement attribute(s)
6 | InvalidInstrumentScope | Invalid instrument scope(s)
7 | InvalidMarketSegmentScope | Invalid market segment scope(s)
8 | InvalidStartDate | Invalid start date
9 | InvalidEndDate | Invalid end date
10 | InstrumentScopeNotSupported | Instrument scope not supported
11 | MarketSegmentScopeNotSupported | Market segment scope not supported
12 | EntitlementNotApprovedForParty | Entitlement not approved for party(-ies)
13 | EntitlementAlreadyDefinedForParty | Entitlement already defined for party(-ies)
14 | InstrumentNotApprovedForParty | Instrument not approved for party(-ies)
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in messages: PartyEntitlementsDefinitionRequestAck

EntitlementRequestStatus

Status of party entitlements definition request.

Type: int

Allowed values in PartyDetailRequestStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithChanges | Accepted with changes
2 | Rejected | Rejected
3 | AcceptancePending | Acceptance pending

Used in messages: PartyEntitlementsDefinitionRequestAck

EntitlementResult

Result of entitlement definition for one party.

Type: int

Allowed values in EntitlementRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party(-ies)
2 | InvalidRelatedParty | Invalid related party(-ies)
3 | InvalidEntitlementType | Invalid entitlement type(s)
4 | InvalidEntitlementID | Invalid entitlement ID(s) / ref ID(s)
5 | InvalidEntitlementAttribute | Invalid entitlement attribute(s)
6 | InvalidInstrumentScope | Invalid instrument scope(s)
7 | InvalidMarketSegmentScope | Invalid market segment scope(s)
8 | InvalidStartDate | Invalid start date
9 | InvalidEndDate | Invalid end date
10 | InstrumentScopeNotSupported | Instrument scope not supported
11 | MarketSegmentScopeNotSupported | Market segment scope not supported
12 | EntitlementNotApprovedForParty | Entitlement not approved for party(-ies)
13 | EntitlementAlreadyDefinedForParty | Entitlement already defined for party(-ies)
14 | InstrumentNotApprovedForParty | Instrument not approved for party(-ies)
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in groups: PartyEntitlementAckGrp

EntitlementStartDate

Indicates the starting date of the entitlement.

Type: LocalMktDate

Used in groups: EntitlementGrp

EntitlementStatus

Status of entitlement definition for one party.

Type: int

Allowed values in EntitlementStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithChanges | Accepted with changes
2 | Rejected | Rejected
3 | Pending | Pending. Entitlement definition request submitted that still requires an action to be taken (e.g. approval or setting up).
4 | Requested | Requested. Entitlement definition has been requested.
5 | Deferred | Deferred. Entitlement definition request is being postponed or delayed.

Used in groups: PartyEntitlementAckGrp, PartyEntitlementGrp, PartyEntitlementUpdateGrp

Used in messages: PartyEntitlementsRequest

EntitlementSubType

Subtype of an entitlement specified in EntitlementType(1775).

Type: int

Allowed values in EntitlementSubTypeCodeSet:

Code | Name | Description
1 | OrderEntry | Order entry. Entitle to enter new orders
2 | HItLift | Hit/Lift. Entitle to Hit/Lift
3 | ViewIndicativePx | View indicative prices. Entitle to subscribe to indicative prices
4 | ViewExecutablePx | View executable prices. Entitle to subscribe to executable prices
5 | SingleQuote | Single quote. Entitle to submit quote request for a single quote
6 | StreamingQuotes | Streaming quotes. Entitle to submit quote request for streaming quotes
7 | SingleBroker | Single broker. Entitle to submit quote request for a single broker
8 | MultiBrokers | Multi brokers. Entitle to submit quote request for multiple brokers

Used in groups: EntitlementGrp, EntitlementTypeGrp

EntitlementType

Type of entitlement.

Type: int

Allowed values in EntitlementTypeCodeSet:

Code | Name | Description
0 | Trade | Trade
1 | MakeMarkets | Make markets
2 | HoldPositions | Hold positions
3 | PerformGiveUps | Perform give-ups
4 | SubmitIOIs | Submit Indications of Interest (IOIs)
5 | SubscribeMarketData | Subscribe to market data
6 | ShortWithPreBorrow | Short with pre-borrow. Short sell order is allowed with pre-borrowing.
7 | SubmitQuoteRequests | Submit quote requests. Entitled to submit quote requests into the market in order to receive quotes from the market.
8 | RespondToQuoteRequests | Respond to quote requests. Entitled to respond to quote requests from the market.

Used in groups: EntitlementGrp, EntitlementTypeGrp

EntitlementTypeGrp

The EntitlementTypeGrp conveys a list of entitlement types.

Name | Mult. | Type | Description
NoEntitlementTypes | [1..1] | NumInGroup | Number of Entitlement Types.
EntitlementType | [0..1] | CodeSet | Required if NoEntitlementTypes(2345) > 0.
EntitlementSubType | [0..1] | CodeSet |

Used in messages: PartyEntitlementsRequest

EventDate

Date of event

Type: LocalMktDate

Used in groups: EvntGrp

EventInitiatorType

Indicates the type of entity who initiated an event, e.g. modification or cancellation of an order or quote.

Type: char

Allowed values in EventInitiatorTypeCodeSet:

Code | Name | Description
C | CustomerOrClient | Customer or client
E | ExchangeOrExecutionVenue | Exchange or execution venue
F | FirmOrBroker | Firm or broker

Used in messages: ExecutionReport, QuoteStatusReport

EventMonthYear

Used with derivatives when an event is express as a month-year with optional day or month or week of month.

Format:

YYYYMM (e.g. 199903)

YYYYMMDD (e.g. 20030323)

YYYYMMwN (e.g. 200303w2) for week

A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.

Type: MonthYear

Used in groups: EvntGrp

EventPx

Predetermined price of issue at event, if applicable

Type: Price

Used in groups: EvntGrp

EventText

Comments related to the event.

Type: String

Used in groups: EvntGrp

EventTime

Specific time of event. To be used in combination with EventDate [866]

Type: UTCTimestamp

Used in groups: EvntGrp

EventTimePeriod

Time unit multiplier for the event.

Type: int

Used in groups: EvntGrp

EventTimeUnit

Time unit associated with the event.

Type: String

Allowed values in EventTimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: EvntGrp

EventType

Code to represent the type of event

Type: int

Allowed values in EventTypeCodeSet:

Code
Name
Description

1
Put
Put

2
Call
Call

3
Tender
Tender

4
SinkingFundCall
Sinking fund call

5
Activation
Activation

6
Inactiviation
Inactivation

7
LastEligibleTradeDate
Last eligible trade date

8
SwapStartDate
Swap start date

9
SwapEndDate
Swap end date

10
SwapRollDate
Swap roll date

11
SwapNextStartDate
Swap next start date

12
SwapNextRollDate
Swap next roll date

13
FirstDeliveryDate
First delivery date

14
LastDeliveryDate
Last delivery date

15
InitialInventoryDueDate
Initial inventory due date

16
FinalInventoryDueDate
Final inventory due date

17
FirstIntentDate
First intent date

18
LastIntentDate
Last intent date

19
PositionRemovalDate
Position removal date

20
MinimumNotice
Minimum notice

21
DeliveryStartTime
Delivery start time

22
DeliveryEndTime
Delivery end time

23
FirstNoticeDate
First notice date. The first day that a notice of intent to deliver a commodity can be made by a clearing house to a buyer in fulfillment of a given month's futures contract.

24
LastNoticeDate
Last notice date. The last day on which a clearing house may inform an investor that a seller intends to make delivery of a commodity that the investor previously bought in a futures contract. The date is governed by the rules of different exchanges and clearing houses, but may also be stated in the futures contract itself.

25
FirstExerciseDate
First exercise date

26
RedemptionDate
Redemption date

27
TrdCntntnEfctvDt
Trade continuation effective date

99
Other
Other

Used in groups: EvntGrp

EvntGrp

The EvntGrp is a repeating subcomponent of the Instrument component used to specify straightforward events associated with the instrument. Examples include put and call dates for bonds and options; first exercise date for options; inventory and delivery dates for commodities; start, end and roll dates for swaps. Use ComplexEvents for more advanced dates such as option, futures, commodities and equity swap observation and pricing events.

Name | Mult. | Type | Description
NoEvents | [1..1] | NumInGroup |
EventType | [0..1] | CodeSet | Required if NoEvents(864) > 0.
EventDate | [0..1] | LocalMktDate | Conditionally required when EventTime(1145) is specified.
EventTime | [0..1] | UTCTimestamp |
EventTimeUnit | [0..1] | CodeSet | Conditionally required when EventTimePeriod(1826) is specified.
EventTimePeriod | [0..1] | int | Conditionally required when EventTimeUnit(1827) is specified.
EventMonthYear | [0..1] | MonthYear |
EventPx | [0..1] | Price |
EventText | [0..1] | String |
EncodedEventTextLen | [0..1] | Length | Must be set if EncodedEventText(1579) field is specified and must immediately precede it.
EncodedEventText | [0..1] | data | Encoded (non-ASCII characters) representation of the EventText(868) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: Instrument

ExchangeForPhysical

Indicates whether or not to exchange for phsyical.

Type: Boolean

Allowed values in ExchangeForPhysicalCodeSet:

Code | Name | Description
N | False | False
Y | True | True

Used in messages: BidRequest

ExchangeLookAlike

For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.

Type: Boolean

Used in components: Instrument

ExchangeRule

Used to report any exchange rules that apply to this trade.

Primarily intended for US futures markets. Certain trading practices are permitted by the CFTC, such as large lot trading, block trading, all or none trades. If the rules are used, the exchanges are required to indicate these rules on the trade.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

ExchangeSpecialInstructions

Free format text string related to exchange.

Type: String

Used in groups: TrdCapRptSideGrp, TrdMatchSideGrp

ExDate

The date when a distribution of interest is deducted from a securities assets or set aside for payment to bondholders. On the ex-date, the securities price drops by the amount of the distribution (plus or minus any market activity).

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, ExecutionReport

ExDestination

Execution destination as defined by institution when order is entered.

Valid values:

See "Appendix 6-C"

Type: Exchange

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, Quote, QuoteResponse, QuoteStatusReport

ExDestinationIDSource

The ID source of ExDestination

Type: char

Allowed values in ExDestinationIDSourceCodeSet:

Code | Name | Description
B | BIC | BIC (Bank Identification Code) (ISO 9362)
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
D | Proprietary | Proprietary / Custom code
E | ISOCountryCode | ISO Country Code
G | MIC | MIC (ISO 10383 - Market Identifier Code)

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, Quote, QuoteResponse, QuoteStatusReport

ExDestinationType

Identifies the type of execution destination for the order.

Type: int

Allowed values in ExDestinationTypeCodeSet:

Code | Name | Description
0 | NoRestriction | No restriction. May be used for MiFID II to indicate no restriction on where the order is executed.
1 | TradedOnlyOnTradingVenue | Can be traded only on a trading venue. May be used for MiFID II to indicate the order can only be executed on a trading venue.
2 | TradedOnlyOnSI | Can be traded only on a Systematic Internaliser (SI). May be used for MiFID II to indicate the order can only be executed on a Systematic Internaliser.
3 | TradedOnTradingVenueOrSI | Can be traded on a trading venue or Systematic internaliser (SI). May be used for MiFID II to indicate the order can be executed on either a trading venue or a Systematic Internaliser.

Used in components: TradeReportOrderDetail

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

ExecAckStatus

The status of this execution acknowledgement message.

Type: char

Allowed values in ExecAckStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | DontKnow | Don't know / Rejected

Used in messages: ExecutionAck

ExecAllocGrp

This repeating group is used to identify individual executions or trades, including key fields such as quantity and price of the execution or trade, that are part of the allocation.

Name | Mult. | Type | Description
NoExecs | [1..1] | NumInGroup | Indicates number of individual execution or trade entries. Absence indicates that no individual execution or trade entries are included. Primarily used to support step-outs.
LastQty | [0..1] | Qty | Amount of quantity (e.g. number of shares) in individual execution. Required if NoExecs > 0
ExecID | [0..1] | String |
SecondaryExecID | [0..1] | String |
LastPx | [0..1] | Price | Price of individual execution. Required if NoExecs > 0. For FX, if specified, expressed in terms of Currency(15).
LastParPx | [0..1] | Price | Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type
LastCapacity | [0..1] | CodeSet | Used to identify whether the trade was executed on an agency or principal basis.
TradeID | [0..1] | String |
FirmTradeID | [0..1] | String |
TrdMatchID | [0..1] | String | Used to identify the match event resulting in the execution or trade.
ExecutionTimestamp | [0..1] | UTCTimestamp |
TradeReportingIndicator | [0..1] | CodeSet |
TrdRegPublicationGrp | [0..*] | Group |
TradePriceConditionGrp | [0..*] | Group |

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation

ExecCollGrp

Name | Mult. | Type | Description
NoExecs | [1..1] | NumInGroup | Executions for which collateral is required
ExecID | [0..1] | String | Required if NoExecs > 0

Used in messages: CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse

ExecID

Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150)=I (Order Status)).

Uniqueness must be guaranteed within a single trading day or the life of a multi-day order. Firms which accept multi-day orders should consider embedding a date within the ExecID field to assure uniqueness across days.

(Prior to FIX 4.1 this field was of type int).

Type: String

Used in groups: ExecAllocGrp, ExecCollGrp, ExecutionAggregationGrp

Used in messages: DontKnowTrade, ExecutionAck, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

ExecInst

Instructions for order handling on exchange trading floor. If more than one instruction is applicable to an order, this field can contain multiple instructions separated by space. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)

Type: MultipleCharValue

Allowed values in ExecInstCodeSet:

Code
Name
Description

0
StayOnOfferSide
Stay on offer side

1
NotHeld
Not held

2
Work
Work

3
GoAlong
Go along

4
OverTheDay
Over the day

5
Held
Held

6
ParticipateDoNotInitiate
Participate don't initiate

7
StrictScale
Strict scale

8
TryToScale
Try to scale

9
StayOnBidSide
Stay on bid side

A
NoCross
No cross. Cross is forbidden.

B
OKToCross
OK to cross

C
CallFirst
Call first

D
PercentOfVolume
Percent of volume. Indicates that the sender does not want the order to be all of the volume on the floor vs. a specific percentage.

E
DoNotIncrease
Do not increase - DNI

F
DoNotReduce
Do not reduce - DNR

G
AllOrNone
All or none - AON

H
ReinstateOnSystemFailure
Reinstate on system failure. Mutually exclusive with Q and l (lower case L).

I
InstitutionsOnly
Institutions only

J
ReinstateOnTradingHalt
Reinstate on trading halt. Mutually exclusive with K and m.

K
CancelOnTradingHalt
Cancel on trading halt. Mutually exclusive with J and m.

L
LastPeg
Last peg (last sale)

M
MidPricePeg
Mid-price peg (midprice of inside quote)

N
NonNegotiable
Non-negotiable

O
OpeningPeg
Opening peg

P
MarketPeg
Market peg

Q
CancelOnSystemFailure
Cancel on system failure. Mutually exclusive with H and l(lower case L).

R
PrimaryPeg
Primary peg. Primary market - buy at bid, sell at offer.

S
Suspend
Suspend

T
FixedPegToLocalBestBidOrOfferAtTimeOfOrder
Fixed peg to local best bid or offer at time of order

U
CustomerDisplayInstruction
Customer display instruction. Used in US Markets for: SEC Rule 11Ac1-1/4.

V
Netting
Netting (for Forex)

W
PegToVWAP
Peg to VWAP

X
TradeAlong
Trade along

Y
TryToStop
Try to stop

Z
CancelIfNotBest
Cancel if not best

a
TrailingStopPeg
Trailing stop peg

b
StrictLimit
Strict limit. No price improvement.

c
IgnorePriceValidityChecks
Ignore price validity checks

d
PegToLimitPrice
Peg to limit price

e
WorkToTargetStrategy
Work to target strategy

f
IntermarketSweep
Intermarket sweep

g
ExternalRoutingAllowed
External routing allowed

h
ExternalRoutingNotAllowed
External routing not allowed

i
ImbalanceOnly
Imbalance only

j
SingleExecutionRequestedForBlockTrade
Single execution requested for block trade

k
BestExecution
Best execution

l
SuspendOnSystemFailure
Suspend on system failure. Mutually exclusive with H and Q.

m
SuspendOnTradingHalt
Suspend on trading halt. Mutually exclusive with J and K.

n
ReinstateOnConnectionLoss
Reinstate on connection loss. Mutually exclusive with o and p.

o
CancelOnConnectionLoss
Cancel on connection loss. Mutually exclusive with n and p.

p
SuspendOnConnectionLoss
Suspend on connection loss. Mutually exclusive with n and o.

q
Release
Release. Mutually exclusive with S and w.

r
ExecuteAsDeltaNeutral
Execute as delta neutral using volatility provided

s
ExecuteAsDurationNeutral
Execute as duration neutral

t
ExecuteAsFXNeutral
Execute as FX neutral

u
MinGuaranteedFillEligible
Minimum guaranteed fill eligible

v
BypassNonDisplayLiquidity
Bypass non-displayed liquidity

w
Lock
Lock. Mutually exclusive with q.

x
IgnoreNotionalValueChecks
Ignore notional value checks

y
TrdAtRefPx
Trade at reference price. In the context of Reg NMS and the Tick Size Pilot Program, this is intended to indicate the order should Trade At Intermarket Sweep Order (TAISO) price.

z
AllowFacilitation
Allow facilitation. Express explicit consent to receive facilitation services from the counterparty. Facilitation services are when an institutional client allows a broker to assume a risk-taking principal position rather than an agency position, to obtain liquidity or achieve a guaranteed execution price on the client's behalf. Interpretation of absence of this value needs to be bilaterally agreed, if applicable. In the context of Hong Kong's SFC, this can be used to comply with SFC regulations for disclosure of client facilitation.

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

ExecInstRules

Name | Mult. | Type | Description
NoExecInstRules | [1..1] | NumInGroup | Number of execution instructions
ExecInstValue | [0..1] | CodeSet | Indicates execution instructions that are valid for the specified market segment

Used in components: TradingSessionRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

ExecInstValue

Indicates execution instructions that are valid for the specified market segment

Type: MultipleCharValue

Allowed values in ExecInstCodeSet:

Code
Name
Description

0
StayOnOfferSide
Stay on offer side

1
NotHeld
Not held

2
Work
Work

3
GoAlong
Go along

4
OverTheDay
Over the day

5
Held
Held

6
ParticipateDoNotInitiate
Participate don't initiate

7
StrictScale
Strict scale

8
TryToScale
Try to scale

9
StayOnBidSide
Stay on bid side

A
NoCross
No cross. Cross is forbidden.

B
OKToCross
OK to cross

C
CallFirst
Call first

D
PercentOfVolume
Percent of volume. Indicates that the sender does not want the order to be all of the volume on the floor vs. a specific percentage.

E
DoNotIncrease
Do not increase - DNI

F
DoNotReduce
Do not reduce - DNR

G
AllOrNone
All or none - AON

H
ReinstateOnSystemFailure
Reinstate on system failure. Mutually exclusive with Q and l (lower case L).

I
InstitutionsOnly
Institutions only

J
ReinstateOnTradingHalt
Reinstate on trading halt. Mutually exclusive with K and m.

K
CancelOnTradingHalt
Cancel on trading halt. Mutually exclusive with J and m.

L
LastPeg
Last peg (last sale)

M
MidPricePeg
Mid-price peg (midprice of inside quote)

N
NonNegotiable
Non-negotiable

O
OpeningPeg
Opening peg

P
MarketPeg
Market peg

Q
CancelOnSystemFailure
Cancel on system failure. Mutually exclusive with H and l(lower case L).

R
PrimaryPeg
Primary peg. Primary market - buy at bid, sell at offer.

S
Suspend
Suspend

T
FixedPegToLocalBestBidOrOfferAtTimeOfOrder
Fixed peg to local best bid or offer at time of order

U
CustomerDisplayInstruction
Customer display instruction. Used in US Markets for: SEC Rule 11Ac1-1/4.

V
Netting
Netting (for Forex)

W
PegToVWAP
Peg to VWAP

X
TradeAlong
Trade along

Y
TryToStop
Try to stop

Z
CancelIfNotBest
Cancel if not best

a
TrailingStopPeg
Trailing stop peg

b
StrictLimit
Strict limit. No price improvement.

c
IgnorePriceValidityChecks
Ignore price validity checks

d
PegToLimitPrice
Peg to limit price

e
WorkToTargetStrategy
Work to target strategy

f
IntermarketSweep
Intermarket sweep

g
ExternalRoutingAllowed
External routing allowed

h
ExternalRoutingNotAllowed
External routing not allowed

i
ImbalanceOnly
Imbalance only

j
SingleExecutionRequestedForBlockTrade
Single execution requested for block trade

k
BestExecution
Best execution

l
SuspendOnSystemFailure
Suspend on system failure. Mutually exclusive with H and Q.

m
SuspendOnTradingHalt
Suspend on trading halt. Mutually exclusive with J and K.

n
ReinstateOnConnectionLoss
Reinstate on connection loss. Mutually exclusive with o and p.

o
CancelOnConnectionLoss
Cancel on connection loss. Mutually exclusive with n and p.

p
SuspendOnConnectionLoss
Suspend on connection loss. Mutually exclusive with n and o.

q
Release
Release. Mutually exclusive with S and w.

r
ExecuteAsDeltaNeutral
Execute as delta neutral using volatility provided

s
ExecuteAsDurationNeutral
Execute as duration neutral

t
ExecuteAsFXNeutral
Execute as FX neutral

u
MinGuaranteedFillEligible
Minimum guaranteed fill eligible

v
BypassNonDisplayLiquidity
Bypass non-displayed liquidity

w
Lock
Lock. Mutually exclusive with q.

x
IgnoreNotionalValueChecks
Ignore notional value checks

y
TrdAtRefPx
Trade at reference price. In the context of Reg NMS and the Tick Size Pilot Program, this is intended to indicate the order should Trade At Intermarket Sweep Order (TAISO) price.

z
AllowFacilitation
Allow facilitation. Express explicit consent to receive facilitation services from the counterparty. Facilitation services are when an institutional client allows a broker to assume a risk-taking principal position rather than an agency position, to obtain liquidity or achieve a guaranteed execution price on the client's behalf. Interpretation of absence of this value needs to be bilaterally agreed, if applicable. In the context of Hong Kong's SFC, this can be used to comply with SFC regulations for disclosure of client facilitation.

Used in groups: ExecInstRules

ExecMethod

Specifies how the transaction was executed, e.g. via an automated execution platform or other method.

Type: int

Allowed values in ExecMethodCodeSet:

Code | Name | Description
0 | Unspecified | Undefined/unspecified - (default when not specified). In the context of Market Model Typology (MMT), this value represents an off book non-automated transaction type.
1 | Manual | Manual. The transaction was executed in a manual or other non-automated manner, e.g. by voice directly between the counterparties. Also used to identify MTT code M "Off Book Non-Automated".
2 | Automated | Automated. The transaction was executed on an automated execution platform such as an automated systematic internaliser system, broker crossing network, broker crossing system, dark pool trading, "direct to capital" systems, broker position unwind mechanisms, etc.
3 | VoiceBrokered | Voice brokered. The transaction was negotiated by voice through an intermediary.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: TradeCaptureReport

ExecPriceAdjustment

For CIV the amount or percentage by which the fund unit/share price was adjusted, as indicated by ExecPriceType (484)

Type: float

Used in messages: ExecutionReport

ExecPriceType

For CIV - Identifies how the execution price LastPx (31) was calculated from the fund unit/share price(s) calculated at the fund valuation point.

Type: char

Allowed values in ExecPriceTypeCodeSet:

Code | Name | Description
B | BidPrice | Bid price
C | CreationPrice | Creation price
D | CreationPricePlusAdjustmentPercent | Creation price plus adjustment percent
E | CreationPricePlusAdjustmentAmount | Creation price plus adjustment amount
O | OfferPrice | Offer price
P | OfferPriceMinusAdjustmentPercent | Offer price minus adjustment percent
Q | OfferPriceMinusAdjustmentAmount | Offer price minus adjustment amount
S | SinglePrice | Single price

Used in messages: ExecutionReport

ExecRefID

Reference identifier used with Trade, Trade Cancel and Trade Correct execution types.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: ExecutionReport, TradeCaptureReport

ExecRestatementReason

The reason for restatement when an ExecutionReport(35=8) or TradeCaptureReport(35=AE) message is sent with ExecType(150) = D (Restated) or used when communicating an unsolicited cancel.

Type: int

Allowed values in ExecRestatementReasonCodeSet:

Code | Name | Description
0 | GTCorporateAction | GT corporate action
1 | GTRenewal | GT renewal / restatement (no corporate action)
2 | VerbalChange | Verbal change
3 | RepricingOfOrder | Repricing of order
4 | BrokerOption | Broker option
5 | PartialDeclineOfOrderQty | Partial decline of OrderQty (e.g. exchange initiated partial cancel)
6 | CancelOnTradingHalt | Cancel on Trading Halt
7 | CancelOnSystemFailure | Cancel on System Failure
8 | Market | Market (Exchange) option
9 | Canceled | Canceled, not best
10 | WarehouseRecap | Warehouse Recap
11 | PegRefresh | Peg Refresh
12 | CancelOnConnectionLoss | Cancel On Connection Loss
13 | CancelOnLogout | Cancel On Logout
14 | AssignTimePriority | Assign Time Priority
15 | CancelledForTradePriceViolation | Cancelled, Trade Price Violation
16 | CancelledForCrossImbalance | Cancelled, Cross Imbalance
17 | CxldSMP | Cancelled, self-match prevention. Cancelled order based on standing rules for self-match prevention (i.e. SelfMatchPreventionInstruction(2964) not specified or used).
18 | CxldSMPAggressive | Cancelled, self-match prevention aggressive order. Cancelled due to incoming order with the same SelfMatchPreventionID(2362) and SelfMatchPreventionInstruction(2964)=1 (Cancel aggressive).
19 | CxldSMPPassive | Cancelled, self-match prevention passive order. Cancelled due to incoming order with the same SelfMatchPreventionID(2362) and SelfMatchPreventionInstruction(2964)=2 (Cancel passive).
20 | CxldSMPAggressivePassive | Cancelled, self-match prevention aggressive and passive order. Cancelled due to incoming order with the same SelfMatchPreventionID(2362) and SelfMatchPreventionInstruction(2964)=3 (Cancel aggressive and passive).
99 | Other | Other

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

ExecType

Describes the specific ExecutionRpt (e.g. Pending Cancel) while OrdStatus(39) will always identify the current order status (e.g. Partially Filled).

Type: char

Allowed values in ExecTypeCodeSet:

Code | Name | Description
0 | New | New
3 | DoneForDay | Done for day
4 | Canceled | Canceled
5 | Replaced | Replaced
6 | PendingCancel | Pending Cancel (e.g. result of Order Cancel Request)
7 | Stopped | Stopped
8 | Rejected | Rejected
9 | Suspended | Suspended
A | PendingNew | Pending New
B | Calculated | Calculated
C | Expired | Expired
D | Restated | Restated (Execution Report sent unsolicited by sellside, with ExecRestatementReason (378) set)
E | PendingReplace | Pending Replace (e.g. result of Order Cancel/Replace Request)
F | Trade | Trade (partial fill or fill)
G | TradeCorrect | Trade Correct
H | TradeCancel | Trade Cancel
I | OrderStatus | Order Status
J | TradeInAClearingHold | Trade in a Clearing Hold
K | TradeHasBeenReleasedToClearing | Trade has been released to Clearing
L | TriggeredOrActivatedBySystem | Triggered or Activated by System
M | Locked | Locked
N | Released | Released

Used in groups: OrderEntryAckGrp

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

ExecTypeReason

The initiating event when an ExecutionReport(35=8) is sent.

Type: int

Allowed values in ExecTypeReasonCodeSet:

Code | Name | Description
1 | OrdAddedOnRequest | Order added upon request
2 | OrdReplacedOnRequest | Order replaced upon request
3 | OrdCxldOnRequest | Order cancelled upon request
4 | UnsolicitedOrdCxl | Unsolicited order cancellation
5 | NonRestingOrdAddedOnRequest | Non-resting order added upon request
6 | OrdReplacedWithNonRestingOrdOnRequest | Order replaced with non-resting order upon request
7 | TriggerOrdReplacedOnRequest | Trigger order replaced upon request
8 | SuspendedOrdReplacedOnRequest | Suspended order replaced upon request
9 | SuspendedOrdCxldOnRequest | Suspended order canceled upon request
10 | OrdCxlPending | Order cancellation pending
11 | PendingCxlExecuted | Pending cancellation executed
12 | RestingOrdTriggered | Resting order triggered
13 | SuspendedOrdActivated | Suspended order activated
14 | ActiveOrdSuspended | Active order suspended
15 | OrdExpired | Order expired

Used in groups: OrderEntryAckGrp

Used in messages: ExecutionReport

ExecutionAggregationGrp

Identifies the fills being aggregated together.

Name | Mult. | Type | Description
NoExecs | [1..1] | NumInGroup |
LastQty | [0..1] | Qty | Required if NoExecs(124) > 0
ExecID | [0..1] | String | Either ExecID(17) or TradeID(1003) must be specified.
TradeID | [0..1] | String | Either ExecID(17) or TradeID(1003) must be specified.
LastPx | [0..1] | Price |

Used in messages: TradeAggregationRequest

ExecutionTimestamp

Time of the individual execution.

Type: UTCTimestamp

Used in groups: ExecAllocGrp

ExecValuationPoint

For CIV - a date and time stamp to indicate the fund valuation point with respect to which a order was priced by the fund manager.

Type: UTCTimestamp

Used in messages: ExecutionReport

ExerciseConfirmationMethod

Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.

Type: int

Allowed values in ExerciseConfirmationMethodCodeSet:

Code | Name | Description
0 | NotRequired | Not required
1 | NonElectronic | Non-electronic
2 | Electronic | Electronic
3 | Unknown | Unknown at time of report

Used in components: OptionExercise

ExerciseDesc

A description of the option exercise.

Type: String

Used in components: OptionExercise

ExerciseMethod

Exercise Method used to in performing assignment.

Type: char

Allowed values in ExerciseMethodCodeSet:

Code | Name | Description
A | Automatic | Automatic
M | Manual | Manual

Used in messages: AssignmentReport

ExerciseSplitTicketIndicator

Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.

Type: Boolean

Used in components: OptionExercise

ExerciseStyle

Type of exercise of a derivatives security

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in components: Instrument

ExpirationCycle

Part of trading cycle when an instrument expires. Field is applicable for derivatives.

Type: int

Allowed values in ExpirationCycleCodeSet:

Code | Name | Description
0 | ExpireOnTradingSessionClose | Expire on trading session close (default)
1 | ExpireOnTradingSessionOpen | Expire on trading session open
2 | SpecifiedExpiration | Trading eligibility expiration specified in the date and time fields [EventDate(866) and EventTime(1145)] associated with EventType(865)=7(Last Eligible Trade Date)

Used in components: BaseTradingRules

Used in messages: SecurityDefinitionRequest

ExpirationQty

The ExpirationQty component block identified the expiration quantities and type of expiration.

Name | Mult. | Type | Description
NoExpiration | [1..1] | NumInGroup |
ExpirationQtyType | [0..1] | CodeSet | Required if NoExpiration > 1
ExpQty | [0..1] | Qty |

Used in messages: ContraryIntentionReport

ExpirationQtyType

Expiration Quantity type

Type: int

Allowed values in ExpirationQtyTypeCodeSet:

Code | Name | Description
1 | AutoExercise | Auto Exercise
2 | NonAutoExercise | Non Auto Exercise
3 | FinalWillBeExercised | Final Will Be Exercised
4 | ContraryIntention | Contrary Intention
5 | Difference | Difference

Used in groups: ExpirationQty

ExpireDate

Date of order expiration (last day the order can trade), always expressed in terms of the local market date. The time at which the order expires is determined by the local market's business practices

Type: LocalMktDate

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp

Used in messages: AssignmentReport, CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

ExpireTime

Time/Date of order expiration (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

The meaning of expiration is specific to the context where the field is used.

For orders, this is the expiration time of a Good Til Date TimeInForce.

For Quotes - this is the expiration of the quote.

Expiration time is provided across the quote message dialog to control the length of time of the overall quoting process.

For collateral requests, this is the time by which collateral must be assigned.

For collateral assignments, this is the time by which a response to the assignment is expected.

For credit/risk limit checks, this is the time when the reserved credit limit will expire for the requested transaction.

Type: UTCTimestamp

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp, SettlInstGrp, SettlObligationInstructions

Used in messages: CollateralAssignment, CollateralRequest, CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PartyRiskLimitCheckRequestAck, QuoteStatusReport, SettlementInstructionRequest

ExposureDuration

This is the time in seconds of a "Good for Time" (GFT) TimeInForce.

Positive integer value which represents the time is seconds in which the new order remains active in the market before it is automatically cancelled (e.g. expired).

Bi-lateral agreements will dictate the maximum value of this field. It is assumed that most systems will impose a max limit of 86,400 seconds (i.e. 24 hours).

For Quotes: The period of time a quoted price is tradable(i.e. on-the-wire) before it becomes indicative (i.e. off-the-wire).

Type: int

Used in components: MDStatisticParameters, TradeReportOrderDetail

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

ExposureDurationUnit

Time unit in which the ExposureDuration(1629) is expressed.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in components: MDStatisticParameters, TradeReportOrderDetail

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

ExpQty

Expiration Quantity associated with the Expiration Type

Type: Qty

Used in groups: ExpirationQty

ExtraordinaryDividendAmountType

Indicates how the extraordinary gross cash dividend per share is determined.

Type: int

Allowed values in DividendAmountTypeCodeSet:

Code | Name | Description
0 | RecordAmount | Record amount. 100% of the gross cash dividend per share paid over record date during relevant dividend period.
1 | ExAmount | Ex amount. 100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
2 | PaidAmount | Paid amount. 100% of gross cash dividend per share paid during relevant dividend period.
3 | PerMasterConfirm | As specified in master confirmation. The amount is determined as provided in the relevant master confirmation.

Used in components: DividendConditions

ExtraordinaryDividendCurrency

The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: DividendConditions

ExtraordinaryDividendDeterminationMethod

Specifies the method in which the excess amount is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: DividendConditions

ExtraordinaryDividendPartySide

Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: DividendConditions

ExtraordinaryEventAdjustmentMethod

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

Type: int

Allowed values in ExtraordinaryEventAdjustmentMethodCodeSet:

Code | Name | Description
0 | CalculationAgent | Calculation agent. The Calculation Agent has the right to adjust the terms of the trade following a corporate action.
1 | OptionsExchange | Options exchange. The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.

Used in components: Instrument

ExtraordinaryEventGrp

The ExtraordinaryEventGrp is a repeating component within the Instrument component. It is used to report extraordinary and disruptive events applicable to the reference entity that affects the contract.

Name | Mult. | Type | Description
NoExtraordinaryEvents | [1..1] | NumInGroup |
ExtraordinaryEventType | [0..1] | String | Required if NoExtraordinaryEvents(42296) > 0.
ExtraordinaryEventValue | [0..1] | String | Required if NoExtraordinaryEvents(42296) > 0.

Used in components: Instrument

ExtraordinaryEventType

Identifies the type of extraordinary or disruptive event applicable to the reference entity.

See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.

Type: String

Used in groups: ExtraordinaryEventGrp

ExtraordinaryEventValue

The extraordinary or disruptive event value appropriate to ExtraordinaryEventType(42297).

See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.

Type: String

Used in groups: ExtraordinaryEventGrp

Factor

For Fixed Income: Amorization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than . In TIPS securities this is the Inflation index.

Qty * Factor * Price = Gross Trade Amount

For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract.

(Qty * Price) * Factor = Nominal Value

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: float

Used in components: Instrument

FairValue

Used in EFP trades

Type: Amt

Used in groups: BidCompRspGrp, BidDescReqGrp

FallbackExerciseIndicator

Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).

Type: Boolean

Used in components: OptionExercise

FastMarketIndicator

Indicates if the instrument is in "fast market" state.

Type: Boolean

Used in groups: MDFullGrp, MDIncGrp, QuoteSizeRuleGrp

Used in messages: MarketDataRequest, SecurityMassStatus, SecurityStatus, TradingSessionStatus

FastMarketPercentage

The percentage factor to be applied to trading rule parameters (e.g. price ranges, size ranges, etc.) when fast market conditions are applicable.

Type: Percentage

Used in components: BaseTradingRules

FeeMultiplier

This is a multiplier that Clearing (Fee system) will use to calculate fees and will be sent to the firms on their confirms.

Type: float

Used in messages: TradeCaptureReport, TradeCaptureReportAck

FillExecID

Refer to ExecID(17). Used when multiple partial fills are reported in single Execution Report. ExecID and FillExecID should not overlap,

Type: String

Used in groups: FillsGrp

FillLiquidityInd

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled

Type: int

Allowed values in LastLiquidityIndCodeSet:

Code
Name
Description

0
NeitherAddedNorRemovedLiquidity
Neither added nor removed liquidity. May be used by venues where market rules do not define "add" or "remove" liquidity. In the context of the SEC amendment of Regulation NMS Rule 606(b), may be used to identify executions that are only reported as part of total shares executed and not as part of shares providing or removing liquidity (see https://www.sec.gov/rules/final/2018/34-84528.pdf for details).

1
AddedLiquidity
Added Liquidity

2
RemovedLiquidity
Removed Liquidity

3
LiquidityRoutedOut
Liquidity Routed Out

4
Auction
Auction execution

5
TriggeredStopOrder
Triggered stop order. Fill was the result of a stop order being triggered and immediately executed.

6
TriggeredContingencyOrder
Triggered contingency order. Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed.

7
TriggeredMarketOrder
Triggered market order. Fill was the result of a market order being triggered due to an executable orderbook situation.

8
RemovedLiquidityAfterFirmOrderCommitment
Removed liquidity after firm order commitment. An order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

9
AuctionExecutionAfterFirmOrderCommitment
Auction execution after firm order commitment. An order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

10
Unknown
Unknown. The liquidity indicator of the execution cannot be determined or was not provided upon execution.

11
Other
Other. None of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values).

Used in groups: FillsGrp

FillMatchID

Identifier assigned by a matching system to a match event containing multiple executions.

Type: String

Used in groups: FillsGrp

FillMatchSubID

Identifier assigned by a matching system to a price level (e.g. match step, clip) within a match event containing multiple executions.

Type: String

Used in groups: FillsGrp

FillPx

Price of Fill. Refer to LastPx(31).

Type: Price

Used in groups: FillsGrp

FillQty

Quantity of Fill. Refer to LastQty(32).

Type: Qty

Used in groups: FillsGrp

FillRefID

A reference to either the value of the FillExecID(1363) or an implicit position of a fills instance in the FillsGrp component.

Type: String

Used in groups: InstrmtLegExecGrp

FillsGrp

Name | Mult. | Type | Description
NoFills | [1..1] | NumInGroup | Specifies the number of partial fills included in this Execution Report
FillExecID | [0..1] | String | Unique identifier of execution as assigned by sell-side (broker, exchange, ECN). Must not overlap ExecID(17). Required if NoFills(1362) > 0.
FillPx | [0..1] | Price | Price of this partial fill. Required if NoFills(1362) > 0. Refer to LastPx(31).
FillQty | [0..1] | Qty | Quantity (e.g. shares) bought/sold on this partial fill. Required if NoFills(1362) > 0.
FillMatchID | [0..1] | String | Can be used to refer to the related match event.
FillMatchSubID | [0..1] | String | Can be used to refer to a price level (e.g. match step, clip) within the related match event.
FillLiquidityInd | [0..1] | CodeSet |
FillYieldType | [0..1] | String |
FillYield | [0..1] | Percentage |
NestedParties4 | [0..*] | Group | Contraparty information

Used in messages: ExecutionReport

FillYield

Yield Percentage, using same values as Yield (236)

Type: Percentage

Used in groups: FillsGrp

FillYieldType

Yield Type, using same values as YieldType (235)

Type: String

Used in groups: FillsGrp

FinancialInstrumentFullName

The full normative name of the financial instrument.

Type: String

Used in components: Instrument

FinancialInstrumentShortName

Short name of the financial instrument. Uses ISO 18774 (FINS) values.

Type: String

Used in components: Instrument

FinancialStatus

Identifies a firm's or a security's financial status

Type: MultipleCharValue

Allowed values in FinancialStatusCodeSet:

Code | Name | Description
1 | Bankrupt | Bankrupt
2 | PendingDelisting | Pending delisting
3 | Restricted | Restricted

Used in groups: MDIncGrp, SecMassStatGrp

Used in messages: CollateralReport, CollateralResponse, MarketDataSnapshotFullRefresh, SecurityStatus

FinancingContractualDefinitionGrp

The FinancingContractualDefinitionGrp is a repeating component within the FinancingDetails component used to report the definitions published by ISDA that define the terms of a derivative trade.

Name | Mult. | Type | Description
NoContractualDefinitions | [1..1] | NumInGroup |
ContractualDefinition | [0..1] | String | Required if NoContractualDefinitions(40040) > 0.

Used in components: FinancingDetails

FinancingContractualMatrixGrp

The FinancingContractualMatrixGrp is a repeating component within the FinancingDetails component used to report the ISDA Physical Settlement Matrix Transaction Type.

Name | Mult. | Type | Description
NoContractualMatrices | [1..1] | NumInGroup |
ContractualMatrixSource | [0..1] | String | Required if NoContractualMatrices(40042) > 0.
ContractualMatrixDate | [0..1] | LocalMktDate |
ContractualMatrixTerm | [0..1] | String |

Used in components: FinancingDetails

FinancingDetails

Component block is optionally used for financial transaction where legal contracts, master agreements or master confirmations is to be referenced. This component identifies the legal agreement under which the deal was made and other unique characteristics of the transaction. For example, the AgreementDesc(913) field refers to base standard documents such as MRA 1996 Repurchase Agreement, GMRA 2000 Bills Transaction (U.K.), MSLA 1993 Securities Loan – Amended 1998, for example.

Name | Mult. | Type | Description
AgreementDesc | [0..1] | String | The full name of the base standard agreement, annexes and amendments in place between the principals and applicable to this deal
AgreementID | [0..1] | String | A common reference to the applicable standing agreement between the principals
AgreementVersion | [0..1] | String |
AgreementDate | [0..1] | LocalMktDate | A reference to the date the underlying agreement was executed.
AgreementCurrency | [0..1] | Currency | Currency of the underlying agreement.
AgreementCurrencyCodeSource | [0..1] | CodeSet |
MasterConfirmationDesc | [0..1] | String |
MasterConfirmationDate | [0..1] | LocalMktDate |
MasterConfirmationAnnexDesc | [0..1] | String |
MasterConfirmationAnnexDate | [0..1] | LocalMktDate |
BrokerConfirmationDesc | [0..1] | String |
FinancingContractualDefinitionGrp | [0..*] | Group |
FinancingTermSupplementGrp | [0..*] | Group |
FinancingContractualMatrixGrp | [0..*] | Group |
CreditSupportAgreementDesc | [0..1] | String |
CreditSupportAgreementDate | [0..1] | LocalMktDate |
CreditSupportAgreementID | [0..1] | String |
GoverningLaw | [0..1] | String |
DocumentationText | [0..1] | String |
EncodedDocumentationTextLen | [0..1] | Length | Must be set if EncodedDocumentationText(1527) field is specified and must immediately precede it.
EncodedDocumentationText | [0..1] | data | Encoded (non-ASCII characters) representation of the DocumentationText(1513) field in the encoded format specified via the MessageEncoding(347) field.
TerminationType | [0..1] | CodeSet | For Repos the timing or method for terminating the agreement.
StartDate | [0..1] | LocalMktDate | Settlement date of the beginning of the deal
EndDate | [0..1] | LocalMktDate | Repayment / repurchase date
DeliveryType | [0..1] | CodeSet | Delivery or custody arrangement for the underlying securities
MarginRatio | [0..1] | Percentage | Percentage of cash value that underlying security collateral must meet.

Used in groups: InstrmtGrp, InstrmtMDReqGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuotReqRjctGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderStatusRequest, PositionReport, Quote, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

FinancingTermSupplementDate

The publication date of the applicable version of the contractual supplement.

Type: LocalMktDate

Used in groups: FinancingTermSupplementGrp

FinancingTermSupplementDesc

Identifies the applicable contractual supplement. See http://www.fpml.org/coding-scheme/contractual-supplement for values.

Type: String

Used in groups: FinancingTermSupplementGrp

FinancingTermSupplementGrp

The FinancingTermSupplementGrp is a repeating component within the FinancingDetails component used to report contractual terms supplements of derivative trades.

Name | Mult. | Type | Description
NoFinancingTermSupplements | [1..1] | NumInGroup |
FinancingTermSupplementDesc | [0..1] | String | Required if NoFinancingTermSupplements(40046) > 0.
FinancingTermSupplementDate | [0..1] | LocalMktDate |

Used in components: FinancingDetails

FirmAllocText

Firm reference information, usually internal information, that is part of the initial message. The information would not be carried forward (e.g to Take-up Firm) and preserved with the transaction.

Type: String

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

FirmGroupID

Firm assigned group allocation entity identifier.

Type: String

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck

FirmMnemonic

Allocation identifier assigned by the Firm submitting the allocation for an individual allocation instruction (as opposed to the overall message level identifier).

Type: String

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

FirmTradeEventID

An identifier created by the trading party for the life cycle event associated with this report.

Type: String

Used in groups: TrdCapRptSideGrp

FirmTradeID

The ID assigned to a trade by the Firm to track a trade within the Firm system. This ID can be assigned either before or after submission to the exchange or central counterpary

Type: String

Used in groups: ExecAllocGrp

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

FirmTransactionID

The unique transaction entity identifier assigned by the firm.

Type: String

Used in messages: CollateralAssignment, CollateralReport, CollateralResponse

FirstPx

Indicates the first trade price of the day/session

Type: Price

Used in groups: MDFullGrp, MDIncGrp

Used in messages: SecurityStatus

FlexibleIndicator

Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative CFICode(461) Standard/Non-standard attribute.

Type: Boolean

Used in components: Instrument

FlexProductEligibilityComplex

Identifies an entire suite of products which are eligible for the creation of flexible securities.

Type: String

Used in groups: FlexProductEligibilityGrp

FlexProductEligibilityGrp

The FlexProductEligibilityGrp component is used to specify whether securities within a product group or complex are eligible for creating flexible securities.

Name | Mult. | Type | Description
NoFlexProductEligibilities | [1..1] | NumInGroup |
FlexProductEligibilityIndicator | [0..1] | Boolean | Required if NoFlexProductEligibilities(2560) > 0.
FlexProductEligibilityComplex | [0..1] | String | Required if NoFlexProductEligibilities(2560) > 0. Used to specify a product suite related to an eligibility indicator.

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

FlexProductEligibilityIndicator

Used to indicate if a product or group of product supports the creation of flexible securities

Type: Boolean

Used in components: Instrument

Used in groups: FlexProductEligibilityGrp

FloatingRateIndex

Used to identify the rate index for a floating rate coupon.

Name | Mult. | Type | Description
FloatingRateIndexID | [0..1] | String | Conditionally required when FloatingRateIndexIDSource(2732) is specified.
FloatingRateIndexIDSource | [0..1] | CodeSet | Conditionally required when FloatingRateIndexID(2731) is specified.
FloatingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when FloatingRateIndexCurvePeriod(2728) is specified.
FloatingRateIndexCurvePeriod | [0..1] | int | Conditionally required when FloatingRateIndexCurveUnit(2730) is specified.
FloatingRateIndexCurveSpread | [0..1] | PriceOffset |

Used in components: InstrumentExtension

FloatingRateIndexCurvePeriod

Time unit multiplier for the floating rate index identified in FloatingRateIndexID(2731).

Type: int

Used in components: FloatingRateIndex

FloatingRateIndexCurveSpread

Spread from the floating rate index.

Type: PriceOffset

Used in components: FloatingRateIndex

FloatingRateIndexCurveUnit

Time unit associated with the floating rate index identified in FloatingRateIndexID(2731).

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: FloatingRateIndex

FloatingRateIndexID

Security identifier of the floating rate index.

Type: String

Used in components: FloatingRateIndex

FloatingRateIndexIDSource

Source for the floating rate index identified in FloatingRateIndexID(2731).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: FloatingRateIndex

FloorPrice

Used to express the floor price of a capped put

Type: Price

Used in components: Instrument

FlowScheduleType

The industry standard flow schedule by which electricity or natural gas is traded. Schedules may exist by regions and on-peak and off-peak status, such as "Western Peak".

Type: int

Allowed values in FlowScheduleTypeCodeSet:

Code | Name | Description
0 | NERCEasternOffPeak | NERC Eastern Off-Peak
1 | NERCWesternOffPeak | NERC Western Off-Peak
2 | NERCCalendarAllDaysInMonth | NERC Calendar-All Days in month
3 | NERCEasternPeak | NERC Eastern Peak
4 | NERCWesternPeak | NERC Western Peak
5 | AllTimes | All times
6 | OnPeak | On peak
7 | OffPeak | Off peak
8 | Base | Base
9 | Block | Block
99 | Other | Other

Used in components: Instrument

ForexReq

Indicates request for forex accommodation trade to be executed along with security transaction.

Type: Boolean

Allowed values in ForexReqCodeSet:

Code | Name | Description
N | DoNotExecuteForexAfterSecurityTrade | Do Not Execute Forex After Security Trade
Y | ExecuteForexAfterSecurityTrade | Execute Forex After Security Trade

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: BidRequest, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

FundingSource

Specifies the funding source used to finance margin or collateralized loan.

Type: int

Allowed values in FundingSourceCodeSet:

Code | Name | Description
0 | Repo | Repurchase agreement. Repurchase agreements or Buy Sellbacks. In the context of EU SFTR reporting this corresponds to code "REPO".
1 | Cash | Cash. Cash collateral from securities lending. In the context of EU SFTR reporting this corresponds to code "SECL".
2 | FreeCedits | Free credits. In the context of EU SFTR reporting this corresponds to code "FREE".
3 | CustomerShortSales | Customer short sales. Proceeds from customer short sales. In the context of EU SFTR reporting this corresponds to code "CSHS".
4 | BrokerShortSales | Broker short sales. Proceeds from broker short sales. In the context of EU SFTR reporting this corresponds to code "BSHS".
5 | UnsecuredBorrowing | Unsecured borrowing. In the context of EU SFTR reporting this corresponds to code "UBOR".
99 | Other | Other. In the context of EU SFTR reporting this corresponds to code "OTHR".

Used in groups: FundingSourceGrp

FundingSourceCurrency

Currency denomination of the market value of the funding source.

FundingSourceCurrencyCodeSource(2954) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: FundingSourceGrp

FundingSourceCurrencyCodeSource

Identifies class or source of the FundingSourceCurrency(2847) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: FundingSourceGrp

FundingSourceGrp

This component is used to specify the funding source(s) used to finance a margin loan or collateralized loan.

Name | Mult. | Type | Description
NoFundingSources | [1..1] | NumInGroup |
FundingSource | [0..1] | CodeSet | Required if NoFundingSources(2849) > 0.
FundingSourceMarketValue | [0..1] | Amt |
FundingSourceCurrency | [0..1] | Currency |
FundingSourceCurrencyCodeSource | [0..1] | CodeSet |

Used in messages: CollateralReport

FundingSourceMarketValue

Market value of the funding source.

Type: Amt

Used in groups: FundingSourceGrp

FundRenewWaiv

A one character code identifying whether the Fund based renewal commission is to be waived.

Type: char

Allowed values in FundRenewWaivCodeSet:

Code | Name | Description
N | No | No
Y | Yes | Yes

Used in components: CommissionData

FXBenchmark

The source of where to obtain the FX benchmark rate to use for fixing the rate.

Type: int

Allowed values in FXBenchmarkCodeSet:

Code | Name | Description
1 | Bloomberg | Bloomberg. Also referred to as BFIX.
2 | CentralBank | Central Bank
3 | WMR | WMR
4 | MitsubishiUFJ | Mitsubishi-UFJ. Also referred to as the Tokyo Fix.
5 | LondonBullionMarketAssociation | London Bullion Market Association. Gold and Silver fixes are LBMA rates generated by ICE; Platinum and palladium fixes are LBMA rates generated by LME.
6 | LondonMetalExchange | London Metal Exchange. Base metal prices come from the LME. LBMA should be used for platinum and palladium even though these are LME rates.
99 | Other | Other. An appropriate reference page, ReferencePage(1448), at the specified RateSource(1446) needs to be specified.

Used in groups: RateSource

FXBenchmarkBusinessCenter

A business center whose calendar is used for date/time adjustment. See https://www.fpml.org/coding-scheme/business-center to download the current (ISDA/FpML) standard 4-character code values for business center identification.

Type: String

Used in groups: RateSource

FXBenchmarkDate

The local date of the FX rate fixing. The time applicable on the fixing date is specified in FXBenchmarkTime(3075).

Type: LocalMktDate

Used in groups: RateSource

FXBenchmarkRateFix

Specifies the foreign exchange benchmark rate fixing to be used in valuing the transaction. For example "London 4 p.m." or "Tokyo 3 p.m."

Type: String

Used in groups: RateSource

FXBenchmarkTime

The local time of the FX rate fixing. The date applicable for the fixing time is specified in FXBenchmarkDate(3074).

Type: LocalMktTime

Used in groups: RateSource

Gamma

The rate of change of Delta over time.

Type: float

Used in groups: SecurityRiskMetricGrp

GapFillFlag

Indicates that the Sequence Reset message is replacing administrative or application messages which will not be resent.

Type: Boolean

Allowed values in GapFillFlagCodeSet:

Code | Name | Description
N | SequenceReset | Sequence Reset, Ignore Msg Seq Num (N/A For FIXML - Not Used)
Y | GapFillMessage | Gap Fill Message, Msg Seq Num Field Valid

Used in messages: SequenceReset

GoverningLaw

Identification of the law governing the transaction. See http://www.fpml.org/coding-scheme/governing-law for values.

Type: String

Used in components: FinancingDetails

GrossTradeAmt

Total amount traded expressed in units of currency - usually quantity * price. For FX Futures this is used to express the notional value of a fill when quantity fields are expressed in terms of contract size (i.e. quantity * price * contract size).

Type: Amt

Used in components: SettlTradeDetails

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

GroupAmount

Indicates the total notional units or amount of an allocation group. Includes any allocated units or amount.

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstructionAlert, AllocationReport

GroupRemainingAmount

Indicates the remaining notional units or amount of an allocation group that has not yet been allocated.

Type: Amt

Used in messages: AllocationInstructionAlert

GTBookingInst

Code to identify whether to book out executions on a part-filled GT order on the day of execution or to accumulate.

Type: int

Allowed values in GTBookingInstCodeSet:

Code | Name | Description
0 | BookOutAllTradesOnDayOfExecution | Book out all trades on day of execution
1 | AccumulateUntilFilledOrExpired | Accumulate executions until order is filled or expires
2 | AccumulateUntilVerballyNotifiedOtherwise | Accumulate until verbally notified otherwise

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

HaircutIndicator

Indicates, if "Y", that a stated valuation includes a haircut, e.g. that the stated value reflects the subtraction of the haircut. Note that a value of "N" does not imply a haircut is not applicable, only that the haircut (if any) is not reflected in the stated valuation.

Type: Boolean

Used in groups: CollateralAmountGrp

HaltReason

Denotes the reason for the Opening Delay or Trading Halt.

Type: int

Allowed values in HaltReasonCodeSet:

Code | Name | Description
0 | NewsDissemination | News Dissemination
1 | OrderInflux | Order Influx
2 | OrderImbalance | Order Imbalance
3 | AdditionalInformation | Additional Information
4 | NewsPending | News Pending
5 | EquipmentChangeover | Equipment Changeover

Used in groups: MDFullGrp, MDIncGrp, SecMassStatGrp

Used in messages: SecurityStatus

HandlInst

Instructions for order handling on Broker trading floor

Type: char

Allowed values in HandlInstCodeSet:

Code | Name | Description
1 | AutomatedExecutionNoIntervention | Automated execution order, private, no Broker intervention
2 | AutomatedExecutionInterventionOK | Automated execution order, public, Broker intervention OK
3 | ManualOrder | Manual order, best execution

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

Headline

The headline of a News message

Type: String

Used in messages: News

HeartBtInt

Heartbeat interval (seconds)

Type: int

Used in messages: Logon

HighLimitPrice

Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected

Type: Price

Used in components: PriceLimits

HighPx

Represents an indication of the high end of the price range for a security prior to the open or reopen

Type: Price

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstructionAlert, SecurityStatus

HistoricalReportIndicator

Indicates that the trade or event being reported occurred in the past and the trade is terminated or no longer active.

Type: Boolean

Used in messages: TradeCaptureReport

HopCompID

Assigned value used to identify the third party firm which delivered a specific message either from the firm which originated the message or from another third party (if multiple "hops" are performed). It is recommended that this value be the SenderCompID (49) of the third party.

Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.

Type: String

Used in groups: HopGrp

HopGrp

Name | Mult. | Type | Description
NoHops | [1..1] | NumInGroup |
HopCompID | [0..1] | String |
HopSendingTime | [0..1] | UTCTimestamp |
HopRefID | [0..1] | SeqNum |

Used in components: StandardHeader

HopRefID

Reference identifier assigned by HopCompID (628) associated with the message sent. It is recommended that this value be the MsgSeqNum (34) of the message sent by the third party.

Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.

Type: SeqNum

Used in groups: HopGrp

HopSendingTime

Time that HopCompID (628) sent the message. It is recommended that this value be the SendingTime (52) of the message sent by the third party.

Applicable when messages are communicated/re-distributed via third parties which function as service bureaus or "hubs". Only applicable if OnBehalfOfCompID (115) is being used.

Type: UTCTimestamp

Used in groups: HopGrp

HostCrossID

Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs. Used as the primary key with which to refer to the Cross Order for cancellation and replace. The HostCrossID will also be used to link together components of the Cross Order. For example, each individual Execution Report associated with the order will carry HostCrossID in order to tie back to the original cross order.

Type: String

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, ExecutionReport

ImpliedMarketIndicator

Indicates that an implied market should be created for either the legs of a multi-leg instrument (Implied-in) or for the multi-leg instrument based on the existence of the legs (Implied-out). Determination as to whether implied markets should be created is generally done at the level of the multi-leg instrument. Commonly used in listed derivatives.

Type: int

Allowed values in ImpliedMarketIndicatorCodeSet:

Code | Name | Description
0 | NotImplied | Not implied
1 | ImpliedIn | Implied-in - The existence of a multi-leg instrument is implied by the legs of that instrument
2 | ImpliedOut | Implied-out - The existence of the underlying legs are implied by the multi-leg instrument
3 | BothImpliedInAndImpliedOut | Both Implied-in and Implied-out

Used in components: BaseTradingRules

IncTaxInd

Code to represent whether value is net (inclusive of tax) or gross.

Type: int

Allowed values in IncTaxIndCodeSet:

Code | Name | Description
1 | Net | Net
2 | Gross | Gross

Used in messages: BidRequest

IndexAnnexDate

The date of a credit default swap index series annex.

Type: LocalMktDate

Used in components: Instrument

IndexAnnexSource

The source of a credit default swap series annex.

Type: String

Used in components: Instrument

IndexAnnexVersion

The version of a credit default swap index annex.

Type: int

Used in components: Instrument

IndexRollMonth

Month identified in the index roll.

Type: String

Used in groups: IndexRollMonthGrp

IndexRollMonthGrp

Used for specifying multiple roll months in a given year for an index.

Name | Mult. | Type | Description
NoIndexRollMonths | [1..1] | NumInGroup |
IndexRollMonth | [0..1] | String | Required if NoIndexRollMonths(2734) > 0.

Used in components: InstrumentExtension

IndexSeries

The series identifier of a credit default swap index.

Type: int

Used in components: Instrument

IndividualAllocID

Unique identifier for a specific NoAllocs (78) repeating group instance (e.g. for an AllocAccount).

Type: String

Used in components: SettlTradeDetails

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

Used in messages: Confirmation, ConfirmationRequest

IndividualAllocRejCode

Identified reason for rejecting an individual AllocAccount (79) detail.

Same values as AllocRejCode (88)

Type: int

Allowed values in AllocRejCodeCodeSet:

Code | Name | Description
0 | UnknownAccount | Unknown or missing account(s)
1 | IncorrectQuantity | Incorrect or missing block quantity
2 | IncorrectAveragePrice | Incorrect or missing average price
3 | UnknownExecutingBrokerMnemonic | Unknown executing broker mnemonic
4 | CommissionDifference | Incorrect or missing commission
5 | UnknownOrderID | Unknown OrderID(37)
6 | UnknownListID | Unknown ListID(66)
7 | OtherSeeText | Other (further in Text (58))
8 | IncorrectAllocatedQuantity | Incorrect or missing allocated quantity
9 | CalculationDifference | Calculation difference
10 | UnknownOrStaleExecID | Unknown or Stale ExecID(17)
11 | MismatchedData | Mismatched data
12 | UnknownClOrdID | Unknown ClOrdID(11)
13 | WarehouseRequestRejected | Warehouse request rejected
14 | DuplicateOrMissingIndividualAllocID | Duplicate or missing IndividualAllocID(467)
15 | TradeNotRecognized | Trade not recognized
16 | DuplicateTrade | Trade previously allocated
17 | IncorrectOrMissingInstrument | Incorrect or missing instrument
18 | IncorrectOrMissingSettlDate | Incorrect or missing settlement date
19 | IncorrectOrMissingFundIDOrFundName | Incorrect or missing fund ID or fund name
20 | IncorrectOrMissingSettlInstructions | Incorrect or missing settlement instructions
21 | IncorrectOrMissingFees | Incorrect or missing fees
22 | IncorrectOrMissingTax | Incorrect or missing tax
23 | UnknownOrMissingParty | Unknown or missing party
24 | IncorrectOrMissingSide | Incorrect or missing side
25 | IncorrectOrMissingNetMoney | Incorrect or missing net-money
26 | IncorrectOrMissingTradeDate | Incorrect or missing trade date
27 | IncorrectOrMissingSettlCcyInstructions | Incorrect or missing settlement currency instructions
28 | IncorrectOrMissingProcessCode | Incorrrect or missing ProcessCode(81)
99 | Other | Other. Use Text(58) for further reject reasons.

Used in groups: AllocAckGrp

IndividualAllocType

Identifies whether the allocation is to be sub-allocated or allocated to a third party

Type: int

Allowed values in IndividualAllocTypeCodeSet:

Code | Name | Description
1 | SubAllocate | Sub Allocate
2 | ThirdPartyAllocation | Third Party Allocation

Used in groups: AllocAckGrp, AllocGrp

InformationBarrierID

The identifier of the information barrier in place for a trading unit that will meet the criteria of the "no-knowledge" exception in FINRA Rule 5320.02.

Type: String

Used in groups: TrdRegTimestamps

InitialDisplayQty

Used to convey the initially requested display quantity specified in DisplayQty(1138) on order entry and modification messages in ExecutionReport message. Applicable only in ExecutionReport message where DisplayQty(1138) is the currently displayed quantity and the requested display quantity of the order also needs to be conveyed. The values of the two fields are different as soon as the order is partially filled and also after a refresh of the order whenever DisplayMethod(1084) is not 1=Initial.

Type: Qty

Used in components: DisplayInstruction

InputSource

Originating source of the request.

Type: String

Used in messages: ContraryIntentionReport, PositionMaintenanceReport

InstrAttribType

Code to represent the type of instrument attribute

Type: int

Allowed values in InstrAttribTypeCodeSet:

Code
Name
Description

1
Flat
Flat (securities pay interest on a current basis but are traded without interest)

2
ZeroCoupon
Zero coupon

3
InterestBearing
Interest bearing (for Euro commercial paper when not issued at discount)

4
NoPeriodicPayments
No periodic payments

5
VariableRate
Variable rate

6
LessFeeForPut
Less fee for put

7
SteppedCoupon
Stepped coupon

8
CouponPeriod
Coupon period (if not semi-annual). Supply redemption date in the InstrAttribValue(872) field.

9
When
When [and if] issued

10
OriginalIssueDiscount
Original issue discount

11
Callable
Callable, puttable

12
EscrowedToMaturity
Escrowed to Maturity

13
EscrowedToRedemptionDate
Escrowed to redemption date - callable. Supply redemption date in the InstrAttribValue(872) field.

14
PreRefunded
Pre-refunded

15
InDefault
In default

16
Unrated
Unrated

17
Taxable
Taxable

18
Indexed
Indexed

19
SubjectToAlternativeMinimumTax
Subject To Alternative Minimum Tax

20
OriginalIssueDiscountPrice
Original issue discount price. Supply price in the InstrAttribValue(872) field.

21
CallableBelowMaturityValue
Callable below maturity value

22
CallableWithoutNotice
Callable without notice by mail to holder unless registered

23
PriceTickRulesForSecurity
Price tick rules for security

24
TradeTypeEligibilityDetailsForSecurity
Trade type eligibility details for security

25
InstrumentDenominator
Instrument denominator

26
InstrumentNumerator
Instrument numerator

27
InstrumentPricePrecision
Instrument price precision

28
InstrumentStrikePrice
Instrument strike price

29
TradeableIndicator
Tradeable indicator

30
InstrumentEligibleAnonOrders
Instrument is eligible to accept anonymous orders

31
MinGuaranteedFillVolume
Minimum guaranteed fill volume

32
MinGuaranteedFillStatus
Minimum guaranteed fill status

33
TradeAtSettlementEligibility
Trade at settlement (TAS) eligibility

34
TestInstrument
Test instrument. Instrument that is tradable but has no effect on the positions, exchange turnover etc.

35
DummyInstrument
Dummy instrument. Instrument that is normally halted and is only activated for trading under very special conditions (e.g. temporarily assigned for newly listed instrument). Use of a dummy instrument generally applies to systems that are unable to add reference data for new instruments intraday.

36
NegativeSettlementPriceEligibility
Negative settlement price eligibility

37
NegativeStrikePriceEligibility
Negative strike price eligibility

38
USStdContractInd
US standard contract indicator. Indicates through InstrAttribValue(872) - values Y or N - whether the underlying asset in the trade references or is economically related to a contract listed in Appendix B of CFTC Part 43 regulation. See http://www.ecfr.gov/cgi-bin/text-idx?SID=4b2d1078ad68f6564a89d7ff6c52ec43&node=17:2.0.1.1.3.0.1.8.2&rgn=div or refer to Appendix B to Part 43 in the final rule at http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2013-12133a.pdf

39
AdmittedToTradingOnTradingVenue
Admitted to trading on a trading venue

40
AverageDailyNotionalAmount
Average daily notional amount

41
AverageDailyNumberTrades
Average daily number of trades

99
Text
Text. Supply the text value in InstrAttribValue(872).

Used in groups: AttrbGrp

InstrAttribValue

Attribute value appropriate to the InstrAttribType (871) field.

Type: String

Used in groups: AttrbGrp

InstrmtAssignmentMethod

Method under which assignment was conducted

Type: char

Allowed values in InstrmtAssignmentMethodCodeSet:

Code | Name | Description
P | ProRata | Pro rata
R | Random | Random

Used in components: Instrument

InstrmtGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Specifies the number of repeating symbols (instruments) specified
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
RelatedInstrumentGrp | [0..*] | Group |

Used in messages: AdjustedPositionReport, Email, News

InstrmtLegExecGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup | Number of leg executions.
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegOrderQty | [0..1] | Qty | Quantity ordered for this leg as provided during order entry.
LegQty | [0..1] | Qty | The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
LegMidPx | [0..1] | Price |
LegSwapType | [0..1] | CodeSet | Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
LegStipulations | [0..*] | Group |
LegAllocID | [0..1] | String |
LegPreAllocGrp | [0..*] | Group |
LegAccount | [0..1] | String |
LegClearingAccountType | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
LegPositionEffect | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
LegCoveredOrUncovered | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
NestedParties3 | [0..*] | Group |
LegRefID | [0..1] | String | Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate | Takes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value. Conditionally required when LegSettlType(587) = B(Broken date).
LegLastPx | [0..1] | Price | Used to report the execution price assigned to the leg of the multileg instrument.
LegSettlCurrency | [0..1] | Currency |
LegSettlCurrencyCodeSource | [0..1] | CodeSet |
LegLastForwardPoints | [0..1] | PriceOffset |
LegCalculatedCcyLastQty | [0..1] | Qty |
LegGrossTradeAmt | [0..1] | Amt | For FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts - LegContractMultiplier(231) is required in this case.
LegShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
LegVolatility | [0..1] | float |
LegDividendYield | [0..1] | Percentage |
LegCurrencyRatio | [0..1] | float |
LegExecInst | [0..1] | CodeSet |
LegLastQty | [0..1] | Qty | Quantity executed for this leg.
FillRefID | [0..1] | String | Use to reference the partial execution of a multi-leg order to which this leg execution belongs.

Used in messages: ExecutionReport

InstrmtLegGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup | Number of legs
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegFinancingDetails | [0..1] | Component |

Used in groups: InstrmtMDReqGrp, InstrmtMatchSideGrp, MDIncGrp, QuotCxlEntriesGrp, QuotEntryAckGrp, QuotEntryGrp, RFQReqGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecMassStatGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, DontKnowTrade, Email, ExecutionAck, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, NewOrderCross, News, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, QuoteStatusRequest, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeCaptureReportRequest, TradeCaptureReportRequestAck

InstrmtLegIOIGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup | Required for multileg IOIs
InstrumentLeg | [0..1] | Component | Required for multileg IOIs. For Swaps one leg is Buy and other leg is Sell
LegIOIQty | [0..1] | CodeSet | Required for multileg IOIs and for each leg.
LegStipulations | [0..*] | Group |

Used in messages: IOI

InstrmtLegSecListGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup | Number of legs that make up the Security
InstrumentLeg | [0..1] | Component | Insert here the set of "Instrument Legs" (leg symbology) fields defined in "Common Components of Application Messages". Required if NoLegs > 0
LegSwapType | [0..1] | CodeSet |
LegSettlType | [0..1] | CodeSet |
LegStipulations | [0..*] | Group | Insert here the set of "LegStipulations" (leg symbology) fields defined in "Common Components of Application Messages". Required if NoLegs > 0
LegBenchmarkCurveData | [0..1] | Component | Insert here the set of "LegBenchmarkCurveData" (leg symbology) fields defined in "Common Components of Application Messages". Required if NoLegs > 0

Used in groups: SecListGrp

InstrmtMatchSideGrp

The InstrmtMatchSideGrp component is used to convey all trades for a given match event reported by instrument and trade side.

Name | Mult. | Type | Description
NoInstrmtMatchSides | [1..1] | NumInGroup |
Instrument | [0..1] | Component | Required if NoInstrmtMatchSides(1889) > 0.
InstrmtLegGrp | [0..*] | Group | LegID(1788) in the InstrmtLegGrp component can be used to reference individual leg executions referenced in the TrdInstrmtLegExecGrp component with LegRefID(654).
UndInstrmtGrp | [0..*] | Group |
TrdMatchSubID | [0..1] | String |
Quantity | [0..1] | Qty | Total quantity for this instrument in this match event. This is the cumulative sum of LastQty(32) for all match steps for this instrument.
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
QtyType | [0..1] | CodeSet |
LastQty | [0..1] | Qty | Required if NoInstrmtMatchSides(1889) > 0. Trade quantity for this instrument within this match step. The value is the greater of the sum of SideLastQty(1009) of each side (i.e. buy or sell) for each TrdMatchSideGrp instance within the current InstrmtMatchSideGrp instance.
PriceType | [0..1] | CodeSet |
LastPx | [0..1] | Price | Required if NoInstrmtMatchSides(1889) > 0.
LastMkt | [0..1] | Exchange |
TrdMatchSideGrp | [0..*] | Group | Required if NoInstrmtMatchSides(1889) > 0.

Used in messages: TradeMatchReport

InstrmtMDReqGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Number of symbols (instruments) requested.
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrumentExtension | [0..1] | Component |
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
QuoteType | [0..1] | CodeSet |
SettlType | [0..1] | CodeSet | For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.
SettlDate | [0..1] | LocalMktDate | SettlType (specifying the tenor) or SettlDate must be specified.
MDEntrySize | [0..1] | Qty | Quantity or volume represented by the Market Data Entry. In the context of the Market Data Request this allows the Initiator to indicate the quantity of the market data request. Specific to FX this field indicates the ceiling amount the customer is seeking prices for.
MDStreamID | [0..1] | String |

Used in messages: MarketDataRequest

InstrmtStrkPxGrp

Name | Mult. | Type | Description
NoStrikes | [1..1] | NumInGroup | Number of strike price entries
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". Required if NoStrikes > 0. Must be first field in repeating group.
UndInstrmtGrp | [0..*] | Group | Underlying Instruments
PrevClosePx | [0..1] | Price | Useful for verifying security identification
ClOrdID | [0..1] | String | Can use client order identifier or the symbol and side to uniquely identify the stock in the list.
SecondaryClOrdID | [0..1] | String |
Side | [0..1] | CodeSet |
Price | [0..1] | Price |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: ListStrikePrice

InstrRegistry

Values may include BIC for the depository or custodian who maintain ownership records, the ISO country code for the location of the record, or the value "ZZ" to specify physical ownership of the security (e.g. stock certificate).

Type: String

Used in components: Instrument

Instrument

The Instrument component block contains all the fields commonly used to describe a security or instrument. Typically the data elements in this component block are considered the static data of a security, data that may be commonly found in a security master database. The Instrument component block can be used to describe any asset type supported by FIX.

Name
Mult.
Type
Description

Symbol
[0..1]
String
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles). Use "[N/A]" for products which do not have a symbol. Required if the Instrument component is marked as required where the component is used.

SymbolSfx
[0..1]
CodeSet
Used in Fixed Income with a value of "WI" to indicate "When Issued" for a security to be reissued under an old CUSIP or ISIN or with a value of "CD" to indicate a EUCP with lump-sum interest rather than discount price.

SecurityID
[0..1]
String
Takes precedence in identifying security to counterparty over SecurityAltID block. Requires SecurityIDSource if specified.

SecurityIDSource
[0..1]
CodeSet
Conditionally required when SecurityID(48) is specified.

SecAltIDGrp
[0..*]
Group
Number of alternate Security Identifiers

Product
[0..1]
CodeSet
Indicates the type of product the security is associated with (high-level category)

ProductComplex
[0..1]
String
Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc

SecurityGroup
[0..1]
String
An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

CFICode
[0..1]
String
Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values. It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments.

UPICode
[0..1]
String

SecurityType
[0..1]
CodeSet
It is recommended that CFICode be used instead of SecurityType for non-Fixed Income instruments. Required for Fixed Income. Refer to Volume 7 - Fixed Income. Futures and Options should be specified using the CFICode[461] field instead of SecurityType[167] (Refer to Volume 7 - Recommendations and Guidelines for Futures and Options Markets.)

SecuritySubType
[0..1]
String
Sub-type qualification/identification of the SecurityType (e.g. for SecurityType="MLEG"). If specified, SecurityType is required.

MaturityMonthYear
[0..1]
MonthYear
Specifies the month and year of maturity. Applicable for standardized derivatives which are typically only referenced by month and year (e.g. S&P futures). Note MaturityDate (a full date) can also be specified.

MaturityDate
[0..1]
LocalMktDate
Specifies date of maturity (a full date). Note that standardized derivatives which are typically only referenced by month and year (e.g. S&P futures) may use MaturityMonthYear(200) and/or this field. When using MaturityMonthYear(200), it is recommended that markets and sell sides report the MaturityDate(541) on all outbound messages as a means of data enrichment. For NDFs this represents the fixing date of the contract.

MaturityTime
[0..1]
TZTimeOnly
For NDFs this represents the fixing time of the contract. It is optional to specify the fixing time.

MaturityFrequencyUnit
[0..1]
CodeSet
Conditionally required when MaturityFrequencyPeriod(2983) is specified.

MaturityFrequencyPeriod
[0..1]
int
Conditionally required when MaturityFrequencyUnit(2982) is specified and the value is not EOM (End of Month) or F (Flexible).

SettleOnOpenFlag
[0..1]
String
Indicator to determine if Instrument is Settle on Open.

InstrmtAssignmentMethod
[0..1]
CodeSet

SecurityStatus
[0..1]
CodeSet
Gives the current state of the instrument

CouponPaymentDate
[0..1]
LocalMktDate
Date interest is to be paid. Used in identifying Corporate Bond issues.

RestructuringType
[0..1]
CodeSet

Seniority
[0..1]
CodeSet

NotionalPercentageOutstanding
[0..1]
Percentage

OriginalNotionalPercentageOutstanding
[0..1]
Percentage

AttachmentPoint
[0..1]
Percentage

DetachmentPoint
[0..1]
Percentage

ObligationType
[0..1]
CodeSet

AssetGroup
[0..1]
CodeSet

AssetClass
[0..1]
CodeSet
Required if AssetSubClass(1939) is specified.

AssetSubClass
[0..1]
CodeSet
Required if AssetType(1940) is specified.

AssetType
[0..1]
String
Required if AssetSubType(2735) is specified.

AssetSubType
[0..1]
String

SecondaryAssetGrp
[0..*]
Group

AssetAttributeGrp
[0..*]
Group

SwapClass
[0..1]
CodeSet

SwapSubClass
[0..1]
CodeSet

NthToDefault
[0..1]
int
Conditionally required when MthToDefault(1943) is specified.

MthToDefault
[0..1]
int

SettledEntityMatrixSource
[0..1]
String

SettledEntityMatrixPublicationDate
[0..1]
LocalMktDate

CouponType
[0..1]
CodeSet

TotalIssuedAmount
[0..1]
Amt

CouponFrequencyPeriod
[0..1]
int
Conditionally required when CouponFrequencyUnit(1949) is specified.

CouponFrequencyUnit
[0..1]
CodeSet
Conditionally required when CouponFrequencyPeriod(1948) is specified.

CouponDayCount
[0..1]
CodeSet

CouponOtherDayCount
[0..1]
String

ConvertibleBondEquityID
[0..1]
String

ConvertibleBondEquityIDSource
[0..1]
CodeSet
Conditionally required when ConvertibleBondEquityID(1951) is specified.

ContractPriceRefMonth
[0..1]
MonthYear

LienSeniority
[0..1]
CodeSet

LoanFacility
[0..1]
CodeSet

ReferenceEntityType
[0..1]
CodeSet

IndexSeries
[0..1]
int

IndexAnnexVersion
[0..1]
int

IndexAnnexDate
[0..1]
LocalMktDate

IndexAnnexSource
[0..1]
String

SettlRateIndex
[0..1]
String

SettlRateIndexLocation
[0..1]
String

OptionExpirationDesc
[0..1]
String

EncodedOptionExpirationDescLen
[0..1]
Length
Must be set if EncodedOptionExpirationDesc(1697) field is specified and must immediately precede it.

EncodedOptionExpirationDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the OptionExpirationDesc(1581) field in the encoded format specified via the MessageEncoding(347) field.

IssueDate
[0..1]
LocalMktDate
Date instrument was issued. For Fixed Income IOIs for new issues, specifies the issue date.

RepoCollateralSecurityType
[0..1]
String

RepurchaseTerm
[0..1]
int

RepurchaseRate
[0..1]
Percentage

Factor
[0..1]
float
For Fixed Income: Amortization Factor for deriving Current face from Original face for ABS or MBS securities, note the fraction may be greater than, equal to or less than 1. In TIPS securities this is the Inflation index. Qty * Factor * Price = Gross Trade Amount. For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. (Qty * Price) * Factor = Nominal Value

CreditRating
[0..1]
String

InstrRegistry
[0..1]
String
The location at which records of ownership are maintained for this instrument, and at which ownership changes must be recorded. Can be used in conjunction with ISIN to address ISIN uniqueness issues.

CountryOfIssue
[0..1]
Country
ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). Can be used in conjunction with non-ISIN SecurityID (e.g. CUSIP for Municipal Bonds without ISIN) to provide uniqueness.

StateOrProvinceOfIssue
[0..1]
String
A two-character state or province abbreviation.

LocaleOfIssue
[0..1]
String
The three-character IATA code for a locale (e.g. airport code for Municipal Bonds).

RedemptionDate
[0..1]
LocalMktDate

StrikePrice
[0..1]
Price
Used for derivatives, such as options and covered warrants

OrigStrikePrice
[0..1]
Price

StrikePricePrecision
[0..1]
int

StrikeCurrency
[0..1]
Currency
Used for derivatives

StrikeCurrencyCodeSource
[0..1]
CodeSet

StrikeMultiplier
[0..1]
float
Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

StrikeValue
[0..1]
float
Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.

StrikeUnitOfMeasure
[0..1]
CodeSet

StrikeIndex
[0..1]
String

StrikeIndexCurvePoint
[0..1]
String

StrikeIndexSpread
[0..1]
PriceOffset

StrikeIndexQuote
[0..1]
CodeSet

StrikePriceDeterminationMethod
[0..1]
CodeSet

StrikePriceBoundaryMethod
[0..1]
CodeSet
When specified, PutOrCall(201), StrikePrice(202), and StrikePriceBoundaryPrecision(1480) must also be specified.

StrikePriceBoundaryPrecision
[0..1]
Percentage

UnderlyingPriceDeterminationMethod
[0..1]
CodeSet

OptAttribute
[0..1]
char
Used for derivatives, such as options and covered warrants to indicate a versioning of the contract when required due to corporate actions to the underlying. Should not be used to indicate type of option - use the CFICode[461] for this purpose.

ContractMultiplier
[0..1]
float
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount.

ContractMultiplierUnit
[0..1]
CodeSet

TradingUnitPeriodMultiplier
[0..1]
int

FlowScheduleType
[0..1]
CodeSet

MinPriceIncrement
[0..1]
float
Minimum price increment for the instrument. Could also be used to represent tick value.

MinPriceIncrementAmount
[0..1]
Amt
Minimum price increment amount associated with the MinPriceIncrement [969]. For listed derivatives, the value can be calculated by multiplying MinPriceIncrement by ContractValueFactor [231]

UnitOfMeasure
[0..1]
CodeSet

UnitOfMeasureQty
[0..1]
Qty

UnitOfMeasureCurrency
[0..1]
Currency

UnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

PriceUnitOfMeasure
[0..1]
CodeSet

PriceUnitOfMeasureQty
[0..1]
Qty

PriceUnitOfMeasureCurrency
[0..1]
Currency

PriceUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

SettlMethod
[0..1]
CodeSet
Conditionally required if SettlSubMethod(2579) is specified.

SettlSubMethod
[0..1]
CodeSet

ExerciseStyle
[0..1]
CodeSet
Type of exercise of a derivatives security

OptPayoutType
[0..1]
CodeSet

OptPayoutAmount
[0..1]
Amt
Conditionally required if OptPayoutType(1482) = 3 (Binary).

ReturnTrigger
[0..1]
CodeSet

PriceQuoteMethod
[0..1]
CodeSet
Method for price quotation

ValuationMethod
[0..1]
CodeSet
Indicates type of valuation method used.

ValuationSource
[0..1]
String

ValuationReferenceModel
[0..1]
String

PriceQuoteCurrency
[0..1]
Currency

PriceQuoteCurrencyCodeSource
[0..1]
CodeSet

ListMethod
[0..1]
CodeSet
Indicates whether the instruments are pre-listed only or can also be defined via user request

CapPrice
[0..1]
Price
Used to express the ceiling price of a capped call

FloorPrice
[0..1]
Price
Used to express the floor price of a capped put

PutOrCall
[0..1]
CodeSet
Used to express option right

InTheMoneyCondition
[0..1]
CodeSet
Used to express in-the-moneyness behavior in general terms for the option without the use of StrikePrice(202) and PutOrCall(201).

ContraryInstructionEligibilityIndicator
[0..1]
Boolean

FlexibleIndicator
[0..1]
Boolean
Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator

FlexProductEligibilityIndicator
[0..1]
Boolean
Used to indicate if a product or group of product supports the creation of flexible securities

BlockTradeEligibilityIndicator
[0..1]
Boolean

LowExercisePriceOptionIndicator
[0..1]
Boolean

TimeUnit
[0..1]
CodeSet
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

CouponRate
[0..1]
Percentage
For Fixed Income.

SecurityExchange
[0..1]
Exchange
Can be used to identify the security.

PositionLimit
[0..1]
int
Position Limit for the instrument.

NTPositionLimit
[0..1]
int
Near-term Position Limit for the instrument.

Issuer
[0..1]
String

EncodedIssuerLen
[0..1]
Length
Must be set if EncodedIssuer(349) field is specified and must immediately precede it.

EncodedIssuer
[0..1]
data
Encoded (non-ASCII characters) representation of the Issuer(106) field in the encoded format specified via the MessageEncoding(347) field.

FinancialInstrumentShortName
[0..1]
String

FinancialInstrumentFullName
[0..1]
String

EncodedFinancialInstrumentFullNameLen
[0..1]
Length
Must be set if EncodedFinancialInstrumentFullName(2716) field is specified and must immediately precede it.

EncodedFinancialInstrumentFullName
[0..1]
data
Encoded (non-ASCII characters) representation of the FinancialInstrumentFullName(2714) field in the encoded format specified via the MessageEncoding(347) field.

SecurityDesc
[0..1]
String

EncodedSecurityDescLen
[0..1]
Length
Must be set if EncodedSecurityDesc(351) field is specified and must immediately precede it.

EncodedSecurityDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the SecurityDesc(107) field in the encoded format specified via the MessageEncoding(347) field.

SecurityXML
[0..1]
Component
Embedded XML document describing the instrument.

Pool
[0..1]
String
Identifies MBS / ABS pool

ContractSettlMonth
[0..1]
MonthYear
Must be present for MBS/TBA

CPProgram
[0..1]
CodeSet
The program under which a commercial paper is issued

CPRegType
[0..1]
String
The registration type of a commercial paper issuance

EvntGrp
[0..*]
Group
Number of repeating EventType group entries.

DatedDate
[0..1]
LocalMktDate
If different from IssueDate

InterestAccrualDate
[0..1]
LocalMktDate
If different from IssueDate and DatedDate

InstrumentParties
[0..*]
Group
Used to identify the parties related to a specific instrument.

ShortSaleRestriction
[0..1]
CodeSet

ComplexEvents
[0..*]
Group

RefTickTableID
[0..1]
int
Spread table code referred by the security or symbol.

StrategyType
[0..1]
CodeSet

CommonPricingIndicator
[0..1]
Boolean

SettlDisruptionProvision
[0..1]
CodeSet

DeliveryRouteOrCharter
[0..1]
String

InstrumentRoundingDirection
[0..1]
CodeSet

InstrumentRoundingPrecision
[0..1]
int

InstrumentPricePrecision
[0..1]
int

SecurityReferenceDataSupplement
[0..1]
String

DateAdjustment
[0..1]
Component

PricingDateTime
[0..1]
Component

MarketDisruption
[0..1]
Component

OptionExercise
[0..1]
Component

StreamGrp
[0..*]
Group

ProvisionGrp
[0..*]
Group

AdditionalTermGrp
[0..*]
Group

ProtectionTermGrp
[0..*]
Group

CashSettlTermGrp
[0..*]
Group

PhysicalSettlTermGrp
[0..*]
Group

ExtraordinaryEventGrp
[0..*]
Group

ExtraordinaryEventAdjustmentMethod
[0..1]
CodeSet

ExchangeLookAlike
[0..1]
Boolean

Used in components: SettlTradeDetails

Used in groups: InstrmtGrp, InstrmtMDReqGrp, InstrmtMatchSideGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, OrderEntryAckGrp, OrderEntryGrp, QuotCxlEntriesGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp, SecurityRiskMetricGrp, SettlObligationInstructions, StrmAsgnReqInstrmtGrp, StrmAsgnRptInstrmtGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ContraryIntentionReport, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, CrossRequest, CrossRequestAck, DontKnowTrade, ExecutionAck, ExecutionReport, IOI, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport, Quote, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeAggregationReport, TradeAggregationRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradingSessionStatus

InstrumentExtension

The InstrumentExtension component block identifies additional security attributes that are more commonly found for Fixed Income securities.

Name | Mult. | Type | Description
DeliveryForm | [0..1] | CodeSet | Identifies the form of delivery.
PctAtRisk | [0..1] | Percentage | Percent at risk due to lowest possible call.
AttrbGrp | [0..*] | Group | Number of repeating InstrAttrib group entries.
CommodityFinalPriceType | [0..1] | CodeSet |
IndexRollMonthGrp | [0..*] | Group |
NextIndexRollDate | [0..1] | LocalMktDate |
FloatingRateIndex | [0..1] | Component |
ReferenceDataDateGrp | [0..*] | Group |

Used in groups: InstrmtGrp, InstrmtMDReqGrp, MDIncGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, IOI, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

InstrumentLeg

The InstrumentLeg component block, like the Instrument component block, contains all the fields commonly used to describe a security or instrument. In the case of the InstrumentLeg component block it describes a security used in multileg-oriented messages.

Name
Mult.
Type
Description

LegSymbol
[0..1]
String
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles). Use "[N/A]" for products which do not have a symbol. Required if the InstrumentLeg component is marked as required where the component is used.

LegSymbolSfx
[0..1]
CodeSet

LegSecurityID
[0..1]
String

LegSecurityIDSource
[0..1]
CodeSet

LegSecAltIDGrp
[0..*]
Group

LegID
[0..1]
String
Used for unique identification of the leg that can subsequently be used whenever a simple leg identification is sufficient. It can also serve as input value for LegRefID(654) whenever only a simple leg reference is allowed or needed.

LegProduct
[0..1]
CodeSet

LegSecurityGroup
[0..1]
String

LegCFICode
[0..1]
String

LegUPICode
[0..1]
String

LegSecurityType
[0..1]
CodeSet

LegSecuritySubType
[0..1]
String

LegMaturityMonthYear
[0..1]
MonthYear

LegMaturityDate
[0..1]
LocalMktDate

LegMaturityTime
[0..1]
TZTimeOnly

LegMaturityFrequencyUnit
[0..1]
CodeSet
Conditionally required when LegMaturityFrequencyPeriod(2987) is specified.

LegMaturityFrequencyPeriod
[0..1]
int
Conditionally required when LegMaturityFrequencyUnit(2986) is specified and the value is not EOM (End of Month) or F (Flexible).

LegSettleOnOpenFlag
[0..1]
String

LegInstrmtAssignmentMethod
[0..1]
CodeSet

LegSecurityStatus
[0..1]
CodeSet

LegCouponPaymentDate
[0..1]
LocalMktDate

LegRestructuringType
[0..1]
CodeSet

LegSeniority
[0..1]
CodeSet

LegNotionalPercentageOutstanding
[0..1]
Percentage

LegOriginalNotionalPercentageOutstanding
[0..1]
Percentage

LegAttachmentPoint
[0..1]
Percentage

LegDetachmentPoint
[0..1]
Percentage

LegObligationType
[0..1]
CodeSet

LegAssetGroup
[0..1]
CodeSet

LegAssetClass
[0..1]
CodeSet
Required if LegAssetSubClass(2068) is specified.

LegAssetSubClass
[0..1]
CodeSet
Required if LegAssetType(2069) is specified.

LegAssetType
[0..1]
String
Required if LegAssetSubType(2739) is specified.

LegAssetSubType
[0..1]
String

LegSecondaryAssetGrp
[0..*]
Group

LegAssetAttributeGrp
[0..*]
Group

LegSwapClass
[0..1]
CodeSet

LegSwapSubClass
[0..1]
CodeSet

LegNthToDefault
[0..1]
int
Conditionally required when LegMthToDefault(2158) is specified.

LegMthToDefault
[0..1]
int

LegSettledEntityMatrixSource
[0..1]
String

LegSettledEntityMatrixPublicationDate
[0..1]
LocalMktDate

LegCouponType
[0..1]
CodeSet

LegTotalIssuedAmount
[0..1]
Amt

LegCouponFrequencyPeriod
[0..1]
int
Conditionally required when LegCouponFreqUnit(2164) is specified.

LegCouponFrequencyUnit
[0..1]
CodeSet
Conditionally required when LegCouponFreqPeriod(2163) is specified.

LegCouponDayCount
[0..1]
CodeSet

LegCouponOtherDayCount
[0..1]
String

LegConvertibleBondEquityID
[0..1]
String

LegConvertibleBondEquityIDSource
[0..1]
CodeSet
Conditionally required when LegConvertibleBondEquityID(2166) is specified.

LegContractPriceRefMonth
[0..1]
MonthYear

LegLienSeniority
[0..1]
CodeSet

LegLoanFacility
[0..1]
CodeSet

LegReferenceEntityType
[0..1]
CodeSet

LegIndexSeries
[0..1]
int

LegIndexAnnexVersion
[0..1]
int

LegIndexAnnexDate
[0..1]
LocalMktDate

LegIndexAnnexSource
[0..1]
String

LegSettlRateIndex
[0..1]
String

LegSettlRateIndexLocation
[0..1]
String

LegOptionExpirationDesc
[0..1]
String

EncodedLegOptionExpirationDescLen
[0..1]
Length
Must be set if EncodedLegOptionExpirationDesc(2180) field is specified and must immediately precede it.

EncodedLegOptionExpirationDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the LegOptionExpirationDesc(2178) field in the encoded format specified via the MessageEncoding(347) field.

LegIssueDate
[0..1]
LocalMktDate

LegRepoCollateralSecurityType
[0..1]
String

LegRepurchaseTerm
[0..1]
int

LegRepurchaseRate
[0..1]
Percentage

LegFactor
[0..1]
float

LegCreditRating
[0..1]
String

LegInstrRegistry
[0..1]
String

LegCountryOfIssue
[0..1]
Country

LegStateOrProvinceOfIssue
[0..1]
String

LegLocaleOfIssue
[0..1]
String

LegRedemptionDate
[0..1]
LocalMktDate

LegStrikePrice
[0..1]
Price

LegStrikeCurrency
[0..1]
Currency

LegStrikeCurrencyCodeSource
[0..1]
CodeSet

LegStrikeMultiplier
[0..1]
float

LegStrikeValue
[0..1]
float

LegStrikeUnitOfMeasure
[0..1]
CodeSet

LegStrikeIndex
[0..1]
String

LegStrikeIndexCurvePoint
[0..1]
String

LegStrikeIndexSpread
[0..1]
PriceOffset

LegStrikeIndexQuote
[0..1]
CodeSet

LegStrikePriceDeterminationMethod
[0..1]
CodeSet

LegStrikePriceBoundaryMethod
[0..1]
CodeSet
When specified, LegPutOrCall(1358), LegStrikePrice(612), and LegStrikePriceBoundaryPrecision(2188) must also be specified.

LegStrikePriceBoundaryPrecision
[0..1]
Percentage

LegUnderlyingPriceDeterminationMethod
[0..1]
CodeSet

LegOptAttribute
[0..1]
char

LegContractMultiplier
[0..1]
float

LegContractMultiplierUnit
[0..1]
CodeSet

LegTradingUnitPeriodMultiplier
[0..1]
int

LegFlowScheduleType
[0..1]
CodeSet

LegMinPriceIncrement
[0..1]
float

LegMinPriceIncrementAmount
[0..1]
Amt

LegUnitOfMeasure
[0..1]
CodeSet

LegUnitOfMeasureQty
[0..1]
Qty

LegUnitOfMeasureCurrency
[0..1]
Currency

LegUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

LegPriceUnitOfMeasure
[0..1]
CodeSet

LegPriceUnitOfMeasureQty
[0..1]
Qty

LegPriceUnitOfMeasureCurrency
[0..1]
Currency

LegPriceUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

LegSettlMethod
[0..1]
CodeSet

LegTimeUnit
[0..1]
CodeSet
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

LegExerciseStyle
[0..1]
CodeSet

LegOptPayoutType
[0..1]
CodeSet

LegOptPayoutAmount
[0..1]
Amt
Conditionally required if LegOptPayoutTyp(2193) = 3 (Binary).

LegReturnTrigger
[0..1]
CodeSet

LegPriceQuoteMethod
[0..1]
CodeSet

LegValuationMethod
[0..1]
CodeSet

LegValuationSource
[0..1]
String

LegValuationReferenceModel
[0..1]
String

LegPriceQuoteCurrency
[0..1]
Currency

LegPriceQuoteCurrencyCodeSource
[0..1]
CodeSet

LegListMethod
[0..1]
CodeSet

LegCapPrice
[0..1]
Price

LegFloorPrice
[0..1]
Price

LegFlexibleIndicator
[0..1]
Boolean

LegFlexProductEligibilityIndicator
[0..1]
Boolean

LegCouponRate
[0..1]
Percentage

LegSecurityExchange
[0..1]
Exchange

LegPositionLimit
[0..1]
int

LegNTPositionLimit
[0..1]
int

LegIssuer
[0..1]
String

EncodedLegIssuerLen
[0..1]
Length
Must be set if EncodedLegIssuer(618) field is specified and must immediately precede it.

EncodedLegIssuer
[0..1]
data
Encoded (non-ASCII characters) representation of the LegIssuer(617) field in the encoded format specified via the MessageEncoding(347) field.

LegFinancialInstrumentShortName
[0..1]
String

LegFinancialInstrumentFullName
[0..1]
String

EncodedLegFinancialInstrumentFullNameLen
[0..1]
Length
Must be set if EncodedLegFinancialInstrumentFullName(2719) field is specified and must immediately precede it.

EncodedLegFinancialInstrumentFullName
[0..1]
data
Encoded (non-ASCII characters) representation of the LegFinancialInstrumentFullName(2717) field in the encoded format specified via the MessageEncoding(347) field.

LegSecurityDesc
[0..1]
String

EncodedLegSecurityDescLen
[0..1]
Length
Must be set if LegEncodedSecurityDesc(622) field is specified and must immediately precede it.

EncodedLegSecurityDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the LegSecurityDesc(620) field in the encoded format specified via the MessageEncoding(347) field.

LegSecurityXML
[0..1]
Component
Embedded XML document describing the leg instrument.

LegCPProgram
[0..1]
CodeSet

LegCPRegType
[0..1]
String

LegRatioQty
[0..1]
float
Specific to the <InstrumentLeg> (not in <Instrument>)

LegSide
[0..1]
CodeSet
Specific to the <InstrumentLeg> (not in <Instrument>)

LegCurrency
[0..1]
Currency
Specific to the <InstrumentLeg> (not in <Instrument>)

LegCurrencyCodeSource
[0..1]
CodeSet

LegPool
[0..1]
String
Identifies MBS / ABS pool

LegDatedDate
[0..1]
LocalMktDate

LegContractSettlMonth
[0..1]
MonthYear

LegInterestAccrualDate
[0..1]
LocalMktDate

LegPutOrCall
[0..1]
CodeSet
Used to express option right

LegInTheMoneyCondition
[0..1]
CodeSet
Used to express in-the-moneyness behavior in general terms for the option without the use of LegStrikePrice(612) and LegPutOrCall(1358).

LegContraryInstructionEligibilityIndicator
[0..1]
Boolean

LegOptionRatio
[0..1]
float
LegOptionRatio is provided on covering leg to create a delta neutral spread. In Listed Derivatives, the delta of the leg is multiplied by LegOptionRatio and OrderQty to determine the covering quantity.

LegPrice
[0..1]
Price
Used to specify an anchor price for a leg as part of the definition or creation of the strategy - not used for execution price.

LegEvntGrp
[0..*]
Group

LegInstrumentParties
[0..*]
Group

LegShortSaleRestriction
[0..1]
CodeSet

LegComplexEvents
[0..*]
Group

LegStrategyType
[0..1]
CodeSet

LegCommonPricingIndicator
[0..1]
Boolean

LegSettlDisruptionProvision
[0..1]
CodeSet

LegDeliveryRouteOrCharter
[0..1]
String

LegInstrumentRoundingDirection
[0..1]
CodeSet

LegInstrumentRoundingPrecision
[0..1]
int

LegDateAdjustment
[0..1]
Component

LegPricingDateTime
[0..1]
Component

LegMarketDisruption
[0..1]
Component

LegOptionExercise
[0..1]
Component

LegStreamGrp
[0..*]
Group

LegProvisionGrp
[0..*]
Group

LegAdditionalTermGrp
[0..*]
Group

LegProtectionTermGrp
[0..*]
Group

LegCashSettlTermGrp
[0..*]
Group

LegPhysicalSettlTermGrp
[0..*]
Group

LegExtraordinaryEventGrp
[0..*]
Group

LegExtraordinaryEventAdjustmentMethod
[0..1]
CodeSet

LegExchangeLookAlike
[0..1]
Boolean

Used in groups: InstrmtLegExecGrp, InstrmtLegGrp, InstrmtLegIOIGrp, InstrmtLegSecListGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SecLstUpdRelSymsLegGrp, TrdInstrmtLegGrp

InstrumentParties

The use of this component block is restricted to instrument definition only and is not permitted to contain transactional information. Only a specified subset of party roles will be supported within the InstrumentParty block.

Name | Mult. | Type | Description
NoInstrumentParties | [1..1] | NumInGroup | Repeating group below should contain unique combinations of InstrumentPartyID(1019), InstrumentPartyIDSource(1050) and InstrumentPartyRole(1051).
InstrumentPartyID | [0..1] | String | Required if NoInstrumentParties(1018) > 0. Identification of the party.
InstrumentPartyIDSource | [0..1] | CodeSet | Required if NoInstrumentParties(1018) > 0. Used to identify classification source.
InstrumentPartyRole | [0..1] | CodeSet | Required if NoInstrumentParties(1018) > 0. Identifies the type of InstrumentPartyID(1019).
InstrumentPartyRoleQualifier | [0..1] | CodeSet |
InstrumentPtysSubGrp | [0..*] | Group | Repeating group of party sub-identifiers.

Used in components: Instrument

InstrumentPartyID

PartyID value within an instrument party repeating group. Same values as PartyID (448)

Type: String

Used in groups: InstrumentParties

InstrumentPartyIDSource

PartyIDSource value within an instrument partyrepeating group.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: InstrumentParties

InstrumentPartyRole

PartyRole value within an instrument partyepeating group.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: InstrumentParties

InstrumentPartyRoleQualifier

Used to further qualify the value of InstrumentPartyRole(1051).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: InstrumentParties

InstrumentPartySubID

PartySubID value within an instrument party repeating group.

Same values as PartySubID (523)

Type: String

Used in groups: InstrumentPtysSubGrp

InstrumentPartySubIDType

Type of InstrumentPartySubID (1053) value.

Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: InstrumentPtysSubGrp

InstrumentPricePrecision

Specifies the number of decimal places for instrument prices.

Type: int

Used in components: Instrument

InstrumentPtysSubGrp

Name | Mult. | Type | Description
NoInstrumentPartySubIDs | [1..1] | NumInGroup |
InstrumentPartySubID | [0..1] | String |
InstrumentPartySubIDType | [0..1] | CodeSet |

Used in groups: InstrumentParties

InstrumentRoundingDirection

Specifies the rounding direction if not overridden elsewhere.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: Instrument

InstrumentRoundingPrecision

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: Instrument

InstrumentScopeCFICode

Used to limit instrument scope to specified CFICode.

See CFICode(461) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScope

Used to specify the instrument

Name | Mult. | Type | Description
InstrumentScopeSymbol | [0..1] | String |
InstrumentScopeSymbolSfx | [0..1] | CodeSet |
InstrumentScopeSecurityID | [0..1] | String |
InstrumentScopeSecurityIDSource | [0..1] | CodeSet |
InstrumentScopeSecurityAltIDGrp | [0..*] | Group |
InstrumentScopeProduct | [0..1] | CodeSet |
InstrumentScopeProductComplex | [0..1] | String |
InstrumentScopeSecurityGroup | [0..1] | String |
InstrumentScopeCFICode | [0..1] | String |
InstrumentScopeUPICode | [0..1] | String |
InstrumentScopeSecurityType | [0..1] | CodeSet |
InstrumentScopeSecuritySubType | [0..1] | String |
InstrumentScopeMaturityMonthYear | [0..1] | MonthYear |
InstrumentScopeMaturityTime | [0..1] | TZTimeOnly |
InstrumentScopeRestructuringType | [0..1] | String |
InstrumentScopeSeniority | [0..1] | String |
InstrumentScopePutOrCall | [0..1] | CodeSet |
InstrumentScopeFlexibleIndicator | [0..1] | Boolean |
InstrumentScopeCouponRate | [0..1] | Percentage |
InstrumentScopeSecurityExchange | [0..1] | Exchange |
InstrumentScopeSecurityDesc | [0..1] | String |
InstrumentScopeEncodedSecurityDescLen | [0..1] | Length |
InstrumentScopeEncodedSecurityDesc | [0..1] | data |
InstrumentScopeSettlType | [0..1] | CodeSet | Can be used to specify FX tenors.

Used in groups: InstrumentScopeGrp, RiskInstrumentScopeGrp

Used in messages: PartyActionReport, PartyActionRequest, SecurityMassStatus, SecurityMassStatusRequest

InstrumentScopeCouponRate

Used to limit instrument scope to specified coupon rate.

See CouponRate(223) field for description.

Type: Percentage

Used in components: InstrumentScope

InstrumentScopeEncodedSecurityDesc

Encoded (non-ASCII characters) representation of the InstrumentScopeSecurityDesc(1556) field in the encoded format specified via the MessageEncoding(347) field. If used, the ASCII (English) representation should also be specified in the InstrumentScopeSecurityDesc(1556) field.

Type: data

Used in components: InstrumentScope

InstrumentScopeEncodedSecurityDescLen

Byte length of encoded (non-ASCII characters) InstrumentScopeEncodedSecurityDesc (1621) field

Type: Length

Used in components: InstrumentScope

InstrumentScopeFlexibleIndicator

Used to limit instrument scope to securities that can be defined using flexible terms or not.

See FlexibleIndicator(1244) field for description.

Type: Boolean

Used in components: InstrumentScope

InstrumentScopeGrp

Repeating group of InstrumentScope Components. Used to specify the instruments to which a request applies.

Name | Mult. | Type | Description
NoInstrumentScopes | [1..1] | NumInGroup |
InstrumentScopeOperator | [0..1] | CodeSet | Required when NoInstrumentScopes > 0.
InstrumentScope | [0..1] | Component |

Used in groups: EntitlementGrp, TestScenarioGrp

Used in messages: MarketDefinition, MarketDefinitionUpdateReport, PartyEntitlementsRequest

InstrumentScopeMaturityMonthYear

Used to limit instrument scope to specified maturity month and year.

See MaturityMonthYear(200) field for description.

Type: MonthYear

Used in components: InstrumentScope

InstrumentScopeMaturityTime

Used to limit instrument scope to specified maturity time.

See MaturityTime(1079) field for description.

Type: TZTimeOnly

Used in components: InstrumentScope

InstrumentScopeOperator

Operator to perform on the instrument(s) specified

Type: int

Allowed values in InstrumentScopeOperatorCodeSet:

Code | Name | Description
1 | Include | Include
2 | Exclude | Exclude

Used in groups: InstrumentScopeGrp, RiskInstrumentScopeGrp

InstrumentScopeProduct

Used to limit instrument scope to specified instrument product category.

See Product (460) field for description.

Type: int

Allowed values in ProductCodeSet:

Code | Name | Description
1 | AGENCY | AGENCY
2 | COMMODITY | COMMODITY
3 | CORPORATE | CORPORATE
4 | CURRENCY | CURRENCY
5 | EQUITY | EQUITY
6 | GOVERNMENT | GOVERNMENT
7 | INDEX | INDEX
8 | LOAN | LOAN
9 | MONEYMARKET | MONEYMARKET
10 | MORTGAGE | MORTGAGE
11 | MUNICIPAL | MUNICIPAL
12 | OTHER | OTHER
13 | FINANCING | FINANCING

Used in components: InstrumentScope

InstrumentScopeProductComplex

Used to limit instrument scope to specified product complex.

See ProductComplex(1227) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopePutOrCall

Used to limit instrument scope to puts or calls.

See PutOrCall(201) field for description.

Type: int

Allowed values in PutOrCallCodeSet:

Code | Name | Description
0 | Put | Put. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate receiver or into a CDS contract as a seller of protection or for the case of a Floor.
1 | Call | Call. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate payer or into a CDS contract as a buyer of protection or for the case of a Cap.
2 | Other | Other. In the context of ESMA RTS 22 reporting, this value may be used when, at the time of execution, the option right cannot be determined.
3 | Chooser | Chooser. Indicates that the option buyer may choose to buy or sell the underlying security on exercise or if a Swaption to pay or receive the underlying IRS cash flow stream or to buy or sell CDS protection.

Used in components: InstrumentScope

InstrumentScopeRestructuringType

Used to limit instrument scope to specified restructuring type.

See RestructuringType(1449) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSecurityAltID

Used to limit instrument scope to specified security alternate identifier.

See SecurityAltID(455) field for description.

Type: String

Used in groups: InstrumentScopeSecurityAltIDGrp

InstrumentScopeSecurityAltIDGrp

Alternative SecurityIDs for an instrument specified in the InstrumentScope.

Name | Mult. | Type | Description
NoInstrumentScopeSecurityAltID | [1..1] | NumInGroup |
InstrumentScopeSecurityAltID | [0..1] | String | Required when NoInstrumentScopeSecurityAltID > 0.
InstrumentScopeSecurityAltIDSource | [0..1] | CodeSet | Required when NoInstrumentScopeSecurityAltID > 0.

Used in components: InstrumentScope

InstrumentScopeSecurityAltIDSource

Used to limit instrument scope to specified security alternate identifier source.

See SecurityAltIDSource(456) field for complete definition.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: InstrumentScopeSecurityAltIDGrp

InstrumentScopeSecurityDesc

Used to limit instrument scope to specified security description.

See SecurityDesc(107) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSecurityExchange

Used to limit instrument scope to specified security exchange.

See SecurityExchange(207) field for description.

Type: Exchange

Used in components: InstrumentScope

InstrumentScopeSecurityGroup

Used to limit instrument scope to specified security group.

See SecurityGroup(1151) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSecurityID

Used to limit instrument scope to specified security identifier.

See SecurityID(48) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSecurityIDSource

Used to limit instrument scope to specified security identifier source.

See SecurityIDSource(22) field for description.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentScope

InstrumentScopeSecuritySubType

Used to limit instrument scope to specified security sub-type.

See SecuritySubType(762) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSecurityType

Used to limit instrument scope to specified security type.

See SecurityType(167) field for description).

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
ABS | AssetBackedSecurities | Asset-backed Securities
AN | OtherAnticipationNotes | Other Anticipation Notes (BAN, GAN, etc.)
BA | BankersAcceptance | Bankers Acceptance
BRADY | BradyBond | Brady Bond
CORP | CorporateBond | Corporate Bond
CS | CommonStock | Common Stock
EUSUPRA | EuroSupranationalCoupons | Euro Supranational Coupons. Identify the issuer name in Issuer(106).
FOR | ForeignExchangeContract | Foreign Exchange Contract
MF | MutualFund | Mutual Fund
REPO | Repurchase | Repurchase
TERM | TermLoan | Term Loan
BDN | BankDepositoryNote | Bank Depository Note
CAN | CanadianTreasuryNotes | Canadian Treasury Notes
CAP | Cap | Cap. In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
CMB | CanadianMortgageBonds | Canadian Mortgage Bonds
COFO | CertificateOfObligation | Certificate Of Obligation
CPP | CorporatePrivatePlacement | Corporate Private Placement
FAC | FederalAgencyCoupon | Federal Agency Coupon
FORWARD | Forward | Forward
FXNDF | NonDeliverableForward | Non-deliverable forward
MLEG | MultilegInstrument | Multileg Instrument
PS | PreferredStock | Preferred Stock
RVLV | RevolverLoan | Revolver Loan
BN | BankNotes | Bank Notes
BUYSELL | BuySellback | Buy Sellback
CB | ConvertibleBond | Convertible Bond
CDS | CreditDefaultSwap | Credit Default Swap
CMBS | Corp | Corp. Mortgage-backed Securities
COFP | CertificateOfParticipation | Certificate Of Participation
CTB | CanadianTreasuryBills | Canadian Treasury Bills
DR | DepositoryReceipts | Depository Receipts
FADN | FederalAgencyDiscountNote | Federal Agency Discount Note
FXSPOT | FXSpot | FX Spot
NONE | NoSecurityType | No Security Type
RVLVTRM | Revolver | Revolver/Term Loan
BOX | BillOfExchanges | Bill Of Exchanges
BRIDGE | BridgeLoan | Bridge Loan
CLLR | Collar | Collar. In an interest rate collar, this is a combination of a cap and a floor.
CMO | CollateralizedMortgageObligation | Collateralized Mortgage Obligation
DUAL | DualCurrency | Dual Currency
EUSOV | EuroSovereigns | Euro Sovereigns. Identify the issuer name in Issuer(106).
FXFWD | FXForward | FX Forward
GO | GeneralObligationBonds | General Obligation Bonds
PEF | PrivateExportFunding | Private Export Funding. Identify the issuer name in Issuer(106).
SECLOAN | SecuritiesLoan | Securities Loan
UST | USTreasuryNoteOld | US Treasury Note (Deprecated Value Use TNOTE)
CAMM | CanadianMoneyMarkets | Canadian Money Markets
CMDTYSWAP | CommoditySwap | Commodity swap
EUCORP | EuroCorporateBond | Euro Corporate Bond
FXSWAP | FXSwap | FX Swap
IET | IOETTEMortgage | IOETTE Mortgage
LOFC | LetterOfCredit | Letter Of Credit
MT | MandatoryTender | Mandatory Tender
PROV | CanadianProvincialBonds | Canadian Provincial Bonds
SECPLEDGE | SecuritiesPledge | Securities Pledge
SUPRA | USDSupranationalCoupons | USD Supranational Coupons. Identify the issuer name in Issuer(106).
USTB | USTreasuryBillOld | US Treasury Bill (Deprecated Value Use TBILL)
? | Wildcard | Wildcard entry for use on Security Definition Request
CD | CertificateOfDeposit | Certificate Of Deposit
DVPLDG | DeliveryVersusPledge | Delivery versus pledge
EUFRN | EuroCorporateFloatingRateNotes | Euro Corporate Floating Rate Notes
EXOTIC | Exotic | Exotic
FXNDS | NonDeliverableSwap | Non-deliverable Swap
MBS | MortgageBackedSecurities | Mortgage-backed Securities
RAN | RevenueAnticipationNote | Revenue Anticipation Note
SWING | SwingLineFacility | Swing Line Facility
TB | TreasuryBill | Treasury Bill - non US
CASH | Cash | Cash
CL | CallLoans | Call Loans
COLLBSKT | CollateralBasket | Collateral basket. A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
DINP | DebtorInPossession | Debtor In Possession
FLR | Floor | Floor. In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
FRN | USCorporateFloatingRateNotes | US Corporate Floating Rate Notes
FXBN | FXBankNote | FX Bank Note
MIO | MortgageInterestOnly | Mortgage Interest Only
OOC | OptionsOnCombo | Options on Combo
REV | RevenueBonds | Revenue Bonds
TBOND | USTreasuryBond | US Treasury Bond
CP | CommercialPaper | Commercial Paper
DEFLTED | Defaulted | Defaulted
FRA | FRA | Forward Rate Agreement
FXDN | ForeignCurrencyDiscountNote | Foreign Currency Discount Note. Discount notes issued in foreign currency by Fannie Mae.
MPO | MortgagePrincipalOnly | Mortgage Principal Only
Other | Other | Other
SFP | StructuredFinanceProduct | Structured finance product
SPCLA | SpecialAssessment | Special Assessment
TINT | InterestStripFromAnyBondOrNote | Interest Strip From Any Bond Or Note
XLINKD | IndexedLinked | Indexed Linked
DN | DepositNotes | Deposit Notes
ETN | ExchangeTradedNote | Exchange traded note
FUT | Future | Future
MPP | MortgagePrivatePlacement | Mortgage Private Placement
SPCLO | SpecialObligation | Special Obligation
STRUCT | StructuredNotes | Structured Notes
TBILL | USTreasuryBill | US Treasury Bill
TIPS | TreasuryInflationProtectedSecurities | Treasury Inflation Protected Securities
WITHDRN | Withdrawn | Withdrawn
EUCD | EuroCertificateOfDeposit | Euro Certificate Of Deposit
FWD | DerivativeForward | Derivative forward
MPT | MiscellaneousPassThrough | Miscellaneous Pass-through
MRGNLOAN | MarginLoan | Margin loan
REPLACD | Replaced | Replaced
SPCLT | SpecialTax | Special Tax
TCAL | PrincipalStripOfACallableBondOrNote | Principal Strip Of A Callable Bond Or Note
YANK | YankeeCorporateBond | Yankee Corporate Bond
DIMSUMCORP | OffshoreIssuedChineseYuanCorporateBond | Offshore issued Chinese Yuan (CNY) denominated corporate bond
EUCP | EuroCommercialPaper | Euro Commercial Paper
IRS | InterestRateSwap | Interest Rate Swap
MATURED | Matured | Matured
PFAND | Pfandbrief | Pfandbrief. Identify the issuer name in Issuer(106).
SECDERIV | SecuritizedDerivative | Securitized derivative
TAN | TaxAnticipationNote | Tax Anticipation Note
TPRN | PrincipalStripFromANonCallableBondOrNote | Principal Strip From A Non-Callable Bond Or Note
TRS | TotalReturnSwap | Total return swap
AMENDED | Amended | Amended and restated
ETF | ExchangeTradedFund | Exchange Traded Fund
LOANLEASE | LoanLease | Loan/lease
LQN | LiquidityNote | Liquidity Note
PRCORP | PreferredCorporateBond | Preferred Corporate Bond
TAXA | TaxAllocation | Tax Allocation
TBA | ToBeAnnounced | To Be Announced
TNOTE | USTreasuryNote | US Treasury Note
DIGITAL | DigitalAsset | Digital Asset. Asset that exists only in digital form or which is the digital representation of another asset (Source: ISO 24165 - Terms and Definitions).
DIMSUMSOV | OffshoreIssuedChineseYuanSovereignBond | Offshore issued Chinese Yuan (CNY) denominated sovereign bond
MTN | MediumTermNotes | Medium Term Notes
RETIRED | Retired | Retired
TECP | TaxExemptCommercialPaper | Tax Exempt Commercial Paper
ONITE | Overnight | Overnight
OOF | OptionsOnFutures | Options on Futures
SOV | SovereignBond | Sovereign Bond. Sovereign or government bond other than Euro and US issuer. Specify sovereign issuer in Issuer(106).
TMCP | TaxableMunicipalCP | Taxable Municipal CP
OOP | OptionsOnPhysical | Options on Physical - use not recommended
PN | PromissoryNote | Promissory Note
STN | ShortTermLoanNote | Short Term Loan Note
TFRN | USTreasuryFloatingRateNote | US Treasury Floating Rate Note
TRAN | TaxRevenueAnticipationNote | Tax Revenue Anticipation Note
OPT | Option | Option
PZFJ | PlazosFijos | Plazos Fijos
VRDN | VariableRateDemandNote | Variable Rate Demand Note
SLQN | SecuredLiquidityNote | Secured Liquidity Note
SPOTFWD | SpotForward | Spot forward
WAR | Warrant | Warrant
MCPIB | MunicipalInterestBearingCommercialPaper | Municipal Interest Bearing Commercial Paper
SWAPTION | SwapOption | Swap option
TD | TimeDeposit | Time Deposit
TMB | TaxableMunicipalBond | Taxable Municipal Bond
XMISSION | Transmission | Transmission
INDEX | Index | General type for a contract based on an established index
TLQN | TermLiquidityNote | Term Liquidity Note
VRDO | VariableRateDemandObligation | Variable Rate Demand Obligation
BDBSKT | BondBasket | Bond basket
XCN | ExtendedCommNote | Extended Comm Note
CFD | ContractForDifference | Contract for difference
YCD | YankeeCertificateOfDeposit | Yankee Certificate Of Deposit
BAB | BankAcceptedBill | Bank Accepted Bill. Also known as Bank Bill.
CRLTNSWAP | CorrelationSwap | Correlation swap
BNST | ShortTermBankNote | Short Term Bank Note
DVDNDSWAP | DiviendSwap | Dividend swap
CLCP | CallableCommercialPaper | Callable Commercial Paper
EQBSKT | EquityBasket | Equity basket
CN | CommercialNote | Commercial Note
EQFWD | EquityForward | Equity forward
CPIB | InterestBearingCommercialPaper | Interest Bearing Commercial Paper
RTRNSWAP | ReturnSwap | Return swap
EUMTN | EuroMediumTermNote | Euro Medium Term Note
VARSWAP | VarianceSwap | Variance swap
EUNCP | EuroNegotiableCommercialPaper | Euro Negotiable Commercial Paper
PRTFLIOSWAP | PortfolioSwaps | Portfolio swap
EUSTLQN | EuroStructuredLiquidityNote | Euro Structured Liquidity Note
FUTSWAP | FuturesOnASwap | Futures on a Swap
EUTD | EuroTimeDeposit | Euro Time Deposit
FWDSWAP | ForwardsOnASwap | Forwards on a Swap
FWDFRTAGMT | ForwardFreightAgreement | Forward Freight Agreement
JCD | JumboCertificateOfDeposit | Jumbo Certificate of Deposit
MMF | MoneyMarketFund | Money Market Fund
SPREADBET | SpreadBetting | Spread Betting
ETC | ExchangeTradedCommodity | Exchange traded commodity
MN | MasterNote | Master Note. Short term notes issued by Federal Farm Credit Banks Funding Corporation to provide loans and funding under Federal Farm Credit System (FFCS).
NCD | NegotiableCertificateOfDeposit | Negotiable Certificate of Deposit
NCP | NegotiableCommercialPaper | Negotiable Commercial Paper
RCD | RetailCertificateOfDeposit | Retail Certificate of Deposit
TDR | TermDepositReceipt | Term Deposit Receipt

Used in components: InstrumentScope

InstrumentScopeSeniority

Used to limit instrument scope to specified seniority type.

See Seniority(1450) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSettlType

Used to limit instrument scope to specified settlement type.

See SettlType(63) field for description.

Type: String

Allowed values in SettlTypeCodeSet:

Code | Name | Description
0 | Regular | Regular / FX Spot settlement (T+1 or T+2 depending on currency)
1 | Cash | Cash (TOD / T+0)
2 | NextDay | Next Day (TOM / T+1)
3 | TPlus2 | T+2
4 | TPlus3 | T+3
5 | TPlus4 | T+4
6 | Future | Future
7 | WhenAndIfIssued | When And If Issued
8 | SellersOption | Sellers Option
9 | TPlus5 | T+5
B | BrokenDate | Broken date. Use within FX to specify a non-standard tenor. The use of SettlDate(64) is required to specify the actual settlement date when SettlType(63) = B (Broken date).
C | FXSpotNextSettlement | FX Spot Next settlement (Spot+1, aka next day)

Used in components: InstrumentScope

InstrumentScopeSymbol

Used to limit instrument scope to specified symbol.

See Symbol(55) field for description.

Type: String

Used in components: InstrumentScope

InstrumentScopeSymbolSfx

Used to limit instrument scope to specified symbol suffix.

See SymbolSfx(65) field for description.

Type: String

Allowed values in SymbolSfxCodeSet:

Code | Name | Description
CD | EUCPWithLumpSumInterest | EUCP with lump-sum interest rather than discount price
WI | WhenIssued | "When Issued" for a security to be reissued under an old CUSIP or ISIN

Used in components: InstrumentScope

InstrumentScopeUPICode

Uniquely identifies the product of a security using ISO 4914 as filter criteria. See UPICode(2891) for further detail.

Type: String

Used in components: InstrumentScope

InterestAccrualDate

The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date

Type: LocalMktDate

Used in components: Instrument

InterestAtMaturity

Amount of interest (i.e. lump-sum) at maturity.

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport

InternationalSwapIndicator

Identifies the swap trade as an "international" transaction.

Type: Boolean

Used in messages: TradeCaptureReport

InTheMoneyCondition

Specifies an option instrument's "in the money" condition.

Type: int

Allowed values in InTheMoneyConditionCodeSet:

Code | Name | Description
0 | StandardITM | Standard in-the-money. The option's strike price is less than the underlying settlement price for a call or greater than the underlying settlement price for a put.
1 | ATMITM | At-the-money is in-the-money. The option's strike price of either the put or call is equal to the underlying settlement price in addition to standard in-the-money behavior.
2 | ATMCallITM | At-the-money call is in-the-money. The call option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.
3 | ATMPutITM | At-the-money put is in-the-money. The put option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.

Used in components: Instrument

IntraFirmTradeIndicator

Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.

Type: Boolean

Used in groups: MDFullGrp, MDIncGrp

Used in messages: PositionReport, TradeCaptureReport

InvestorCountryOfResidence

The ISO 3166 Country code (2 character) identifying which country the beneficial investor is resident for tax purposes.

Type: Country

Used in groups: RgstDtlsGrp

InViewOfCommon

Indicates whether or not the halt was due to Common Stock trading being halted.

Type: Boolean

Allowed values in InViewOfCommonCodeSet:

Code | Name | Description
N | HaltWasNotRelatedToAHaltOfTheCommonStock | Halt was not related to a halt of the common stock
Y | HaltWasDueToCommonStockBeingHalted | Halt was due to common stock being halted

Used in messages: SecurityStatus

IOIID

Unique identifier of IOI message.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, IOI, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, QuoteResponse

IOINaturalFlag

Indicates that IOI is the result of an existing agency order or a facilitation position resulting from an agency order, not from principal trading or order solicitation activity.

Type: Boolean

Allowed values in IOINaturalFlagCodeSet:

Code | Name | Description
N | NotNatural | Not Natural
Y | Natural | Natural

Used in messages: IOI

IOIQltyInd

Relative quality of indication

Type: char

Allowed values in IOIQltyIndCodeSet:

Code | Name | Description
H | High | High
L | Low | Low
M | Medium | Medium

Used in messages: IOI

IOIQty

Quantity (e.g. number of shares) in numeric form or relative size.

Type: String

Allowed values in IOIQtyCodeSet:

Code | Name | Description
S | Small | Small
M | Medium | Medium
L | Large | Large
U | UndisclosedQuantity | Undisclosed Quantity

Used in messages: IOI

IOIQualGrp

Name | Mult. | Type | Description
NoIOIQualifiers | [1..1] | NumInGroup | Required if any IOIQualifiers are specified. Indicates the number of repeating IOIQualifiers.
IOIQualifier | [0..1] | CodeSet | Required if NoIOIQualifiers > 0

Used in messages: IOI

IOIQualifier

Code to qualify IOI use. (see Volume : "Glossary" for value definitions)

Type: char

Allowed values in IOIQualifierCodeSet:

Code
Name
Description

A
AllOrNone
All or None (AON)

B
MarketOnClose
Market On Close (MOC) (held to close)

C
AtTheClose
At the close (around/not held to close)

D
VWAP
VWAP (Volume Weighted Average Price)

E
Axe
Axe. Indicates that a quote is an Axe, without specifying a side preference. Mutually exclusive with F(Axe on bid) and G(Axe on offer).

F
AxeOnBid
Axe on bid. Indicates that a quote is an Axe, with a preference to execute on the bid side. Mutually exclusive with E(Axe) and G (Axe on offer)

G
AxeOnOffer
Axe on offer. Indicates that a quote is an Axe, with a preference to execute on the offer side. Mutually exclusive with E(Axe) and F (Axe on bid)

H
ClientNaturalWorking
Client natural working. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type C2 – Client Natural (Working). A client should be able to seek verification (from IOI publisher’s management/compliance) that, for any C2 IOIs received, there was a corresponding live client order for at least the advertised size prior to the IOI being generated. Resulting trades are expected to be of a riskless nature.

I
InTouchWith
In touch with. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type P1 - Potential. Post-execution, a client should be able to seek verification (from IOI publisher’s management/ compliance) that, for any P1 IOIs received and executed against, there was by time of the execution, an opposing specific client order. Resulting trades are expected to be of a riskless nature. If the anticipated client order does not materialise, and the broker elects to commit capital, this must be disclosed prior to execution.

J
PositionWanted
Position wanted. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H2 – Position Wanted. Brokers will be likely be sourcing liquidity and therefore may advertise the size of IOI they wish; however, clients can expect the broker to honour the size of IOI shown. The presumption is that there is no intent to immediately unwind the position without notification, however, brokers may provide additional granularity to the category and may offer bilateral post trade commitments. Brokers will also offer clients a feedback mechanism.

K
MarketMaking
Market making. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H3 – Market Making, no enforcement is required.

L
Limit
Limit

M
MoreBehind
More Behind

N
ClientNaturalBlock
Client natural block. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type C1 - Client Natural (Block). A client should be able to seek verification (from IOI publisher’s management/compliance) that, for any C1 IOIs received, there was a corresponding live client order for at least the advertised size prior to the IOI being generated. Resulting trades are expected to be of a riskless nature.

O
AtTheOpen
At the Open

P
TakingAPosition
Taking a Position

Q
AtTheMarket
At the Market (previously called Current Quote)

R
ReadyToTrade
Ready to Trade

S
PortfolioShown
Inventory or Portfolio Shown

T
ThroughTheDay
Through the Day

U
Unwind
Unwind. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H1 - Unwind. Brokers will be responsible for ensuring that the size of the IOI reflects the actual house position in the relevant business unit and should not inflate the size of the IOI. The presumption is that there is no intent to immediately replace the position without notification, however, brokers may provide additional granularity to the category and may offer bilateral post trade commitments. Brokers will also offer clients a feedback mechanism.

V
Versus
Versus

W
Indication
Indication - Working Away

X
CrossingOpportunity
Crossing Opportunity

Y
AtTheMidpoint
At the Midpoint

Z
PreOpen
Pre-open

1
QuantityNegotiable
Quantity is negotiable. When specified, the dealer may counter with a reduced quantity in its Quotes in response to QuoteRequest(35=R). All-or-none if omitted.

2
AllowLateBids
Allow late bids. When specified in QuoteRequest(35=R) the dealer may submit quotes after curtain time has elapsed.

3
ImmediateOrCounter
Immediate or counter. When specified, the buy-side customer is permitted to counter a firm quote during wiretime.

4
AutoTrade
Auto trade. Trade is in an auto-trading mode whereby the best quote that satisfies user criteria as determined by the trading platform will be accepted automatically.

a
AutomaticSpot
Automatic spot. At completion of price negotiation based on spread the trading platform will propose a benchmark spot price which may be filled immediately by the dealer or countered.

b
PlatformCalculatedSpot
Platform calculated spot. At completion of price negotiation based on spread the trading platform will supply a benchmark spot price and immediately complete the trade reporting fill. There is no dealer last look.

c
OutsideSpread
Outside spread. The IOI is identifiable outside the current bid/offer.

d
DeferredSpot
Deferred spot. At a future time after completion of price negotiation based on spread and reported in StrikeTime(443) the trading platform will propose a benchmark spot price which may be filled immediately by the dealer or countered.

n
NegotiatedSpot
Negotiated spot. Once price negotiation based on spread is completed negotiation of the benchmark spot price proceeds immediately.

Used in groups: IOIQualGrp

IOIRefID

Reference identifier used with CANCEL and REPLACE, transaction types.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: IOI

IOITransType

Identifies IOI message transaction type

Type: char

Allowed values in IOITransTypeCodeSet:

Code | Name | Description
N | New | New
C | Cancel | Cancel
R | Replace | Replace

Used in messages: IOI

IRSDirection

Used to specify whether the principal is paying or receiving the fixed rate in an interest rate swap.

Type: String

Allowed values in IRSDirectionCodeSet:

Code | Name | Description
PAY | Pay | Principal is paying fixed rate.
RCV | Rcv | Principal is receiving fixed rate
NA | NA | Swap is float/float or fixed/fixed

Used in messages: TradeCaptureReport

IssueDate

The date on which a bond or stock offering is issued. It may or may not be the same as the effective date ("Dated Date") or the date on which interest begins to accrue ("Interest Accrual Date")

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: Instrument

Issuer

Name of security issuer (e.g. International Business Machines, GNMA).

see also Volume 7: "PRODUCT: FIXED INCOME - Euro Issuer Values"

Type: String

Used in components: Instrument

LanguageCode

The national language in which the news item is provided.

Type: Language

Used in messages: News

LastCapacity

Broker capacity in order execution

Type: char

Allowed values in LastCapacityCodeSet:

Code | Name | Description
1 | Agent | Agent
2 | CrossAsAgent | Cross as agent
3 | CrossAsPrincipal | Cross as principal
4 | Principal | Principal
5 | RisklessPrincipal | Riskless principal

Used in groups: ExecAllocGrp, TrdCapRptSideGrp

Used in messages: ExecutionReport

LastForwardPoints

F/X forward points added to LastSpotRate(194). May be a negative value. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199.

Type: PriceOffset

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

LastForwardPoints2

F/X forward points of the future part of a F/X swap order added to LastSpotRate(194). May be a negative value.

Type: PriceOffset

Used in messages: ExecutionReport

LastFragment

Indicates whether this message is the last in a sequence of messages for those messages that support fragmentation, such as Allocation Instruction, Mass Quote, Security List, Derivative Security List

Type: Boolean

Allowed values in LastFragmentCodeSet:

Code | Name | Description
N | NotLastMessage | Not Last Message
Y | LastMessage | Last Message

Used in groups: QuotSetAckGrp, QuotSetGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, DerivativeSecurityList, DerivativeSecurityListUpdateReport, ExecutionReport, ListStatus, ListStrikePrice, MassOrder, MassOrderAck, NewOrderList, OrderMassActionReport, PartyDetailsListReport, PartyDetailsListUpdateReport, PartyEntitlementsReport, PartyEntitlementsUpdateReport, PartyRiskLimitsReport, PartyRiskLimitsUpdateReport, SecurityList, SecurityListUpdateReport, SecurityRiskMetricsReport, SecurityTypes

LastLimitAmt

The amount that has been drawn down against the counterparty for a given trade. The type of limit is specified in LimitAmtType(1631).

Bilateral agreements dictate the units and maximum value of this field.

Type: Amt

Used in groups: LimitAmts

LastLiquidityInd

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity.

Type: int

Allowed values in LastLiquidityIndCodeSet:

Code
Name
Description

0
NeitherAddedNorRemovedLiquidity
Neither added nor removed liquidity. May be used by venues where market rules do not define "add" or "remove" liquidity. In the context of the SEC amendment of Regulation NMS Rule 606(b), may be used to identify executions that are only reported as part of total shares executed and not as part of shares providing or removing liquidity (see https://www.sec.gov/rules/final/2018/34-84528.pdf for details).

1
AddedLiquidity
Added Liquidity

2
RemovedLiquidity
Removed Liquidity

3
LiquidityRoutedOut
Liquidity Routed Out

4
Auction
Auction execution

5
TriggeredStopOrder
Triggered stop order. Fill was the result of a stop order being triggered and immediately executed.

6
TriggeredContingencyOrder
Triggered contingency order. Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed.

7
TriggeredMarketOrder
Triggered market order. Fill was the result of a market order being triggered due to an executable orderbook situation.

8
RemovedLiquidityAfterFirmOrderCommitment
Removed liquidity after firm order commitment. An order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

9
AuctionExecutionAfterFirmOrderCommitment
Auction execution after firm order commitment. An order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

10
Unknown
Unknown. The liquidity indicator of the execution cannot be determined or was not provided upon execution.

11
Other
Other. None of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values).

Used in messages: ExecutionReport

LastMkt

Market of execution for last fill, or an indication of the market where an order was routed

Valid values:

See "Appendix 6-C"

Type: Exchange

Used in groups: InstrmtMatchSideGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

LastMsgSeqNumProcessed

The last MsgSeqNum (34) value received by the FIX engine and processed by downstream application, such as trading engine or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.

Type: SeqNum

Used in components: StandardHeader

LastMultipliedQty

Expresses the quantity bought or sold when LastQty(32) is expressed in number of contracts. Used in addition to LastQty(32). It is the product of LastQty(32) and ContractMultiplier(231).

Type: Qty

Used in messages: TradeCaptureReport

LastNetworkResponseID

Identifier of the previous Network Response message sent to a counterparty, used to allow incremental updates.

Type: String

Used in messages: NetworkCounterpartySystemStatusResponse

LastParPx

Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx (31) is expressed in Yield, Spread, Discount or any other type.

Usage: Execution Report and Allocation Report repeating executions block (from sellside).

Type: Price

Used in groups: ExecAllocGrp

Used in messages: ExecutionAck, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

LastPx

Price of this (last) fill.

Type: Price

Used in groups: ExecAllocGrp, ExecutionAggregationGrp, InstrmtMatchSideGrp, MDFullGrp, MDIncGrp

Used in messages: DontKnowTrade, ExecutionAck, ExecutionReport, SecurityStatus, TradeCaptureReport, TradeCaptureReportAck

LastQty

Quantity (e.g. shares) bought/sold on this (last) fill.

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ExecAllocGrp, ExecutionAggregationGrp, InstrmtMatchSideGrp

Used in messages: DontKnowTrade, ExecutionAck, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

LastQtyChanged

The positive or negative change in quantity when this report is a trade correction or continuation.

Type: Qty

Used in messages: TradeCaptureReport

LastQtyVariance

When LastQty is an estimated value, e.g. for a Repo “circled” trade, LastQtyVariance specifies the absolute amount that the size may vary up or down when finalized. Omitted when LastQty(32) is already final.

Type: Qty

Used in messages: ExecutionReport, TradeCaptureReport

LastRptRequested

Indicates whether this message is the last report message in response to a request message, e.g. OrderMassStatusRequest(35=AF), TradeCaptureReportRequest(35=AD).

Type: Boolean

Allowed values in LastRptRequestedCodeSet:

Code | Name | Description
N | NotLastMessage | Not last message
Y | LastMessage | Last message

Used in messages: AssignmentReport, CollateralReport, ExecutionReport, MarginRequirementReport, PositionReport, TradeCaptureReport

LastSpotRate

F/X spot rate.

Type: Price

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

LastSwapPoints

For FX Swap, this is used to express the last market event for the differential between the far leg's bid/offer and the near leg's bid/offer in a fill or partial fill. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

LastUpdateTime

Timestamp of last update to data item (or creation if no updates made since creation).

Type: UTCTimestamp

Used in groups: SettlInstGrp, SettlObligationInstructions, TrdCapDtGrp

Used in messages: AlgoCertificateReport, DerivativeSecurityList, DerivativeSecurityListUpdateReport, MarketDataSnapshotFullRefresh, SecurityDefinition, SecurityDefinitionUpdateReport, SettlementInstructionRequest, TradeCaptureReport, TradeCaptureReportAck

LastUpfrontPrice

Price used to determine upfront payment for swaps contracts reported for a deal (trade).

Type: Price

Used in messages: ExecutionReport, TradeCaptureReport

LateIndicator

Indicates if the contrary intention was received after the exchange imposed cutoff time

Type: Boolean

Used in messages: ContraryIntentionReport

LeavesQty

Quantity open for further execution. If the OrdStatus (39) is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty (38) - CumQty (14).

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in components: TradeReportOrderDetail

Used in groups: OrdListStatGrp, OrderEntryAckGrp

Used in messages: ExecutionReport

LegAccount

Account mnemonic as agreed between buy and sell sides, e.g. broker and institution or investor/intermediary and fund manager.

Type: String

Used in groups: InstrmtLegExecGrp, LegOrdGrp, TrdInstrmtLegGrp

LegAdditionalDividendsIndicator

Indicates whether additional dividends are applicable.

Type: Boolean

Used in components: LegDividendConditions

LegAdditionalTermBondCouponFrequencyPeriod

Time unit multiplier for the frequency of the bond's coupon payment.

Type: int

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondCouponFrequencyUnit

Time unit associated with the frequency of the bond's coupon payment.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondCouponRate

Coupon rate of the bond. See also CouponRate(223).

Type: Percentage

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondCouponType

Specifies the coupon type of the bond.

Type: int

Allowed values in CouponTypeCodeSet:

Code | Name | Description
0 | Zero | Zero
1 | FixedRate | Fixed rate
2 | FloatingRate | Floating rate
3 | Structured | Structured

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondCurrency

Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondCurrentTotalIssuedAmount

Total issued amount of the bond.

Type: Amt

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondDayCount

The day count convention used in interest calculations for a bond or an interest bearing security.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondDesc

Description of the bond.

Type: String

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondIssuer

Issuer of the bond.

Type: String

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondMaturityDate

The maturity date of the bond.

Type: LocalMktDate

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondParValue

The par value of the bond.

Type: Amt

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondRefGrp

The LegAdditionalTermBondRefGrp is a repeating group subcomponent of the LegAdditionalTermGrp component used to identify an underlying reference bond for a swap.

Name | Mult. | Type | Description
NoLegAdditionalTermBondRefs | [1..1] | NumInGroup |
LegAdditionalTermBondSecurityID | [0..1] | String | Required if NoLegAdditionalTermBondRefs(41316) > 0.
LegAdditionalTermBondSecurityIDSource | [0..1] | CodeSet | Conditionally required when LegAdditionalTermBondSecurityID(41317) is specified.
LegAdditionalTermBondDesc | [0..1] | String |
EncodedLegAdditionalTermBondDescLen | [0..1] | Length | Must be set if EncodedLegAdditionalTermBondDesc(41321) field is specified and must immediately precede it.
EncodedLegAdditionalTermBondDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the LegAdditionalTermBondDesc(41319) field in the encoded format specified via the MessageEncoding(347) field.
LegAdditionalTermBondCurrency | [0..1] | Currency |
LegAdditionalTermBondIssuer | [0..1] | String |
EncodedLegAdditionalTermBondIssuerLen | [0..1] | Length | Must be set if EncodedLegAdditionalTermBondIssuer(41325) field is specified and must immediately precede it.
EncodedLegAdditionalTermBondIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the LegAdditionalTermBondIssuer(41323) field in the encoded format specified via the MessageEncoding(347) field.
LegAdditionalTermBondSeniority | [0..1] | CodeSet |
LegAdditionalTermBondCouponType | [0..1] | CodeSet |
LegAdditionalTermBondCouponRate | [0..1] | Percentage |
LegAdditionalTermBondMaturityDate | [0..1] | LocalMktDate |
LegAdditionalTermBondParValue | [0..1] | Amt |
LegAdditionalTermBondCurrentTotalIssuedAmount | [0..1] | Amt |
LegAdditionalTermBondCouponFrequencyPeriod | [0..1] | int | Conditionally required when LegAdditionalTermBondCouponFrequencyUnit(41333) is specified.
LegAdditionalTermBondCouponFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegAdditionalTermBondCouponFrequencyPeriod(41332) is specified.
LegAdditionalTermBondDayCount | [0..1] | CodeSet |

Used in groups: LegAdditionalTermGrp

LegAdditionalTermBondSecurityID

Security identifier of the bond.

Type: String

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondSecurityIDSource

Identifies the source scheme of the LegAdditionalTermBondSecurityID(41317) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermBondSeniority

Specifies the bond's payment priority in the event of a default.

Type: String

Allowed values in SeniorityCodeSet:

Code | Name | Description
SD | SeniorSecured | Senior Secured
SR | Senior | Senior
SB | Subordinated | Subordinated
JR | Junior | Junior. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
MZ | Mezzanine | Mezzanine. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
SN | SeniorNonPreferred | Senior Non-Preferred. For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).

Used in groups: LegAdditionalTermBondRefGrp

LegAdditionalTermConditionPrecedentBondIndicator

Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.

Type: Boolean

Used in groups: LegAdditionalTermGrp

LegAdditionalTermDiscrepancyClauseIndicator

Indicates whether the discrepancy clause is applicable.

Type: Boolean

Used in groups: LegAdditionalTermGrp

LegAdditionalTermGrp

The LegAdditionalTermGrp is a repeating subcomponent of the InstrumentLeg component used to report additional contract terms.

Name | Mult. | Type | Description
NoLegAdditionalTerms | [1..1] | NumInGroup |
LegAdditionalTermConditionPrecedentBondIndicator | [0..1] | Boolean | Required if NoLegAdditionalTerms(41335) > 0.
LegAdditionalTermDiscrepancyClauseIndicator | [0..1] | Boolean |
LegAdditionalTermBondRefGrp | [0..*] | Group |

Used in components: InstrumentLeg

LegAgreementCurrency

Contractual currency forming the basis of a financing agreement and associated transactions. Usually, but not always, the same as the trade currency.

Type: Currency

Used in components: LegFinancingDetails

LegAgreementCurrencyCodeSource

Identifies class or source of the LegAgreementCurrency(2495) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: LegFinancingDetails

LegAgreementDate

A reference to the date the underlying agreement specified by LegAgreementID(2498) and LegAgreementDesc(2497) was executed.

Type: LocalMktDate

Used in components: LegFinancingDetails

LegAgreementDesc

The full name of the base standard agreement, annexes and amendments in place between the principals applicable to a financing transaction. See http://www.fpml.org/coding-scheme/master-agreement-type for derivative values.

Type: String

Used in components: LegFinancingDetails

LegAgreementID

A common reference to the applicable standing agreement between the counterparties to a financing transaction.

Type: String

Used in components: LegFinancingDetails

LegAgreementVersion

The version of the master agreement.

Type: String

Used in components: LegFinancingDetails

LegalConfirm

Indicates that this message is to serve as the final and legal confirmation.

Type: Boolean

Allowed values in LegalConfirmCodeSet:

Code | Name | Description
N | DoesNotConsituteALegalConfirm | Does not consitute a Legal Confirm
Y | LegalConfirm | Legal Confirm

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation

LegAllDividendsIndicator

Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.

Type: Boolean

Used in components: LegDividendConditions

LegAllocAccount

Allocation Account for the leg

See AllocAccount (79) for description and valid values.

Type: String

Used in groups: LegPreAllocGrp

LegAllocAcctIDSource

Identifies the source of the LegAllocAccount(671).

Type: int

Allowed values in AcctIDSourceCodeSet:

Code | Name | Description
1 | BIC | BIC
2 | SIDCode | SID Code
3 | TFM | TFM (GSPTA)
4 | OMGEO | OMGEO (Alert ID)
5 | DTCCCode | DTCC Code
6 | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
99 | Other | Other (custom or proprietary)

Used in groups: LegPreAllocGrp

LegAllocID

The AllocID(70) of an individual leg of a multileg order.

Type: String

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp

LegAllocQty

Leg allocation quantity.

See AllocQty (80) for description and valid values.

Type: Qty

Used in groups: LegPreAllocGrp

LegAllocSettlCurrency

Identifies settlement currency for the leg level allocation.

Type: Currency

Used in groups: LegPreAllocGrp

LegAllocSettlCurrencyCodeSource

Identifies class or source of the LegAllocSettlCurrency(1367) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegPreAllocGrp

LegAssetAttributeGrp

The LegAssetAttributeGrp is a repeating subcomponent of the InstrumentLeg component used to detail attributes of the instrument asset.

Name | Mult. | Type | Description
NoLegAssetAttributes | [1..1] | NumInGroup |
LegAssetAttributeType | [0..1] | String | Required if NoLegAssetAttributes(2308) > 0.
LegAssetAttributeValue | [0..1] | String |
LegAssetAttributeLimit | [0..1] | String |

Used in components: InstrumentLeg

LegAssetAttributeLimit

Limit or lower acceptable value of the attribute.

Type: String

Used in groups: LegAssetAttributeGrp

LegAssetAttributeType

Specifies the name of the attribute.

See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.

Type: String

Used in groups: LegAssetAttributeGrp

LegAssetAttributeValue

Specifies the value of the attribute.

Type: String

Used in groups: LegAssetAttributeGrp

LegAssetClass

The broad asset category for assessing risk exposure.

Type: int

Allowed values in AssetClassCodeSet:

Code | Name | Description
1 | InterestRate | Interest rate
2 | Currency | Currency
3 | Credit | Credit
4 | Equity | Equity
5 | Commodity | Commodity
6 | Other | Other
7 | Cash | Cash
8 | Debt | Debt
9 | Fund | Fund. Such as mutual fund, collective investment vehicle, investment program, specialized account program.
10 | LoanFacility | Loan facility
11 | Index | Index. A main index identified as a security type, for example under EU SFTR reporting.

Used in components: InstrumentLeg

LegAssetGroup

Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).

Type: int

Allowed values in AssetGroupCodeSet:

Code | Name | Description
1 | Financials | Financials. A categorization which usually includes rates, foreign exchange, credit, bonds and equity products or assets.
2 | Commodities | Commodities. A categorization which usually includes hard commodities such as agricultural, metals, freight, energy products or assets.
3 | AlternativeInvestments | Alternative investments. A categorization which usually includes weather, housing, and commodity indices products or assets.

Used in components: InstrumentLeg

LegAssetSubClass

The general subcategory description of the asset class.

Type: int

Allowed values in AssetSubClassCodeSet:

Code
Name
Description

1
SingleCurrency
Single currency

2
CrossCurrency
Cross currency

3
Basket
Basket [for multi-currency]

4
SingleName
Single name

5
CreditIndex
Credit index

6
IndexTranche
Index tranche

7
CreditBasket
Credit basket

8
Exotic
Exotic

9
Common
Common

10
Preferred
Preferred

11
EquityIndex
Equity index

12
EquityBasket
Equity basket

13
Metals
Metals

14
Bullion
Bullion

15
Energy
Energy

16
CommodityIndex
Commodity index

17
Agricultural
Agricultural

18
Environmental
Environmental

19
Freight
Freight

20
Government
Government

21
Agency
Agency

22
Corporate
Corporate

23
Financing
Financing

24
MoneyMarket
Money market

25
Mortgage
Mortgage

26
Municipal
Municipal

27
MutualFund
Mutual fund

28
CollectiveInvestmentVehicle
Collective investment vehicle

29
InvestmentProgram
Investment program. A generalized fund for major investors.

30
SpecializedAccountProgram
Specialized account program. A specialized fund setup for a particular account or group of accounts.

31
TermLoan
Term loan

32
BridgeLoan
Bridge loan

33
LetterOfCredit
Letter of credit

34
DividendIndex
Dividend index

35
StockDividend
Stock dividend

36
ExchangeTradedFund
Exchange traded fund

37
VolatilityIndex
Volatility index

38
FXCrossRates
FX cross rates

39
FXEmergingMarkets
FX emerging markets

40
FXMajors
FX Majors

41
Fertilizer
Fertilizer

42
IndustrialProduct
Industrial product

43
Inflation
Inflation

44
Paper
Paper

45
Polypropylene
Polypropylene

46
OfficialEconomicStatistics
Official economic statistics

47
OtherC10
Other C10. Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".

48
Other
Other. May be used with any AssetClass(1938) values.

Used in components: InstrumentLeg

LegAssetSubType

Used to provide a more specific description of the asset specified in LegAssetType(2069).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

Type: String

Used in components: InstrumentLeg

LegAssetType

Used to provide more specific description of the asset specified in LegAssetSubClass(2068).

See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed.

Other values may be used by mutual agreement of the counterparties.

Type: String

Used in components: InstrumentLeg

LegAttachmentPoint

Lower bound percentage of the loss that the tranche can endure.

Type: Percentage

Used in components: InstrumentLeg

LegAutomaticExerciseIndicator

Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.

Type: Boolean

Used in components: LegOptionExercise

LegAutomaticExerciseThresholdRate

The threshold rate for triggering automatic exercise.

Type: float

Used in components: LegOptionExercise

LegBenchmarkCurveCurrency

LegBenchmarkPrice (679) currency

See BenchmarkCurveCurrency (220) for description and valid values.

Type: Currency

Used in components: LegBenchmarkCurveData

LegBenchmarkCurveCurrencyCodeSource

Identifies class or source of the LegBenchmarkCurveCurrency(676) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: LegBenchmarkCurveData

LegBenchmarkCurveData

The LegBenchmarkCurveData is used to convey the benchmark information used for pricing in a multi-legged Fixed Income security.

Name | Mult. | Type | Description
LegBenchmarkCurveCurrency | [0..1] | Currency |
LegBenchmarkCurveCurrencyCodeSource | [0..1] | CodeSet |
LegBenchmarkCurveName | [0..1] | CodeSet |
LegBenchmarkCurvePoint | [0..1] | String |
LegBenchmarkPrice | [0..1] | Price |
LegBenchmarkPriceType | [0..1] | CodeSet |

Used in groups: InstrmtLegSecListGrp, LegQuotGrp, QuotReqLegsGrp, SecLstUpdRelSymsLegGrp

LegBenchmarkCurveName

Name of the Leg Benchmark Curve.

See BenchmarkCurveName (22) for description and valid values.

Type: String

Allowed values in BenchmarkCurveNameCodeSet:

Code | Name | Description
EONIA | EONIA | EONIA
EUREPO | EUREPO | EUREPO
Euribor | Euribor | EURIBOR (deprecated use enum EURIBOR instead). Deprecated use of EURIBOR for the enumeration.
FutureSWAP | FutureSWAP | FutureSWAP
LIBID | LIBID | LIBID
LIBOR | LIBOR | LIBOR (London Inter-Bank Offer)
MuniAAA | MuniAAA | MuniAAA
OTHER | OTHER | OTHER
Pfandbriefe | Pfandbriefe | Pfandbriefe
SONIA | SONIA | SONIA
SWAP | SWAP | SWAP
Treasury | Treasury | Treasury
FEDEFF | FedFundRateEffective | US Federal Reserve fed funds effective rate. US Federal Reserve fed funds effective rate or the weighted average of the actual negotiated rates banks pay each other to to borrow funds.
FEDOPEN | FedOpen | US fed funds target rate. Fed funds target rate as determined by the US Federal Reserve Federal Open Market Committee.
EURIBOR | EURIBOR | Euro interbank offer rate
AUBSW | AUBSW | Australian Bank Bill Swap Rate
BUBOR | BUBOR | Budapest Bank Offered Rate
CDOR | CDOR | Canadian Dollar Offered Rate
CIBOR | CIBOR | Copenhagen Interbank Offered Rate
EONIASWAP | EONIASWAP | Euro Overnight Index Average Swap Rate
ESTR | ESTR | Euro Short Term Rate. Replaces EONIA.
EURODOLLAR | EURODOLLAR | Euro Dollar Rate
EUROSWISS | EUROSWISS | Euro Swiss Franc Rate
GCFREPO | GCFREPO | DTCC General Collateral Finance Repo Index
ISDAFIX | ISDAFIX | ICE Swap Rate
JIBAR | JIBAR | Johannesburg Interbank Agreed Rate
MOSPRIM | MOSPRIM | Moscow Prime Offered Rate
NIBOR | NIBOR | Nigeria Three Month Interbank Rate
PRIBOR | PRIBOR | Czech Republic Interbank Offered Rate
SOFR | SOFR | Secured Overnight Financing Rate. Replaces LIBOR.
STIBOR | STIBOR | Stockholm Interbank Offered Rate
TELBOR | TELBOR | Bank of Israel Interbank Offered Rate
TIBOR | TIBOR | Tokyo Interbank Offered Rate
WIBOR | WIBOR | Warsaw Interbank Offered Rate
AONIA | AONIA | Reserve Bank of Australia Interbank Overnight Cash Rate. Also known as AUD Overnight Index Average.
AONIA-R | AONIAR | Realised AONIA. "Realised AONIA applies a compounding formula to the daily AONIA rate, to determine the compounded average rate over the prior 1 to 6 month period." (source https://www.asx.com.au/documents/products/realised-aonia-explained.pdf).
BKBM | BKBM | New Zealand Bank Bill Market Rate
CD91D | CD91D | Republic of Korea 90-Day Certificate of Deposit Rate
CORRA | CORRA | Canadian Overnight Repo Rate Average
DIRR-TN | DIRRTN | Danish Interbank Interest Rate-Tomorrow or Next
EIBOR | EIBOR | Emirates Interbank Offered Rate
FixingRepoRate | FixingRepoRate | China Interbank Overnight Repo Rate
HIBOR | HIBOR | Hong Kong Interbank Offered Rate
IBR | IBR | Colombia Overnight Interbank Reference Rate
KLIBOR | KLIBOR | Kuala Lumpur Interbank Offered Rate
MIBOR | MIBOR | Mumbia Interbank Offered Rate
NZONIA | NZONIA | New Zealand Overnight Indexed Swaps (OIS)
PHIREF | PHIREF | Philippines Interbank Reference Rate
REIBOR | REIBOR | Reykjavik Interbank Offered Rate
SAIBOR | SAIBOR | Saudi Arabian Interbank Offered Rate
SARON | SARON | Swiss Average Rate Overnight
SORA | SORA | Singapore Swap Offer Rate
TLREF | TLREF | Turkish Lira Overnight Reference Rate
TIIE | TIIE | Mexico Interbank Equilibrium Interest Rate
THBFIX | THBFIX | Thai Baht Interest Rate Fixing
TONAR | TONAR | Tokyo Overnight Average Rate

Used in components: LegBenchmarkCurveData

LegBenchmarkCurvePoint

Identifies the point on the Leg Benchmark Curve.

See BenchmarkCurvePoint (222) for description and valid values.

Type: String

Used in components: LegBenchmarkCurveData

LegBenchmarkPrice

Used to identify the price of the benchmark security.

See BenchmarkPrice (662) for description and valid values.

Type: Price

Used in components: LegBenchmarkCurveData

LegBenchmarkPriceType

The price type of the LegBenchmarkPrice(679).

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in components: LegBenchmarkCurveData

LegBidForwardPoints

The bid FX forward points for the leg of an FX Swap. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in groups: LegQuotGrp

LegBidPx

Bid price of this leg.

See BidPx (32) for description and valid values.

Type: Price

Used in groups: LegQuotGrp

LegBrokerConfirmationDesc

Describes the type of broker confirmation executed between the parties. Can be used as an alternative to MasterConfirmationDesc(1962). See http://www.fpml.org/coding-scheme/broker-confirmation-type for values.

Type: String

Used in components: LegFinancingDetails

LegBusinessCenter

A business center whose calendar is used for date adjustment, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegBusinessCenterGrp

LegBusinessCenterGrp

LegBusinessCenterGrp is a repeating subcomponent within the LegDateAdjustment component. It is used to specify the set of business centers whose calendars drive the date adjustment. The business centers defined here apply to all adjustable dates in the instrument leg unless specifically overridden elsewhere in the respective specified components further within the InstrumentLeg component.

Name | Mult. | Type | Description
NoLegBusinessCenters | [1..1] | NumInGroup |
LegBusinessCenter | [0..1] | String | Required if NoLegBusinessCenters(40923) > 0.

Used in components: LegDateAdjustment

LegBusinessDayConvention

The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegDateAdjustment

LegCalculatedCcyLastQty

Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx.

Type: Qty

Used in groups: InstrmtLegExecGrp, TrdInstrmtLegGrp

LegCapPrice

Used to express the ceiling price of a capped call.

Type: Price

Used in components: InstrumentLeg

LegCashSettlAccruedInterestIndicator

Indicates whether accrued interest is included or not in the value provided in LegCashSettlAmount(41357).

For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.

For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.

Type: Boolean

Used in groups: LegCashSettlTermGrp

LegCashSettlAmount

The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.

Type: Amt

Used in groups: LegCashSettlTermGrp

LegCashSettlBusinessCenter

Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegCashSettlTermGrp

LegCashSettlBusinessDays

The number of business days used in the determination of the cash settlement payment date.

Type: int

Used in groups: LegCashSettlTermGrp

LegCashSettlCurrency

Specifies the currency the LegCashSettlAmount(41357) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegCashSettlTermGrp

LegCashSettlDateAdjusted

The adjusted cash settlement date.

Type: LocalMktDate

Used in components: LegCashSettlDate

LegCashSettlDateBusinessCenter

The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegCashSettlDateBusinessCenterGrp

LegCashSettlDateBusinessCenterGrp

LegCashSettlDateBusinessCenterGrp is a repeating subcomponent within the LegCashSettlDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoLegCashSettlDateBusinessCenters | [1..1] | NumInGroup |
LegCashSettlDateBusinessCenter | [0..1] | String | Required if NoLegCashSettlDateBusinessCenters(42306) > 0.

Used in components: LegCashSettlDate

LegCashSettlDateBusinessDayConvention

The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegCashSettlDate

LegCashSettlDate

The LegCashSettlDate component is a subcomponent within the LegCashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.

Name | Mult. | Type | Description
LegCashSettlDateUnadjusted | [0..1] | LocalMktDate |
LegCashSettlDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in the Instrument component. The specified value would be specific to this instance of the cash settlement provision.
LegCashSettlDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in the Instrument component. The specified values would be specific to this instance of the cash settlement provision.
LegCashSettlDateRelativeTo | [0..1] | int |
LegCashSettlDateOffsetPeriod | [0..1] | int | Conditionally required when LegCashSettlDateOffsetUnit(42303) is specified.
LegCashSettlDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegCashSettlDateOffsetPeriod(42302) is specified.
LegCashSettlDateOffsetDayType | [0..1] | CodeSet |
LegCashSettlDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegCashSettlTermGrp

LegCashSettlDateOffsetDayType

Specifies the day type of the relative cash settlement date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegCashSettlDate

LegCashSettlDateOffsetPeriod

Time unit multiplier for the relative cash settlement date offset.

Type: int

Used in components: LegCashSettlDate

LegCashSettlDateOffsetUnit

Time unit associated with the relative cash settlement date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegCashSettlDate

LegCashSettlDateRelativeTo

Specifies the anchor date when the cash settlement date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegCashSettlDate

LegCashSettlDateUnadjusted

The unadjusted cash settlement date.

Type: LocalMktDate

Used in components: LegCashSettlDate

LegCashSettlDealer

Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.

Type: String

Used in groups: LegCashSettlDealerGrp

LegCashSettlDealerGrp

LegCashSettlDealerGrp is a repeating subcomponent of the LegCashSettlTermGrp component used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.

Name | Mult. | Type | Description
NoLegCashSettlDealers | [1..1] | NumInGroup |
LegCashSettlDealer | [0..1] | String | Required if NoLegCashSettlDealers(41342) > 0.

Used in groups: LegCashSettlTermGrp

LegCashSettlFixedTermIndicator

Indicates whether fixed settlement is applicable or not applicable in a recovery lock.

Type: Boolean

Used in groups: LegCashSettlTermGrp

LegCashSettlMinimumQuoteAmount

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.

Type: Amt

Used in groups: LegCashSettlTermGrp

LegCashSettlMinimumQuoteCurrency

Specifies the currency the LegCashSettlQuoteMinimumAmount(41354) is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: LegCashSettlTermGrp

LegCashSettlNumOfValuationDates

Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.

Type: int

Used in groups: LegCashSettlTermGrp

LegCashSettlPriceDefault

The default election for determining settlement price.

Type: int

Allowed values in CashSettlPriceDefaultCodeSet:

Code | Name | Description
0 | Close | Close. Official closing price.
1 | Hedge | Hedge. Determined by the hedging party.

Used in groups: LegCashSettlTermGrp

LegCashSettlPriceSource

The source from which the settlement price is to be obtained.

See http://www.fpml.org/coding-scheme/settlement-price-source for values.

Type: String

Used in groups: LegCashSettlTermGrp

LegCashSettlQuoteAmount

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.

Type: Amt

Used in groups: LegCashSettlTermGrp

LegCashSettlQuoteCurrency

Specifies the currency the LegCashSettlQuoteAmount(41352) is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: LegCashSettlTermGrp

LegCashSettlQuoteMethod

The type of quote used to determine the cash settlement price.

Type: int

Allowed values in CashSettlQuoteMethodCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer

Used in groups: LegCashSettlTermGrp

LegCashSettlRecoveryFactor

Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount calculated is (1 - LegCashSettlRecoveryFactor(41358)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.

Type: float

Used in groups: LegCashSettlTermGrp

LegCashSettlTermGrp

The LegCashSettlTermGrp is a repeating component within the InstrumentLeg component used to report cash settlement terms.

Name | Mult. | Type | Description
NoLegCashSettlTerms | [1..1] | NumInGroup |
LegCashSettlCurrency | [0..1] | Currency | Required if NoLegCashSettlTerms(41344) > 0.
LegCasSettlValuationFirstBusinessDayOffset | [0..1] | int |
LegCashSettlValuationSubsequentBusinessDaysOffset | [0..1] | int |
LegCashSettlNumOfValuationDates | [0..1] | int |
LegCashSettlValuationTime | [0..1] | LocalMktTime |
LegCashSettlBusinessCenter | [0..1] | String |
LegCashSettlQuoteMethod | [0..1] | CodeSet |
LegCashSettlQuoteAmount | [0..1] | Amt |
LegCashSettlQuoteCurrency | [0..1] | Currency |
LegCashSettlMinimumQuoteAmount | [0..1] | Amt |
LegCashSettlMinimumQuoteCurrency | [0..1] | Currency |
LegCashSettlDealerGrp | [0..*] | Group |
LegCashSettlPriceSource | [0..1] | String |
LegCashSettlPriceDefault | [0..1] | CodeSet |
LegCashSettlBusinessDays | [0..1] | int |
LegCashSettlAmount | [0..1] | Amt |
LegCashSettlDate | [0..1] | Component |
LegCashSettlRecoveryFactor | [0..1] | float |
LegCashSettlFixedTermIndicator | [0..1] | Boolean |
LegCashSettlAccruedInterestIndicator | [0..1] | Boolean |
LegCashSettlValuationMethod | [0..1] | CodeSet |
LegCashSettlTermXID | [0..1] | XID |

Used in components: InstrumentLeg

LegCashSettlTermXID

A named string value referenced by UnderlyingSettlTermXIDRef(41315).

Type: XID

Used in groups: LegCashSettlTermGrp

LegCashSettlValuationMethod

The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.

Type: int

Allowed values in CashSettlValuationMethodCodeSet:

Code | Name | Description
0 | Market | Market
1 | Highest | Highest
2 | AverageMarket | Average market
3 | AverageHighest | Average highest
4 | BlendedMarket | Blended market
5 | BlendedHighest | Blended highest
6 | AverageBlendedMarket | Average blended market
7 | AverageBlendedHighest | Average blended highest

Used in groups: LegCashSettlTermGrp

LegCashSettlValuationSubsequentBusinessDaysOffset

The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.

Type: int

Used in groups: LegCashSettlTermGrp

LegCashSettlValuationTime

Time of valuation.

Type: LocalMktTime

Used in groups: LegCashSettlTermGrp

LegCasSettlValuationFirstBusinessDayOffset

The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.

Type: int

Used in groups: LegCashSettlTermGrp

LegCFICode

Multileg instrument's individual security's CFICode.

See CFICode (461) field for description

Type: String

Used in components: InstrumentLeg

LegClearingAccountType

Designates the capacity in which the order will be submitted to clearing.

Type: int

Allowed values in ClearingAccountTypeCodeSet:

Code | Name | Description
1 | Customer | Customer
2 | Firm | Firm
3 | MarketMaker | Market maker

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegCommonPricingIndicator

When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.

Type: Boolean

Used in components: InstrumentLeg

LegComplexEvenReferencePageHeading

Identifies the reference page heading from the rate source.

Type: String

Used in groups: LegComplexEventRateSourceGrp

LegComplexEventAveragingObservationGrp

LegComplexEventAveragingObservationGrp is an optional subcomponent of LegComplexEventPeriodGrp for specifying the weight of each of the dated observations.

Name | Mult. | Type | Description
NoLegComplexEventAveragingObservations | [1..1] | NumInGroup |
LegComplexEventAveragingObservationNumber | [0..1] | int | Required if NoLegComplexEventAveragingObservations(41363) > 0.
LegComplexEventAveragingWeight | [0..1] | float |

Used in groups: LegComplexEventPeriodGrp

LegComplexEventAveragingObservationNumber

Cross reference to the ordinal observation as specified either in the LegComplexEventScheduleGrp or LegComplexEventPeriodDateGrp components.

Type: int

Used in groups: LegComplexEventAveragingObservationGrp

LegComplexEventAveragingWeight

The weight factor to be applied to the observation.

Type: float

Used in groups: LegComplexEventAveragingObservationGrp

LegComplexEventBusinessCenter

The business center for adjusting dates and times in the schedule or date-time group.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegComplexEventPeriodGrp

LegComplexEventCalculationAgent

Used to identify the calculation agent.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: LegComplexEvents

LegComplexEventCondition

Specifies the condition between complex events when more than one event is specified.

Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.

Type: int

Allowed values in ComplexEventConditionCodeSet:

Code | Name | Description
1 | And | And
2 | Or | Or

Used in groups: LegComplexEvents

LegComplexEventCreditEventBusinessCenter

Specifies the local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegComplexEvents

LegComplexEventCreditEventCurrency

Specifies the applicable currency when LegComplexEventCreditEventCurrency(41368) is an amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventDayType

Specifies the day type for the complex credit events.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventGrp

The LegComplexEventCreditEventGrp is a repeating component within the LegComplexEventGrp component used to report applicable option credit events.

Name | Mult. | Type | Description
NoLegComplexEventCreditEvents | [1..1] | NumInGroup |
LegComplexEventCreditEventType | [0..1] | String | Required if NoLegComplexEventCreditEvents(41366) > 0.
LegComplexEventCreditEventValue | [0..1] | String |
LegComplexEventCreditEventCurrency | [0..1] | Currency |
LegComplexEventCreditEventPeriod | [0..1] | int | Conditionally required when LegComplexEventCreditEventUnit(41371) is specified.
LegComplexEventCreditEventUnit | [0..1] | CodeSet | Conditionally required when LegComplexEventCreditEventPeriod(41370) is specified.
LegComplexEventCreditEventDayType | [0..1] | CodeSet |
LegComplexEventCreditEventRateSource | [0..1] | int |
LegComplexEventCreditEventQualifierGrp | [0..*] | Group |

Used in groups: LegComplexEvents

LegComplexEventCreditEventMinimumSources

The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.

Type: int

Used in groups: LegComplexEvents

LegComplexEventCreditEventNotifyingParty

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

Type: int

Allowed values in ComplexEventCreditEventNotifyingPartyCodeSet:

Code | Name | Description
0 | SellerNotifies | Seller notifies
1 | BuyerNotifies | Buyer notifies
2 | SellerOrBuyerNotifies | Seller or buyer notifies

Used in groups: LegComplexEvents

LegComplexEventCreditEventPeriod

Time unit multiplier for complex credit events.

Type: int

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventQualifier

Specifies a complex event qualifier. Used to further qualify LegComplexEventCreditEventType(41367).

Type: char

Allowed values in ProtectionTermEventQualifierCodeSet:

Code
Name
Description

H
RestructuringMultipleHoldingObligations
Retructuring - multiple holding obligations. In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.

E
RestructuringMultipleCreditEventNotices
Restructuring - multiple credit event notices. Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

C
FloatingRateInterestShortfall
Floating rate interest shortfall. Indicates compounding.

Used in groups: LegComplexEventCreditEventQualifierGrp

LegComplexEventCreditEventQualifierGrp

The LegComplexEventCreditEventQualifierGrp is a repeating component within the LegComplexEventCreditEventGrp component used to specify qualifying attributes to an event.

Name | Mult. | Type | Description
NoLegComplexEventCreditEventQualifiers | [1..1] | NumInGroup |
LegComplexEventCreditEventQualifier | [0..1] | CodeSet | Required if NoLegComplexEventCreditEventQualifiers(41374) > 0.

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventRateSource

Identifies the source of rate information used for credit events.

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.

Type: int

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventSource

A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.

Type: String

Used in groups: LegComplexEventCreditEventSourceGrp

LegComplexEventCreditEventSourceGrp

LegComplexEventCreditEventSourceGrp is a repeating subcomponent of the LegComplexEvents component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.

Name | Mult. | Type | Description
NoLegComplexEventCreditEventSources | [1..1] | NumInGroup |
LegComplexEventCreditEventSource | [0..1] | String | Required if NoLegComplexEventCreditEventSources(41398) > 0.

Used in groups: LegComplexEvents

LegComplexEventCreditEventStandardSources

When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.

Type: Boolean

Used in groups: LegComplexEvents

LegComplexEventCreditEventsXIDRef

Reference to credit event table elsewhere in the message.

Type: XIDREF

Used in groups: LegComplexEvents

LegComplexEventCreditEventType

Specifies the type of credit event.

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.

Type: String

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventUnit

Time unit associated with complex credit events.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCreditEventValue

The credit event value appropriate to LegComplexEventCreditEventType(41367).

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.

Type: String

Used in groups: LegComplexEventCreditEventGrp

LegComplexEventCurrencyOne

Specifies the first or only reference currency of the trade.

LegComplexEventCurrencyOneCodeSource(2945) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: LegComplexEvents

LegComplexEventCurrencyOneCodeSource

Identifies class or source of the LegComplexEventCurrencyOne(2233) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegComplexEvents

LegComplexEventCurrencyTwo

Specifies the second reference currency of the trade.

LegComplexEventCurrencyTwoCodeSource(2946) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: LegComplexEvents

LegComplexEventCurrencyTwoCodeSource

Identifies class or source of the LegComplexEventCurrencyTwo(2234) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegComplexEvents

LegComplexEventDateAdjusted

The adjusted complex event date.

Type: LocalMktDate

Used in components: LegComplexEventRelativeDate

LegComplexEventDateBusinessCenter

The business center calendar used to adjust the event date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegComplexEventDateBusinessCenterGrp

LegComplexEventDateBusinessCenterGrp

LegComplexEventDateBusinessCenterGrp is a repeating subcomponent of the LegComplexEventRelativeDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegComplexEventDateBusinessCenters | [1..1] | NumInGroup |
LegComplexEventDateBusinessCenter | [0..1] | String | Required if NoLegComplexEventDateBusinessCenters(41387) > 0.

Used in components: LegComplexEventRelativeDate

LegComplexEventDateBusinessDayConvention

The business day convention used to adjust the event date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegComplexEventRelativeDate

LegComplexEventDateOffsetDayType

Specifies the day type of the relative date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegComplexEventRelativeDate

LegComplexEventDateOffsetPeriod

Time unit multiplier for the relative date offset.

Type: int

Used in components: LegComplexEventRelativeDate

LegComplexEventDateOffsetUnit

Time unit associated with the relative date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegComplexEventRelativeDate

LegComplexEventDateRelativeTo

Specifies the anchor date when the complex event date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegComplexEventRelativeDate

LegComplexEventDates

The LegComplexEventDates and subcomponent LegComplexEventTimes components are used to constrain a complex event to a specific date range, and optional time range. If specified the event is only effective on or within the specified dates and times.

Name | Mult. | Type | Description
NoLegComplexEventDates | [1..1] | NumInGroup |
LegComplexEventStartDate | [0..1] | UTCDateOnly | Required if NoLegComplexEventDates(2250) > 0.
LegComplexEventEndDate | [0..1] | UTCDateOnly | Required if NoLegComplexEventDates(2250) > 0.
LegComplexEventTimes | [0..*] | Group |

Used in groups: LegComplexEvents

LegComplexEventDateUnadjusted

The unadjusted complex event date.

Type: LocalMktDate

Used in components: LegComplexEventRelativeDate

LegComplexEventDeterminationMethod

Specifies the method according to which an amount or a date is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: LegComplexEvents

LegComplexEventEndDate

The end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.

The end date must always be greater than or equal to start date.

Type: UTCDateOnly

Used in groups: LegComplexEventDates

LegComplexEventEndTime

The end time of the time range on which a complex event date is effective.

The end time must always be greater than or equal to the start time.

Type: UTCTimeOnly

Used in groups: LegComplexEventTimes

LegComplexEventFixedFXRate

Specifies the fixed FX rate alternative for FX Quantro options.

Type: float

Used in groups: LegComplexEvents

LegComplexEventFixingTime

The local market fixing time.

Type: LocalMktTime

Used in components: LegComplexEventRelativeDate

LegComplexEventFixingTimeBusinessCenter

The business center for determining the actual fixing times.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegComplexEventRelativeDate

LegComplexEventForwardPoints

FX forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: LegComplexEvents

LegComplexEventFuturesPriceValuation

Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.

Type: Boolean

Used in groups: LegComplexEvents

LegComplexEventOptionsPriceValuation

Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.

Type: Boolean

Used in groups: LegComplexEvents

LegComplexEventPeriodDate

Averaging date for an Asian option.

Trigger date for a Barrier or Knock option.

Type: LocalMktDate

Used in groups: LegComplexEventPeriodDateGrp

LegComplexEventPeriodDateGrp

LegComplexEventPeriodDateGrp is a subcomponent of LegComplexEventPeriodGrp for specifying fixed period dates and times for an Asian or Strike Schedule option or trigger dates for a Barrier or Knock option.

Name | Mult. | Type | Description
NoLegComplexEventPeriodDateTimes | [1..1] | NumInGroup |
LegComplexEventPeriodDate | [0..1] | LocalMktDate | Required if NoLegComplexEventPeriodDateTimes(41376) > 0.
LegComplexEventPeriodTime | [0..1] | LocalMktTime |

Used in groups: LegComplexEventPeriodGrp

LegComplexEventPeriodGrp

LegComplexEventPeriodGrp is a subcomponent of LegComplexEvents for specifying the periods for an Asian, Barrier, Knock or Strike Schedule option feature.

Name | Mult. | Type | Description
NoLegComplexEventPeriods | [1..1] | NumInGroup |
LegComplexEventPeriodType | [0..1] | CodeSet | Required if NoLegComplexEventPeriods(41379) > 0.
LegComplexEventBusinessCenter | [0..1] | String |
LegComplexEventScheduleGrp | [0..*] | Group |
LegComplexEventPeriodDateGrp | [0..*] | Group |
LegComplexEventAveragingObservationGrp | [0..*] | Group |

Used in groups: LegComplexEvents

LegComplexEventPeriodTime

Averaging time for an Asian option.

Type: LocalMktTime

Used in groups: LegComplexEventPeriodDateGrp

LegComplexEventPeriodType

Specifies the period type.

Type: int

Allowed values in ComplexEventPeriodTypeCodeSet:

Code | Name | Description
0 | AsianOut | Asian Out
1 | AsianIn | Asian In
2 | BarrierCap | Barrier Cap
3 | BarrierFloor | Barrier Floor
4 | KnockOut | Knock Out
5 | KnockIn | Knock In

Used in groups: LegComplexEventPeriodGrp

LegComplexEventPrice

Specifies the price at which the complex event takes effect. Impact of the event price is determined by the LegComplexEventType(2219).

Type: Price

Used in groups: LegComplexEvents

LegComplexEventPriceBoundaryMethod

Specifies the boundary condition to be used for the event price relative to the complex event price at the point the complex event outcome takes effect as determined by the LegComplexEventPriceTimeType(2231).

Type: int

Allowed values in ComplexEventPriceBoundaryMethodCodeSet:

Code | Name | Description
1 | LessThanComplexEventPrice | Less than ComplexEventPrice(1486)
2 | LessThanOrEqualToComplexEventPrice | Less than or equal to ComplexEventPrice(1486)
3 | EqualToComplexEventPrice | Equal to ComplexEventPrice(1486)
4 | GreaterThanOrEqualToComplexEventPrice | Greater than or equal to ComplexEventPrice(1486)
5 | GreaterThanComplexEventPrice | Greater than ComplexEventPrice(1486)

Used in groups: LegComplexEvents

LegComplexEventPriceBoundaryPrecision

Used in combination with LegComplexEventPriceBoundaryMethod(2229) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Type: Percentage

Used in groups: LegComplexEvents

LegComplexEventPricePercentage

Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the LegComplexEventType(2219).

Type: Percentage

Used in groups: LegComplexEvents

LegComplexEventPriceTimeType

Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the LegComplexEventType(2219).

Type: int

Allowed values in ComplexEventPriceTimeTypeCodeSet:

Code | Name | Description
1 | Expiration | Expiration
2 | Immediate | Immediate (At Any Time)
3 | SpecifiedDate | Specified Date/Time
4 | Close | Close. Official closing time of the exchange on valuation date.
5 | Open | Open. Official opening time of the exchange on valuation date.
6 | OfficialSettlPrice | Official settlement price. Official settlement price determination time.
7 | DerivativesClose | Derivatives close. Official closing time of the derivatives exchange.
8 | AsSpecifiedMasterConfirmation | As specified in Master Confirmation

Used in groups: LegComplexEvents

LegComplexEventPVFinalPriceElectionFallback

Specifies the fallback provisions for the hedging party in the determination of the final settlement price

Type: int

Allowed values in ComplexEventPVFinalPriceElectionFallbackCodeSet:

Code | Name | Description
0 | Close | Close. In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
1 | HedgeElection | Hedge election. In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.

Used in groups: LegComplexEvents

LegComplexEventQuoteBasis

For foreign exchange Quanto option feature.

Type: int

Allowed values in ComplexEventQuoteBasisCodeSet:

Code | Name | Description
0 | Currency1PerCurrency2 | Currency 1 per currency 2
1 | Currency2PerCurrency1 | Currency 2 per currency 1

Used in groups: LegComplexEvents

LegComplexEventRateSource

Identifies the source of rate information.

For FX, the reference source to be used for the FX spot rate.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: LegComplexEventRateSourceGrp

LegComplexEventRateSourceGrp

LegComplexEventRateSourceGrp is a subcomponent of LegComplexEvents for specifying primary and secondary rate sources.

Name | Mult. | Type | Description
NoLegComplexEventRateSources | [1..1] | NumInGroup |
LegComplexEventRateSource | [0..1] | CodeSet | Required if NoLegComplexEventRateSources(41382) > 0.
LegComplexEventRateSourceType | [0..1] | CodeSet | Required if NoLegComplexEventRateSources(41382) > 0.
LegComplexEventReferencePage | [0..1] | String | Conditionally required when LegComplexEventRateSource(41383) = 99 (Other).
LegComplexEvenReferencePageHeading | [0..1] | String |

Used in groups: LegComplexEvents

LegComplexEventRateSourceType

Indicates whether the rate source specified is a primary or secondary source.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: LegComplexEventRateSourceGrp

LegComplexEventReferencePage

Identifies the reference page from the rate source.

For FX, the reference page to the spot rate is to be used for the reference FX spot rate.

When LegComplexEventRateSource(41383) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.

Type: String

Used in groups: LegComplexEventRateSourceGrp

LegComplexEventRelativeDate

LegComplexEventRelativeDate is a subcomponent of LegComplexEvents for specifying the event date and time for an FX or Calendar Spread option or the payout date for a Barrier or Knock option.

Name | Mult. | Type | Description
LegComplexEventDateUnadjusted | [0..1] | LocalMktDate |
LegComplexEventDateRelativeTo | [0..1] | int |
LegComplexEventDateOffsetPeriod | [0..1] | int | Conditionally required when LegComplexEventDateOffsetUnit(41392) is specified.
LegComplexEventDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegComplexEventDateOffsetPeriod(41391) is specified.
LegComplexEventDateOffsetDayType | [0..1] | CodeSet |
LegComplexEventDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to complex event dates.
LegComplexEventDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to complex event dates.
LegComplexEventDateAdjusted | [0..1] | LocalMktDate |
LegComplexEventFixingTime | [0..1] | LocalMktTime |
LegComplexEventFixingTimeBusinessCenter | [0..1] | String |

Used in groups: LegComplexEvents

LegComplexEventScheduleEndDate

The end date of the schedule.

Type: LocalMktDate

Used in groups: LegComplexEventScheduleGrp

LegComplexEventScheduleFrequencyPeriod

Time unit multiplier for the schedule date frequency.

Type: int

Used in groups: LegComplexEventScheduleGrp

LegComplexEventScheduleFrequencyUnit

Time unit associated with the schedule date frequency.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegComplexEventScheduleGrp

LegComplexEventScheduleGrp

LegComplexEventScheduleGrp is a subcomponent of LegComplexEventPeriodGrp for specifying a periodic schedule for an Asian, Barrier or Strike Schedule option feature.

Name | Mult. | Type | Description
NoLegComplexEventSchedules | [1..1] | NumInGroup |
LegComplexEventScheduleStartDate | [0..1] | LocalMktDate | Required if NoLegComplexEventScedules(41400) > 0.
LegComplexEventScheduleEndDate | [0..1] | LocalMktDate |
LegComplexEventScheduleFrequencyPeriod | [0..1] | int | Conditionally required when LegComplexEventScheduleFrequencyUnit(41404) is specified.
LegComplexEventScheduleFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegComplexEventScheduleFrequencyPeriod(41403) is specified.
LegComplexEventScheduleRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the option expiration dates and times.

Used in groups: LegComplexEventPeriodGrp

LegComplexEventScheduleRollConvention

The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the LegDateAdjustment component in InstrumentLeg.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in groups: LegComplexEventScheduleGrp

LegComplexEventScheduleStartDate

The start date of the schedule.

Type: LocalMktDate

Used in groups: LegComplexEventScheduleGrp

LegComplexEvents

The LegComplexEvent Group is a repeating block which allows specifying an unlimited number and types of advanced events, such as observation and pricing over the lifetime of an option, futures, commodities or equity swap contract. Use LegEvntGrp to specify more straightforward events.

Name
Mult.
Type
Description

NoLegComplexEvents
[1..1]
NumInGroup

LegComplexEventType
[0..1]
CodeSet
Required if NoLegComplexEvents(2218)) > 0.

LegComplexOptPayoutPaySide
[0..1]
CodeSet

LegComplexOptPayoutReceiveSide
[0..1]
CodeSet

LegComplexOptPayoutUnderlier
[0..1]
String

LegComplexOptPayoutAmount
[0..1]
Amt

LegComplexOptPayoutPercentage
[0..1]
Percentage

LegComplexOptPayoutTime
[0..1]
CodeSet

LegComplexOptPayoutCurrency
[0..1]
Currency

LegComplexOptPayoutCurrencyCodeSource
[0..1]
CodeSet

LegComplexEventPrice
[0..1]
Price

LegComplexEventPricePercentage
[0..1]
Percentage

LegComplexEventPriceBoundaryMethod
[0..1]
CodeSet

LegComplexEventPriceBoundaryPrecision
[0..1]
Percentage

LegComplexEventPriceTimeType
[0..1]
CodeSet

LegComplexEventCondition
[0..1]
CodeSet
Conditionally required when there are more than one LegComplexEvents occurrences. A chain of LegComplexEvents must be linked together through use of the LegComplexEventCondition(2232) in which the relationship between any two events is described. For any two LegComplexEvents the first occurrence will specify the LegComplexEventCondition(2232) which links it with the second event.

LegComplexEventDates
[0..*]
Group

LegComplexEventCurrencyOne
[0..1]
Currency

LegComplexEventCurrencyOneCodeSource
[0..1]
CodeSet

LegComplexEventCurrencyTwo
[0..1]
Currency

LegComplexEventCurrencyTwoCodeSource
[0..1]
CodeSet

LegComplexEventQuoteBasis
[0..1]
CodeSet

LegComplexEventFixedFXRate
[0..1]
float

LegComplexEventSpotRate
[0..1]
Price

LegComplexEventForwardPoints
[0..1]
PriceOffset

LegComplexEventDeterminationMethod
[0..1]
String

LegComplexEventCalculationAgent
[0..1]
CodeSet

LegComplexEventStrikePrice
[0..1]
Price

LegComplexEventStrikeFactor
[0..1]
float

LegComplexEventStrikeNumberOfOptions
[0..1]
int

LegComplexEventRateSourceGrp
[0..*]
Group

LegComplexEventRelativeDate
[0..1]
Component

LegComplexEventPeriodGrp
[0..*]
Group

LegComplexEventCreditEventsXIDRef
[0..1]
XIDREF

LegComplexEventCreditEventNotifyingParty
[0..1]
CodeSet

LegComplexEventCreditEventBusinessCenter
[0..1]
String

LegComplexEventCreditEventStandardSources
[0..1]
Boolean

LegComplexEventCreditEventMinimumSources
[0..1]
int

LegComplexEventCreditEventSourceGrp
[0..*]
Group

LegComplexEventCreditEventGrp
[0..*]
Group

LegComplexEventFuturesPriceValuation
[0..1]
Boolean

LegComplexEventOptionsPriceValuation
[0..1]
Boolean

LegComplexEventPVFinalPriceElectionFallback
[0..1]
CodeSet

LegComplexEventXID
[0..1]
XID

LegComplexEventXIDRef
[0..1]
XIDREF

Used in components: InstrumentLeg

LegComplexEventSpotRate

FX spot rate.

Type: Price

Used in groups: LegComplexEvents

LegComplexEventStartDate

The start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.

The start date must always be less than or equal to end date.

Type: UTCDateOnly

Used in groups: LegComplexEventDates

LegComplexEventStartTime

The start time of the time range on which a complex event date is effective.

The start time must always be less than or equal to the end time.

Type: UTCTimeOnly

Used in groups: LegComplexEventTimes

LegComplexEventStrikeFactor

Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.

Type: float

Used in groups: LegComplexEvents

LegComplexEventStrikeNumberOfOptions

Upper string number of options for a Strike Spread.

Type: int

Used in groups: LegComplexEvents

LegComplexEventStrikePrice

Upper strike price for Asian option feature. Strike percentage for a Strike Spread.

Type: Price

Used in groups: LegComplexEvents

LegComplexEventTimes

The LegComplexEventTimes is a repeating subcomponent of the LegComplexEventDates component. It is used to further qualify any dates placed on the event and is used to specify time ranges for which a complex event is effective. It is always provided within the context of start and end dates. The time range is assumed to be in effect for the entirety of the date or date range specified.

Name | Mult. | Type | Description
NoLegComplexEventTimes | [1..1] | NumInGroup |
LegComplexEventStartTime | [0..1] | UTCTimeOnly | Required if NoLegComplexEventTimes(2253) > 0.
LegComplexEventEndTime | [0..1] | UTCTimeOnly | Required if NoLegComplexEventTimes(2253) > 0.

Used in groups: LegComplexEventDates

LegComplexEventType

Identifies the type of complex event.

Type: int

Allowed values in ComplexEventTypeCodeSet:

Code | Name | Description
1 | Capped | Capped
2 | Trigger | Trigger
3 | KnockInUp | Knock-in up
4 | KnockInDown | Knock-in down
5 | KnockOutUp | Knock-out up
6 | KnockOutDown | Knock-out down
7 | Underlying | Underlying
8 | ResetBarrier | Reset Barrier
9 | RollingBarrier | Rolling Barrier
10 | OneTouch | One-touch
11 | NoTouch | No-touch
12 | DblOneTouch | Double one-touch
13 | DblNoTouch | Double no-touch
14 | FXComposite | Foreign exchange composite
15 | FXQuanto | Foreign exchange Quanto
16 | FXCrssCcy | Foreign exchange cross currency
17 | StrkSpread | Strike spread
18 | ClndrSpread | Calendar spread
19 | PxObsvtn | Price observation (Asian or Lookback)
20 | PassThrough | Pass-through
21 | StrkSched | Strike schedule
22 | EquityValuation | Equity valuation
23 | DividendValuation | Dividend valuation

Used in groups: LegComplexEvents

LegComplexEventXID

Identifier of this complex event for cross referencing elsewhere in the message.

Type: XID

Used in groups: LegComplexEvents

LegComplexEventXIDRef

Reference to a complex event elsewhere in the message.

Type: XIDREF

Used in groups: LegComplexEvents

LegComplexOptPayoutAmount

Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.

Type: Amt

Used in groups: LegComplexEvents

LegComplexOptPayoutCurrency

Specifies the currency of the payout amount.

LegComplexOptPayoutCurrencyCodeSource(2944) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: LegComplexEvents

LegComplexOptPayoutCurrencyCodeSource

Identifies class or source of the LegComplexOptPayoutCurrency(2226) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegComplexEvents

LegComplexOptPayoutPaySide

Trade side of payout payer.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegComplexEvents

LegComplexOptPayoutPercentage

Percentage of observed price for calculating the payout associated with the event.

Type: Percentage

Used in groups: LegComplexEvents

LegComplexOptPayoutReceiveSide

Trade side of payout receiver.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegComplexEvents

LegComplexOptPayoutTime

Specifies when the payout is to occur.

Type: int

Allowed values in ComplexOptPayoutTimeCodeSet:

Code | Name | Description
0 | Close | Close
1 | Open | Open
2 | OfficialSettl | Official settlement
3 | ValuationTime | Valuation time
4 | ExcahgneSettlTime | Exchange settlement time
5 | DerivativesClose | Derivatives close
6 | AsSpecified | As specified in master confirmation

Used in groups: LegComplexEvents

LegComplexOptPayoutUnderlier

Reference to the underlier whose payments are being passed through.

Type: String

Used in groups: LegComplexEvents

LegContractMultiplier

Multileg instrument's individual security's ContractMultiplier.

See ContractMultiplier (23) field for description

Type: float

Used in components: InstrumentLeg

LegContractMultiplierUnit

Indicates the type of multiplier being applied to the contract. Can be optionally used to further define what unit LegContractMultiplier(614) is expressed in.

Type: int

Allowed values in ContractMultiplierUnitCodeSet:

Code | Name | Description
0 | Shares | Shares
1 | Hours | Hours
2 | Days | Days

Used in components: InstrumentLeg

LegContractPriceRefMonth

Reference month if there is no applicable LegMaturityMonthYear(610) value for the contract or security.

Type: MonthYear

Used in components: InstrumentLeg

LegContractSettlMonth

Specifies when the contract (i.e. MBS/TBA) will settle.

Type: MonthYear

Used in components: InstrumentLeg

LegContractualDefinition

Specifies which contract definition, such as those published by ISDA, will apply for the terms of the trade. See http://www.fpml.org/coding-scheme/contractual-definitions for values.

Type: String

Used in groups: LegFinancingContractualDefinitionsGrp

LegContractualMatrixDate

Specifies the publication date of the applicable version of the contract matrix. If not specified, the ISDA Standard Terms Supplement defines rules for which version of the matrix is applicable.

Type: LocalMktDate

Used in groups: LegFinancingContractualMatrixGrp

LegContractualMatrixSource

Identifies the applicable contract matrix. See http://www.fpml.org/coding-scheme/matrix-type-1-0.xml for values.

Type: String

Used in groups: LegFinancingContractualMatrixGrp

LegContractualMatrixTerm

Specifies the applicable key into the relevant contract matrix. In the case of 2000 ISDA Definitions Settlement Matrix for Early Termination and Swaptions, the LegContractualMatrixTerm(42206) is not applicable and is to be omitted. See http://www.fpml.org/coding-scheme/credit-matrix-transaction-type for values.

Type: String

Used in groups: LegFinancingContractualMatrixGrp

LegContraryInstructionEligibilityIndicator

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of LegInTheMoneyCondition(2682). When not specified, the eligibility is undefined or not applicable.

Type: Boolean

Used in components: InstrumentLeg

LegConvertibleBondEquityID

Identifies the equity in which a convertible bond can be converted to.

Type: String

Used in components: InstrumentLeg

LegConvertibleBondEquityIDSource

Identifies class or source of the LegConvertibleBondEquitySecurityID(2166) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegCountryOfIssue

Multileg instrument's individual leg security's CountryOfIssue.

See CountryOfIssue (470) field for description

Type: Country

Used in components: InstrumentLeg

LegCouponDayCount

The day count convention used in interest calculations for a bond or an interest bearing security.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: InstrumentLeg

LegCouponFrequencyPeriod

Time unit multiplier for the frequency of the bond's coupon payment.

Type: int

Used in components: InstrumentLeg

LegCouponFrequencyUnit

Time unit associated with the frequency of the bond's coupon payment.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: InstrumentLeg

LegCouponOtherDayCount

The industry name of the day count convention not listed in LegCouponDayCount(2165).

Type: String

Used in components: InstrumentLeg

LegCouponPaymentDate

Multileg instrument's individual leg security's CouponPaymentDate.

See CouponPaymentDate (224) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: InstrumentLeg

LegCouponRate

Multileg instrument's individual security's CouponRate.

See CouponRate (223) field for description

Type: Percentage

Used in components: InstrumentLeg

LegCouponType

Specifies the coupon type of the bond.

Type: int

Allowed values in CouponTypeCodeSet:

Code | Name | Description
0 | Zero | Zero
1 | FixedRate | Fixed rate
2 | FloatingRate | Floating rate
3 | Structured | Structured

Used in components: InstrumentLeg

LegCoveredOrUncovered

CoveredOrUncovered for leg of a multileg

See CoveredOrUncovered (203) field for description

Type: int

Allowed values in CoveredOrUncoveredCodeSet:

Code | Name | Description
0 | Covered | Covered
1 | Uncovered | Uncovered

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegCPProgram

The program under which a commercial paper is issued.

Type: int

Allowed values in CPProgramCodeSet:

Code | Name | Description
1 | Program3a3 | 3(a)(3). Arising out of a current transaction with a maturity less than 9 months.
2 | Program42 | 4(2). Issued not involving any public offering.
3 | Program3a2 | 3(a)(2). Issued or guaranteed by the US, state or territorial government.
4 | Program3a3And3c7 | 3(a)(3) & 3(c)(7). Combination of 3(a)(3) and 3(c)(7).
5 | Program3a4 | 3(a)(4). Religious, education, benevolent, fraternal, charitable or reformatory purposes.
6 | Program3a5 | 3(a)(5). Issued by an institution supervised by state or federal authority or by an exempt farmer's cooperative.
7 | Program3a7 | 3(a)(7). Issued by a receiver or trustee in bankruptcy.
8 | Program3c7 | 3(c)(7). Qualified hedge-fund under the Investment Company Act of 1940.
99 | Other | Other

Used in components: InstrumentLeg

LegCPRegType

The registration type of a commercial paper issuance.

Type: String

Used in components: InstrumentLeg

LegCreditRating

Multileg instrument's individual leg security's CreditRating.

See CreditRating (255) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: InstrumentLeg

LegCreditSupportAgreementDate

The date of the ISDA Credit Support Agreement executed between the parties and intended to govern collateral arrangements for all OTC derivatives transactions between those parties.

Type: LocalMktDate

Used in components: LegFinancingDetails

LegCreditSupportAgreementDesc

The type of ISDA Credit Support Agreement. See http://www.fpml.org/coding-scheme/credit-support-agreement-type for values.

Type: String

Used in components: LegFinancingDetails

LegCreditSupportAgreementID

A common reference or unique identifier to identify the ISDA Credit Support Agreement executed between the parties.

Type: String

Used in components: LegFinancingDetails

LegCurrency

Currency associated with a particular Leg's quantity

Type: Currency

Used in components: InstrumentLeg

LegCurrencyCodeSource

Identifies class or source of the LegCurrency(556) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegCurrencyRatio

Specifies the currency ratio between the currency used for a multileg price and the currency used by the outright book defined by the leg. Example: Multileg quoted in EUR, outright leg in USD and 1 EUR = 0,7 USD then LegCurrencyRatio = 0.7

Type: float

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegCurrentCostBasis

The amount that the current shares are worth. If this lot was liquidated, the total gain/loss for a trade is equal to the trade amount minus the current cost basis.

Type: Amt

Used in groups: LegPreAllocGrp

LegCustodialLotID

An opaque identifier used to communicate the custodian’s identifier for the lot. It is expected that this information would be provided by the custodian as part of a reconciliation process that occurs before trading.

Type: String

Used in groups: LegPreAllocGrp

LegDateAdjustment

LegDateAdjustment is a subcomponent within the InstrumentLeg component. It is used to specify date adjustment parameters and rules. The date adjustments specified here applies to all adjustable dates for the instrument leg, unless specifically overridden elsewhere in the respective specified components further within the InstrumentLeg component.

Name | Mult. | Type | Description
LegBusinessDayConvention | [0..1] | CodeSet |
LegBusinessCenterGrp | [0..*] | Group |
LegDateRollConvention | [0..1] | CodeSet |

Used in components: InstrumentLeg

LegDatedDate

The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date

Type: LocalMktDate

Used in components: InstrumentLeg

LegDateRollConvention

The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the instrument leg unless specifically overridden.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: LegDateAdjustment

LegDeliveryRouteOrCharter

Specific delivery route or time charter average. Applicable to commodity freight contracts.

Type: String

Used in components: InstrumentLeg

LegDeliveryScheduleGrp

The LegDeliveryScheduleGrp is a repeating subcomponent of the LegStream component used to detail step schedules associated with a delivery stream.

Name | Mult. | Type | Description
NoLegDeliverySchedules | [1..1] | NumInGroup |
LegDeliveryScheduleType | [0..1] | CodeSet | Required if NoLegDeliverySchedules(41408) > 0.
LegDeliveryScheduleXID | [0..1] | XID |
LegDeliveryScheduleNotional | [0..1] | Qty |
LegDeliveryScheduleNotionalUnitOfMeasure | [0..1] | CodeSet |
LegDeliveryScheduleNotionalCommodityFrequency | [0..1] | CodeSet |
LegDeliveryScheduleNegativeTolerance | [0..1] | float |
LegDeliverySchedulePositiveTolerance | [0..1] | float |
LegDeliveryScheduleToleranceUnitOfMeasure | [0..1] | CodeSet |
LegDeliveryScheduleToleranceType | [0..1] | CodeSet | Conditionally required when LegDeliveryScheduleNegativeTolerance(41414) or LegDeliverySchedulePositiveTolerance(41415) is specified.
LegDeliveryScheduleSettlCountry | [0..1] | Country |
LegDeliveryScheduleSettlTimeZone | [0..1] | String |
LegDeliveryScheduleSettlFlowType | [0..1] | CodeSet |
LegDeliveryScheduleSettlHolidaysProcessingInstruction | [0..1] | CodeSet |
LegDeliveryScheduleSettlDayGrp | [0..*] | Group |

Used in groups: LegStreamGrp

LegDeliveryScheduleNegativeTolerance

Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryScheduleToleranceType(41417). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleNotional

Physical delivery quantity.

Type: Qty

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleNotionalCommodityFrequency

The frequency of notional delivery.

Type: int

Allowed values in StreamNotionalCommodityFrequencyCodeSet:

Code | Name | Description
0 | Term | Term
1 | PerBusinessDay | Per business day
2 | PerCalculationPeriod | Per calculation period
3 | PerSettlPeriod | Per settlement period
4 | PerCalendarDay | Per calendar day
5 | PerHour | Per hour
6 | PerMonth | Per month

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleNotionalUnitOfMeasure

Specifies the delivery quantity unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegDeliveryScheduleGrp

LegDeliverySchedulePositiveTolerance

Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryScheduleToleranceType(41417). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleSettlCountry

Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.

Type: Country

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleSettlDay

Specifies the day or group of days for delivery.

Type: int

Allowed values in DeliveryScheduleSettlDayCodeSet:

Code | Name | Description
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday
8 | AllWeekdays | All weekdays
9 | AllDays | All days
10 | AllWeekends | All weekends

Used in groups: LegDeliveryScheduleSettlDayGrp

LegDeliveryScheduleSettlDayGrp

The LegDeliveryScheduleSettlDayGrp is a repeating subcomponent of the LegDeliveryScheduleGrp component used to detail commodity delivery days.

Name | Mult. | Type | Description
NoLegDeliveryScheduleSettlDays | [1..1] | NumInGroup |
LegDeliveryScheduleSettlDay | [0..1] | CodeSet | Required if NoLegDeliveryScheduleSettlDays(41422) > 0.
LegDeliveryScheduleSettlTotalHours | [0..1] | int |
LegDeliveryScheduleSettlTimeGrp | [0..*] | Group |

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleSettlEnd

The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in LegDeliveryScheduleSettlTimeType(41428).

Type: String

Used in groups: LegDeliveryScheduleSettlTimeGrp

LegDeliveryScheduleSettlFlowType

Specifies the delivery flow type.

Type: int

Allowed values in DeliveryScheduleSettlFlowTypeCodeSet:

Code | Name | Description
0 | AllTimes | All times
1 | OnPeak | On peak
2 | OffPeak | Off peak
3 | Base | Base
4 | BlockHours | Block hours
5 | Other | Other

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleSettlHolidaysProcessingInstruction

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

Type: int

Allowed values in DeliveryScheduleSettlHolidaysProcessingInstructionCodeSet:

Code | Name | Description
0 | DoNotIncludeHolidays | Do not include holidays
1 | IncludeHolidays | Include holidays

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleSettlStart

The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in LegDeliveryScheduleSettlTimeType(41428).

Type: String

Used in groups: LegDeliveryScheduleSettlTimeGrp

LegDeliveryScheduleSettlTimeGrp

The LegDeliveryScheduleSettlTimeGrp is a repeating subcomponent of the LegDeliveryScheduleSettlDayGrp component used to detail commodity delivery time periods.

Name | Mult. | Type | Description
NoLegDeliveryScheduleSettlTimes | [1..1] | NumInGroup |
LegDeliveryScheduleSettlStart | [0..1] | String | Required if NoLegDeliveryScheduleSettlTimes(41425) > 0.
LegDeliveryScheduleSettlEnd | [0..1] | String | Required if NoLegDeliveryScheduleSettlTimes(41425) > 0.
LegDeliveryScheduleSettlTimeType | [0..1] | CodeSet | May be defaulted to market convention or bilaterally agreed if not specified.

Used in groups: LegDeliveryScheduleSettlDayGrp

LegDeliveryScheduleSettlTimeType

Specifies the format of the delivery start and end time values.

Type: int

Allowed values in DeliveryScheduleSettlTimeTypeCodeSet:

Code
Name
Description

0
Hour
Hour of the day. Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.

1
Timestamp
HH:MM time format. Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.

Used in groups: LegDeliveryScheduleSettlTimeGrp

LegDeliveryScheduleSettlTimeZone

Delivery timezone specified as "prevailing" rather than "standard" or "daylight".

See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.

Type: String

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleSettlTotalHours

The sum of the total hours specified in the LegDeliveryScheduleSettlTimeGrp component.

Type: int

Used in groups: LegDeliveryScheduleSettlDayGrp

LegDeliveryScheduleToleranceType

Specifies the tolerance value type.

Type: int

Allowed values in DeliveryScheduleToleranceTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleToleranceUnitOfMeasure

Specifies the tolerance value's unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleType

Specifies the type of delivery schedule.

Type: int

Allowed values in DeliveryScheduleTypeCodeSet:

Code | Name | Description
0 | Notional | Notional
1 | Delivery | Delivery
2 | PhysicalSettlPeriods | Physical settlement period

Used in groups: LegDeliveryScheduleGrp

LegDeliveryScheduleXID

Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.

Type: XID

Used in groups: LegDeliveryScheduleGrp

LegDeliveryStreamCommoditySource

The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.

See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.

Type: String

Used in groups: LegDeliveryStreamCommoditySourceGrp

LegDeliveryStreamCommoditySourceGrp

The LegDeliveryStreamCommoditySourceGrp is a repeating subcomponent of the LegDeliveryStream component used to detail the origins or sources of the commodity.

Name | Mult. | Type | Description
NoLegDeliveryStreamCommoditySources | [1..1] | NumInGroup |
LegDeliveryStreamCommoditySource | [0..1] | String | Required if NoLegDeliveryStreamCommoditySources(41460) > 0.

Used in components: LegDeliveryStream

LegDeliveryStream

The LegDeliveryStream component is a subcomponent of the LegStream used to detail the attributes of a physical delivery stream in a swap.

Name | Mult. | Type | Description
LegDeliveryStreamType | [0..1] | CodeSet |
LegDeliveryStreamCommoditySourceGrp | [0..*] | Group |
LegDeliveryStreamPipeline | [0..1] | String |
LegDeliveryStreamEntryPoint | [0..1] | String |
LegDeliveryStreamWithdrawalPoint | [0..1] | String |
LegDeliveryStreamDeliveryPoint | [0..1] | String |
LegDeliveryStreamDeliveryPointSource | [0..1] | CodeSet |
LegDeliveryStreamDeliveryPointDesc | [0..1] | String |
LegDeliveryStreamDeliveryRestriction | [0..1] | CodeSet |
LegDeliveryStreamDeliveryContingency | [0..1] | String |
LegDeliveryStreamDeliveryContingentPartySide | [0..1] | CodeSet |
LegDeliveryStreamDeliverAtSourceIndicator | [0..1] | Boolean |
LegDeliveryStreamRiskApportionment | [0..1] | String |
LegDeliveryStreamRiskApportionmentSource | [0..1] | String |
LegDeliveryStreamCycleGrp | [0..*] | Group |
LegDeliveryStreamTitleTransferLocation | [0..1] | String |
LegDeliveryStreamTitleTransferCondition | [0..1] | CodeSet |
LegDeliveryStreamImporterOfRecord | [0..1] | String |
LegDeliveryStreamNegativeTolerance | [0..1] | float |
LegDeliveryStreamPositiveTolerance | [0..1] | float |
LegDeliveryStreamToleranceUnitOfMeasure | [0..1] | CodeSet |
LegDeliveryStreamToleranceType | [0..1] | CodeSet |
LegDeliveryStreamToleranceOptionSide | [0..1] | CodeSet |
LegDeliveryStreamTotalPositiveTolerance | [0..1] | Percentage |
LegDeliveryStreamTotalNegativeTolerance | [0..1] | Percentage |
LegDeliveryStreamNotionalConversionFactor | [0..1] | float |
LegDeliveryStreamTransportEquipment | [0..1] | String |
LegDeliveryStreamElectingPartySide | [0..1] | CodeSet |
LegDeliveryStreamRouteOrCharter | [0..1] | String |

Used in groups: LegStreamGrp

LegDeliveryStreamCycleDesc

The delivery cycles during which the oil product will be transported in the pipeline.

Type: String

Used in groups: LegDeliveryStreamCycleGrp

LegDeliveryStreamCycleGrp

The LegDeliveryStreamCycleGrp is a repeating subcomponent of the LegDeliveryStream component used to detail delivery cycles during which the oil product will be transported in the pipeline.

Name | Mult. | Type | Description
NoLegDeliveryStreamCycles | [1..1] | NumInGroup |
LegDeliveryStreamCycleDesc | [0..1] | String | Required if NoLegDeliveryStreamCycles(41456) > 0.
EncodedLegDeliveryStreamCycleDescLen | [0..1] | Length | Must be set if EncodedLegDeliveryStreamCycleDesc(41459) field is specified and must immediately precede it.
EncodedLegDeliveryStreamCycleDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the LegDeliveryStreamCycleDesc(41457) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: LegDeliveryStream

LegDeliveryStreamDeliverAtSourceIndicator

When this element is specified and set to 'Y', delivery of the coal product is to be at its source.

Type: Boolean

Used in components: LegDeliveryStream

LegDeliveryStreamDeliveryContingency

Specifies the electricity delivery contingency. See

http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamDeliveryContingentPartySide

The trade side value of the party responsible for electricity delivery contingency.

Type: int

Allowed values in DeliveryStreamElectingPartySideCodeSet:

Code | Name | Description
0 | Buyer | Buyer
1 | Seller | Seller

Used in components: LegDeliveryStream

LegDeliveryStreamDeliveryPoint

The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.

For bullion, see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamDeliveryPointDesc

Description of the delivery point identified in LegDeliveryStreamDeliveryPoint(41433).

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamDeliveryPointSource

Identifies the class or source of LegDeliveryStreamDeliveryPoint(41433).

Type: int

Allowed values in DeliveryStreamDeliveryPointSourceCodeSet:

Code | Name | Description
0 | Proprietary | Proprietary
1 | EIC | Energy Identification Code (EIC). Energy Identification Code specifies the location or connection point codes of energy delivery. See http://www.entsog.eu/eic-codes/eic-location-codes-v or http://www.eiccodes.eu for more information and allocated values to use in DeliveryStreamDeliveryPoint(41062).

Used in components: LegDeliveryStream

LegDeliveryStreamDeliveryRestriction

Specifies under what conditions the buyer and seller should be excused of their delivery obligations.

Type: int

Allowed values in DeliveryStreamDeliveryRestrictionCodeSet:

Code | Name | Description
1 | Firm | Firm. Never excused of delivery obligations.
2 | NonFirm | Interruptable or non-firm. Excused when interrupted for any reason or for no reason without liability.
3 | ForceMajeure | Force majeure. Excused when prevented by force majeure.
4 | SystemFirm | System firm. Must be supplied from the owned or controlled generation of pre-existing purchased power assets of the system specified.
5 | UnitFirm | Unit firm. Must be supplied from the generation assset specified.

Used in components: LegDeliveryStream

LegDeliveryStreamElectingPartySide

A reference to the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.

Type: int

Allowed values in DeliveryStreamElectingPartySideCodeSet:

Code | Name | Description
0 | Buyer | Buyer
1 | Seller | Seller

Used in components: LegDeliveryStream

LegDeliveryStreamEntryPoint

The point at which the commodity will enter the delivery mechanism or pipeline.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamImporterOfRecord

A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamNegativeTolerance

Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryStreamToleranceType(41445). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in components: LegDeliveryStream

LegDeliveryStreamNotionalConversionFactor

If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.

Type: float

Used in components: LegDeliveryStream

LegDeliveryStreamPipeline

The name of the oil delivery pipeline.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamPositiveTolerance

Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in LegDeliveryStreamToleranceType(41445). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in components: LegDeliveryStream

LegDeliveryStreamRiskApportionment

Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.

See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamRiskApportionmentSource

Specifies the source or legal framework for the risk apportionment.

See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamRouteOrCharter

Specific delivery route or time charter average. Applicable to commodity freight swaps.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamTitleTransferCondition

Specifies the condition of title transfer.

Type: int

Allowed values in DeliveryStreamTitleTransferConditionCodeSet:

Code | Name | Description
0 | Transfers | Transfers with risk of loss
1 | DoesNotTransfer | Does not transfer with risk of loss

Used in components: LegDeliveryStream

LegDeliveryStreamTitleTransferLocation

Specifies the title transfer location.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamToleranceOptionSide

Indicates whether the tolerance is at the seller's or buyer's option.

Type: int

Allowed values in DeliveryStreamToleranceOptionSideCodeSet:

Code | Name | Description
1 | Buyer | Buyer
2 | Seller | Seller

Used in components: LegDeliveryStream

LegDeliveryStreamToleranceType

Specifies the tolerance value type.

Type: int

Allowed values in DeliveryScheduleToleranceTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in components: LegDeliveryStream

LegDeliveryStreamToleranceUnitOfMeasure

Specifies the tolerance value's unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: LegDeliveryStream

LegDeliveryStreamTotalNegativeTolerance

The negative percent tolerance which applies to the total quantity delivered over all shipment periods.

Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).

Type: Percentage

Used in components: LegDeliveryStream

LegDeliveryStreamTotalPositiveTolerance

The positive percent tolerance which applies to the total quantity delivered over all shipment periods.

Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).

Type: Percentage

Used in components: LegDeliveryStream

LegDeliveryStreamTransportEquipment

The transportation equipment with which the commodity product will be delivered and received.

Type: String

Used in components: LegDeliveryStream

LegDeliveryStreamType

Specifies the type of delivery stream.

Type: int

Allowed values in DeliveryStreamTypeCodeSet:

Code | Name | Description
0 | Periodic | Periodic (default if not specified)
1 | Initial | Initial
2 | Single | Single

Used in components: LegDeliveryStream

LegDeliveryStreamWithdrawalPoint

The point at which the commodity product will be withdrawn prior to delivery.

Type: String

Used in components: LegDeliveryStream

LegDeliveryType

Identifies type of settlement.

Type: int

Allowed values in DeliveryTypeCodeSet:

Code | Name | Description
0 | VersusPayment | "Versus Payment": Deliver (if sell) or Receive (if buy) vs. (against) Payment
1 | Free | "Free": Deliver (if sell) or Receive (if buy) Free
2 | TriParty | Tri-Party
3 | HoldInCustody | Hold In Custody
4 | DeliverByValue | Deliver-by-Value. In the context of EU SFTR reporting, indicates that the transaction is to be or was settled using the DBV mechanism.

Used in components: LegFinancingDetails

LegDetachmentPoint

Upper bound percentage of the loss the tranche can endure.

Type: Percentage

Used in components: InstrumentLeg

LegDifferentialPrice

Used in pricing a group of individual Trade at Settlement (TAS) and Trade At Marker (TAM) contracts as an atomic unit. The value is the negotiated currency offset either at settlement (TAS) or at the time specified in the product definition (TAM). The final contract price is reported in LegLastPx(637).

Type: PriceOffset

Used in groups: TrdInstrmtLegGrp

LegDividendAccrualFixedRate

The dividend accrual fixed rate per annum expressed as a decimal.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: LegDividendConditions

LegDividendAccrualFloatingRate

The LegDividendAccrualFloatingRate component is a subcomponent of LegDividendConditions used to define the dividend accrual floating rate attributes of dividend payment conditions.

Name | Mult. | Type | Description
LegDividendFloatingRateIndex | [0..1] | String |
LegDividendFloatingRateIndexCurvePeriod | [0..1] | int | Conditionally required when LegDividendFloatingRateIndexCurveUnit(42314) is specified.
LegDividendFloatingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when LegDividendFloatingRateIndexCurvePeriod(42313) is specified.
LegDividendFloatingRateMultiplier | [0..1] | float |
LegDividendFloatingRateSpread | [0..1] | PriceOffset |
LegDividendFloatingRateSpreadPositionType | [0..1] | CodeSet |
LegDividendFloatingRateTreatment | [0..1] | CodeSet |
LegDividendCapRate | [0..1] | Percentage |
LegDividendCapRateBuySide | [0..1] | CodeSet |
LegDividendCapRateSellSide | [0..1] | CodeSet |
LegDividendFloorRate | [0..1] | Percentage |
LegDividendFloorRateBuySide | [0..1] | CodeSet |
LegDividendFloorRateSellSide | [0..1] | CodeSet |
LegDividendInitialRate | [0..1] | Percentage |
LegDividendFinalRateRoundingDirection | [0..1] | CodeSet |
LegDividendFinalRatePrecision | [0..1] | int |
LegDividendAveragingMethod | [0..1] | CodeSet |
LegDividendNegativeRateTreatment | [0..1] | CodeSet |

Used in components: LegDividendConditions

LegDividendAccrualPaymentDateAdjusted

The adjusted accrual payment date.

Type: LocalMktDate

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateBusinessCenter

The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegDividendAccrualPaymentDateBusinessCenterGrp

LegDividendAccrualPaymentDateBusinessCenterGrp

LegDividendAccrualPaymentDateBusinessCenterGrp is a repeating subcomponent within the LegDividendAccrualPaymentDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoLegDividendAccrualPaymentDateBusinessCenters | [1..1] | NumInGroup |
LegDividendAccrualPaymentDateBusinessCenter | [0..1] | String | Required if NoLegDividendAccrualPaymentDateBusinessCenters(42310) > 0.

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateBusinessDayConvention

Accrual payment date adjustment business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDate

The LegDividendAccrualPaymentDate component is a subcomponent of LegDividendConditions used to report the dividend accrual payment date.

Name | Mult. | Type | Description
LegDividendAccrualPaymentDateRelativeTo | [0..1] | int |
LegDividendAccrualPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when LegDividendAccrualPaymentDateOffsetUnit(42332) is specified.
LegDividendAccrualPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegDividendAccrualPaymentDateOffsetPeriod(42331) is specified.
LegDividendAccrualPaymentDateOffsetDayType | [0..1] | CodeSet |
LegDividendAccrualPaymentDateUnadjusted | [0..1] | LocalMktDate |
LegDividendAccrualPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The value would be specific to this instance of LegDividendAccrualPaymentDate.
LegDividendAccrualPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The values would be specific to this instance of LegDividendAccrualPaymentDate.
LegDividendAccrualPaymentDateAdjusted | [0..1] | LocalMktDate |

Used in components: LegDividendConditions

LegDividendAccrualPaymentDateOffsetDayType

Specifies the day type of the relative accrual payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateOffsetPeriod

Time unit multiplier for the relative accrual payment date offset.

Type: int

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateOffsetUnit

Time unit associated with the relative accrual payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateRelativeTo

Specifies the anchor date when the accrual payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegDividendAccrualPaymentDate

LegDividendAccrualPaymentDateUnadjusted

The unadjusted accrual payment date.

Type: LocalMktDate

Used in components: LegDividendAccrualPaymentDate

LegDividendAmountType

Indicates how the gross cash dividend amount per share is determined.

Type: int

Allowed values in DividendAmountTypeCodeSet:

Code | Name | Description
0 | RecordAmount | Record amount. 100% of the gross cash dividend per share paid over record date during relevant dividend period.
1 | ExAmount | Ex amount. 100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
2 | PaidAmount | Paid amount. 100% of gross cash dividend per share paid during relevant dividend period.
3 | PerMasterConfirm | As specified in master confirmation. The amount is determined as provided in the relevant master confirmation.

Used in components: LegDividendConditions

LegDividendAveragingMethod

When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: LegDividendAccrualFloatingRate

LegDividendCapRate

The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".

Type: Percentage

Used in components: LegDividendAccrualFloatingRate

LegDividendCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegDividendAccrualFloatingRate

LegDividendCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegDividendAccrualFloatingRate

LegDividendCashEquivalentPercentage

Declared cash-equivalent dividend percentage.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: LegDividendConditions

LegDividendCashPercentage

Declared cash dividend percentage.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: LegDividendConditions

LegDividendComposition

Defines how the composition of dividends is to be determined.

Type: int

Allowed values in DividendCompositionCodeSet:

Code | Name | Description
0 | EquityAmountReceiver | Equity amount receiver election. The equity amount receiver determines the composition of dividends (subject to conditions).
1 | CalculationAgent | Calculation agent election. The calculation agent determines the composition of dividends (subject to conditions).

Used in components: LegDividendConditions

LegDividendCompoundingMethod

The compounding method to be used when more than one dividend period contributes to a single payment.

Type: int

Allowed values in PaymentStreamCompoundingMethodCodeSet:

Code | Name | Description
0 | None | None
1 | Flat | Flat
2 | Straight | Straight
3 | SpreadExclusive | Spread exclusive

Used in components: LegDividendConditions

LegDividendConditions

The LegDividendConditions component is a subcomponent of LegPaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.

Name | Mult. | Type | Description
LegDividendReinvestmentIndicator | [0..1] | Boolean |
LegDividendEntitlementEvent | [0..1] | CodeSet |
LegDividendAmountType | [0..1] | CodeSet |
LegDividendUnderlierRefID | [0..1] | String |
LegDividendPeriodGrp | [0..*] | Group |
LegExtraordinaryDividendPartySide | [0..1] | CodeSet |
LegExtraordinaryDividendAmountType | [0..1] | CodeSet |
LegExtraordinaryDividendCurrency | [0..1] | Currency |
LegExtraordinaryDividendDeterminationMethod | [0..1] | String |
LegDividendFXTriggerDate | [0..1] | Component |
LegDividendAccrualFloatingRate | [0..1] | Component |
LegDividendAccrualFixedRate | [0..1] | Percentage |
LegDividendAccrualPaymentDate | [0..1] | Component |
LegDividendCompoundingMethod | [0..1] | CodeSet |
LegDividendNumOfIndexUnits | [0..1] | int |
LegDividendCashPercentage | [0..1] | Percentage |
LegDividendCashEquivalentPercentage | [0..1] | Percentage |
LegNonCashDividendTreatment | [0..1] | CodeSet |
LegDividendComposition | [0..1] | CodeSet |
LegSpecialDividendsIndicator | [0..1] | Boolean |
LegMaterialDividendsIndicator | [0..1] | Boolean |
LegOptionsExchangeDividendsIndicator | [0..1] | Boolean |
LegAdditionalDividendsIndicator | [0..1] | Boolean |
LegAllDividendsIndicator | [0..1] | Boolean |

Used in components: LegPaymentStreamFloatingRate

LegDividendEntitlementEvent

Defines the contract event which the receiver of the derivative is entitled to the dividend.

Type: int

Allowed values in DividendEntitlementEventCodeSet:

Code | Name | Description
0 | ExDate | Ex-date. Dividend entitlement is on the dividend ex-date.
1 | RecordDate | Record date. Dividend entitlement is on the dividend record date.

Used in components: LegDividendConditions

LegDividendFinalRatePrecision

Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: LegDividendAccrualFloatingRate

LegDividendFinalRateRoundingDirection

Specifies the rounding direction of the final rate.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateIndex

The dividend accrual floating rate index.

Type: String

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateIndexCurvePeriod

Time unit multiplier for the dividend accrual floating rate index curve.

Type: int

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateIndexCurveUnit

Time unit associated with the dividend accrual floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.

Type: float

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateSpread

The basis points spread from the index specified in LegDividendFloatingRateIndex(42312).

Type: PriceOffset

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: LegDividendAccrualFloatingRate

LegDividendFloatingRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: LegDividendAccrualFloatingRate

LegDividendFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: LegDividendAccrualFloatingRate

LegDividendFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegDividendAccrualFloatingRate

LegDividendFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegDividendAccrualFloatingRate

LegDividendFXTriggerDateAdjusted

The adjusted FX trigger date.

Type: LocalMktDate

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDateBusinessCenter

The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegDividendFXTriggerDateBusinessCenterGrp

LegDividendFXTriggerDateBusinessCenterGrp

LegDividendFXTriggerDateBusinessCenterGrp is a repeating subcomponent within the LegDividendFXTriggerDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoLegDividendFXTriggerDateBusinessCenters | [1..1] | NumInGroup |
LegDividendFXTriggerDateBusinessCenter | [0..1] | String | Required if NoLegDividendFXTriggerDateBusinessCenters(42364) > 0.

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDateBusinessDayConvention

The business day convention used for the FX trigger date adjustment.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDate

The LegDividendFXTriggerDate component is a subcomponent of LegDividendConditions used to report the dividend date when a foreign exchange trade is triggered.

Name | Mult. | Type | Description
LegDividendFXTriggerDateRelativeTo | [0..1] | int |
LegDividendFXTriggerDateOffsetPeriod | [0..1] | int | Conditionally required when LegDividendFXTriggerDateOffsetUnit(42359) is specified.
LegDividendFXTriggerDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegDividendFXTriggerDateOffsetPeriod(42358) is specified.
LegDividendFXTriggerDateOffsetDayType | [0..1] | CodeSet |
LegDividendFXTriggerDateUnadjusted | [0..1] | LocalMktDate |
LegDividendFXTriggerDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The value would be specific to this instance of LegDividendFXTriggerDate.
LegDividendFXTriggerDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The values would be specific to this instance of LegDividendFXTriggerDate.
LegDividendFXTriggerDateAdjusted | [0..1] | LocalMktDate |

Used in components: LegDividendConditions

LegDividendFXTriggerDateOffsetDayType

Specifies the day type of the relative FX trigger date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDateOffsetPeriod

Time unit multiplier for the relative FX trigger date offset.

Type: int

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDateOffsetUnit

Time unit associated with the relative FX trigger date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDateRelativeTo

Specifies the anchor date when the FX trigger date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegDividendFXTriggerDate

LegDividendFXTriggerDateUnadjusted

The unadjusted FX trigger date.

Type: LocalMktDate

Used in components: LegDividendFXTriggerDate

LegDividendInitialRate

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: LegDividendAccrualFloatingRate

LegDividendNegativeRateTreatment

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: LegDividendAccrualFloatingRate

LegDividendNumOfIndexUnits

The number of index units applicable to dividends.

Type: int

Used in components: LegDividendConditions

LegDividendPeriodBusinessCenter

The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegDividendPeriodBusinessCenterGrp

LegDividendPeriodBusinessCenterGrp

LegDividendPeriodBusinessCenterGrp is a repeating subcomponent within the LegDividendPeriodGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoLegDividendPeriodBusinessCenters | [1..1] | NumInGroup |
LegDividendPeriodBusinessCenter | [0..1] | String | Required if NoLegDividendPeriodBusinessCenters(42386) > 0.

Used in groups: LegDividendPeriodGrp

LegDividendPeriodBusinessDayConvention

The dividend period dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: LegDividendPeriodGrp

LegDividendPeriodEndDateUnadjusted

The unadjusted date on which the dividend period will end.

Type: LocalMktDate

Used in groups: LegDividendPeriodGrp

LegDividendPeriodGrp

LegDividendPeriodGrp is a repeating subcomponent within the LegDividendConditions component. It is used to specify the valuation and payments dates of the dividend leg of a dividend swap.

Name | Mult. | Type | Description
NoLegDividendPeriods | [1..1] | NumInGroup |
LegDividendPeriodSequence | [0..1] | int | Required if NoLegDividendPeriods(42366) > 0.
LegDividendPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
LegDividendPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
LegDividendPeriodUnderlierRefID | [0..1] | String | When specified, this overrides LegDividendUnderlierRefID(42340). The specified value would be specific to this dividend period instance.
LegDividendPeriodStrikePrice | [0..1] | Price |
LegDividendPeriodBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this dividend period instance.
LegDividendPeriodBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this dividend period instance.
LegDividendPeriodValuationDateUnadjusted | [0..1] | LocalMktDate |
LegDividendPeriodValuationDateRelativeTo | [0..1] | int |
LegDividendPeriodValuationDateOffsetPeriod | [0..1] | int | Conditionally required when LegDividendPeriodValuationDateOffsetUnit(42376) is specified.
LegDividendPeriodValuationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegDividendPeriodValuationDateOffsetPeriod(42375) is specified.
LegDividendPeriodValuationDateOffsetDayType | [0..1] | CodeSet |
LegDividendPeriodValuationDateAdjusted | [0..1] | LocalMktDate |
LegDividendPeriodPaymentDateUnadjusted | [0..1] | LocalMktDate |
LegDividendPeriodPaymentDateRelativeTo | [0..1] | int |
LegDividendPeriodPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when LegDividendPeriodPaymentDateOffsetUnit(42382) is specified.
LegDividendPeriodPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegDividendPeriodPaymentDateOffsetPeriod(42381) is specified.
LegDividendPeriodPaymentDateOffsetDayType | [0..1] | CodeSet |
LegDividendPeriodPaymentDateAdjusted | [0..1] | LocalMktDate |
LegDividendPeriodXID | [0..1] | XID |

Used in components: LegDividendConditions

LegDividendPeriodPaymentDateAdjusted

The adjusted dividend period payment date.

Type: LocalMktDate

Used in groups: LegDividendPeriodGrp

LegDividendPeriodPaymentDateOffsetDayType

Specifies the day type of the relative dividend period payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegDividendPeriodGrp

LegDividendPeriodPaymentDateOffsetPeriod

Time unit multiplier for the relative dividend period payment date offset.

Type: int

Used in groups: LegDividendPeriodGrp

LegDividendPeriodPaymentDateOffsetUnit

Time unit associated with the relative dividend period payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegDividendPeriodGrp

LegDividendPeriodPaymentDateRelativeTo

Specifies the anchor date when the dividend period payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegDividendPeriodGrp

LegDividendPeriodPaymentDateUnadjusted

The unadjusted dividend period payment date.

Type: LocalMktDate

Used in groups: LegDividendPeriodGrp

LegDividendPeriodSequence

Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.

Type: int

Used in groups: LegDividendPeriodGrp

LegDividendPeriodStartDateUnadjusted

The unadjusted date on which the dividend period will begin.

Type: LocalMktDate

Used in groups: LegDividendPeriodGrp

LegDividendPeriodStrikePrice

Specifies the fixed strike price of the dividend period.

Type: Price

Used in groups: LegDividendPeriodGrp

LegDividendPeriodUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in groups: LegDividendPeriodGrp

LegDividendPeriodValuationDateAdjusted

The adjusted dividend period valuation date.

Type: LocalMktDate

Used in groups: LegDividendPeriodGrp

LegDividendPeriodValuationDateOffsetDayType

Specifies the day type of the relative dividend period valuation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegDividendPeriodGrp

LegDividendPeriodValuationDateOffsetPeriod

Time unit multiplier for the relative dividend period valuation date offset.

Type: int

Used in groups: LegDividendPeriodGrp

LegDividendPeriodValuationDateOffsetUnit

Time unit associated with the relative dividend period valuation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegDividendPeriodGrp

LegDividendPeriodValuationDateRelativeTo

Specifies the anchor date when the dividend period valuation date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegDividendPeriodGrp

LegDividendPeriodValuationDateUnadjusted

The unadjusted dividend period valuation date.

Type: LocalMktDate

Used in groups: LegDividendPeriodGrp

LegDividendPeriodXID

Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.

Type: XID

Used in groups: LegDividendPeriodGrp

LegDividendReinvestmentIndicator

Indicates whether the dividend will be reinvested.

Type: Boolean

Used in components: LegDividendConditions

LegDividendUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: LegDividendConditions

LegDividendYield

Refer to definition for DividendYield(1380).

Type: Percentage

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegDocumentationText

A sentence or phrase pertinent to the trade, not a reference to an external document. E.g. "To be registered with the U.S. Environmental Protection Agency, Acid Rain Division, SO2 Allowance Tracking System".

Type: String

Used in components: LegFinancingDetails

LegEndDate

End date of a financing deal, i.e. the date the seller reimburses the buyer and takes back control of the collateral.

Type: LocalMktDate

Used in components: LegFinancingDetails

LegEventDate

The date of the event.

Type: LocalMktDate

Used in groups: LegEvntGrp

LegEventMonthYear

Used with derivatives when an event is express as a month-year with optional day or month or week of month.

Format:

YYYYMM (e.g. 199903)

YYYYMMDD (e.g. 20030323)

YYYYMMwN (e.g. 200303w2) for week

A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.

Type: MonthYear

Used in groups: LegEvntGrp

LegEventPx

Predetermined price of issue at event, if applicable.

Type: Price

Used in groups: LegEvntGrp

LegEventText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: LegEvntGrp

LegEventTime

Specific time of event. To be used in combination with LegEventDate(2061).

Type: UTCTimestamp

Used in groups: LegEvntGrp

LegEventTimePeriod

Time unit multiplier for the event.

Type: int

Used in groups: LegEvntGrp

LegEventTimeUnit

Time unit associated with the event.

Type: String

Allowed values in EventTimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegEvntGrp

LegEventType

Code to represent the type of event.

Type: int

Allowed values in EventTypeCodeSet:

Code
Name
Description

1
Put
Put

2
Call
Call

3
Tender
Tender

4
SinkingFundCall
Sinking fund call

5
Activation
Activation

6
Inactiviation
Inactivation

7
LastEligibleTradeDate
Last eligible trade date

8
SwapStartDate
Swap start date

9
SwapEndDate
Swap end date

10
SwapRollDate
Swap roll date

11
SwapNextStartDate
Swap next start date

12
SwapNextRollDate
Swap next roll date

13
FirstDeliveryDate
First delivery date

14
LastDeliveryDate
Last delivery date

15
InitialInventoryDueDate
Initial inventory due date

16
FinalInventoryDueDate
Final inventory due date

17
FirstIntentDate
First intent date

18
LastIntentDate
Last intent date

19
PositionRemovalDate
Position removal date

20
MinimumNotice
Minimum notice

21
DeliveryStartTime
Delivery start time

22
DeliveryEndTime
Delivery end time

23
FirstNoticeDate
First notice date. The first day that a notice of intent to deliver a commodity can be made by a clearing house to a buyer in fulfillment of a given month's futures contract.

24
LastNoticeDate
Last notice date. The last day on which a clearing house may inform an investor that a seller intends to make delivery of a commodity that the investor previously bought in a futures contract. The date is governed by the rules of different exchanges and clearing houses, but may also be stated in the futures contract itself.

25
FirstExerciseDate
First exercise date

26
RedemptionDate
Redemption date

27
TrdCntntnEfctvDt
Trade continuation effective date

99
Other
Other

Used in groups: LegEvntGrp

LegEvntGrp

The LegEvntGrp is a repeating subcomponent of the InstrumentLeg component used to specify straightforward events associated with the instrument. Examples include put and call dates for bonds and options; first exercise date for options; inventory and delivery dates for commodities; start, end and roll dates for swaps. Use LegComplexEvents for more advanced dates such as option, futures, commodities and equity swap observation and pricing events.

Name | Mult. | Type | Description
NoLegEvents | [1..1] | NumInGroup |
LegEventType | [0..1] | CodeSet | Required if NoLegEvents(2059) > 0.
LegEventDate | [0..1] | LocalMktDate | Conditionally required when LegEventTime(2062) is specified.
LegEventTime | [0..1] | UTCTimestamp |
LegEventTimeUnit | [0..1] | CodeSet | Conditionally required when LegEventTimePeriod(2064) is specified.
LegEventTimePeriod | [0..1] | int | Conditionally required when LegEventTimeUnit(2063) is specified.
LegEventMonthYear | [0..1] | MonthYear |
LegEventPx | [0..1] | Price |
LegEventText | [0..1] | String |
EncodedLegEventTextLen | [0..1] | Length | Must be set if EncodedLegEventText(2075) field is specified and must immediately precede it.
EncodedLegEventText | [0..1] | data | Encoded (non-ASCII characters) representation of the LegEventText(2066) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: InstrumentLeg

LegExchangeLookAlike

For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.

Type: Boolean

Used in components: InstrumentLeg

LegExecID

The ExecID(17) value corresponding to a trade leg.

Type: String

Used in groups: TrdInstrmtLegExecGrp

LegExecInst

Refer to ExecInst(18)

Same values as ExecInst(18)

Type: MultipleCharValue

Allowed values in ExecInstCodeSet:

Code
Name
Description

0
StayOnOfferSide
Stay on offer side

1
NotHeld
Not held

2
Work
Work

3
GoAlong
Go along

4
OverTheDay
Over the day

5
Held
Held

6
ParticipateDoNotInitiate
Participate don't initiate

7
StrictScale
Strict scale

8
TryToScale
Try to scale

9
StayOnBidSide
Stay on bid side

A
NoCross
No cross. Cross is forbidden.

B
OKToCross
OK to cross

C
CallFirst
Call first

D
PercentOfVolume
Percent of volume. Indicates that the sender does not want the order to be all of the volume on the floor vs. a specific percentage.

E
DoNotIncrease
Do not increase - DNI

F
DoNotReduce
Do not reduce - DNR

G
AllOrNone
All or none - AON

H
ReinstateOnSystemFailure
Reinstate on system failure. Mutually exclusive with Q and l (lower case L).

I
InstitutionsOnly
Institutions only

J
ReinstateOnTradingHalt
Reinstate on trading halt. Mutually exclusive with K and m.

K
CancelOnTradingHalt
Cancel on trading halt. Mutually exclusive with J and m.

L
LastPeg
Last peg (last sale)

M
MidPricePeg
Mid-price peg (midprice of inside quote)

N
NonNegotiable
Non-negotiable

O
OpeningPeg
Opening peg

P
MarketPeg
Market peg

Q
CancelOnSystemFailure
Cancel on system failure. Mutually exclusive with H and l(lower case L).

R
PrimaryPeg
Primary peg. Primary market - buy at bid, sell at offer.

S
Suspend
Suspend

T
FixedPegToLocalBestBidOrOfferAtTimeOfOrder
Fixed peg to local best bid or offer at time of order

U
CustomerDisplayInstruction
Customer display instruction. Used in US Markets for: SEC Rule 11Ac1-1/4.

V
Netting
Netting (for Forex)

W
PegToVWAP
Peg to VWAP

X
TradeAlong
Trade along

Y
TryToStop
Try to stop

Z
CancelIfNotBest
Cancel if not best

a
TrailingStopPeg
Trailing stop peg

b
StrictLimit
Strict limit. No price improvement.

c
IgnorePriceValidityChecks
Ignore price validity checks

d
PegToLimitPrice
Peg to limit price

e
WorkToTargetStrategy
Work to target strategy

f
IntermarketSweep
Intermarket sweep

g
ExternalRoutingAllowed
External routing allowed

h
ExternalRoutingNotAllowed
External routing not allowed

i
ImbalanceOnly
Imbalance only

j
SingleExecutionRequestedForBlockTrade
Single execution requested for block trade

k
BestExecution
Best execution

l
SuspendOnSystemFailure
Suspend on system failure. Mutually exclusive with H and Q.

m
SuspendOnTradingHalt
Suspend on trading halt. Mutually exclusive with J and K.

n
ReinstateOnConnectionLoss
Reinstate on connection loss. Mutually exclusive with o and p.

o
CancelOnConnectionLoss
Cancel on connection loss. Mutually exclusive with n and p.

p
SuspendOnConnectionLoss
Suspend on connection loss. Mutually exclusive with n and o.

q
Release
Release. Mutually exclusive with S and w.

r
ExecuteAsDeltaNeutral
Execute as delta neutral using volatility provided

s
ExecuteAsDurationNeutral
Execute as duration neutral

t
ExecuteAsFXNeutral
Execute as FX neutral

u
MinGuaranteedFillEligible
Minimum guaranteed fill eligible

v
BypassNonDisplayLiquidity
Bypass non-displayed liquidity

w
Lock
Lock. Mutually exclusive with q.

x
IgnoreNotionalValueChecks
Ignore notional value checks

y
TrdAtRefPx
Trade at reference price. In the context of Reg NMS and the Tick Size Pilot Program, this is intended to indicate the order should Trade At Intermarket Sweep Order (TAISO) price.

z
AllowFacilitation
Allow facilitation. Express explicit consent to receive facilitation services from the counterparty. Facilitation services are when an institutional client allows a broker to assume a risk-taking principal position rather than an agency position, to obtain liquidity or achieve a guaranteed execution price on the client's behalf. Interpretation of absence of this value needs to be bilaterally agreed, if applicable. In the context of Hong Kong's SFC, this can be used to comply with SFC regulations for disclosure of client facilitation.

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegExecRefID

Used to reference the value from LegExecID(1893).

Type: String

Used in groups: TrdInstrmtLegExecGrp

LegExerciseConfirmationMethod

Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.

Type: int

Allowed values in ExerciseConfirmationMethodCodeSet:

Code | Name | Description
0 | NotRequired | Not required
1 | NonElectronic | Non-electronic
2 | Electronic | Electronic
3 | Unknown | Unknown at time of report

Used in components: LegOptionExercise

LegExerciseDesc

A description of the option exercise.

Type: String

Used in components: LegOptionExercise

LegExerciseSplitTicketIndicator

Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.

Type: Boolean

Used in components: LegOptionExercise

LegExerciseStyle

Type of exercise of a derivatives security

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in components: InstrumentLeg

LegExtraordinaryDividendAmountType

Indicates how the extraordinary gross cash dividend per share is determined.

Type: int

Allowed values in DividendAmountTypeCodeSet:

Code | Name | Description
0 | RecordAmount | Record amount. 100% of the gross cash dividend per share paid over record date during relevant dividend period.
1 | ExAmount | Ex amount. 100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
2 | PaidAmount | Paid amount. 100% of gross cash dividend per share paid during relevant dividend period.
3 | PerMasterConfirm | As specified in master confirmation. The amount is determined as provided in the relevant master confirmation.

Used in components: LegDividendConditions

LegExtraordinaryDividendCurrency

The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegDividendConditions

LegExtraordinaryDividendDeterminationMethod

Specifies the method in which the excess amount is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: LegDividendConditions

LegExtraordinaryDividendPartySide

Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegDividendConditions

LegExtraordinaryEventAdjustmentMethod

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

Type: int

Allowed values in ExtraordinaryEventAdjustmentMethodCodeSet:

Code | Name | Description
0 | CalculationAgent | Calculation agent. The Calculation Agent has the right to adjust the terms of the trade following a corporate action.
1 | OptionsExchange | Options exchange. The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.

Used in components: InstrumentLeg

LegExtraordinaryEventGrp

The LegExtraordinaryEventGrp is a repeating component within the InstrumentLeg component. It is used to report extraordinary and disruptive events applicable to the reference entity that affects the contract.

Name | Mult. | Type | Description
NoLegExtraordinaryEvents | [1..1] | NumInGroup |
LegExtraordinaryEventType | [0..1] | String | Required if NoLegExtraordinaryEvents(42388) > 0.
LegExtraordinaryEventValue | [0..1] | String | Required if NoLegExtraordinaryEvents(42388) > 0.

Used in components: InstrumentLeg

LegExtraordinaryEventType

Identifies the type of extraordinary or disruptive event applicable to the reference entity.

See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.

Type: String

Used in groups: LegExtraordinaryEventGrp

LegExtraordinaryEventValue

The extraordinary or disruptive event value appropriate to LegExtraordinaryEventType(42389).

See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.

Type: String

Used in groups: LegExtraordinaryEventGrp

LegFactor

Multileg instrument's individual leg security's Factor.

See Factor (228) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: float

Used in components: InstrumentLeg

LegFallbackExerciseIndicator

Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).

Type: Boolean

Used in components: LegOptionExercise

LegFinancialInstrumentFullName

The full normative name of the multileg's financial instrument.

Type: String

Used in components: InstrumentLeg

LegFinancialInstrumentShortName

Short name of the financial instrument. Uses ISO 18774 (FISN) values.

Type: String

Used in components: InstrumentLeg

LegFinancingContractualDefinitionsGrp

The LegFinancingContractualDefinitionGrp is a repeating component within the LegFinancingDetails component used to report the definitions published by ISDA that define the terms of a derivative trade.

Name | Mult. | Type | Description
NoLegContractualDefinitions | [1..1] | NumInGroup |
LegContractualDefinition | [0..1] | String | Required if NoLegContractualDefinitions(42198) > 0.

Used in components: LegFinancingDetails

LegFinancingContractualMatrixGrp

The LegFinancingContractualMatrixGrp is a repeating component within the LegFinancingDetails component used to report the ISDA Physical Settlement Matrix Transaction Type.

Name | Mult. | Type | Description
NoLegContractualMatrices | [1..1] | NumInGroup |
LegContractualMatrixSource | [0..1] | String | Required if NoLegContractualMatrices(42203) > 0.
LegContractualMatrixDate | [0..1] | LocalMktDate |
LegContractualMatrixTerm | [0..1] | String |

Used in components: LegFinancingDetails

LegFinancingDetails

Component block is optionally used for financial transactions where legal contracts, master agreements or master confirmations are to be referenced. This component identifies the legal agreement under which the deal was made and other unique characteristics of the transaction. For example, the LegAgreementDesc(2497) field refers to base standard documents such as MRA 1996 Repurchase Agreement, GMRA 2000 Bills Transaction (U.K.), MSLA 1993 Securities Loan - Amended 1998, for example.

Name | Mult. | Type | Description
LegAgreementDesc | [0..1] | String |
LegAgreementID | [0..1] | String |
LegAgreementVersion | [0..1] | String |
LegAgreementDate | [0..1] | LocalMktDate |
LegAgreementCurrency | [0..1] | Currency |
LegAgreementCurrencyCodeSource | [0..1] | CodeSet |
LegMasterConfirmationDesc | [0..1] | String |
LegMasterConfirmationDate | [0..1] | LocalMktDate |
LegMasterConfirmationAnnexDesc | [0..1] | String |
LegMasterConfirmationAnnexDate | [0..1] | LocalMktDate |
LegBrokerConfirmationDesc | [0..1] | String |
LegFinancingContractualDefinitionsGrp | [0..*] | Group |
LegFinancingTermSupplementGrp | [0..*] | Group |
LegFinancingContractualMatrixGrp | [0..*] | Group |
LegCreditSupportAgreementDesc | [0..1] | String |
LegCreditSupportAgreementDate | [0..1] | LocalMktDate |
LegCreditSupportAgreementID | [0..1] | String |
LegGoverningLaw | [0..1] | String |
LegDocumentationText | [0..1] | String |
EncodedLegDocumentationTextLen | [0..1] | Length | Must be set if EncodedLegDocumentationText(2493) field is specified and must immediately precede it.
EncodedLegDocumentationText | [0..1] | data | Encoded (non-ASCII characters) representation of the LegDocumentationText(2505) field in the encoded format specified via the MessageEncoding(347) field.
LegTerminationType | [0..1] | CodeSet |
LegStartDate | [0..1] | LocalMktDate |
LegEndDate | [0..1] | LocalMktDate |
LegDeliveryType | [0..1] | CodeSet |
LegMarginRatio | [0..1] | Percentage |

Used in groups: InstrmtLegGrp, TrdInstrmtLegGrp

LegFinancingTermSupplementDate

Specifies the publication date of the applicable version of the contractual supplement.

Type: LocalMktDate

Used in groups: LegFinancingTermSupplementGrp

LegFinancingTermSupplementDesc

Identifies the applicable contractual supplement. See http://www.fpml.org/coding-scheme/contractual-supplement for values.

Type: String

Used in groups: LegFinancingTermSupplementGrp

LegFinancingTermSupplementGrp

The LegFinancingTermSupplementGrp is a repeating component within the LegFinancingDetails component used to report contractual terms supplements of derivative trades.

Name | Mult. | Type | Description
NoLegFinancingTermSupplements | [1..1] | NumInGroup |
LegFinancingTermSupplementDesc | [0..1] | String | Required if NoLegFinancingTermSupplements(42200) > 0.
LegFinancingTermSupplementDate | [0..1] | LocalMktDate |

Used in components: LegFinancingDetails

LegFlexibleIndicator

Used to indicate a derivatives security that can be defined using flexible terms. The terms commonly permitted to be defined by market participants are expiration date and strike price. FlexibleIndicator is an alternative to LegCFICode(608) Standard/Non-standard attribute.

Type: Boolean

Used in components: InstrumentLeg

LegFlexProductEligibilityIndicator

Used to indicate if a product or group of product supports the creation of flexible securities.

Type: Boolean

Used in components: InstrumentLeg

LegFloorPrice

Used to express the floor price of a capped put.

Type: Price

Used in components: InstrumentLeg

LegFlowScheduleType

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Type: int

Allowed values in FlowScheduleTypeCodeSet:

Code | Name | Description
0 | NERCEasternOffPeak | NERC Eastern Off-Peak
1 | NERCWesternOffPeak | NERC Western Off-Peak
2 | NERCCalendarAllDaysInMonth | NERC Calendar-All Days in month
3 | NERCEasternPeak | NERC Eastern Peak
4 | NERCWesternPeak | NERC Western Peak
5 | AllTimes | All times
6 | OnPeak | On peak
7 | OffPeak | Off peak
8 | Base | Base
9 | Block | Block
99 | Other | Other

Used in components: InstrumentLeg

LegGoverningLaw

Identification of the law governing the transaction. See http://www.fpml.org/coding-scheme/governing-law for values.

Type: String

Used in components: LegFinancingDetails

LegGrossTradeAmt

The gross trade amount of the leg. For FX Futures this is used to express the notional value of a fill when LegLastQty and other quantity fields are express in terms of contract size.

Type: Amt

Used in groups: InstrmtLegExecGrp, TrdInstrmtLegGrp

LegID

Unique identifier for the leg within the context of a message (the scope of uniqueness to be defined by counterparty agreement). The LegID(1788) can be referenced using LegRefID(654).

Type: String

Used in components: InstrumentLeg

LegIndexAnnexDate

The date of a credit default swap index series annex.

Type: LocalMktDate

Used in components: InstrumentLeg

LegIndexAnnexSource

The source of a credit default swap series annex.

Type: String

Used in components: InstrumentLeg

LegIndexAnnexVersion

The version of a credit default swap index annex.

Type: int

Used in components: InstrumentLeg

LegIndexSeries

The series identifier of a credit default swap index.

Type: int

Used in components: InstrumentLeg

LegIndividualAllocID

Reference for the individual allocation ticket

See IndividualAllocID (467) for description and valid values.

Type: String

Used in groups: LegPreAllocGrp

LegInstrmtAssignmentMethod

Specifies the method under which assignment was conducted.

Type: char

Allowed values in InstrmtAssignmentMethodCodeSet:

Code | Name | Description
P | ProRata | Pro rata
R | Random | Random

Used in components: InstrumentLeg

LegInstrRegistry

Multileg instrument's individual leg security's InstrRegistry.

See InstrRegistry (543) field for description

Type: String

Used in components: InstrumentLeg

LegInstrumentParties

The use of this component block is restricted to instrument definition only and is not permitted to contain transactional information. Only a specified subset of party roles will be supported within the LegInstrumentParty block.

Name | Mult. | Type | Description
NoLegInstrumentParties | [1..1] | NumInGroup | Repeating group below should contain unique combinations of LegInstrumentPartyID(2255), LegInstrumentPartyIDSource(2256) and LegInstrumentPartyRole(2257).
LegInstrumentPartyID | [0..1] | String | Used to identify the source of PartyID. Required if LegInstrumentPartyIDSource(2256) is specified. Required if NoLegInstrumentParties(2254) > 0.
LegInstrumentPartyIDSource | [0..1] | CodeSet | Used to identify class source of LegInstrumentPartyID(2255) value (e.g. BIC). Required if LegInstrumentPartyID(2255) is specified. Required if NoLegInstrumentParties(2254) > 0.
LegInstrumentPartyRole | [0..1] | CodeSet | Identifies the type of LegInstrumentPartyID(2255) (e.g. Executing Broker). Required if NoLegInstrumentParties(2254) > 0.
LegInstrumentPartyRoleQualifier | [0..1] | CodeSet |
LegInstrumentPtysSubGrp | [0..*] | Group | Repeating group of party sub-identifiers.

Used in components: InstrumentLeg

LegInstrumentPartyID

Used to identify party id related to instrument.

Type: String

Used in groups: LegInstrumentParties

LegInstrumentPartyIDSource

Used to identify source of instrument party id.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: LegInstrumentParties

LegInstrumentPartyRole

Used to identify the role of instrument party id.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: LegInstrumentParties

LegInstrumentPartyRoleQualifier

Used to further qualify the value of LegInstrumentPartyRole(2257).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: LegInstrumentParties

LegInstrumentPartySubID

PartySubID value within an instrument party repeating group.

Type: String

Used in groups: LegInstrumentPtysSubGrp

LegInstrumentPartySubIDType

Type of LegInstrumentPartySubID (2259) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: LegInstrumentPtysSubGrp

LegInstrumentPtysSubGrp

Name | Mult. | Type | Description
NoLegInstrumentPartySubIDs | [1..1] | NumInGroup |
LegInstrumentPartySubID | [0..1] | String | Required if NoLegInstrumentPartySubIDs(2258) > 0.
LegInstrumentPartySubIDType | [0..1] | CodeSet |

Used in groups: LegInstrumentParties

LegInstrumentRoundingDirection

Specifies the rounding direction if not overridden elsewhere.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: InstrumentLeg

LegInstrumentRoundingPrecision

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: InstrumentLeg

LegInterestAccrualDate

The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates. Often but not always the same as the Issue Date and the Dated Date

Type: LocalMktDate

Used in components: InstrumentLeg

LegInTheMoneyCondition

Specifies an option instrument's "in the money" condition in general terms.

Type: int

Allowed values in InTheMoneyConditionCodeSet:

Code | Name | Description
0 | StandardITM | Standard in-the-money. The option's strike price is less than the underlying settlement price for a call or greater than the underlying settlement price for a put.
1 | ATMITM | At-the-money is in-the-money. The option's strike price of either the put or call is equal to the underlying settlement price in addition to standard in-the-money behavior.
2 | ATMCallITM | At-the-money call is in-the-money. The call option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.
3 | ATMPutITM | At-the-money put is in-the-money. The put option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.

Used in components: InstrumentLeg

LegIOIQty

Leg-specific IOI quantity.

See IOIQty (27) for description and valid values

Type: String

Allowed values in IOIQtyCodeSet:

Code | Name | Description
S | Small | Small
M | Medium | Medium
L | Large | Large
U | UndisclosedQuantity | Undisclosed Quantity

Used in groups: InstrmtLegIOIGrp

LegIssueDate

Multileg instrument's individual leg security's IssueDate.

See IssueDate (225) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: InstrumentLeg

LegIssuer

Multileg instrument's individual security's Issuer.

See Issuer (106) field for description

Type: String

Used in components: InstrumentLeg

LegLastForwardPoints

The forward points for this leg's fill event. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in groups: InstrmtLegExecGrp, TrdInstrmtLegGrp

LegLastMultipliedQty

Expresses the quantity bought/sold when LastQty is expressed in contracts. Used in addition to LegLastQty(1418), it is the product of LegLastQty(1418) and LegContractMultiplier(614).

Type: Qty

Used in groups: TrdInstrmtLegGrp

LegLastPx

Execution price assigned to a leg of a multileg instrument.

See LastPx (31) field for description and values

Type: Price

Used in groups: InstrmtLegExecGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegLastQty

Fill quantity for the leg instrument

Type: Qty

Used in groups: InstrmtLegExecGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegLienSeniority

Indicates the seniority level of the lien in a loan.

Type: int

Allowed values in LienSeniorityCodeSet:

Code | Name | Description
0 | Unknown | Unknown
1 | FirstLien | First lien
2 | SecondLien | Second lien
3 | ThirdLien | Third lien

Used in components: InstrumentLeg

LegLimitRightToConfirmIndicator

Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.

Type: Boolean

Used in components: LegOptionExercise

LegListMethod

Indicates whether instruments are pre-listed only or can also be defined via user request.

Type: int

Allowed values in ListMethodCodeSet:

Code | Name | Description
0 | PreListedOnly | pre-listed only
1 | UserRequested | user requested

Used in components: InstrumentLeg

LegLoanFacility

Specifies the type of loan when the credit default swap's reference obligation is a loan.

Type: int

Allowed values in LoanFacilityCodeSet:

Code | Name | Description
0 | BridgeLoan | Bridge loan
1 | LetterOfCredit | Letter of credit
2 | RevolvingLoan | Revolving loan
3 | SwinglineFunding | Swingline funding
4 | TermLoan | Term loan
5 | TradeClaim | Trade claim

Used in components: InstrumentLeg

LegLocaleOfIssue

Multileg instrument's individual leg security's LocaleOfIssue.

See LocaleOfIssue (472) field for description

Type: String

Used in components: InstrumentLeg

LegMakeWholeAmount

Amount to be paid by the buyer of the option if the option is exercised prior to the LegMakeWholeDate(42392).

Type: Amt

Used in components: LegOptionExerciseMakeWholeProvision

LegMakeWholeBenchmarkCurveName

Identifies the benchmark floating rate index.

Type: String

Used in components: LegOptionExerciseMakeWholeProvision

LegMakeWholeBenchmarkCurvePoint

The point on the floating rate index curve.

Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Type: String

Used in components: LegOptionExerciseMakeWholeProvision

LegMakeWholeBenchmarkQuote

The quote side of the benchmark to be used for calculating the "make whole" amount.

Type: int

Allowed values in StrikeIndexQuoteCodeSet:

Code | Name | Description
0 | Bid | Bid.
1 | Mid | Mid
2 | Offer | Offer

Used in components: LegOptionExerciseMakeWholeProvision

LegMakeWholeDate

The date through which option cannot be exercised without penalty.

Type: LocalMktDate

Used in components: LegOptionExerciseMakeWholeProvision

LegMakeWholeInterpolationMethod

The method used when calculating the "make whole" amount. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: LegOptionExerciseMakeWholeProvision

LegMakeWholeRecallSpread

Spread over the floating rate index.

Type: PriceOffset

Used in components: LegOptionExerciseMakeWholeProvision

LegManualNoticeBusinessCenter

Identifies the business center used for adjusting the time for manual exercise notice.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegOptionExercise

LegMarginRatio

The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 2% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.

Type: Percentage

Used in components: LegFinancingDetails

LegMarketDisruption

The LegMarketDisruption component is a subcomponent of the InstrumentLeg used to specify the market disruption provisions of the swap.

Name | Mult. | Type | Description
LegMarketDisruptionProvision | [0..1] | CodeSet |
LegMarketDisruptionEventGrp | [0..*] | Group |
LegMarketDisruptionFallbackProvision | [0..1] | CodeSet |
LegMarketDisruptionFallbackGrp | [0..*] | Group |
LegMarketDisruptionFallbackReferencePriceGrp | [0..*] | Group |
LegMarketDisruptionMaximumDays | [0..1] | int |
LegMarketDisruptionMaterialityPercentage | [0..1] | Percentage | If specified, the disruption event should be specified in LegMarketDisruptionEventGrp.
LegMarketDisruptionMinimumFuturesContracts | [0..1] | int | Applicable only when LegMarketDisruptionEvent(41468)='DeMinimisTrading'.

Used in components: InstrumentLeg

LegMarketDisruptionEvent

Specifies the market disruption event.

For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.

For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.

Type: String

Used in groups: LegMarketDisruptionEventGrp

LegMarketDisruptionEventGrp

The LegMarketDisruptionEventGrp is a repeating subcomponent of the LegMarketDisruption component used to specify the market disruption events.

Name | Mult. | Type | Description
NoLegMarketDisruptionEvents | [1..1] | NumInGroup |
LegMarketDisruptionEvent | [0..1] | String | Required if NoLegMarketDisruptionEvents(41467) > 0.
LegMarketDisruptionValue | [0..1] | String |

Used in components: LegMarketDisruption

LegMarketDisruptionFallbackBasketCurrency

Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackBasketDivisor

Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.

Type: float

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackGrp

The LegMarketDisruptionFallbackGrp is a repeating subcomponent of the LegMarketDisruption component used to specify the market disruption fallback provisions.

Name | Mult. | Type | Description
NoLegMarketDisruptionFallbacks | [1..1] | NumInGroup |
LegMarketDisruptionFallbackType | [0..1] | String | Required if NoLegMarketDisruptionFallbacks(41469) > 0. The sequence of entries specifies the order in which the fallback provisions should be applied.
LegMarketDisruptionFallbackValue | [0..1] | String |

Used in components: LegMarketDisruption

LegMarketDisruptionFallbackOpenUnits

If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

Type: Qty

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackProvision

Specifies the location of the fallback provision documentation.

Type: int

Allowed values in MarketDisruptionFallbackProvisionCodeSet:

Code | Name | Description
0 | MasterAgreement | As specified in master agreement
1 | Confirmation | As specified in confirmation

Used in components: LegMarketDisruption

LegMarketDisruptionFallbackReferencePriceGrp

The LegMarketDisruptionFallbackReferencePriceGrp is a repeating subcomponent of the LegMarketDisruption component used to specify the fallback reference price and underlying security provisions

Name | Mult. | Type | Description
NoLegMarketDisruptionFallbackReferencePrices | [1..1] | NumInGroup |
LegMarketDisruptionFallbackUnderlierType | [0..1] | CodeSet | Required if NoLegMarketDisruptionFallbackReferencePrices(41471) > 0.
LegMarketDisruptionFallbackUnderlierSecurityID | [0..1] | String | Conditionally required when LegMarketDisruptionFallbackUnderlyerSecurityIDSource(41474) is specified.
LegMarketDisruptionFallbackUnderlierSecurityIDSource | [0..1] | CodeSet | Conditionally required when LegMarketDisruptionFallbackUnderlierSecurityID(41473) is specified.
LegMarketDisruptionFallbackUnderlierSecurityDesc | [0..1] | String |
EncodedLegMarketDisruptionFallbackUnderlierSecurityDescLen | [0..1] | Length | Must be set if EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc(41477) field is specified and must immediately precede it.
EncodedLegMarketDisruptionFallbackUnderlierSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the LegMarketDisruptionFallbackUnderlierSecurityDesc(41475) field in the encoded format specified via the MessageEncoding(347) field.
LegMarketDisruptionFallbackOpenUnits | [0..1] | Qty |
LegMarketDisruptionFallbackBasketCurrency | [0..1] | Currency |
LegMarketDisruptionFallbackBasketDivisor | [0..1] | float |

Used in components: LegMarketDisruption

LegMarketDisruptionFallbackType

Specifies the type of disruption fallback.

See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.

Type: String

Used in groups: LegMarketDisruptionFallbackGrp

LegMarketDisruptionFallbackUnderlierSecurityDesc

Specifies the description of the underlying security.

Type: String

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackUnderlierSecurityID

Specifies the identifier value of the security.

Type: String

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackUnderlierSecurityIDSource

Specifies the class or source scheme of the security identifier.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackUnderlierType

The type of reference price underlier.

Type: int

Allowed values in MarketDisruptionFallbackUnderlierTypeCodeSet:

Code | Name | Description
0 | Basket | Basket
1 | Bond | Bond
2 | Cash | Cash
3 | Commodity | Commodity
4 | ConvertibleBond | Convertible bond
5 | Equity | Equity
6 | ExchangeTradedFund | Exchange traded fund
7 | Future | Future
8 | Index | Index
9 | Loan | Loan
10 | Mortgage | Mortgage
11 | MutualFund | Mutual fund

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

LegMarketDisruptionFallbackValue

Applicable value for LegMarketDisruptionFallbackType(41470).

Type: String

Used in groups: LegMarketDisruptionFallbackGrp

LegMarketDisruptionMaterialityPercentage

Used when a price materiality percentage applies to the price source disruption event and this event has been specified.

Type: Percentage

Used in components: LegMarketDisruption

LegMarketDisruptionMaximumDays

Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).

Type: int

Used in components: LegMarketDisruption

LegMarketDisruptionMinimumFuturesContracts

Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.

Type: int

Used in components: LegMarketDisruption

LegMarketDisruptionProvision

The consequences of market disruption events.

Type: int

Allowed values in MarketDisruptionProvisionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable
1 | Applicable | Applicable
2 | AsInMasterAgreement | As specified in master agreement
3 | AsInConfirmation | As specified in confirmation

Used in components: LegMarketDisruption

LegMarketDisruptionValue

Applicable value for LegMarketDisruptionEvent(41468).

Type: String

Used in groups: LegMarketDisruptionEventGrp

LegMasterConfirmationAnnexDate

The date that an annexation to the master confirmation was executed between the parties.

Type: LocalMktDate

Used in components: LegFinancingDetails

LegMasterConfirmationAnnexDesc

The type of master confirmation annexation executed between the parties. See http://www.fpml.org/coding-scheme/master-confirmation-annex-type for values.

Type: String

Used in components: LegFinancingDetails

LegMasterConfirmationDate

Alternative to broker confirmation. The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.

Type: LocalMktDate

Used in components: LegFinancingDetails

LegMasterConfirmationDesc

The type of master confirmation executed between the parties. See http://www.fpml.org/coding-scheme/master-confirmation-type for values.

Type: String

Used in components: LegFinancingDetails

LegMaterialDividendsIndicator

Indicates whether material non-cash dividends are applicable.

Type: Boolean

Used in components: LegDividendConditions

LegMaturityDate

Multileg instrument's individual security's MaturityDate.

See MaturityDate(541) field for description.

Type: LocalMktDate

Used in components: InstrumentLeg

LegMaturityFrequencyPeriod

Time unit multiplier for the minimum frequency of the instrument maturity intervals.

Type: int

Used in components: InstrumentLeg

LegMaturityFrequencyUnit

Time unit associated with the minimum frequency of the instrument maturity intervals.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: InstrumentLeg

LegMaturityMonthYear

Multileg instrument's individual security's MaturityMonthYear.

See MaturityMonthYear (200) field for description

Type: MonthYear

Used in components: InstrumentLeg

LegMaturityTime

Time of security's maturity expressed in local time with offset to UTC specified

Type: TZTimeOnly

Used in components: InstrumentLeg

LegMidPx

Leg Mid price/rate.

For OTC swaps, this is the mid-market mark (for example, as defined by CFTC).

For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.

Type: Price

Used in groups: InstrmtLegExecGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, TrdInstrmtLegGrp

LegMinPriceIncrement

Minimum price increment for a given exchange-traded instrument. Could also be used to represent tick value.

Type: float

Used in components: InstrumentLeg

LegMinPriceIncrementAmount

Minimum price increment amount associated with the LegMinPriceIncrement(2190). For listed derivatives, the value can be calculated by multiplying LegMinPriceIncrement(2190) by LegContractMultiplier(614).

Type: Amt

Used in components: InstrumentLeg

LegMthToDefault

The Mth reference obligation to default in a CDS reference basket. When an NthToDefault(2157) to MthToDefault(2158) are represented then the CDS payout occurs between the Nth and Mth obligations to default.

Type: int

Used in components: InstrumentLeg

LegNonCashDividendTreatment

Defines the treatment of non-cash dividends.

Type: int

Allowed values in NonCashDividendTreatmentCodeSet:

Code | Name | Description
0 | PotentialAdjustment | Potential adjustment event. The treatment of any non-cash dividend shall be determined in accordance with the potential adjustment event provisions.
1 | CashEquivalent | Cash equivalent. Any non-cash dividend shall be treated as a declared cash equivalent dividend.

Used in components: LegDividendConditions

LegNonDeliverableFixingDate

The non-deliverable fixing date. Type of date is specified in LegNonDeliverableFixingDateType(40369).

Type: LocalMktDate

Used in groups: LegPaymentStreamNonDeliverableFixingDateGrp

LegNonDeliverableFixingDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegPaymentStreamNonDeliverableFixingDateGrp

LegNotionalPercentageOutstanding

Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.

Used to calculate the true value of a CDS trade or position.

Type: Percentage

Used in components: InstrumentLeg

LegNthToDefault

The Nth reference obligation in a CDS reference basket. If specified without LegMthToDefault(2158) the default will trigger a CDS payout. If LegMthToDefault(2158) is also present then payout occurs between the Nth and Mth obligations to default.

Type: int

Used in components: InstrumentLeg

LegNTPositionLimit

Position limit in the near-term contract for a given exchange-traded product.

Type: int

Used in components: InstrumentLeg

LegNumber

Allow sequencing of Legs for a Strategy to be captured

Type: int

Used in groups: TrdInstrmtLegGrp

LegObligationType

Type of reference obligation for credit derivatives contracts.

Type: String

Allowed values in ObligationTypeCodeSet:

Code | Name | Description
0 | Bond | Bond
1 | ConvertBond | Convertible bond
2 | Mortgage | Mortgage
3 | Loan | Loan

Used in components: InstrumentLeg

LegOfferForwardPoints

The offer FX forward points for the leg of an FX Swap. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in groups: LegQuotGrp

LegOfferPx

Offer price of this leg.

See OfferPx (133) for description and valid values

Type: Price

Used in groups: LegQuotGrp

LegOptAttribute

Multileg instrument's individual security's OptAttribute.

See OptAttribute (206) field for description

Type: char

Used in components: InstrumentLeg

LegOptionExerciseBusinessCenter

The business center calendar used to adjust the option exercise dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegOptionExerciseBusinessCenterGrp

LegOptionExerciseBusinessCenterGrp

LegOptionExerciseBusinessCenterGrp is a repeating subcomponent of the LegOptionExerciseDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegOptionExerciseBusinessCenters | [1..1] | NumInGroup |
LegOptionExerciseBusinessCenter | [0..1] | String | Required if NoLegOptionExerciseBusinessCenters(41491) > 0.

Used in components: LegOptionExerciseDates

LegOptionExerciseBusinessDayConvention

The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegOptionExerciseDates

LegOptionExercise

The LegOptionExercise component is a subcomponent of the InstrumentLeg component used to specify option exercise provisions. Its purpose is to identify the opportunities and conditions for exercise, e.g. the schedule of dates on which exercise is allowed. The embedded LegOptionExerciseExpiration component is used to terminate the opportunity for exercise.

Name | Mult. | Type | Description
LegExerciseDesc | [0..1] | String |
EncodedLegExerciseDescLen | [0..1] | Length | Must be set if EncodedLegExerciseDesc (41483) field is specified and must immediately precede it.
EncodedLegExerciseDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the LegExerciseDesc(41481) field in the encoded format specified via the MessageEncoding(347) field.
LegAutomaticExerciseIndicator | [0..1] | Boolean |
LegAutomaticExerciseThresholdRate | [0..1] | float |
LegExerciseConfirmationMethod | [0..1] | CodeSet |
LegManualNoticeBusinessCenter | [0..1] | String |
LegFallbackExerciseIndicator | [0..1] | Boolean |
LegLimitRightToConfirmIndicator | [0..1] | Boolean |
LegExerciseSplitTicketIndicator | [0..1] | Boolean |
LegSettlMethodElectingPartySide | [0..1] | CodeSet |
LegSettlMethodElectionDate | [0..1] | Component |
LegOptionExerciseDates | [0..1] | Component |
LegOptionExerciseExpiration | [0..1] | Component |
LegOptionExerciseMakeWholeProvision | [0..1] | Component |

Used in components: InstrumentLeg

LegOptionExerciseDate

The adjusted or unadjusted option exercise fixed date.

Type: LocalMktDate

Used in groups: LegOptionExerciseDateGrp

LegOptionExerciseDateGrp

The LegOptionExerciseDateGrp is a repeating subcomponent of the LegOptionExerciseDates component used to specify fixed dates for exercise.

Name | Mult. | Type | Description
NoLegOptionExerciseDates | [1..1] | NumInGroup |
LegOptionExerciseDate | [0..1] | LocalMktDate | Required if NoLegOptionExerciseDates(41512) > 0.
LegOptionExerciseDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegOptionExerciseDates

LegOptionExerciseDates

The LegOptionExerciseDates component is a subcomponent of the LegOptionExercise component used to specify option exercise dates.

Name | Mult. | Type | Description
LegOptionExerciseBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of option exercise dates.
LegOptionExerciseBusinessCenterGrp | [0..*] | Group |
LegOptionExerciseDateGrp | [0..*] | Group |
LegOptionExerciseEarliestDateOffsetDayType | [0..1] | CodeSet |
LegOptionExerciseEarliestDateOffsetPeriod | [0..1] | int | Conditionally required when LegOptionExerciseEarliestDateUnit(41496) is specified.
LegOptionExerciseEarliestDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegOptionExerciseEarliestDatePeriod(41495) is specified.
LegOptionExerciseFrequencyPeriod | [0..1] | int | Conditionally required when LegOptionExerciseFrequencyUnit(41498) is specified.
LegOptionExerciseFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegOptionExerciseFequencyPeriod(41497) is specified.
LegOptionExerciseStartDateUnadjusted | [0..1] | LocalMktDate |
LegOptionExerciseStartDateRelativeTo | [0..1] | int |
LegOptionExerciseStartDateOffsetPeriod | [0..1] | int | Conditionally required when LegOptionExerciseStartDateOffsetUnit(41502) is specified.
LegOptionExerciseStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegOptionExerciseStartDateOffsetPeriod(41501) is specified.
LegOptionExerciseStartDateOffsetDayType | [0..1] | CodeSet |
LegOptionExerciseStartDateAdjusted | [0..1] | LocalMktDate |
LegOptionExerciseSkip | [0..1] | int |
LegOptionExerciseNominationDeadline | [0..1] | LocalMktDate |
LegOptionExerciseFirstDateUnadjusted | [0..1] | LocalMktDate |
LegOptionExerciseLastDateUnadjusted | [0..1] | LocalMktDate |
LegOptionExerciseEarliestTime | [0..1] | LocalMktTime |
LegOptionExerciseLatestTime | [0..1] | LocalMktTime |
LegOptionExerciseTimeBusinessCenter | [0..1] | String |

Used in components: LegOptionExercise

LegOptionExerciseDateType

Specifies the type of option exercise date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegOptionExerciseDateGrp

LegOptionExerciseEarliestDateOffsetDayType

Specifies the day type of the relative earliest exercise date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegOptionExerciseDates

LegOptionExerciseEarliestDateOffsetPeriod

Time unit multiplier for the relative earliest exercise date offset.

Type: int

Used in components: LegOptionExerciseDates

LegOptionExerciseEarliestDateOffsetUnit

Time unit associated with the relative earliest exercise date offset.

Type: String

Allowed values in ProvisionOptionExerciseEarliestDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegOptionExerciseDates

LegOptionExerciseEarliestTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.

Type: LocalMktTime

Used in components: LegOptionExerciseDates

LegOptionExerciseExpiration

The LegOptionExerciseExpiration component is a subcomponent of the LegOptionExercise component used to specify option exercise expiration dates and times. The purpose of LegOptionExercise is to identify the scheduled opportunities for exercise. LegOptionExerciseExpiration identifies the end of the schedule.

Name | Mult. | Type | Description
LegOptionExerciseExpirationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the option exercise expiration date.
LegOptionExerciseExpirationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the option exercise expiration date.
LegOptionExerciseExpirationDateGrp | [0..*] | Group |
LegOptionExerciseExpirationDateRelativeTo | [0..1] | int |
LegOptionExerciseExpirationDateOffsetPeriod | [0..1] | int | Conditionally required when LegOptionExerciseExpirationDateOffsetUnit(41520) is specified.
LegOptionExerciseExpirationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegOptionExerciseExpirationDateOffsetPeriod(41519) is specified.
LegOptionExerciseExpirationFrequencyPeriod | [0..1] | int | Conditionally required when LegOptionExerciseExpirationFrequencyUnit(41522) is specified.
LegOptionExerciseExpirationFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegOptionExerciseExpirationFrequencyPeriod(41521) is specified.
LegOptionExerciseExpirationRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the option expiration date.
LegOptionExerciseExpirationDateOffsetDayType | [0..1] | CodeSet |
LegOptionExerciseExpirationTime | [0..1] | LocalMktTime |
LegOptionExerciseExpirationTimeBusinessCenter | [0..1] | String |

Used in components: LegOptionExercise

LegOptionExerciseExpirationDate

The adjusted or unadjusted option exercise expiration fixed date.

Type: LocalMktDate

Used in groups: LegOptionExerciseExpirationDateGrp

LegOptionExerciseExpirationDateBusinessCenter

The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegOptionExerciseExpirationDateBusinessCenterGrp

LegOptionExerciseExpirationDateBusinessCenterGrp

LegOptionExerciseExpirationDateBusinessCenterGrp is a repeating subcomponent of the LegOptionExerciseExpiration component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegOptionExerciseExpirationDateBusinessCenters | [1..1] | NumInGroup |
LegOptionExerciseExpirationDateBusinessCenter | [0..1] | String | Required if NoLegOptionExerciseExpirationDateBusinessCenters(41515) > 0.

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateBusinessDayConvention

The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateGrp

The LegOptionExerciseExpirationDateGrp is a repeating subcomponent of the LegOptionExerciseExpiration component used to specify fixed dates for expiration.

Name | Mult. | Type | Description
NoLegOptionExerciseExpirationDates | [1..1] | NumInGroup |
LegOptionExerciseExpirationDate | [0..1] | LocalMktDate | Required if NoLegOptionExerciseExpirationDates(41527) > 0.
LegOptionExerciseExpirationDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateOffsetDayType

Specifies the day type of the relative option exercise expiration date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateOffsetPeriod

Time unit multiplier for the relative exercise expiration date offset.

Type: int

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateOffsetUnit

Time unit associated with the relative exercise expiration date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateRelativeTo

Specifies the anchor date when the option exercise expiration date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationDateType

Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegOptionExerciseExpirationDateGrp

LegOptionExerciseExpirationFrequencyPeriod

Time unit multiplier for the frequency of exercise expiration dates.

Type: int

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationFrequencyUnit

Time unit associated with the frequency of exercise expiration dates.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationRollConvention

The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the LegDateAdjustment component in InstrumentLeg.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationTime

The option exercise expiration time.

Type: LocalMktTime

Used in components: LegOptionExerciseExpiration

LegOptionExerciseExpirationTimeBusinessCenter

The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegOptionExerciseExpiration

LegOptionExerciseFirstDateUnadjusted

The unadjusted first exercise date.

Type: LocalMktDate

Used in components: LegOptionExerciseDates

LegOptionExerciseFrequencyPeriod

Time unit multiplier for the frequency of exercise dates.

Type: int

Used in components: LegOptionExerciseDates

LegOptionExerciseFrequencyUnit

Time unit associated with the frequency of exercise dates.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegOptionExerciseDates

LegOptionExerciseLastDateUnadjusted

The unadjusted last exercise date.

Type: LocalMktDate

Used in components: LegOptionExerciseDates

LegOptionExerciseLatestTime

The latest exercise time. See also LegOptionExerciseEarliestTime(41509).

Type: LocalMktTime

Used in components: LegOptionExerciseDates

LegOptionExerciseMakeWholeProvision

LegOptionExerciseMakeWholeProvision is a subcomponent of the LegOptionExercise component used to specify the set of rules of maintaining balance when an option is exercised.

Name | Mult. | Type | Description
LegMakeWholeDate | [0..1] | LocalMktDate |
LegMakeWholeAmount | [0..1] | Amt |
LegMakeWholeBenchmarkCurveName | [0..1] | String |
LegMakeWholeBenchmarkCurvePoint | [0..1] | String |
LegMakeWholeRecallSpread | [0..1] | PriceOffset |
LegMakeWholeBenchmarkQuote | [0..1] | CodeSet |
LegMakeWholeInterpolationMethod | [0..1] | CodeSet |

Used in components: LegOptionExercise

LegOptionExerciseNominationDeadline

The last date (adjusted) for establishing the option exercise terms.

Type: LocalMktDate

Used in components: LegOptionExerciseDates

LegOptionExerciseSkip

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

Type: int

Used in components: LegOptionExerciseDates

LegOptionExerciseStartDateAdjusted

The adjusted start date for calculating periodic exercise dates.

Type: LocalMktDate

Used in components: LegOptionExerciseDates

LegOptionExerciseStartDateOffsetDayType

Specifies the day type of the relative option exercise start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegOptionExerciseDates

LegOptionExerciseStartDateOffsetPeriod

Time unit multiplier for the relative exercise start date offset.

Type: int

Used in components: LegOptionExerciseDates

LegOptionExerciseStartDateOffsetUnit

Time unit associated with the relative exercise start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegOptionExerciseDates

LegOptionExerciseStartDateRelativeTo

Specifies the anchor date when the option exercise start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegOptionExerciseDates

LegOptionExerciseStartDateUnadjusted

The unadjusted start date for calculating periodic exercise dates.

Type: LocalMktDate

Used in components: LegOptionExerciseDates

LegOptionExerciseTimeBusinessCenter

The business center used to determine the locale for option exercise time, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegOptionExerciseDates

LegOptionExpirationDesc

Description of the option expiration.

Type: String

Used in components: InstrumentLeg

LegOptionRatio

Expresses the risk of an option leg

Value must be between -1 and 1.

A Call Option will require a ratio value between 0 and 1

A Put Option will require a ratio value between -1 and 0

Type: float

Used in components: InstrumentLeg

LegOptionsExchangeDividendsIndicator

Indicates whether option exchange dividends are applicable.

Type: Boolean

Used in components: LegDividendConditions

LegOptPayoutAmount

Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.

Type: Amt

Used in components: InstrumentLeg

LegOptPayoutType

Indicates the type of valuation method or trigger payout for an in-the-money option.

Type: int

Allowed values in OptPayoutTypeCodeSet:

Code | Name | Description
1 | Vanilla | Vanilla
2 | Capped | Capped
3 | Binary | Digital (Binary)
4 | Asian | Asian
5 | Barrier | Barrier
6 | DigitalBarrier | Digital Barrier
7 | Lookback | Lookback
8 | OtherPathDependent | Other path dependent
99 | Other | Other

Used in components: InstrumentLeg

LegOrderQty

Quantity ordered of this leg.

See OrderQty (38) for description and valid values

Type: Qty

Used in groups: InstrmtLegExecGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegOrdGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup |
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegOrderQty | [0..1] | Qty | Quantity ordered for this leg as provided during order entry.
LegQty | [0..1] | Qty | The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
LegSwapType | [0..1] | CodeSet | Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
LegStipulations | [0..*] | Group |
LegAllocID | [0..1] | String |
LegPreAllocGrp | [0..*] | Group |
LegAccount | [0..1] | String |
LegClearingAccountType | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
LegPositionEffect | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
LegCoveredOrUncovered | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component
NestedParties | [0..*] | Group |
LegRefID | [0..1] | String | Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate |
LegSettlCurrency | [0..1] | Currency |
LegSettlCurrencyCodeSource | [0..1] | CodeSet |
LegVolatility | [0..1] | float |
LegDividendYield | [0..1] | Percentage |
LegCurrencyRatio | [0..1] | float |
LegExecInst | [0..1] | CodeSet |
LegShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

LegOriginalNotionalPercentageOutstanding

Used to reflect the Original value prior to the application of a credit event. See LegNotionalPercentageOutstanding(2151).

Type: Percentage

Used in components: InstrumentLeg

LegPaymentScheduleCurrency

The currency for this step schedule. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleEndDateUnadjusted

The unadjusted end date of a cashflow payment.

Type: LocalMktDate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixedAmount

The explicit payment amount for this step schedule.

Type: Amt

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixedCurrency

The currency of the fixed amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateAdjusted

The adjusted fixing date.

Type: LocalMktDate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateBusinessCenter

The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentScheduleFixingDateBusinessCenterGrp

LegPaymentScheduleFixingDateBusinessCenterGrp

LegPaymentScheduleFixingDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentScheduleFixingDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentScheduleFixingDateBusinessCenter | [0..1] | String | Required if NoLegPaymentScheduleFixingDateBusinessCenters(40927) > 0.

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateBusinessDayConvention

The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateOffsetDayType

Specifies the day type of the relative fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateOffsetPeriod

Time unit multiplier for the relative fixing date offset.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateOffsetUnit

Time unit associated with the relative fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateRelativeTo

Specifies the anchor date when the fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDateUnadjusted

The unadjusted fixing date.

Type: LocalMktDate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDayCount

The number of days over which fixing should take place.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDayDistribution

The distribution of fixing days.

Type: int

Allowed values in PaymentStreamPricingDayDistributionCodeSet:

Code | Name | Description
0 | All | All
1 | First | First
2 | Last | Last
3 | Penultimate | Penultimate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDayGrp

The LegPaymentScheduleFixingDayGrp is a repeating subcomponent of the LegPaymentScheduleGrp component used to detail periodic fixing days.

Name | Mult. | Type | Description
NoLegPaymentScheduleFixingDays | [1..1] | NumInGroup |
LegPaymentScheduleFixingDayOfWeek | [0..1] | CodeSet | Required if NoLegPaymentScheduleFixingDays(41530) > 0.
LegPaymentScheduleFixingDayNumber | [0..1] | int |

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingDayNumber

The occurrence of the day of week on which fixing takes place.

Type: int

Used in groups: LegPaymentScheduleFixingDayGrp

LegPaymentScheduleFixingDayOfWeek

The day of the week on which fixing takes place.

Type: int

Allowed values in PaymentStreamPricingDayOfWeekCodeSet:

Code | Name | Description
0 | EveryDay | Every day (the default if not specified)
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday

Used in groups: LegPaymentScheduleFixingDayGrp

LegPaymentScheduleFixingFirstObservationDateOffsetPeriod

Time unit multiplier for the relative first observation date offset.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingFirstObservationDateOffsetUnit

Time unit associated with the relative first observation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingLagPeriod

Time unit multiplier for the fixing lag duration.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingLagUnit

Time unit associated with the fixing lag duration.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingTime

The fxing time associated with the step schedule.

Type: LocalMktTime

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleFixingTimeBusinessCenter

Business center for determining fixing time.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleGrp

The LegPaymentScheduleGrp is a repeating subcomponent of the LegPaymentStream component used to specify notional and rate steps in the payment stream.

Name | Mult. | Type | Description
NoLegPaymentSchedules | [1..1] | NumInGroup |
LegPaymentScheduleType | [0..1] | CodeSet | Required if NoLegPaymentSchedules(40374) > 0.
LegPaymentScheduleXID | [0..1] | XID |
LegPaymentScheduleXIDRef | [0..1] | XIDREF |
LegPaymentScheduleStubType | [0..1] | CodeSet |
LegPaymentScheduleStartDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentScheduleEndDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentSchedulePaySide | [0..1] | CodeSet |
LegPaymentScheduleReceiveSide | [0..1] | CodeSet |
LegPaymentScheduleNotional | [0..1] | Amt |
LegPaymentScheduleCurrency | [0..1] | Currency |
LegPaymentScheduleRate | [0..1] | Percentage |
LegPaymentScheduleRateMultiplier | [0..1] | float |
LegPaymentScheduleRateSpread | [0..1] | PriceOffset |
LegPaymentScheduleRateCurrency | [0..1] | Currency |
LegPaymentScheduleRateUnitOfMeasure | [0..1] | CodeSet |
LegPaymentScheduleRateConversionFactor | [0..1] | float |
LegPaymentScheduleRateSpreadType | [0..1] | CodeSet |
LegPaymentScheduleRateSpreadPositionType | [0..1] | CodeSet |
LegPaymentScheduleRateTreatment | [0..1] | CodeSet |
LegPaymentScheduleFixedAmount | [0..1] | Amt |
LegPaymentScheduleFixedCurrency | [0..1] | Currency |
LegPaymentScheduleSettlPeriodPrice | [0..1] | Price |
LegPaymentScheduleSettlPeriodPriceCurrency | [0..1] | Currency |
LegPaymentScheduleSettlPeriodPriceUnitOfMeasure | [0..1] | CodeSet |
LegPaymentScheduleStepUnitOfMeasure | [0..1] | CodeSet |
LegPaymentScheduleStepFrequencyPeriod | [0..1] | int | Conditionally required when LegPaymentScheduleStepFrequencyUnit(40391) is specified.
LegPaymentScheduleStepFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegPaymentScheduleStepFrequencyPeriod(40390) is specified.
LegPaymentScheduleStepOffsetValue | [0..1] | Amt |
LegPaymentScheduleStepRate | [0..1] | Percentage |
LegPaymentScheduleStepOffsetRate | [0..1] | Percentage |
LegPaymentScheduleStepRelativeTo | [0..1] | CodeSet |
LegPaymentScheduleRateSourceGrp | [0..*] | Group |
LegPaymentScheduleFixingDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentScheduleWeight | [0..1] | float |
LegPaymentScheduleFixingDateRelativeTo | [0..1] | int |
LegPaymentScheduleFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment schedule.
LegPaymentScheduleFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment schedule.
LegPaymentScheduleFixingDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentScheduleFixingDatesOffsetUnit(40402) is specified.
LegPaymentScheduleFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentScheduleFixingDatesOffsetPeriod(40401) is specified.
LegPaymentScheduleFixingDateOffsetDayType | [0..1] | CodeSet |
LegPaymentScheduleFixingDayDistribution | [0..1] | CodeSet |
LegPaymentScheduleFixingDayCount | [0..1] | int |
LegPaymentScheduleFixingDateAdjusted | [0..1] | LocalMktDate |
LegPaymentScheduleFixingDayGrp | [0..*] | Group |
LegPaymentScheduleFixingLagPeriod | [0..1] | int | Conditionally required when LegPaymentScheduleFixingLagUnit(41546) is specified.
LegPaymentScheduleFixingLagUnit | [0..1] | CodeSet | Conditionally required when LegPaymentScheduleFixingLagPeriod(41545) is specified.
LegPaymentScheduleFixingFirstObservationDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentScheduleFixingFirstObservationDateOffsetUnit(41548) is specified.
LegPaymentScheduleFixingFirstObservationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentScheduleFixingFirstObservationDateOffsetPeriod(41547) is specified.
LegPaymentScheduleFixingTime | [0..1] | LocalMktTime |
LegPaymentScheduleFixingTimeBusinessCenter | [0..1] | String |
LegPaymentScheduleInterimExchangePaymentDateRelativeTo | [0..1] | int |
LegPaymentScheduleInterimExchangeDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment schedule.
LegPaymentScheduleInterimExchangeDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment schedule.
LegPaymentScheduleInterimExchangeDatesOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentScheduleInterimExchangeDatesOffsetUnit(40411) is specified.
LegPaymentScheduleInterimExchangeDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentScheduleInterimExchangeDatesOffsetPeriod(40410) is specified.
LegPaymentScheduleInterimExchangeDatesOffsetDayType | [0..1] | CodeSet |
LegPaymentScheduleInterimExchangeDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegStreamGrp

LegPaymentScheduleInterimExchangeDateAdjusted

The adjusted interim exchange date.

Type: LocalMktDate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangeDateBusinessCenterGrp

LegPaymentScheduleInterimExchangeDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentScheduleInterimExchangeDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentScheduleInterimExchangeDatesBusinessCenter | [0..1] | String | Required if NoLegPaymentScheduleInterimExchangeDateBusinessCenters(40928) > 0.

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangeDatesBusinessCenter

The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentScheduleInterimExchangeDateBusinessCenterGrp

LegPaymentScheduleInterimExchangeDatesBusinessDayConvention

The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangeDatesOffsetDayType

Specifies the day type of the relative interim exchange date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangeDatesOffsetPeriod

Time unit multiplier for the relative interim exchange date offset.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangeDatesOffsetUnit

Time unit associated with the relative interim exchange date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleInterimExchangePaymentDateRelativeTo

Specifies the anchor date when the interim exchange payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleNotional

The notional value for this step schedule, or amount of a cashflow payment.

Type: Amt

Used in groups: LegPaymentScheduleGrp

LegPaymentSchedulePaySide

The side of the party paying the step schedule.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRate

The rate value for this step schedule.

Type: Percentage

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateConversionFactor

The number multipled by the derived floating rate of the leg's payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.

Type: float

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateCurrency

The currency of the schedule rate. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: LegPaymentScheduleRateSourceGrp

LegPaymentScheduleRateSourceGrp

LegPaymentScheduleRateSourceGrp is a repeating component within the LegPaymentScheduleGrp component used to identify primary and secondary rate sources.

Name | Mult. | Type | Description
NoLegPaymentScheduleRateSources | [1..1] | NumInGroup |
LegPaymentScheduleRateSource | [0..1] | CodeSet | Required if NoLegPaymentScheduleRateSources(40414) > 0.
LegPaymentScheduleRateSourceType | [0..1] | CodeSet | Required if NoLegPaymentScheduleRateSources(40414) > 0.
LegPaymentScheduleReferencePage | [0..1] | String | Conditionally required when LegPaymentScheduleRateSource(40415) = 99 (Other).

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateSourceType

Rate source type.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: LegPaymentScheduleRateSourceGrp

LegPaymentScheduleRateSpread

The spread value for this step schedule.

Type: PriceOffset

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateSpreadPositionType

Identifies whether the rate spread is applied to a long or a short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateSpreadType

Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.

Type: int

Allowed values in PaymentStreamRateSpreadTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateTreatment

Specifies the yield calculation treatment for the step schedule.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleRateUnitOfMeasure

The schedule rate unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleReceiveSide

The side of the party receiving the step schedule.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleReferencePage

Identifies the reference "page" from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in groups: LegPaymentScheduleRateSourceGrp

LegPaymentScheduleSettlPeriodPrice

The schedule settlement period price.

Type: Price

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleSettlPeriodPriceCurrency

The currency of the schedule settlement period price. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleSettlPeriodPriceUnitOfMeasure

The settlement period price unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStartDateUnadjusted

The unadjusted date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.

Type: LocalMktDate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepFrequencyPeriod

Time unit multiplier for the step frequency.

Type: int

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepFrequencyUnit

Time unit associated with the step frequency.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepOffsetRate

The explicit amount that the rate changes on each step date. This can be a positive or negative value.

Type: Percentage

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepOffsetValue

The explicit amount that the notional changes on each step date. This can be a positive or negative amount.

Type: Amt

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepRate

The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in LegPaymentScheduleStepRelativeTo(40395). The percentage can be either positive or negative.

Type: Percentage

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepRelativeTo

Specifies whether the LegPaymentScheduleStepRate(40393) or LegPaymentScheduleStepOffsetValue(40392) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.

Type: int

Allowed values in PaymentScheduleStepRelativeToCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Previous | Previous

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStepUnitOfMeasure

The schedule step unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleStubType

Indicates to which stub this schedule applies.

Type: int

Allowed values in PaymentStubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Final | Final
2 | CompoundingInitial | Compounding initial
3 | CompoundingFinal | Compounding final

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleType

Specifies the type of schedule.

Type: int

Allowed values in PaymentScheduleTypeCodeSet:

Code | Name | Description
0 | Notional | Notional
1 | CashFlow | Cash flow
2 | FXLinkedNotional | FX linked notional
3 | FixedRate | Fixed rate
4 | FutureValueNotional | Future value notional
5 | KnownAmount | Known amount
6 | FloatingRateMultiplier | Floating rate multiplier
7 | Spread | Spread
8 | CapRate | Cap rate
9 | FloorRate | Floor rate
10 | NonDeliverableSettlPaymentDates | Non-deliverable settlement payment dates
11 | NonDeliverableSettlCalculationDates | Non-deliverable settlement calculation dates
12 | NonDeliverableFXFixingDates | Non-deliverable fixing dates.
13 | SettlPeriodNotnl | Settlement period notional
14 | SettlPeriodPx | Settlement period price
15 | CalcPeriod | Calculation period
16 | DividendAccrualRateMultiplier | Dividend accrual rate multiplier
17 | DividendAccrualRateSpread | Dividend accrual rate spread
18 | DividendAccrualCapRate | Dividend accrual cap rate
19 | DividendAccrualFloorRate | Dividend accrual floor rate
20 | CompoundingRateMultiplier | Compounding rate multiplier
21 | CompoundingRateSpread | Compounding rate spread
22 | CompoundingCapRate | Compounding cap rate
23 | CompoundingFloorRate | Compounding floor rate

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleWeight

Floating rate observation weight for cashflow payment.

Type: float

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleXID

Identifier of this LegPaymentSchedule for cross referencing elsewhere in the message.

Type: XID

Used in groups: LegPaymentScheduleGrp

LegPaymentScheduleXIDRef

Reference to payment schedule elsewhere in the message.

Type: XIDREF

Used in groups: LegPaymentScheduleGrp

LegPaymentStreamAccrualDays

The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.

Type: int

Used in components: LegPaymentStream

LegPaymentStreamAveragingMethod

When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamBoundsFirstDateUnadjusted

The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamBoundsLastDateUnadjusted

The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCalculationLagPeriod

Time unit multiplier for the calculation lag duration.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamCalculationLagUnit

Time unit associated with the calculation lag duration.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamCapRate

The cap rate, if any, which applies to the floating rate. It is only required where the floating rate on a swap stream is capped at a certain level The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamCashSettlIndicator

Indicates whether cash settlement is applicable.

Type: Boolean

Used in components: LegPaymentStream

LegPaymentStream

The LegPaymentStream component is a subcomponent of the LegStreamGrp used to detail the attributes of a payment stream in a swap.

Name | Mult. | Type | Description
LegPaymentStreamType | [0..1] | CodeSet |
LegPaymentStreamMarketRate | [0..1] | int |
LegPaymentStreamDelayIndicator | [0..1] | Boolean |
LegPaymentStreamCashSettlIndicator | [0..1] | Boolean |
LegPaymentStreamSettlCurrency | [0..1] | Currency |
LegPaymentStreamDayCount | [0..1] | CodeSet |
LegPaymentStreamOtherDayCount | [0..1] | String | May be used to specify a count method not listed in LegPaymentStreamDayCount(40283).
LegPaymentStreamAccrualDays | [0..1] | int |
LegPaymentStreamDiscountType | [0..1] | CodeSet |
LegPaymentStreamDiscountRate | [0..1] | Percentage |
LegPaymentStreamDiscountRateDayCount | [0..1] | CodeSet |
LegPaymentStreamCompoundingMethod | [0..1] | CodeSet |
LegPaymentStreamCompoundingXIDRef | [0..1] | XIDREF | Mutually exclusive with LegPaymentStreamCompoundingFixedRate(42404) or the LegPaymentStreamCompoundingFloatingRate component.
LegPaymentStreamCompoundingSpread | [0..1] | PriceOffset |
LegPaymentStreamInterpolationMethod | [0..1] | CodeSet |
LegPaymentStreamInterpolationPeriod | [0..1] | CodeSet |
LegPaymentStreamInitialPrincipalExchangeIndicator | [0..1] | Boolean |
LegPaymentStreamInterimPrincipalExchangeIndicator | [0..1] | Boolean |
LegPaymentStreamFinalPrincipalExchangeIndicator | [0..1] | Boolean |
LegPaymentStreamFlatRateIndicator | [0..1] | Boolean |
LegPaymentStreamFlatRateAmount | [0..1] | Amt |
LegPaymentStreamFlatRateCurrency | [0..1] | Currency |
LegStreamMaximumPaymentAmount | [0..1] | Amt |
LegStreamMaximumPaymentCurrency | [0..1] | Currency |
LegStreamMaximumTransactionAmount | [0..1] | Amt |
LegStreamMaximumTransactionCurrency | [0..1] | Currency |
LegPaymentStreamPaymentDates | [0..1] | Component |
LegPaymentStreamResetDates | [0..1] | Component |
LegPaymentStreamFixedRate | [0..1] | Component |
LegPaymentStreamFloatingRate | [0..1] | Component |
LegPaymentStreamCompoundingFixedRate | [0..1] | float | Mutually exclusive with LegPaymentStreamCompoundingXIDRef(42400) or the LegPaymentStreamCompoundingFloatingRate component.
LegPaymentStreamCompoundingFloatingRate | [0..1] | Component | Mutually exclusive with LegPaymentStreamCompoundingFixedRate(42404) or the LegPaymentStreamCompoundingXIDRef(42400).
LegPaymentStreamCompoundingDates | [0..1] | Component |
LegPaymentStreamNonDeliverableSettlTerms | [0..1] | Component |

Used in groups: LegStreamGrp

LegPaymentStreamCompoundingAveragingMethod

Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingCapRate

The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".

Type: Percentage

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingCapRateBuySide

Reference to the buyer of the compounding cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingCapRateSellSide

Reference to the seller of the compounding cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingDate

The compounding date. Type of date is specified in LegPaymentStreamCompoundingDateType(42407).

Type: LocalMktDate

Used in groups: LegPaymentStreamCompoundingDateGrp

LegPaymentStreamCompoundingDateGrp

LegPaymentStreamCompoundingDateGrp is a subcomponent of the LegPaymentStreamCompoundingDates component used to specify predetermined compounding dates.

Name | Mult. | Type | Description
NoLegPaymentStreamCompoundingDates | [1..1] | NumInGroup |
LegPaymentStreamCompoundingDate | [0..1] | LocalMktDate | Required if NoLegPaymentStreamCompoundingDates(42405) > 0.
LegPaymentStreamCompoundingDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDatesBusinessCenter

The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamCompoundingDatesBusinessCenterGrp

LegPaymentStreamCompoundingDatesBusinessCenterGrp

LegPaymentStreamCompoundingDatesBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamCompoundingDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamCompoundingDatesBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamCompoundingDatesBusinessCenter | [0..1] | String | Required if NoLegPaymentStreamCompoundingDatesBusinessCenters(42419) > 0.

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDatesBusinessDayConvention

The compounding dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDates is a subcomponent of the LegPaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.

Name | Mult. | Type | Description
LegPaymentStreamCompoundingDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to payment stream compounding dates.
LegPaymentStreamCompoundingDatesBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to payment stream compounding dates.
LegPaymentStreamCompoundingDateGrp | [0..*] | Group |
LegPaymentStreamCompoundingDatesRelativeTo | [0..1] | int |
LegPaymentStreamCompoundingDatesOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamCompoundingDatesOffsetUnit(42411) is specified.
LegPaymentStreamCompoundingDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamCompoundingDatesOffsetPeriod(42410) is specified.
LegPaymentStreamCompoundingDatesOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamCompoundingPeriodSkip | [0..1] | int |
LegPaymentStreamCompoundingStartDate | [0..1] | Component |
LegPaymentStreamCompoundingEndDate | [0..1] | Component |
LegPaymentStreamCompoundingFrequencyPeriod | [0..1] | int | Conditionally required when LegPayamentStreamCompoundingFrequencyUnit(42415) is specified.
LegPaymentStreamCompoundingFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegPayamentStreamCompoundingFrequencyPeriod(42414) is specified.
LegPaymentStreamCompoundingRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of payment stream compounding dates.
LegPaymentStreamBoundsFirstDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamBoundsLastDateUnadjusted | [0..1] | LocalMktDate |

Used in components: LegPaymentStream

LegPaymentStreamCompoundingDatesOffsetDayType

Specifies the day type of the relative compounding date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDatesOffsetPeriod

Time unit multiplier for the relative compounding date offset.

Type: int

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDatesOffsetUnit

Time unit associated with the relative compounding date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDatesRelativeTo

Specifies the anchor date when the compounding dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingDateType

Specifies the type of payment compounding date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegPaymentStreamCompoundingDateGrp

LegPaymentStreamCompoundingEndDateAdjusted

The adjusted compounding end date.

Type: LocalMktDate

Used in components: LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDate is a subcomponent of the LegPaymentStreamCompoundingDates component used to specify the end date for compounding.

Name | Mult. | Type | Description
LegPaymentStreamCompoundingEndDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamCompoundingEndDateRelativeTo | [0..1] | int |
LegPaymentStreamCompoundingEndDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamCompoundingEndDateOffsetUnit(42424) is specified.
LegPaymentStreamCompoundingEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamCompoundingEndDateOffsetPeriod(42423) is specified.
LegPaymentStreamCompoundingEndDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamCompoundingEndDateAdjusted | [0..1] | LocalMktDate |

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingEndDateOffsetDayType

Specifies the day type of the relative compounding end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDateOffsetPeriod

Time unit multiplier for the relative compounding end date offset.

Type: int

Used in components: LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDateOffsetUnit

Time unit associated with the relative compounding end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDateRelativeTo

Specifies the anchor date when the compounding end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingEndDateUnadjusted

The unadjusted compounding end date.

Type: LocalMktDate

Used in components: LegPaymentStreamCompoundingEndDate

LegPaymentStreamCompoundingFinalRatePrecision

Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFinalRateRoundingDirection

Specifies the rounding direction for the compounding floating rate.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFixedRate

The compounding fixed rate applicable to the payment stream.

Type: float

Used in components: LegPaymentStream

LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFloatingRate is a subcomponent of the LegPaymentStream component used to report the parameters for determining the compounding floating rate of the stream.

Name | Mult. | Type | Description
LegPaymentStreamCompoundingRateIndex | [0..1] | String |
LegPaymentStreamCompoundingRateIndexCurvePeriod | [0..1] | int | Conditionally required if LegPaymentStreamCompoundingRateIndexCurveUnit(42429) is specified.
LegPaymentStreamCompoundingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required if LegPaymentStreamCompoundingRateIndexCurvePeriod(42428) is specified.
LegPaymentStreamCompoundingRateMultiplier | [0..1] | float |
LegPaymentStreamCompoundingRateSpread | [0..1] | PriceOffset |
LegPaymentStreamCompoundingRateSpreadPositionType | [0..1] | CodeSet |
LegPaymentStreamCompoundingRateTreatment | [0..1] | CodeSet |
LegPaymentStreamCompoundingCapRate | [0..1] | Percentage |
LegPaymentStreamCompoundingCapRateBuySide | [0..1] | CodeSet |
LegPaymentStreamCompoundingCapRateSellSide | [0..1] | CodeSet |
LegPaymentStreamCompoundingFloorRate | [0..1] | Percentage |
LegPaymentStreamCompoundingFloorRateBuySide | [0..1] | CodeSet |
LegPaymentStreamCompoundingFloorRateSellSide | [0..1] | CodeSet |
LegPaymentStreamCompoundingInitialRate | [0..1] | Percentage |
LegPaymentStreamCompoundingFinalRateRoundingDirection | [0..1] | CodeSet |
LegPaymentStreamCompoundingFinalRatePrecision | [0..1] | int |
LegPaymentStreamCompoundingAveragingMethod | [0..1] | CodeSet |
LegPaymentStreamCompoundingNegativeRateTreatment | [0..1] | CodeSet |

Used in components: LegPaymentStream

LegPaymentStreamCompoundingFloorRate

The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFloorRateBuySide

Reference to the buyer of the compounding floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingFrequencyPeriod

Time unit multiplier for the frequency at which compounding dates occur.

Type: int

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingFrequencyUnit

Time unit associated with the frequency at which compounding dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingInitialRate

The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingMethod

Compounding method.

Type: int

Allowed values in PaymentStreamCompoundingMethodCodeSet:

Code | Name | Description
0 | None | None
1 | Flat | Flat
2 | Straight | Straight
3 | SpreadExclusive | Spread exclusive

Used in components: LegPaymentStream

LegPaymentStreamCompoundingNegativeRateTreatment

Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingPeriodSkip

The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.

Type: int

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingRateIndex

The payment stream's compounding floating rate index.

Type: String

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRateIndexCurvePeriod

Time unit multiplier for the payment stream's compounding floating rate index curve period.

Type: int

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRateIndexCurveUnit

Time unit associated with the payment stream's compounding floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRateMultiplier

A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRateSpread

The basis points spread from the index specified in LegPaymentStreamCompoundingRateIndex(42427).

Type: PriceOffset

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: LegPaymentStreamCompoundingFloatingRate

LegPaymentStreamCompoundingRollConvention

The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingSpread

The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.

Type: PriceOffset

Used in components: LegPaymentStream

LegPaymentStreamCompoundingStartDateAdjusted

The adjusted compounding start date.

Type: LocalMktDate

Used in components: LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDate is a subcomponent of the LegPaymentStreamCompoundingDates component used to specify the start date for compounding.

Name | Mult. | Type | Description
LegPaymentStreamCompoundingStartDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamCompoundingStartDateRelativeTo | [0..1] | int |
LegPaymentStreamCompoundingStartDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamCompoundingStartDateOffsetUnit(42448) is specified.
LegPaymentStreamCompoundingStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamCompoundingStartDateOffsetPeriod(42447) is specified.
LegPaymentStreamCompoundingStartDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamCompoundingStartDateAdjusted | [0..1] | LocalMktDate |

Used in components: LegPaymentStreamCompoundingDates

LegPaymentStreamCompoundingStartDateOffsetDayType

Specifies the day type of the relative compounding start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDateOffsetPeriod

Time unit multiplier for the relative compounding start date offset.

Type: int

Used in components: LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDateOffsetUnit

Time unit associated with the relative compounding start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDateRelativeTo

Specifies the anchor date when the compounding start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingStartDateUnadjusted

The unadjusted compounding start date.

Type: LocalMktDate

Used in components: LegPaymentStreamCompoundingStartDate

LegPaymentStreamCompoundingXIDRef

Reference to the stream which details the compounding fixed or floating rate.

Type: XIDREF

Used in components: LegPaymentStream

LegPaymentStreamContractPrice

The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.

Type: Price

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamContractPriceCurrency

Specifies the currency of LegPaymentStreamContractPrice(41559). Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamDayCount

The day count convention used in the payment stream calculations.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: LegPaymentStream

LegPaymentStreamDaysAdjustmentIndicator

Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.

Type: Boolean

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamDelayIndicator

Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.

Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.

Commercial mortage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.

Type: Boolean

Used in components: LegPaymentStream

LegPaymentStreamDiscountRate

Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.

Type: Percentage

Used in components: LegPaymentStream

LegPaymentStreamDiscountRateDayCount

The day count convention applied to the LegPaymentStreamDiscountRate(40286).

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: LegPaymentStream

LegPaymentStreamDiscountType

The method of calculating discounted payment amounts.

Type: int

Allowed values in PaymentStreamDiscountTypeCodeSet:

Code | Name | Description
0 | Standard | Standard
1 | FRA | Forward Rate Agreement (FRA)

Used in components: LegPaymentStream

LegPaymentStreamFinalPricePaymentDateAdjusted

The adjusted final price payment date.

Type: LocalMktDate

Used in components: LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDate is a subcomponent of the LegPaymentStreamPaymentDates component used to specify the final price payment date, e.g. for an equity return swap.

Name | Mult. | Type | Description
LegPaymentStreamFinalPricePaymentDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamFinalPricePaymentDateRelativeTo | [0..1] | int |
LegPaymentStreamFinalPricePaymentDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamFinalPricePaymentDateOffsetUnit(42456) is specified.
LegPaymentStreamFinalPricePaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamFinalPricePaymentDateOffsetPeriod(42455) is specified.
LegPaymentStreamFinalPricePaymentDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamFinalPricePaymentDateAdjusted | [0..1] | LocalMktDate |

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamFinalPricePaymentDateOffsetDayType

Specifies the day type of the relative final price payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDateOffsetPeriod

Time unit multiplier for the relative final price payment date offset.

Type: int

Used in components: LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDateOffsetUnit

Time unit associated with the relative final price payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDateRelativeTo

Specifies the anchor date when the final price payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPricePaymentDateUnadjusted

The unadjusted final price payment date.

Type: LocalMktDate

Used in components: LegPaymentStreamFinalPricePaymentDate

LegPaymentStreamFinalPrincipalExchangeIndicator

Indicates whether there is a final exchange of principal on the termination date.

Type: Boolean

Used in components: LegPaymentStream

LegPaymentStreamFinalRate

The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFinalRatePrecision

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFinalRateRoundingDirection

Specifies the rounding direction.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstObservationDateAdjusted

The adjusted initial price observation date.

Type: LocalMktDate

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstObservationDateOffsetDayType

Specifies the day type of the initial price observation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstObservationDateOffsetPeriod

Time unit multiplier for the relative first observation date offset.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstObservationDateOffsetUnit

Time unit associated with the relative first observation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstObservationDateRelativeTo

Specifies the anchor date when the initial price observation date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstObservationDateUnadjusted

The unadjusted initial price observation date.

Type: LocalMktDate

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFirstPaymentDateUnadjusted

The unadjusted first payment date.

Type: LocalMktDate

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamFixedAmount

The leg instrument payment stream's fixed payment amount. In a CDS, this can be an alternative to LegPaymentStreamRate(40326).

Type: Amt

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamFixedAmountUnitOfMeasure

The fixed payment amount unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamFixedRate

LegPaymentStreamFixedRate is a subcomponent of the LegPaymentStream component used to report the fixed rate or fixed payment amount of the payment stream.

Name | Mult. | Type | Description
LegPaymentStreamRate | [0..1] | Percentage | Mutually exclusive with LegPaymentStreamFixedAmount(40327).
LegPaymentStreamFixedAmount | [0..1] | Amt | Mutually exclusive with LegPaymentStreamRate(40326).
LegPaymentStreamRateOrAmountCurrency | [0..1] | Currency |
LegPaymentStreamFixedAmountUnitOfMeasure | [0..1] | CodeSet |
LegPaymentStreamTotalFixedAmount | [0..1] | Amt |
LegPaymentStreamFutureValueNotional | [0..1] | Amt |
LegPaymentStreamFutureValueDateAdjusted | [0..1] | LocalMktDate |
LegPaymentStreamWorldScaleRate | [0..1] | float |
LegPaymentStreamContractPrice | [0..1] | Price |
LegPaymentStreamContractPriceCurrency | [0..1] | Currency |

Used in components: LegPaymentStream

LegPaymentStreamFixingDate

The fixing date. Type of date is specified in LegPaymentStreamFixingDateType(42461).

Type: LocalMktDate

Used in groups: LegPaymentStreamFixingDateGrp

LegPaymentStreamFixingDateAdjusted

The adjusted fixing date.

Type: LocalMktDate

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateBusinessCenter

The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamFixingDateBusinessCenterGrp

LegPaymentStreamFixingDateBusinessCenterGrp

LegPaymentStreamFixingDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamFixingDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamFixingDateBusinessCenter | [0..1] | String | Required if NoLegPaymentStreamFixingDateBusinessCenters(40933) > 0.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateBusinessDayConvention

The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateGrp

LegPaymentStreamFixingDateGrp is a subcomponent of the LegPaymentStreamResetDates component used to specify predetermined fixing dates.

Name | Mult. | Type | Description
NoLegPaymentStreamFixingDates | [1..1] | NumInGroup |
LegPaymentStreamFixingDate | [0..1] | LocalMktDate | Required if NoLegPaymentStreamFixingDates(42459) > 0.
LegPaymentStreamFixingDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateOffsetDayType

Specifies the day type of the relative fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateOffsetPeriod

Time unit multiplier for the relative fixing date offset.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateOffsetUnit

Time unit associated with the relative fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateRelativeTo

Specifies the anchor date when the fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamFixingDateType

Specifies the type of fixing date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegPaymentStreamFixingDateGrp

LegPaymentStreamFlatRateAmount

Specifies the actual monetary value of the flat rate when LegPaymentStreamFlatRateIndicator(41549) = 'Y'.

Type: Amt

Used in components: LegPaymentStream

LegPaymentStreamFlatRateCurrency

Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStream

LegPaymentStreamFlatRateIndicator

When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the trade date of the transaction "Fixed". If 'N' it is taken on each pricing date "Floating".

Type: Boolean

Used in components: LegPaymentStream

LegPaymentStreamFloatingRate

LegPaymentStreamFloatingRate is a subcomponent of the LegPaymentStream component used to report the floating rate attributes of the payment stream.

Name | Mult. | Type | Description
LegPaymentStreamRateIndex | [0..1] | String |
LegPaymentStreamRateIndexSource | [0..1] | CodeSet |
LegPaymentStreamRateIndexID | [0..1] | String | Conditionally required when LegPaymentStreamRateIndexIDSource(43089) is specified.
LegPaymentStreamRateIndexIDSource | [0..1] | CodeSet | Conditionally required when LegPaymentStreamRateIndexID(43088) is specified.
LegPaymentStreamRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamRateIndexCurvePeriod(40334) is specified.
LegPaymentStreamRateIndexCurvePeriod | [0..1] | int | Conditionally required when LegPaymentStreamRateIndexCurveUnit(40333) is specified.
LegPaymentStreamRateIndex2 | [0..1] | String |
LegPaymentStreamRateIndex2Source | [0..1] | CodeSet |
LegPaymentStreamRateIndex2ID | [0..1] | String | Conditionally required when LegPaymentStreamRateIndex2IDSource(43119) is specified.
LegPaymentStreamRateIndex2IDSource | [0..1] | CodeSet | Conditionally required when LegPaymentStreamRateIndex2ID(43118) is specified.
LegPaymentStreamRateIndex2CurveUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamRateIndex2CurvePeriod(41564) is specified.
LegPaymentStreamRateIndex2CurvePeriod | [0..1] | int | Conditionally required when LegPaymentStreamRateIndex2CurveUnit(41563) is specified.
LegPaymentStreamRateIndexLocation | [0..1] | String |
LegPaymentStreamRateIndexLevel | [0..1] | Qty |
LegPaymentStreamRateIndexUnitOfMeasure | [0..1] | CodeSet |
LegPaymentStreamSettlLevel | [0..1] | CodeSet |
LegPaymentStreamReferenceLevel | [0..1] | Qty |
LegPaymentStreamReferenceLevelUnitOfMeasure | [0..1] | CodeSet |
LegPaymentStreamReferenceLevelEqualsZeroIndicator | [0..1] | Boolean |
LegPaymentStreamRateMultiplier | [0..1] | float |
LegPaymentStreamRateSpread | [0..1] | PriceOffset |
LegPaymentStreamRateSpreadCurrency | [0..1] | Currency |
LegPaymentStreamRateSpreadUnitOfMeasure | [0..1] | CodeSet |
LegPaymentStreamRateConversionFactor | [0..1] | float |
LegPaymentStreamRateSpreadType | [0..1] | CodeSet |
LegPaymentStreamRateSpreadPositionType | [0..1] | CodeSet |
LegPaymentStreamRateTreatment | [0..1] | CodeSet |
LegPaymentStreamCapRate | [0..1] | Percentage |
LegPaymentStreamCapRateBuySide | [0..1] | CodeSet |
LegPaymentStreamCapRateSellSide | [0..1] | CodeSet |
LegPaymentStreamFloorRate | [0..1] | Percentage |
LegPaymentStreamFloorRateBuySide | [0..1] | CodeSet |
LegPaymentStreamFloorRateSellSide | [0..1] | CodeSet |
LegPaymentStreamInitialRate | [0..1] | Percentage |
LegPaymentStreamLastResetRate | [0..1] | Percentage |
LegPaymentStreamFinalRate | [0..1] | Percentage |
LegPaymentStreamFinalRateRoundingDirection | [0..1] | CodeSet |
LegPaymentStreamFinalRatePrecision | [0..1] | int |
LegPaymentStreamAveragingMethod | [0..1] | CodeSet |
LegPaymentStreamNegativeRateTreatment | [0..1] | CodeSet |
LegPaymentStreamCalculationLagPeriod | [0..1] | int | Conditionally required when LegPaymentStreamCalculationLagUnit(41579) is specified.
LegPaymentStreamCalculationLagUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamCalculationLagPeriod(41578) is specified.
LegPaymentStreamFirstObservationDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamFirstObservationDateRelativeTo | [0..1] | int |
LegPaymentStreamFirstObservationDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamFirstObservationDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamFirstObservationOffsetUnit(41581) is specified.
LegPaymentStreamFirstObservationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamFirstObservationOffsetPeriod(41580) is specified.
LegPaymentStreamFirstObservationDateAdjusted | [0..1] | LocalMktDate |
LegPaymentStreamPricingDayType | [0..1] | CodeSet |
LegPaymentStreamPricingDayDistribution | [0..1] | CodeSet |
LegPaymentStreamPricingDayCount | [0..1] | int |
LegPaymentStreamPricingBusinessCalendar | [0..1] | String |
LegPaymentStreamPricingBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the payment stream pricing date.
LegPaymentStreamPricingBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the the payment stream pricing date.
LegPaymentStreamPricingDayGrp | [0..*] | Group |
LegPaymentStreamPricingDateGrp | [0..*] | Group |
LegPaymentStreamInflationLagPeriod | [0..1] | int | Conditionally required when LegPaymentStreamInflationLagUnit(40351) is specified.
LegPaymentStreamInflationLagUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamInflationLagPeriod(40350) is specified.
LegPaymentStreamInflationLagDayType | [0..1] | CodeSet |
LegPaymentStreamInflationInterpolationMethod | [0..1] | CodeSet |
LegPaymentStreamInflationIndexSource | [0..1] | CodeSet |
LegPaymentStreamInflationPublicationSource | [0..1] | String |
LegPaymentStreamInflationInitialIndexLevel | [0..1] | float |
LegPaymentStreamInflationFallbackBondApplicable | [0..1] | Boolean |
LegPaymentStreamFRADiscounting | [0..1] | CodeSet |
LegPaymentStreamUnderlierRefID | [0..1] | String |
LegPaymentStreamFormula | [0..1] | Component |
LegDividendConditions | [0..1] | Component |
LegReturnRateNotionalReset | [0..1] | Boolean |
LegReturnRateGrp | [0..*] | Group |
LegPaymentStreamLinkInitialLevel | [0..1] | Price |
LegPaymentStreamLinkClosingLevelIndicator | [0..1] | Boolean |
LegPaymentStreamLinkExpiringLevelIndicator | [0..1] | Boolean |
LegPaymentStreamLinkEstimatedTradingDays | [0..1] | int |
LegPaymentStreamLinkStrikePrice | [0..1] | Price |
LegPaymentStreamLinkStrikePriceType | [0..1] | CodeSet |
LegPaymentStreamLinkMaximumBoundary | [0..1] | float |
LegPaymentStreamLinkMinimumBoundary | [0..1] | float |
LegPaymentStreamLinkNumberOfDataSeries | [0..1] | int |
LegPaymentStreamVarianceUnadjustedCap | [0..1] | float |
LegPaymentStreamRealizedVarianceMethod | [0..1] | CodeSet |
LegPaymentStreamDaysAdjustmentIndicator | [0..1] | Boolean |
LegPaymentStreamNearestExchangeContractRefID | [0..1] | String |
LegPaymentStreamVegaNotionalAmount | [0..1] | float |

Used in components: LegPaymentStream

LegPaymentStreamFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFormula

Contains an XML representation of the formula. Defined for flexibility in choice of language (MathML, OpenMath or text).

Type: XMLData

Used in groups: LegPaymentStreamFormulaMathGrp

LegPaymentStreamFormula

LegPaymentStreamFormula is a subcomponent of the LegPaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.

Name | Mult. | Type | Description
LegPaymentStreamFormulaCurrency | [0..1] | Currency |
LegPaymentStreamFormulaCurrencyDeterminationMethod | [0..1] | String |
LegPaymentStreamFormulaReferenceAmount | [0..1] | int |
LegPaymentStreamFormulaMathGrp | [0..*] | Group |
LegPaymentStreamFormulaImage | [0..1] | Component |

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFormulaCurrency

The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStreamFormula

LegPaymentStreamFormulaCurrencyDeterminationMethod

Specifies the method according to which the formula amount currency is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: LegPaymentStreamFormula

LegPaymentStreamFormulaDesc

A description of the math formula in LegPaymentStreamFormula(42486).

Type: String

Used in groups: LegPaymentStreamFormulaMathGrp

LegPaymentStreamFormulaImage

Image of the formula image when represented through an encoded clip in base64Binary.

Type: data

Used in components: LegPaymentStreamFormulaImage

LegPaymentStreamFormulaImage

LegPaymentStreamFormulaImage is a subcomponent of the LegPaymentStreamFormula component used to include a base64Binary-encoded image clip of the formula.

Name | Mult. | Type | Description
LegPaymentStreamFormulaImageLength | [0..1] | Length | Conditionally required when LegPaymentStreamFormulaImage(42452) is specified.
LegPaymentStreamFormulaImage | [0..1] | data | Conditionally required when LegPaymentStreamFormulaImageLength(42451) is specified.

Used in components: LegPaymentStreamFormula

LegPaymentStreamFormulaImageLength

Length in bytes of the LegPaymentStreamFormulaImage(42452) field.

Type: Length

Used in components: LegPaymentStreamFormulaImage

LegPaymentStreamFormulaLength

Byte length of encoded (non-ASCII characters) LegPaymentStreamFormula(42486) field.

Type: Length

Used in groups: LegPaymentStreamFormulaMathGrp

LegPaymentStreamFormulaMathGrp

LegPaymentStreamFormulaMathGrp is a repeating subcomponent within the LegPaymentStreamFormula component. It is used to specify the set of formulas, sub-formulas and descriptions from which the rate is derived.

Name | Mult. | Type | Description
NoLegPaymentStreamFormulas | [1..1] | NumInGroup |
LegPaymentStreamFormulaLength | [0..1] | Length | Required if NoLegPaymentStreamFormulas(42485) > 0.
LegPaymentStreamFormula | [0..1] | XMLData | Required if NoLegPaymentStreamFormulas(42485) > 0.
LegPaymentStreamFormulaDesc | [0..1] | String |

Used in components: LegPaymentStreamFormula

LegPaymentStreamFormulaReferenceAmount

Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.

See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.

Type: int

Used in components: LegPaymentStreamFormula

LegPaymentStreamFRADiscounting

The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.

Type: int

Allowed values in PaymentStreamFRADiscountingCodeSet:

Code | Name | Description
0 | None | None
1 | ISDA | International Swaps and Derivatives Association (ISDA)
2 | AFMA | Australian Financial Markets Association (AFMA)

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamFutureValueDateAdjusted

The adjusted value date of the future value amount.

Type: LocalMktDate

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamFutureValueNotional

The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.

Type: Amt

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamInflationFallbackBondApplicable

Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).

Type: Boolean

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationIndexSource

The inflation index reference source.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationInitialIndexLevel

Initial known index level for the first calculation period.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationInterpolationMethod

The method used when calculating the inflation index level from multiple points. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationLagDayType

The inflation lag period day type.

Type: int

Allowed values in PaymentStreamInflationLagDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationLagPeriod

Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determineds the reference period for which the inflation index is observed.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationLagUnit

Time unit associated with the inflation lag period.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInflationPublicationSource

The publication source, such as relevant web site, news publication or a government body, where inflation information is obtained.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInitialFixingDateAdjusted

The adjusted initial fixing date.

Type: LocalMktDate

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialFixingDateBusinessCenter

The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamInitialFixingDateBusinessCenterGrp

LegPaymentStreamInitialFixingDateBusinessCenterGrp

LegPaymentStreamInitialFixingDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamResetDates component used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamInitialFixingDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamInitialFixingDateBusinessCenter | [0..1] | String | Required if NoLegPaymentStreamInitialFixingDateBusinessCenters(40932) > 0.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialFixingDateBusinessDayConvention

The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialFixingDateOffsetDayType

Specifies the day type of the relative initial fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialFixingDateOffsetPeriod

Time unit multiplier for the relative initial fixing date offset.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialFixingDateOffsetUnit

Time unit associated with the relative initial fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialFixingDateRelativeTo

Specifies the anchor date when the initial fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamInitialPrincipalExchangeIndicator

Indicates whether there is an initial exchange of principal on the effective date.

Type: Boolean

Used in components: LegPaymentStream

LegPaymentStreamInitialRate

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamInterimPrincipalExchangeIndicator

Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.

Type: Boolean

Used in components: LegPaymentStream

LegPaymentStreamInterpolationMethod

The method used when calculating the index rate from multiple points on the curve. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: LegPaymentStream

LegPaymentStreamInterpolationPeriod

Defines applicable periods for interpolation.

Type: int

Allowed values in PaymentStreamInterpolationPeriodCodeSet:

Code | Name | Description
0 | Initial | Initial. Interpolation is applicable to the initial period only.
1 | InitialAndFinal | Initial and final. Interpolation is applicable to the initial and final periods only.
2 | Final | Final. Interpolation is applicable to the final period only.
3 | AnyPeriod | Any period. Interpolation is applicable to any non-standard period.

Used in components: LegPaymentStream

LegPaymentStreamLastRegularPaymentDateUnadjusted

The unadjusted last regular payment date.

Type: LocalMktDate

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamLastResetRate

The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkClosingLevelIndicator

Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.

Type: Boolean

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkEstimatedTradingDays

The expected number of trading days in the variance or correlation swap stream.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkExpiringLevelIndicator

Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.

Type: Boolean

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkInitialLevel

Price level at which the correlation or variance swap contract will strike.

Type: Price

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkMaximumBoundary

Specifies the maximum or upper boundary for variance or strike determination.

For a variation swap stream all observations above this price level will be excluded from the variance calculation.

For a correlation swap stream the maximum boundary is a percentage of the strike price.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkMinimumBoundary

Specifies the minimum or lower boundary for variance or strike determination.

For a variation swap stream all observations below this price level will be excluded from the variance calculation.

For a correlation swap stream the minimum boundary is a percentage of the strike price.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkNumberOfDataSeries

Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkStrikePrice

The strike price of a correlation or variance swap stream.

Type: Price

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamLinkStrikePriceType

For a variance swap specifies how LegPaymentStreamLinkStrikePrice(42472) is expressed.

Type: int

Allowed values in PaymentStreamLinkStrikePriceTypeCodeSet:

Code | Name | Description
0 | Volatility | Volatility
1 | Variance | Variance

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamMarketRate

Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.

Type: int

Used in components: LegPaymentStream

LegPaymentStreamMasterAgreementPaymentDatesIndicator

When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.

Type: Boolean

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamNearestExchangeContractRefID

References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamNegativeRateTreatment

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamNonDeliverableFixingDateGrp

LegPaymentStreamNonDeliverableFixingDate is a subcomponent of the LegPaymentStreamNonDeliverableSettlTerms component used to specify predetermined fixing dates.

Name | Mult. | Type | Description
NoLegNonDeliverableFixingDates | [1..1] | NumInGroup |
LegNonDeliverableFixingDate | [0..1] | LocalMktDate | Required if NoLegNonDeliverableFixingDates(40367) > 0.
LegNonDeliverableFixingDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableFixingDatesBusinessCenter

The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamNonDeliverableSettlTerms component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamNonDeliverableFixingDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamNonDeliverableFixingDatesBusinessCenter | [0..1] | String | Required if NoLegPaymentStreamNonDeliverableFixingDatesBusinessCenters(40929) > 0.

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableFixingDatesBusinessDayConvention

The business day convention used to adjust the payment stream's fixing date for the non-deliverable settlement terms. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableFixingDatesOffsetDayType

Specifies the day type of the relative non-deliverable fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableFixingDatesOffsetPeriod

Time unit multiplier for the relative non-deliverable fixing date offset.

Type: int

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableFixingDatesOffsetUnit

Time unit associated with the relative non-deliverable fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableFixingDatesRelativeTo

Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableRefCurrency

Non-deliverable settlement reference currency. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableSettlRateSource

Identifies the source of the rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in components: LegPaymentStreamNonDeliverableSettlRateSource

LegPaymentStreamNonDeliverableSettlRateSource

LegPaymentStreamNonDeliverableSettlRateSource is a subcomponent of the LegPaymentStreamNonDeliverableSettlTerms component used to specify the rate source in the event of payment non-delivery.

Name | Mult. | Type | Description
LegPaymentStreamNonDeliverableSettlRateSource | [0..1] | CodeSet |
LegPaymentStreamNonDeliverableSettlReferencePage | [0..1] | String | Conditionally required when LegPaymentStreamNonDeliverableSettlRateSource(40087) = 3 (ISDA Settlement Rate Option) or 99 (Other).

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableSettlReferencePage

Identifies the reference "page" from the rate source.

When LegPaymentStreamNonDeliverableSettlRateSource(40087) = 3 (ISDA Settlement Rate Option) this contains a value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in components: LegPaymentStreamNonDeliverableSettlRateSource

LegPaymentStreamNonDeliverableSettlTerms

LegPaymentStreamNonDeliverableSettl is a subcomponent of the LegPaymentStream component used to specify the non-deliverable settlement terms of the payment stream.

Name | Mult. | Type | Description
LegPaymentStreamNonDeliverableRefCurrency | [0..1] | Currency |
LegPaymentStreamNonDeliverableFixingDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the non-deliverable currency's fixing date.
LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the non-deliverable currency's fixing date.
LegPaymentStreamNonDeliverableFixingDatesRelativeTo | [0..1] | int |
LegPaymentStreamNonDeliverableFixingDatesOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamNonDeliverableFixingDateOffsetUnit(40364) is specified.
LegPaymentStreamNonDeliverableFixingDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamNonDeliverableFixingDateOffsetPeriod(40363) is specified.
LegPaymentStreamNonDeliverableFixingDatesOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamNonDeliverableSettlRateSource | [0..1] | Component |
LegPaymentStreamNonDeliverableFixingDateGrp | [0..*] | Group |
LegSettlRateDisruptionFallbackGrp | [0..*] | Group |

Used in components: LegPaymentStream

LegPaymentStreamOtherDayCount

The industry name of the day count convention not listed in LegPaymentStreamDayCount(40283).

Type: String

Used in components: LegPaymentStream

LegPaymentStreamPaymentDate

The adjusted or unadjusted fixed stream payment date.

Type: LocalMktDate

Used in groups: LegPaymentStreamPaymentDateGrp

LegPaymentStreamPaymentDateBusinessCenter

The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamPaymentDateBusinessCenterGrp

LegPaymentStreamPaymentDateBusinessCenterGrp

LegPaymentStreamPaymentDateBusinessCenterGrp is a repeating subcomponent of the LegPaymentStreamPaymentDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamPaymentDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamPaymentDateBusinessCenter | [0..1] | String | Requirend if NoLegPaymentStreamPaymentDateBusinessCenters(40930) > 0.

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateBusinessDayConvention

The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateGrp

The LegPaymentStreamPaymentDateGrp is a repeating subcomponent of the LegPaymentStreamPaymentDates component used to detail fixed dates for swap stream payments.

Name | Mult. | Type | Description
NoLegPaymentStreamPaymentDates | [1..1] | NumInGroup |
LegPaymentStreamPaymentDate | [0..1] | LocalMktDate | Required if NoLegPaymentStreamPaymentDates(41589) > 0.
LegPaymentStreamPaymentDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateOffsetDayType

Specifies the day type of the relative payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateOffsetPeriod

Time unit multiplier for the relative payment date offset.

Type: int

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateOffsetUnit

Time unit associated with the relative payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDateRelativeTo

Specifies the anchor date when payment dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentDates

The LegPaymentStreamPaymentDates component is a subcomponent of the LegPaymentStream component used to specify the payment dates of the stream.

Name | Mult. | Type | Description
LegPaymentStreamPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream.
LegPaymentStreamPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream.
LegPaymentStreamPaymentDateGrp | [0..*] | Group |
LegPaymentStreamPaymentFrequencyPeriod | [0..1] | int | Conditionally required when LegPaymentStreamPaymentFrequencyUnit(40295) is specified.
LegPaymentStreamPaymentFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamFrequencyPeriod(40294) is specified.
LegPaymentStreamPaymentRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the stream payment dates.
LegPaymentStreamFirstPaymentDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamLastRegularPaymentDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStreamPaymentDateRelativeTo | [0..1] | int |
LegPaymentStreamPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamPaymentDateOffsetUnit(40301) is specified.
LegPaymentStreamPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamPaymentDateOffsetPeriod(40300) is specified.
LegPaymentStreamPaymentDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamMasterAgreementPaymentDatesIndicator | [0..1] | Boolean |
LegPaymentStreamFinalPricePaymentDate | [0..1] | Component |

Used in components: LegPaymentStream

LegPaymentStreamPaymentDateType

Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegPaymentStreamPaymentDateGrp

LegPaymentStreamPaymentFrequencyPeriod

Time unit multiplier for the frequency of payments.

Type: int

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentFrequencyUnit

Time unit associated with the frequency of payments.

Type: String

Allowed values in PaymentStreamPaymentFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
T | Term | Term

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPaymentRollConvention

The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: LegPaymentStreamPaymentDates

LegPaymentStreamPricingBusinessCalendar

Specifies the business calendar to use for pricing.

See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingBusinessCenter

The business center calendar used to adjust the pricing dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamPricingBusinessCenterGrp

LegPaymentStreamPricingBusinessCenterGrp

LegPaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the LegPaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamPricingBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamPricingBusinessCenter | [0..1] | String | Required if NoLegPaymentStreamPricingBusinessCentrers(41561) > 0.

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingBusinessDayConvention

The business day convention used to adjust the payment stream's pricing dates. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingDate

The adjusted or unadusted fixed stream pricing date.

Type: LocalMktDate

Used in groups: LegPaymentStreamPricingDateGrp

LegPaymentStreamPricingDateGrp

The LegPaymentStreamPricingDateGrp is a repeating subcomponent of the LegPaymentStreamFloatingRate component used to detail fixed pricing dates.

Name | Mult. | Type | Description
NoLegPaymentStreamPricingDates | [1..1] | NumInGroup |
LegPaymentStreamPricingDate | [0..1] | LocalMktDate | Required if NoPaymentStreamPricingDates(41593) > 0.
LegPaymentStreamPricingDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingDateType

Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegPaymentStreamPricingDateGrp

LegPaymentStreamPricingDayCount

The number of days over which pricing should take place.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingDayDistribution

The distribution of pricing days.

Type: int

Allowed values in PaymentStreamPricingDayDistributionCodeSet:

Code | Name | Description
0 | All | All
1 | First | First
2 | Last | Last
3 | Penultimate | Penultimate

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingDayGrp

The LegPaymentStreamPricingDayGrp is a repeating subcomponent of the LegPaymentStreamFloatingRate component used to detail periodic pricing days.

Name | Mult. | Type | Description
NoLegPaymentStreamPricingDays | [1..1] | NumInGroup |
LegPaymentStreamPricingDayOfWeek | [0..1] | CodeSet | Required if NoLegPaymentStreamPricingDays(41596) > 0.
LegPaymentStreamPricingDayNumber | [0..1] | int |

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamPricingDayNumber

The occurrence of the day of week on which pricing takes place.

Type: int

Used in groups: LegPaymentStreamPricingDayGrp

LegPaymentStreamPricingDayOfWeek

The day of the week on which pricing takes place.

Type: int

Allowed values in PaymentStreamPricingDayOfWeekCodeSet:

Code | Name | Description
0 | EveryDay | Every day (the default if not specified)
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday

Used in groups: LegPaymentStreamPricingDayGrp

LegPaymentStreamPricingDayType

Specifies the commodity pricing day type.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRate

The rate applicable to the fixed rate payment stream.

Type: Percentage

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamRateConversionFactor

The number to be multiplied by the derived floating rate of the leg's payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateCutoffDateOffsetDayType

Specifies the day type of the relative rate cut-off date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStreamResetDates

LegPaymentStreamRateCutoffDateOffsetPeriod

Time unit multiplier for the relative rate cut-off date offset.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamRateCutoffDateOffsetUnit

Time unit associated with the relative rate cut-off date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamResetDates

LegPaymentStreamRateIndex

The payment stream floating rate index.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndex2

The payment stream's second floating rate index.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndex2CurvePeriod

Secondary time unit multiplier for the payment stream's floating rate index curve.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndex2CurveUnit

Secondary time unit associated with the payment stream's floating rate index curve.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndex2ID

Security identifier of the second floating rate index.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndex2IDSource

Source for the second floating rate index identified in LegPaymentStreamRateIndex2ID(43118).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndex2Source

The source of the payment stream's second floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexCurvePeriod

Time unit multiplier for the payment stream's floating rate index curve period.

Type: int

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexCurveUnit

Time unit associated with the payment stream's floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexID

Security identifier of the floating rate index.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexIDSource

Source for the floating rate index identified in LegPaymentStreamRateIndexID(43088).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexLevel

This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.

Type: Qty

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexLocation

Specifies the location of the floating rate index.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexSource

The source of the payment stream floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateIndexUnitOfMeasure

The unit of measure (UOM) of the rate index level.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateOrAmountCurrency

Specifies the currency in which LegPaymentStreamFixedAmount(40327) or LegPaymentStreamRate(40326) is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamRateSpread

The basis points spread from the index specified in LegPaymentStreamRateIndex(40331).

Type: PriceOffset

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateSpreadCurrency

Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateSpreadType

Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.

Type: int

Allowed values in PaymentStreamRateSpreadTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateSpreadUnitOfMeasure

Specifies the unit of measure (UOM) of the floating rate spread.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamRealizedVarianceMethod

Indicates which price to use to satisfy the boundary condition.

Type: int

Allowed values in PaymentStreamRealizedVarianceMethodCodeSet:

Code | Name | Description
0 | Previous | Previous. For a return on day T, the observed price on T-1 must be in range.
1 | Last | Last. For a return on day T, the observed price on T must be in range.
2 | Both | Both. For a return on day T, the observed prices on both T and T-1 must be in range.

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamReferenceLevel

This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.

Type: Qty

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamReferenceLevelEqualsZeroIndicator

When set to 'Y', it indicates that the weather reference level equals zero.

Type: Boolean

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamReferenceLevelUnitOfMeasure

The unit of measure (UOM) of the rate reference level.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamResetDateBusinessCenter

The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStreamResetDateBusinessCenterGrp

LegPaymentStreamResetDateBusinessCenterGrp

LegPaymentStreamResetDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStreamResetDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStreamResetDateBusinessCenter | [0..1] | String | Required if NoLegPaymentStreamResetDateBusinessCenters(40931) > 0.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamResetDateBusinessDayConvention

The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStreamResetDates

LegPaymentStreamResetDateRelativeTo

Specifies the anchor date when the reset dates are relative to an anchor date.

If the reset frequency is specified as daily this element must not be included.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamResetDates

The LegPaymentStreamResetDates component is a subcomponent of the LegPaymentStream component used to specify the floating rate reset dates of the stream.

Name | Mult. | Type | Description
LegPaymentStreamResetDateRelativeTo | [0..1] | int |
LegPaymentStreamResetDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream reset dates.
LegPaymentStreamResetDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream reset dates.
LegPaymentStreamResetFrequencyPeriod | [0..1] | int | Conditionally required when LegPaymentStreamResetFrequencyUnit(40307) is specified.
LegPaymentStreamResetFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamResetFrequencyPeriod(40306) is specified.
LegPaymentStreamResetWeeklyRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the stream payment dates.
LegPaymentStreamInitialFixingDateRelativeTo | [0..1] | int |
LegPaymentStreamInitialFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream reset dates.
LegPaymentStreamInitialFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream reset dates.
LegPaymentStreamInitialFixingDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamInitialFixingDateOffsetUnit(40313) is specified.
LegPaymentStreamInitialFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamInitialFixingDateOffsetPeriod(40312) is specified.
LegPaymentStreamInitialFixingDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamInitialFixingDateAdjusted | [0..1] | LocalMktDate |
LegPaymentStreamFixingDateRelativeTo | [0..1] | int |
LegPaymentStreamFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg payment stream reset dates.
LegPaymentStreamFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg payment stream reset dates.
LegPaymentStreamFixingDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamFixingDateOffsetUnit(40320) is specified.
LegPaymentStreamFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamFixingDateOffsetPeriod(40319) is specified.
LegPaymentStreamFixingDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamFixingDateAdjusted | [0..1] | LocalMktDate |
LegPaymentStreamRateCutoffDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamRateCutoffDateOffsetUnit(40324) is specified.
LegPaymentStreamRateCutoffDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamRateCutoffDateOffsetPeriod(40323) is specified.
LegPaymentStreamRateCutoffDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStreamFixingDateGrp | [0..*] | Group |

Used in components: LegPaymentStream

LegPaymentStreamResetFrequencyPeriod

Time unit multiplier for frequency of resets.

Type: int

Used in components: LegPaymentStreamResetDates

LegPaymentStreamResetFrequencyUnit

Time unit associated with frequency of resets.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: LegPaymentStreamResetDates

LegPaymentStreamResetWeeklyRollConvention

Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.

Type: String

Allowed values in PaymentStreamResetWeeklyRollConventionCodeSet:

Code | Name | Description
MON | Monday | Monday
TUE | Tuesday | Tuesday
WED | Wednesday | Wednesday
THU | Thursday | Thursday
FRI | Friday | Friday
SAT | Saturday | Saturday
SUN | Sunday | Sunday

Used in components: LegPaymentStreamResetDates

LegPaymentStreamSettlCurrency

Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStream

LegPaymentStreamSettlLevel

Specifies how weather index units are to be calculated.

Type: int

Allowed values in PaymentStreamSettlLevelCodeSet:

Code | Name | Description
0 | Average | Average. The cumulative number of weather index units for each day in the calculation period divided by the number of days in the calculation period.
1 | Maximum | Maximum. The maximum number of weather index units for any day in the calculaiton period.
2 | Minimum | Minimum. The minimum number of weather index units for any day in the calculaiton period.
3 | Cumulative | Cumulative. The cumulative number of weather index units for each day in the calculaiton period.

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamTotalFixedAmount

Specifies the total fixed payment amount.

Type: Amt

Used in components: LegPaymentStreamFixedRate

LegPaymentStreamType

Identifies the type of payment stream applicable to the swap stream associated with the instrument leg.

Type: int

Allowed values in PaymentStreamTypeCodeSet:

Code | Name | Description
0 | Periodic | Periodic (default)
1 | Initial | Initial
2 | Single | Single
3 | Dividend | Dividend
4 | Interest | Interest
5 | DividendReturn | Dividend return
6 | PriceReturn | Price return
7 | TotalReturn | Total return
8 | Variance | Variance
9 | Correlation | Correlation

Used in components: LegPaymentStream

LegPaymentStreamUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamVarianceUnadjustedCap

Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamVegaNotionalAmount

Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realized volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.

Type: float

Used in components: LegPaymentStreamFloatingRate

LegPaymentStreamWorldScaleRate

The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.

Type: float

Used in components: LegPaymentStreamFixedRate

LegPaymentStubEndDateAdjusted

The adjusted stub end date.

Type: LocalMktDate

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDateBusinessCenter

The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStubEndDateBusinessCenterGrp

LegPaymentStubEndDateBusinessCenterGrp

LegPaymentStubEndDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStubEndDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStubEndDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStubEndDateBusinessCenter | [0..1] | String | Required if NoLegPaymentStubEndDateBusinessCenters(42495) > 0.

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDateBusinessDayConvention

The stub end date business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDate

LegPaymentStubEndDate is a subcomponent of the LegPaymentStubGrp component used to specify the end date of the payment stub.

Name | Mult. | Type | Description
LegPaymentStubEndDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStubEndDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this payment stub instance.
LegPaymentStubEndDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this payment stub instance.
LegPaymentStubEndDateRelativeTo | [0..1] | int |
LegPaymentStubEndDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStubEndDateOffsetUnit(42492) is specified.
LegPaymentStubEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStubEndDateOffsetPeriod(42491) is specified.
LegPaymentStubEndDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStubEndDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegPaymentStubGrp

LegPaymentStubEndDateOffsetDayType

Specifies the day type of the relative stub end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDateOffsetPeriod

Time unit multiplier for the relative stub end date offset.

Type: int

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDateOffsetUnit

Time unit associated with the relative stub end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDateRelativeTo

Specifies the anchor date when the stub end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStubEndDate

LegPaymentStubEndDateUnadjusted

The unadjusted stub end date.

Type: LocalMktDate

Used in components: LegPaymentStubEndDate

LegPaymentStubFixedAmount

A fixed payment amount for the stub.

Type: Amt

Used in groups: LegPaymentStubGrp

LegPaymentStubFixedCurrency

The currency of the fixed payment amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegPaymentStubGrp

LegPaymentStubGrp

The LegPaymentStubGrp is a repeating subcomponent of the LegPaymentStream component used to specify front and back stubs in the payment stream.

Name | Mult. | Type | Description
NoLegPaymentStubs | [1..1] | NumInGroup |
LegPaymentStubType | [0..1] | CodeSet | Required if NoLegPaymentStubs(40418) > 0.
LegPaymentStubLength | [0..1] | CodeSet |
LegPaymentStubStartDate | [0..1] | Component |
LegPaymentStubEndDate | [0..1] | Component |
LegPaymentStubRate | [0..1] | Percentage |
LegPaymentStubFixedAmount | [0..1] | Amt |
LegPaymentStubFixedCurrency | [0..1] | Currency |
LegPaymentStubIndex | [0..1] | String |
LegPaymentStubIndexSource | [0..1] | CodeSet |
LegPaymentStubIndexCurvePeriod | [0..1] | int | Conditionally required when LegPaymentStubIndexCurveUnit(40427) is specified.
LegPaymentStubIndexCurveUnit | [0..1] | CodeSet | Copnditionally required when LegPaymentStubIndexCurvePeriod(40426) is specified.
LegPaymentStubIndexRateMultiplier | [0..1] | float |
LegPaymentStubIndexRateSpread | [0..1] | PriceOffset |
LegPaymentStubIndexRateSpreadPositionType | [0..1] | CodeSet |
LegPaymentStubIndexRateTreatment | [0..1] | CodeSet |
LegPaymentStubIndexCapRate | [0..1] | Percentage |
LegPaymentStubIndexCapRateBuySide | [0..1] | CodeSet |
LegPaymentStubIndexCapRateSellSide | [0..1] | CodeSet |
LegPaymentStubIndexFloorRate | [0..1] | Percentage |
LegPaymentStubIndexFloorRateBuySide | [0..1] | CodeSet |
LegPaymentStubIndexFloorRateSellSide | [0..1] | CodeSet |
LegPaymentStubIndex2 | [0..1] | String |
LegPaymentStubIndex2Source | [0..1] | CodeSet |
LegPaymentStubIndex2CurvePeriod | [0..1] | int | Conditionally required when LegPaymentStubIndex2CurveUnit(40441) is specified.
LegPaymentStubIndex2CurveUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStubIndex2CurvePeriod(40440) is specified.
LegPaymentStubIndex2RateMultiplier | [0..1] | float |
LegPaymentStubIndex2RateSpread | [0..1] | PriceOffset |
LegPaymentStubIndex2RateSpreadPositionType | [0..1] | CodeSet |
LegPaymentStubIndex2RateTreatment | [0..1] | CodeSet |
LegPaymentStubIndex2CapRate | [0..1] | Percentage |
LegPaymentStubIndex2FloorRate | [0..1] | Percentage |

Used in groups: LegStreamGrp

LegPaymentStubIndex

The stub floating rate index.

Type: String

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2

The second stub floating rate index.

Type: String

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2CapRate

The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2CurvePeriod

Secondary time unit multiplier for the stub floating rate index curve.

Type: int

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2CurveUnit

Secondary time unit associated with the stub floating rate index curve.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2FloorRate

The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2RateMultiplier

A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2RateSpread

Spread from the second floating rate index.

Type: PriceOffset

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2RateSpreadPositionType

Identifies whether the rate spread is applied to a long or a short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2RateTreatment

Specifies the yield calculation treatment for the second stub index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: LegPaymentStubGrp

LegPaymentStubIndex2Source

The source for the second stub floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexCapRate

The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexCurvePeriod

Time unit multiplier for the floating rate index.

Type: int

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexCurveUnit

Time unit associated with the floating rate index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexRateSpread

Spread from floating rate index.

Type: PriceOffset

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexRateSpreadPositionType

Identifies whether the rate spread is applied to a long or a short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexRateTreatment

Specifies the yield calculation treatment for the stub index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: LegPaymentStubGrp

LegPaymentStubIndexSource

The source for the stub floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in groups: LegPaymentStubGrp

LegPaymentStubLength

Optional indication whether stub is shorter or longer than the regular swap period.

Type: int

Allowed values in PaymentStubLengthCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: LegPaymentStubGrp

LegPaymentStubRate

The agreed upon fixed rate for this stub.

Type: Percentage

Used in groups: LegPaymentStubGrp

LegPaymentStubStartDateAdjusted

The adjusted stub start date.

Type: LocalMktDate

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDateBusinessCenter

The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPaymentStubStartDateBusinessCenterGrp

LegPaymentStubStartDateBusinessCenterGrp

LegPaymentStubStartDateBusinessCenterGrp is a repeating subcomponent within the LegPaymentStubStartDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPaymentStubStartDateBusinessCenters | [1..1] | NumInGroup |
LegPaymentStubStartDateBusinessCenter | [0..1] | String | Required if NoLegPaymentStubStartDateBusinessCenters(42504) > 0.

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDateBusinessDayConvention

The stub start date business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDate

LegPaymentStubStartDate is a subcomponent of the LegPaymentStubGrp component used to specify the start date of the payment stub.

Name | Mult. | Type | Description
LegPaymentStubStartDateUnadjusted | [0..1] | LocalMktDate |
LegPaymentStubStartDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this payment stub instance.
LegPaymentStubStartDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this payment stub instance.
LegPaymentStubStartDateRelativeTo | [0..1] | int |
LegPaymentStubStartDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStubStartDateOffsetUnit(42501) is specified.
LegPaymentStubStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStubStartDateOffsetPeriod(42500) is specified.
LegPaymentStubStartDateOffsetDayType | [0..1] | CodeSet |
LegPaymentStubStartDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegPaymentStubGrp

LegPaymentStubStartDateOffsetDayType

Specifies the day type of the relative stub start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDateOffsetPeriod

Time unit multiplier for the relative stub start date offset.

Type: int

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDateOffsetUnit

Time unit associated with the relative stub start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDateRelativeTo

Specifies the anchor date when the stub start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegPaymentStubStartDate

LegPaymentStubStartDateUnadjusted

The unadjusted stub start date.

Type: LocalMktDate

Used in components: LegPaymentStubStartDate

LegPaymentStubType

Stub type.

Type: int

Allowed values in PaymentStubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Final | Final
2 | CompoundingInitial | Compounding initial
3 | CompoundingFinal | Compounding final

Used in groups: LegPaymentStubGrp

LegPhysicalSettlBusinessDays

The number of business days used in the determination of physical settlement. Its precise meaning depends on the context in which this is used.

Type: int

Used in groups: LegPhysicalSettlTermGrp

LegPhysicalSettlCurency

Specifies the currency of physical settlement. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegPhysicalSettlTermGrp

LegPhysicalSettlDeliverableObligationGrp

The LegPhysicalSettlDeliverableObligationGrp is a repeating component within the LegPhysicalSettlTermGrp component used to report credit default swap (CDS) physical settlement delivery obligations.

Name | Mult. | Type | Description
NoLegPhysicalSettlDeliverableObligations | [1..1] | NumInGroup |
LegPhysicalSettlDeliverableObligationType | [0..1] | String | Required if NoLegPhysicalSettlDeliverableObligations(41604) > 0.
LegPhysicalSettlDeliverableObligationValue | [0..1] | String |

Used in groups: LegPhysicalSettlTermGrp

LegPhysicalSettlDeliverableObligationType

Specifies the type of delivery obligation applicable for physical settlement.

See http://www.fixptradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.

Type: String

Used in groups: LegPhysicalSettlDeliverableObligationGrp

LegPhysicalSettlDeliverableObligationValue

Physical settlement delivery obligation value appropriate to LegPhysicalSettlDeliverableObligationType(41605).

See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.

Type: String

Used in groups: LegPhysicalSettlDeliverableObligationGrp

LegPhysicalSettlMaximumBusinessDays

A maximum number of business days. Its precise meaning depends on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.

Type: int

Used in groups: LegPhysicalSettlTermGrp

LegPhysicalSettlTermGrp

The LegPhysicalSettlTermGrp is a repeating component within the InstrumentLeg component used to report physical settlement terms.

Name | Mult. | Type | Description
NoLegPhysicalSettlTerms | [1..1] | NumInGroup |
LegPhysicalSettlDeliverableObligationGrp | [0..*] | Group | Required if NoLegPhysicalSettlTerms(41599) > 0.
LegPhysicalSettlCurency | [0..1] | Currency |
LegPhysicalSettlBusinessDays | [0..1] | int |
LegPhysicalSettlMaximumBusinessDays | [0..1] | int |
LegPhysicalSettlTermXID | [0..1] | XID |

Used in components: InstrumentLeg

LegPhysicalSettlTermXID

A named string value referenced by UnderlyingSettlTermXIDRef(41315).

Type: XID

Used in groups: LegPhysicalSettlTermGrp

LegPool

For Fixed Income, identifies MBS / ABS pool for a specific leg of a multi-leg instrument.

See Pool (691) for description and valid values.

Type: String

Used in components: InstrumentLeg

LegPosAmt

Leg position amount.

Type: Amt

Used in groups: LegPositionAmountData

LegPosAmtReason

Specifies the reason for an amount type when reported on a position. Useful when multiple instances of the same amount type are reported.

Type: int

Allowed values in PosAmtReasonCodeSet:

Code
Name
Description

0
OptionsSettlement
Options settlement

1
PendingErosionAdjustment
Pending erosion adjustment

2
FinalErosionAdjustment
Final erosion adjustment

3
TearUpCouponAmount
Tear-up coupon amount

4
PriceAlignmentInterest
Price alignment interest. To minimize the impact of daily cash variation margin payments on the pricing of interest rate swaps, the Clearing House will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid in respect of these instruments. This interest element is known as price alignment interest.

5
DeliveryInvoiceCharges
Delivery invoice charges

6
DeliveryStorageCharges
Delivery storage charges

Used in groups: LegPositionAmountData

LegPosAmtType

Type of leg position amount.

Type: String

Allowed values in PosAmtTypeCodeSet:

Code | Name | Description
CASH | CashAmount | Cash amount (corporate event)
CRES | CashResidualAmount | Cash residual amount
FMTM | FinalMarkToMarketAmount | Final mark-to-market amount
IMTM | IncrementalMarkToMarketAmount | Incremental mark-to-market
PREM | PremiumAmount | Premium amount
SMTM | StartOfDayMarkToMarketAmount | Start of day mark-to-market
TVAR | TradeVariationAmount | Trade variation amount
VADJ | ValueAdjustedAmount | Value adjusted amount
SETL | SettlementValue | Settlement value
ICPN | InitialTradeCouponAmount | Initial trade coupon amount
ACPN | AccruedCouponAmount | Accrued coupon amount
CPN | CouponAmount | Coupon amount
IACPN | IncrementalAccruedCoupon | Incremental accrued coupon
CMTM | CollateralizedMarkToMarket | Collateralized mark-to-market
ICMTM | IncrementalCollateralizedMarkToMarket | Incremental collateralized mark-to-market
DLV | CompensationAmount | Compensation amount
BANK | TotalBankedAmount | Total banked amount
COLAT | TotalCollateralizedAmount | Total collateralized amount
LSNV | LongPairedSwapNotionalValue | Long paired swap or swaption notional value
SSNV | ShortPairedSwapNotionalValue | Short paired swap or swaption notional value
SACPN | StartOfDayAccruedCoupon | Start-of-day accrued coupon
NPV | NetPresentValue | Net present value
SNPV | StartOfDayNetPresentValue | Start-of-day net present value
NCF | NetCashFlow | Net cash flow
PVFEES | PresentValueOfFees | Present value of all fees
PV01 | PresentValueOneBasisPoints | Present value of one basis points. Change in value if yield curve shifts 0.01%.
5YREN | FiveYearEquivalentNotional | The five year equivalent notional amount
UMTM | UndiscountedMarkToMarket | Undiscounted mark-to-market
MTD | MarkToModel | Mark-to-model
VMTM | MarkToMarketVariance | Mark-to-market variance
VMTD | MarkToModelVariance | Mark-to-model variance
UPFRNT | UpfrontPayment | Upfront payment
ENDV | EndVale | End value. Principal amount of a securities financing transaction on maturity date.
MGNLN | OutstandingMarginLoan | Outstanding margin loan. The amount of the outstanding margin loan. In the event that the loan has a short market value, PosAmt(708) would be a negative value.
LNVL | LoanValue | Loan value. The amount of the loan.

Used in groups: LegPositionAmountData

LegPosCurrency

Leg position currency.

Type: Currency

Used in groups: LegPositionAmountData

LegPosCurrencyCodeSource

Identifies class or source of the LegPosCurrency(1589) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegPositionAmountData

LegPositionAmountData

Name | Mult. | Type | Description
NoLegPosAmt | [1..1] | NumInGroup | Number of Position Amount entries
LegPosAmt | [0..1] | Amt | Conditionally required if NoLegPosAmt > 0.
LegPosAmtType | [0..1] | CodeSet |
LegPosCurrency | [0..1] | Currency |
LegPosCurrencyCodeSource | [0..1] | CodeSet |
LegPosAmtReason | [0..1] | CodeSet |

Used in groups: TrdInstrmtLegGrp

LegPositionEffect

PositionEffect for leg of a multileg

See PositionEffect (77) field for description

Type: char

Allowed values in PositionEffectCodeSet:

Code | Name | Description
C | Close | Close
F | FIFO | FIFO
O | Open | Open
R | Rolled | Rolled
N | CloseButNotifyOnOpen | Close but notify on open
D | Default | Default

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegPositionLimit

Position Limit for a given exchange-traded product.

Type: int

Used in components: InstrumentLeg

LegPreAllocGrp

Name | Mult. | Type | Description
NoLegAllocs | [1..1] | NumInGroup |
LegAllocAccount | [0..1] | String |
LegIndividualAllocID | [0..1] | String |
NestedParties2 | [0..*] | Group |
LegAllocQty | [0..1] | Qty |
LegAllocAcctIDSource | [0..1] | CodeSet |
LegAllocSettlCurrency | [0..1] | Currency |
LegAllocSettlCurrencyCodeSource | [0..1] | CodeSet |
LegCustodialLotID | [0..1] | String | Only used for specific lot trades.
LegVersusPurchaseDate | [0..1] | LocalMktDate | Only used for specific lot trades. If this field is used, either LegVersusPurchasePrice(1758) or LegCurrentCostBasis(1759) should be specified.
LegVersusPurchasePrice | [0..1] | Price | Only used for specific lot trades. If this field is used, LegVersusPurchaseDate(1757) should be specified.
LegCurrentCostBasis | [0..1] | Amt | Only used for specific lot trades. If this field is used, LegVersusPurchaseDate(1757) should be specified

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp

LegPrice

Price for leg of a multileg

See Price (44) field for description

Type: Price

Used in components: InstrumentLeg

LegPriceQuoteCurrency

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

Type: Currency

Used in components: InstrumentLeg

LegPriceQuoteCurrencyCodeSource

Identifies class or source of the LegPriceQuoteCurrency(1528) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegPriceQuoteMethod

Specifies the method for price quotation.

Type: String

Allowed values in PriceQuoteMethodCodeSet:

Code | Name | Description
STD | Standard | Standard, money per unit of a physical
INX | Index | Index
INT | InterestRateIndex | Interest rate Index
PCTPAR | PercentOfPar | Percent of Par

Used in components: InstrumentLeg

LegPriceType

The price type of the LegBidPx (681) and/or LegOfferPx (684).

See PriceType (423) for description and valid values

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in groups: LegQuotGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegPriceUnitOfMeasure

Refer to definition for PriceUnitOfMeasure(1191)

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: InstrumentLeg

LegPriceUnitOfMeasureCurrency

Indicates the currency of the price unit of measure. Conditionally required when LegPriceUnitOfMeasure(1421) = Ccy

Type: Currency

Used in components: InstrumentLeg

LegPriceUnitOfMeasureCurrencyCodeSource

Identifies class or source of the LegPriceUnitOfMeasureCurrency(1721) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegPriceUnitOfMeasureQty

Refer to definition of PriceUnitOfMeasureQty(1192)

Type: Qty

Used in components: InstrumentLeg

LegPricingDateAdjusted

The adjusted pricing or fixing date.

Type: LocalMktDate

Used in components: LegPricingDateTime

LegPricingDateBusinessCenter

The business center calendar used to adjust the pricing or fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegPricingDateBusinessCenterGrp

LegPricingDateBusinessCenterGrp

LegPricingDateBusinessCenterGrp is a repeating subcomponent of the LegPricingDateTime component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegPricingDateBusinessCenters | [1..1] | NumInGroup |
LegPricingDateBusinessCenter | [0..1] | String | Required if NoLegPricingDateBusinessCenters(41607) > 0.

Used in components: LegPricingDateTime

LegPricingDateBusinessDayConvention

The business day convention used to adjust the pricing or fixing date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegPricingDateTime

LegPricingDateTime

The LegPricingDateTime component is a subcomponent of InstrumentLeg used to specify an adjusted or unadjusted pricing or fixing date and optionally the time, e.g. for a commodity or FX forward trade.

Name | Mult. | Type | Description
LegPricingDateUnadjusted | [0..1] | LocalMktDate |
LegPricingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to the pricing dates.
LegPricingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the pricing dates.
LegPricingDateAdjusted | [0..1] | LocalMktDate |
LegPricingTime | [0..1] | LocalMktTime |
LegPricingTimeBusinessCenter | [0..1] | String |

Used in components: InstrumentLeg

LegPricingDateUnadjusted

The unadjusted pricing or fixing date.

Type: LocalMktDate

Used in components: LegPricingDateTime

LegPricingTime

The local market pricing or fixing time.

Type: LocalMktTime

Used in components: LegPricingDateTime

LegPricingTimeBusinessCenter

Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegPricingDateTime

LegProduct

Multileg instrument's individual security's Product.

See Product (460) field for description

Type: int

Allowed values in ProductCodeSet:

Code | Name | Description
1 | AGENCY | AGENCY
2 | COMMODITY | COMMODITY
3 | CORPORATE | CORPORATE
4 | CURRENCY | CURRENCY
5 | EQUITY | EQUITY
6 | GOVERNMENT | GOVERNMENT
7 | INDEX | INDEX
8 | LOAN | LOAN
9 | MONEYMARKET | MONEYMARKET
10 | MORTGAGE | MORTGAGE
11 | MUNICIPAL | MUNICIPAL
12 | OTHER | OTHER
13 | FINANCING | FINANCING

Used in components: InstrumentLeg

LegProtectionTermBuyerNotifies

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. LegProtectionTermBuyerNotifies(41621)=Y indicates that the buyer notifies.

Type: Boolean

Used in groups: LegProtectionTermGrp

LegProtectionTermCurrency

The currency of LegProtectionTermNotional(41618). Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegProtectionTermGrp

LegProtectionTermEventBusinessCenter

When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProtectionTermGrp

LegProtectionTermEventCurrency

Applicable currency if the event value is an amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventDayType

Day type for events that specify a period and unit.

Type: int

Allowed values in PaymentStreamInflationLagDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventGrp

The LegProtectionTermEventGrp is a repeating component within the LegProtectionTermGrp component used to report applicable CDS credit events.

Name | Mult. | Type | Description
NoLegProtectionTermEvents | [1..1] | NumInGroup |
LegProtectionTermEventType | [0..1] | String | Required if NoLegProtectionTermEvents(41625) > 0.
LegProtectionTermEventValue | [0..1] | String |
LegProtectionTermEventCurrency | [0..1] | Currency |
LegProtectionTermEventPeriod | [0..1] | int | Conditionally required when LegProtectionTermEventUnit(41630).
LegProtectionTermEventUnit | [0..1] | CodeSet | Conditionally required when LegProtectionTermEventPeriod(41629).
LegProtectionTermEventDayType | [0..1] | CodeSet |
LegProtectionTermEventRateSource | [0..1] | String |
LegProtectionTermEventQualifierGrp | [0..*] | Group |

Used in groups: LegProtectionTermGrp

LegProtectionTermEventMinimumSources

The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.

Type: int

Used in groups: LegProtectionTermGrp

LegProtectionTermEventNewsSource

A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.

Type: String

Used in groups: LegProtectionTermEventNewsSourceGrp

LegProtectionTermEventNewsSourceGrp

LegProtectionTermEventNewsSourceGrp is a repeating subcomponent of the LegProtectionTermGrp component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.

Name | Mult. | Type | Description
NoLegProtectionTermEventNewsSources | [1..1] | NumInGroup |
LegProtectionTermEventNewsSource | [0..1] | String | Required if NoLegProtectionTermEventNewsSources(41614) > 0.

Used in groups: LegProtectionTermGrp

LegProtectionTermEventPeriod

Time unit multiplier for protection term events.

Type: int

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventQualifier

Specifies the protection term event qualifier. Used to further qualify LegProtectionTermEventType(41626).

Type: char

Allowed values in ProtectionTermEventQualifierCodeSet:

Code
Name
Description

H
RestructuringMultipleHoldingObligations
Retructuring - multiple holding obligations. In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.

E
RestructuringMultipleCreditEventNotices
Restructuring - multiple credit event notices. Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

C
FloatingRateInterestShortfall
Floating rate interest shortfall. Indicates compounding.

Used in groups: LegProtectionTermEventQualifierGrp

LegProtectionTermEventQualifierGrp

The LegProtectionTermEventQualifierGrp is a repeating component within the LegProtectionTermEventGrp component used to specify qualifying attributes to the event.

Name | Mult. | Type | Description
NoLegProtectionTermEventQualifiers | [1..1] | NumInGroup |
LegProtectionTermEventQualifier | [0..1] | CodeSet | Required if NoLegProtectionTermEventQualifiers(41633) > 0.

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventRateSource

Rate source for events that specify a rate source, e.g. floating rate interest shortfall.

Type: String

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventType

Specifies the type of credit event applicable to the protection terms.

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.

Type: String

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventUnit

Time unit associated with protection term events.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegProtectionTermEventGrp

LegProtectionTermEventValue

Specifies the protection term event value appropriate to LegProtectionTermEventType(41626). See http:///www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.

Type: String

Used in groups: LegProtectionTermEventGrp

LegProtectionTermGrp

The LegProtectionTermGrp is a repeating component within the InstrumentLeg component used to report protection term details.

Name | Mult. | Type | Description
NoLegProtectionTerms | [1..1] | NumInGroup |
LegProtectionTermNotional | [0..1] | Amt | Required if NoLegProtectionTerms(41616) > 0.
LegProtectionTermCurrency | [0..1] | Currency |
LegProtectionTermSellerNotifies | [0..1] | Boolean |
LegProtectionTermBuyerNotifies | [0..1] | Boolean |
LegProtectionTermEventBusinessCenter | [0..1] | String |
LegProtectionTermStandardSources | [0..1] | Boolean |
LegProtectionTermEventMinimumSources | [0..1] | int |
LegProtectionTermEventNewsSourceGrp | [0..*] | Group |
LegProtectionTermEventGrp | [0..*] | Group |
LegProtectionTermObligationGrp | [0..*] | Group |
LegProtectionTermXID | [0..1] | XID |

Used in components: InstrumentLeg

LegProtectionTermNotional

The notional amount of protection coverage.

Type: Amt

Used in groups: LegProtectionTermGrp

LegProtectionTermObligationGrp

The LegProtectionTermObligationGrp is a repeating component within the LegProtectionTermGrp component used to report applicable credit default swap (CDS) obligations.

Name | Mult. | Type | Description
NoLegProtectionTermObligations | [1..1] | NumInGroup |
LegProtectionTermObligationType | [0..1] | String | Required if NoLegProtectionTermObligations(41635) > 0.
LegProtectionTermObligationValue | [0..1] | String |

Used in groups: LegProtectionTermGrp

LegProtectionTermObligationType

Specifies the type of obligation applicable to the protection terms.

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.

Type: String

Used in groups: LegProtectionTermObligationGrp

LegProtectionTermObligationValue

The value associated with the protection term obligation specified in LegProtectionTermObligationType(41636). See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.

Type: String

Used in groups: LegProtectionTermObligationGrp

LegProtectionTermSellerNotifies

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring. LegProtectionTermSellerNotifies(41620)=Y indicates that the seller notifies.

Type: Boolean

Used in groups: LegProtectionTermGrp

LegProtectionTermStandardSources

Indicates whether ISDA defined Standard Public Sources are applicable (LegProtectionTermStandardSources(41623)=Y) or not.

Type: Boolean

Used in groups: LegProtectionTermGrp

LegProtectionTermXID

A named string value referenced from UnderlyingProtectionTermXIDRef(41314).

Type: XID

Used in groups: LegProtectionTermGrp

LegProvisionBreakFeeElection

Type of fee elected for the break provision.

Type: int

Allowed values in ProvisionBreakFeeElectionCodeSet:

Code | Name | Description
0 | FlatFee | Flat fee
1 | AmortizedFee | Amortized fee
2 | FundingFee | Funding fee
3 | FlatAndFundingFee | Flat fee and funding fee
4 | AmortizedAndFundingFee | Amortized fee and funding fee

Used in groups: LegProvisionGrp

LegProvisionBreakFeeRate

Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".

Type: Percentage

Used in groups: LegProvisionGrp

LegProvisionCalculationAgent

Used to identify the calculation agent. The calculation agent may be identified in LegProvisionCalculationAgent(40456) or in the ProvisionParties component.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: LegProvisionGrp

LegProvisionCashSettlCurrency

Specifies the currency of settlement. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegProvisionGrp

LegProvisionCashSettlCurrency2

Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegProvisionGrp

LegProvisionCashSettlMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).

Type: int

Allowed values in ProvisionCashSettlMethodCodeSet:

Code | Name | Description
0 | CashPrice | Cash price
1 | CashPriceAlternate | Cash price alternate
2 | ParYieldCurveAdjusted | Par yield curve adjusted
3 | ZeroCouponYieldCurveAdjusted | Zero coupon yield curve adjusted
4 | ParYieldCurveUnadjusted | Par yield curve unadjusted
5 | CrossCurrency | Cross currency
6 | CollateralizedPrice | Collateralized price

Used in groups: LegProvisionGrp

LegProvisionCashSettlPaymentDate

The cash settlement payment date, unadjusted or adjusted depending on LegProvisionCashSettlPaymentDateType(40521).

Type: LocalMktDate

Used in groups: LegProvisionCashSettlPaymentFixedDateGrp

LegProvisionCashSettlPaymentDateBusinessCenter

The business center calendar used to adjust the provisional cash settlement payment's termination, or relative termination, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProvisionCashSettlPaymentDateBusinessCenterGrp

LegProvisionCashSettlPaymentDateBusinessCenterGrp

LegProvisionCashSettlPaymentDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionCashSettlPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegProvisionCashSettlPaymentDateBusinessCenters | [1..1] | NumInGroup |
LegProvisionCashSettlPaymentDateBusinessCenter | [0..1] | String | Required if NoLegProvisionCashSettlPaymentDateBusinessCenters(40934) > 0.

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateBusinessDayConvention

The business day convention used to adjust the provisional cash settlement payment's termination, or relative termination, date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateOffsetDayType

Specifies the day type of the provision's relative cash settlement payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateOffsetPeriod

Time unit multiplier for the relative cash settlement payment date offset.

Type: int

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateOffsetUnit

Time unit associated with the relative cash settlement payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateRangeFirst

The first date in range when a settlement date range is provided.

Type: LocalMktDate

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateRangeLast

The last date in range when a settlement date range is provided.

Type: LocalMktDate

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDateRelativeTo

Specifies the anchor date when the cash settlement payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlPaymentDates

The LegProvisionCashSettlPaymentDates component is a sub-component within the LegProvisionGrp component used to report the cash settlement payment dates defined in the provision.

Name | Mult. | Type | Description
LegProvisionCashSettlPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision cash settlement payment dates.
LegProvisionCashSettlPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision cash settlement payment dates.
LegProvisionCashSettlPaymentDateRelativeTo | [0..1] | int |
LegProvisionCashSettlPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when LegProvisionCashSettlPaymentDateOffsetUnit(40520) is specified.
LegProvisionCashSettlPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegProvisionCashSettlPaymentDateOffsetPeriod(40519) is specified.
LegProvisionCashSettlPaymentDateOffsetDayType | [0..1] | CodeSet |
LegProvisionCashSettlPaymentDateRangeFirst | [0..1] | LocalMktDate |
LegProvisionCashSettlPaymentDateRangeLast | [0..1] | LocalMktDate |
LegProvisionCashSettlPaymentFixedDateGrp | [0..*] | Group |

Used in groups: LegProvisionGrp

LegProvisionCashSettlPaymentDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in ProvisionCashSettlPaymentDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegProvisionCashSettlPaymentFixedDateGrp

LegProvisionCashSettlPaymentFixedDateGrp

The ProvisionCashSettlPaymentFixedDateGrp is a repeating component within the ProvisionCashSettlPaymentDates component used to report fixed cash settlement payment dates defined in the provision.

Name | Mult. | Type | Description
NoLegProvisionCashSettlPaymentDates | [1..1] | NumInGroup |
LegProvisionCashSettlPaymentDate | [0..1] | LocalMktDate | Required if NoLegProvisionCashSettlPaymentDates (40473) > 0.
LegProvisionCashSettlPaymentDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegProvisionCashSettlPaymentDates

LegProvisionCashSettlQuoteReferencePage

Identifies the reference "page" from the quote source.

Type: String

Used in components: LegProvisionCashSettlQuoteSource

LegProvisionCashSettlQuoteSource

Identifies the source of quote information.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: LegProvisionCashSettlQuoteSource

LegProvisionCashSettlQuoteSource

The LegProvisionCashSettlQuoteSource is a subcomponent of the LEgProvisionGrp component used to specify the reference source for currency or rate quote for cash settlement purposes.

Name | Mult. | Type | Description
LegProvisionCashSettlQuoteSource | [0..1] | CodeSet |
LegProvisionCashSettlQuoteReferencePage | [0..1] | String |

Used in groups: LegProvisionGrp

LegProvisionCashSettlQuoteType

Identifies the type of quote to be used.

Type: int

Allowed values in ProvisionCashSettlQuoteTypeCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer
3 | ExercisingPartyPays | Exercising party pays. See 2000 ISDA Definitions, Section 17.2, Certain Definitions Relating to Cash Settlement, paragraph (j) for definition of "exercising party pays".

Used in groups: LegProvisionGrp

LegProvisionCashSettlValueDateAdjusted

The adjusted cash settlement value date.

Type: LocalMktDate

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDateBusinessCenter

The business center calendar used to adjust the provision's cash settlement valuation date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProvisionCashSettlValueDateBusinessCenterGrp

LegProvisionCashSettlValueDateBusinessCenterGrp

LegProvisionCashSettlValueDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionCashSettlValueDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegProvisionCashSettlValueDateBusinessCenters | [1..1] | NumInGroup |
LegProvisionCashSettlValueDateBusinessCenter | [0..1] | String | Required if NoLegProvisionCashSettlValueDateBusinessCenters(40935) > 0.

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDateBusinessDayConvention

The business day convention used to adjust the provision's cash settlement valuation date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDateOffsetDayType

Specifies the day type of the provision's relative cash settlement value date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDateOffsetPeriod

Time unit multiplier for the relative cash settlement value date offset.

Type: int

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDateOffsetUnit

Time unit associated with the relative cash settlement value date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDateRelativeTo

Specifies the anchor date when the cash settlement value date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueDates

The LegProvisionCashSettlValueDates component is a subcomponent within the LegProvisionGrp component used to report the cash settlement value date and time defined in the provision.

Name | Mult. | Type | Description
LegProvisionCashSettlValueTime | [0..1] | LocalMktTime |
LegProvisionCashSettlValueTimeBusinessCenter | [0..1] | String |
LegProvisionCashSettlValueDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision cash settlement value date.
LegProvisionCashSettlValueDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision cash settlement value date.
LegProvisionCashSettlValueDateRelativeTo | [0..1] | int |
LegProvisionCashSettlValueDateOffsetPeriod | [0..1] | int | Conditionally required when LegProvisionCashSettlValueDateOffsetUnit(40530) is specified.
LegProvisionCashSettlValueDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegProvisionCashSettlValueDateOffsetPeriod(40529) is specified.
LegProvisionCashSettlValueDateOffsetDayType | [0..1] | CodeSet |
LegProvisionCashSettlValueDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegProvisionGrp

LegProvisionCashSettlValueTime

A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.

Type: LocalMktTime

Used in components: LegProvisionCashSettlValueDates

LegProvisionCashSettlValueTimeBusinessCenter

Identifies the business center calendar used with the provision's cash settlement valuation time.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegProvisionCashSettlValueDates

LegProvisionDateAdjusted

The adjusted date of the provision.

Type: LocalMktDate

Used in groups: LegProvisionGrp

LegProvisionDateBusinessCenter

The business center calendar used to adjust the instrument leg's provision's date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProvisionDateBusinessCenterGrp

LegProvisionDateBusinessCenterGrp

LegProvisionDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegProvisionDateBusinessCenters | [1..1] | NumInGroup |
LegProvisionDateBusinessCenter | [0..1] | String | Required if NoLegProvisionDateBusinessCenters(40939) > 0.

Used in groups: LegProvisionGrp

LegProvisionDateBusinessDayConvention

The business day convention used to adjust the instrument leg's provision's date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: LegProvisionGrp

LegProvisionDateTenorPeriod

Time unit multiplier for the leg provision's tenor period.

Type: int

Used in groups: LegProvisionGrp

LegProvisionDateTenorUnit

Time unit associated with the leg provision's tenor period.

Type: String

Allowed values in ProvisionDateTenorUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegProvisionGrp

LegProvisionDateUnadjusted

The unadjusted date of the provision.

Type: LocalMktDate

Used in groups: LegProvisionGrp

LegProvisionGrp

The LegProvisionGrp is a repeating subcomponent of the InstrumentLeg component used to detail the provisions associated with the instrument.

Name | Mult. | Type | Description
NoLegProvisions | [1..1] | NumInGroup |
LegProvisionType | [0..1] | CodeSet | Required if NoLegProvisions(40448) > 0.
LegProvisionDateUnadjusted | [0..1] | LocalMktDate |
LegProvisionDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the instrument's leg provision.
LegProvisionDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the instrument's leg provision.
LegProvisionDateAdjusted | [0..1] | LocalMktDate |
LegProvisionDateTenorPeriod | [0..1] | int | Conditionally required when LegProvisionDateTenorUnit(40455) is specified.
LegProvisionDateTenorUnit | [0..1] | CodeSet | Conditionally required when LegProvisionDateTenorPeriod(40454) is specified.
LegProvisionBreakFeeElection | [0..1] | CodeSet |
LegProvisionBreakFeeRate | [0..1] | Percentage |
LegProvisionCalculationAgent | [0..1] | CodeSet |
LegProvisionOptionSinglePartyBuyerSide | [0..1] | CodeSet |
LegProvisionOptionSinglePartySellerSide | [0..1] | CodeSet |
LegProvisionCashSettlValueDates | [0..1] | Component |
LegProvisionOptionExerciseDates | [0..1] | Component |
LegProvisionOptionExpirationDate | [0..1] | Component |
LegProvisionOptionRelevantUnderlyingDate | [0..1] | Component |
LegProvisionOptionExerciseStyle | [0..1] | CodeSet |
LegProvisionOptionExerciseMultipleNotional | [0..1] | Amt |
LegProvisionOptionExerciseMinimumNotional | [0..1] | Amt |
LegProvisionOptionExerciseMaximumNotional | [0..1] | Amt |
LegProvisionOptionMinimumNumber | [0..1] | int |
LegProvisionOptionMaximumNumber | [0..1] | int |
LegProvisionOptionExerciseConfirmation | [0..1] | Boolean |
LegProvisionCashSettlPaymentDates | [0..1] | Component |
LegProvisionCashSettlMethod | [0..1] | CodeSet |
LegProvisionCashSettlCurrency | [0..1] | Currency |
LegProvisionCashSettlCurrency2 | [0..1] | Currency |
LegProvisionCashSettlQuoteType | [0..1] | CodeSet |
LegProvisionCashSettlQuoteSource | [0..1] | Component |
LegProvisionText | [0..1] | String |
EncodedLegProvisionTextLen | [0..1] | Length | Must be set if EncodedLegProvisionText(40981) field is specified and must immediately precede it.
EncodedLegProvisionText | [0..1] | data | Encoded (non-ASCII characters) representation of the LegProvisionText(40472) field in the encoded format specified via the MessageEncoding(347) field.
LegProvisionParties | [0..*] | Group |

Used in components: InstrumentLeg

LegProvisionOptionExerciseBoundsFirstDateUnadjusted

The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.

Type: LocalMktDate

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseBoundsLastDateUnadjusted

The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.

Type: LocalMktDate

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseBusinessCenter

The business center calendar used to adjust the instrument leg's provision's option exercise date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProvisionOptionExerciseBusinessCenterGrp

LegProvisionOptionExerciseBusinessCenterGrp

LegProvisionOptionExerciseBusinessCenterGrp is a repeating subcomponent within the LegProvisionOptionExerciseDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegProvisionOptionExerciseBusinessCenters | [1..1] | NumInGroup |
LegProvisionOptionExerciseBusinessCenter | [0..1] | String | Required if NoLegProvisionOptionExerciseBusinessCenters(40936) > 0.

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseBusinessDayConvention

The business day convention used to adjust the instrument leg's provision's option exercise date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseConfirmation

Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.

Type: Boolean

Used in groups: LegProvisionGrp

LegProvisionOptionExerciseDates

The LegProvisionOptionExerciseDates is a subcomponent within the LegProvisionGrp component used to report the option exercise dates and times defined in the provision.

Name | Mult. | Type | Description
LegProvisionOptionExerciseBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision option exercise dates.
LegProvisionOptionExerciseBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision option exercise dates.
LegProvisionOptionExerciseFixedDateGrp | [0..*] | Group |
LegProvisionOptionExerciseEarliestDateOffsetPeriod | [0..1] | int | Conditionally required when LegProvisionOptionExerciseEarliestDateUnit(40479) is specified.
LegProvisionOptionExerciseEarliestDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegProvisionOptionExerciseEarliestDatePeriod(40478) is specified.
LegProvisionOptionExerciseFrequencyPeriod | [0..1] | int | Conditionally required when LegProvisionOptionExerciseFrequencyUnit(40481) is specified.
LegProvisionOptionExerciseFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegProvisionOptionExerciseFrequencyPeriod(40480) is specified.
LegProvisionOptionExerciseStartDateUnadjusted | [0..1] | LocalMktDate |
LegProvisionOptionExerciseStartDateRelativeTo | [0..1] | int |
LegProvisionOptionExerciseStartDateOffsetPeriod | [0..1] | int | Conditionally required when LegProvisionOptionExerciseStartDateOffsetUnit(40485) is specified.
LegProvisionOptionExerciseStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegProvisionOptionExerciseStartDateOffsetPeriod(40484) is specified.
LegProvisionOptionExerciseStartDateOffsetDayType | [0..1] | CodeSet |
LegProvisionOptionExerciseStartDateAdjusted | [0..1] | LocalMktDate |
LegProvisionOptionExercisePeriodSkip | [0..1] | int |
LegProvisionOptionExerciseBoundsFirstDateUnadjusted | [0..1] | LocalMktDate |
LegProvisionOptionExerciseBoundsLastDateUnadjusted | [0..1] | LocalMktDate |
LegProvisionOptionExerciseEarliestTime | [0..1] | LocalMktTime |
LegProvisionOptionExerciseEarliestTimeBusinessCenter | [0..1] | String |
LegProvisionOptionExerciseLatestTime | [0..1] | LocalMktTime |
LegProvisionOptionExerciseLatestTimeBusinessCenter | [0..1] | String |

Used in groups: LegProvisionGrp

LegProvisionOptionExerciseEarliestDateOffsetPeriod

Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.

Type: int

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseEarliestDateOffsetUnit

Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.

Type: String

Allowed values in ProvisionOptionExerciseEarliestDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseEarliestTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.

Type: LocalMktTime

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseEarliestTimeBusinessCenter

Identifies the business center calendar used with the provision's earliest time for notice of exercise.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseFixedDate

A predetermined option exercise date unadjusted or adjusted depending on LegProvisionOptionExerciseFixedDateType(40497).

Type: LocalMktDate

Used in groups: LegProvisionOptionExerciseFixedDateGrp

LegProvisionOptionExerciseFixedDateGrp

The LegProvisionOptionExerciseFixedDateGrp is a repeating component within the LegProvisionOptionExerciseDates component used to report an array of unadjusted or adjusted fixed exercise dates.

Name | Mult. | Type | Description
NoLegProvisionOptionExerciseFixedDates | [1..1] | NumInGroup |
LegProvisionOptionExerciseFixedDate | [0..1] | LocalMktDate | Required if NoLegProvisionOptionExerciseFixedDates(40495) > 0.
LegProvisionOptionExerciseFixedDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseFixedDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in ProvisionOptionExerciseFixedDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegProvisionOptionExerciseFixedDateGrp

LegProvisionOptionExerciseFrequencyPeriod

Time unit multiplier for subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.

Type: int

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseFrequencyUnit

Time unit associated with subsequent exercise dates in the exercise period following the earliest exercise date.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseLatestTime

For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.

Type: LocalMktTime

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseLatestTimeBusinessCenter

Identifies the business center calendar used with the provision's latest time for notice of exercise.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseMaximumNotional

The maximum notional amount that can be exercised on a given exercise date.

Type: Amt

Used in groups: LegProvisionGrp

LegProvisionOptionExerciseMinimumNotional

The minimum notional amount that can be exercised on a given exercise date.

Type: Amt

Used in groups: LegProvisionGrp

LegProvisionOptionExerciseMultipleNotional

A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.

Type: Amt

Used in groups: LegProvisionGrp

LegProvisionOptionExercisePeriodSkip

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

Type: int

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStartDateAdjusted

The adjusted first day of the exercise period for an American style option.

Type: LocalMktDate

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStartDateOffsetDayType

Specifies the day type of the provision's relative option exercise start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStartDateOffsetPeriod

Time unit multiplier for the relative option exercise start date offset.

Type: int

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStartDateOffsetUnit

Time unit associated with the relative option exercise start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStartDateRelativeTo

Specifies the anchor date when the option exercise start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStartDateUnadjusted

The unadjusted first day of the exercise period for an American style option.

Type: LocalMktDate

Used in components: LegProvisionOptionExerciseDates

LegProvisionOptionExerciseStyle

The instrument provision option exercise style.

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in groups: LegProvisionGrp

LegProvisionOptionExpirationDateAdjusted

The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.

Type: LocalMktDate

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateBusinessCenter

The business center calendar used to adjust the instrument leg's provision's option expiration date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProvisionOptionExpirationDateBusinessCenterGrp

LegProvisionOptionExpirationDateBusinessCenterGrp

LegProvisionOptionExpirationDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionOptionExpirationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegProvisionOptionExpirationDateBusinessCenters | [1..1] | NumInGroup |
LegProvisionOptionExpirationDateBusinessCenter | [0..1] | String | Required if NoLegProvisionOptionExpirationDateBusinessCenters(40937) > 0.

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateBusinessDayConvention

The business day convention used to adjust the instrument leg's provision's option expiration date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDate

The LegProvisionOptionExerciseDate is a subcomponent within the LegProvisionGrp component used to report the option expiration date and times defined in the provision.

Name | Mult. | Type | Description
LegProvisionOptionExpirationDateUnadjusted | [0..1] | LocalMktDate |
LegProvisionOptionExpirationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision option expiration date.
LegProvisionOptionExpirationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision option expiration date.
LegProvisionOptionExpirationDateRelativeTo | [0..1] | int |
LegProvisionOptionExpirationDateOffsetPeriod | [0..1] | int | Conditionally required when LegProvisionOptionExpirationDateOffsetUnit(40503) is specified.
LegProvisionOptionExpirationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegProvisionOptionExpirationDateOffsetPeriod(40502) is specified.
LegProvisionOptionExpirationDateOffsetDayType | [0..1] | CodeSet |
LegProvisionOptionExpirationDateAdjusted | [0..1] | LocalMktDate |
LegProvisionOptionExpirationTime | [0..1] | LocalMktTime |
LegProvisionOptionExpirationTimeBusinessCenter | [0..1] | String |

Used in groups: LegProvisionGrp

LegProvisionOptionExpirationDateOffsetDayType

Specifies the day type of the provision's relative option expiration date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateOffsetPeriod

Time unit multiplier for the relative option expiration date offset.

Type: int

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateOffsetUnit

Time unit associated with the relative option expiration date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateRelativeTo

Specifies the anchor date when the option expiration date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationDateUnadjusted

The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.

Type: LocalMktDate

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationTime

The latest time for exercise on the expiration date.

Type: LocalMktTime

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionExpirationTimeBusinessCenter

Identifies the business center calendar used with the provision's latest exercise time on expiration date.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: LegProvisionOptionExpirationDate

LegProvisionOptionMaximumNumber

The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.

Type: int

Used in groups: LegProvisionGrp

LegProvisionOptionMinimumNumber

The minimum number of options that can be exercised on a given exercise date.

Type: int

Used in groups: LegProvisionGrp

LegProvisionOptionRelevantUnderlyingDateAdjusted

The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

Type: LocalMktDate

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateBusinessCenter

The business center calendar used to adjust the instrument leg's provision's option underlying date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp is a repeating subcomponent within the LegProvisionOptionRelevantUnderlyingDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegProvisionOptionRelevantUnderlyingDateBusinessCenters | [1..1] | NumInGroup |
LegProvisionOptionRelevantUnderlyingDateBusinessCenter | [0..1] | String | Required if NoLegProvisionOptionRelevantUnderlyingDateBusinessCenters(40938) > 0.

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateBusinessDayConvention

The business day convention used to adjust the instrument leg's provision's option relevant underlying date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDate

The LegProvisionOptionRelevantUnderlyingDate is a subcomponent within the LegProvisionGrp component used to report the option relevant underlyingdate defined in the provision.

Name | Mult. | Type | Description
LegProvisionOptionRelevantUnderlyingDateUnadjusted | [0..1] | LocalMktDate |
LegProvisionOptionRelevantUnderlyingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg provision option relevant underlying date.
LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg provision option relevant underlying date.
LegProvisionOptionRelevantUnderlyingDateRelativeTo | [0..1] | int |
LegProvisionOptionRelevantUnderlyingDateOffsetPeriod | [0..1] | int | Conditionally required when LegProvisionOptionRelevantUnderlyingDateOffsetUnit(40513) is specified.
LegProvisionOptionRelevantUnderlyingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegProvisionOptionRelevantUnderlyingDateOffsetPeriod(40512) is specified.
LegProvisionOptionRelevantUnderlyingDateOffsetDayType | [0..1] | CodeSet |
LegProvisionOptionRelevantUnderlyingDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegProvisionGrp

LegProvisionOptionRelevantUnderlyingDateOffsetDayType

Specifies the day type of the provision's relative option relevant underlying date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateOffsetPeriod

Time unit multiplier for the relative option relevant underlying date offset.

Type: int

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateOffsetUnit

Time unit associated with the relative option relevant underlying date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateRelativeTo

Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionRelevantUnderlyingDateUnadjusted

The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

Type: LocalMktDate

Used in components: LegProvisionOptionRelevantUnderlyingDate

LegProvisionOptionSinglePartyBuyerSide

If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.

Type: int

Allowed values in ProvisionOptionSinglePartyBuyerSideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegProvisionGrp

LegProvisionOptionSinglePartySellerSide

If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.

Type: int

Allowed values in ProvisionOptionSinglePartyBuyerSideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegProvisionGrp

LegProvisionParties

LegProvisionParties is a repeating component within the LegProvision component used to report the parties identified in the contract provision.

Name | Mult. | Type | Description
NoLegProvisionPartyIDs | [1..1] | NumInGroup |
LegProvisionPartyID | [0..1] | String | Required if NoLegProvisionPartyIDs(40533) > 0.
LegProvisionPartyIDSource | [0..1] | CodeSet | Required if NoLegProvisionPartyIDs(40533) > 0.
LegProvisionPartyRole | [0..1] | CodeSet | Required if NoLegProvisionPartyIDs(40533) > 0.
LegProvisionPartyRoleQualifier | [0..1] | CodeSet |
LegProvisionPtysSubGrp | [0..*] | Group |

Used in groups: LegProvisionGrp

LegProvisionPartyID

The party identifier/code for the payment settlement party.

Type: String

Used in groups: LegProvisionParties

LegProvisionPartyIDSource

Identifies the class or source of LegProvisionPartyID(40534).

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: LegProvisionParties

LegProvisionPartyRole

Identifies the type or role of LegProvisionPartyID(40534) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: LegProvisionParties

LegProvisionPartyRoleQualifier

Used to further qualify the value of LegProvisionPartyRole(40536).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: LegProvisionParties

LegProvisionPartySubID

Party sub-identifier, if applicable, for LegProvisionPartyRole(40536).

Type: String

Used in groups: LegProvisionPtysSubGrp

LegProvisionPartySubIDType

The type of LegProvisionPartySubID(40538) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: LegProvisionPtysSubGrp

LegProvisionPtysSubGrp

LegProvisionSubParties is a repeating component within the LegProvisionParties component used to extend information to be reported for the party.

Name | Mult. | Type | Description
NoLegProvisionPartySubIDs | [1..1] | NumInGroup |
LegProvisionPartySubID | [0..1] | String | Required if NoLegProvisionPartySubIDs(40537) > 0.
LegProvisionPartySubIDType | [0..1] | CodeSet | Required if NoLegProvisionPartySubIDs(40537) > 0.

Used in groups: LegProvisionParties

LegProvisionText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: LegProvisionGrp

LegProvisionType

Type of provisions.

Type: int

Allowed values in ProvisionTypeCodeSet:

Code | Name | Description
0 | MandatoryEarlyTermination | Mandatory early termination
1 | OptionalEarlyTermination | Optional early termination
2 | Cancelable | Cancelable
3 | Extendable | Extendable. The contract can be extended by either party usually with a specific time notice prior to the expiry date. In the context of EU SFTR reporting this corresponds to "termination optionality" code "ETSB".
4 | MutualEarlyTermination | Mutual early termination
5 | Evergreen | Evergreen. The contract automatically renews after the expiry date until one party gives the other notice to terminate. In the context of EU SFTR reporting this corresponds to "termination optionality" code "EGRN".
6 | Callable | Callable. Contract is callable.
7 | Puttable | Puttable. Contract is puttable.

Used in groups: LegProvisionGrp

LegPutOrCall

Indicates whether a leg option contract is a put, call, chooser or undetermined.

Type: int

Allowed values in PutOrCallCodeSet:

Code | Name | Description
0 | Put | Put. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate receiver or into a CDS contract as a seller of protection or for the case of a Floor.
1 | Call | Call. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate payer or into a CDS contract as a buyer of protection or for the case of a Cap.
2 | Other | Other. In the context of ESMA RTS 22 reporting, this value may be used when, at the time of execution, the option right cannot be determined.
3 | Chooser | Chooser. Indicates that the option buyer may choose to buy or sell the underlying security on exercise or if a Swaption to pay or receive the underlying IRS cash flow stream or to buy or sell CDS protection.

Used in components: InstrumentLeg

LegQty

This field is deprecated and has been replaced by LegOrderQty(685). This field will likely be removed from the FIX standard in a future version.

Type: Qty

Used in groups: InstrmtLegExecGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, TrdInstrmtLegGrp

LegQtyType

Type of quantity specified in LegQty field. LegContractMultiplier (614) is required when LegQtyType = 1 (Contracts). LegUnitOfMeasure (tag 999) and LegTimeUnit (tag 1001) are required when LegQtyType = 2 (Units of Measure per Time Unit). LegQtyType can be different for each leg.

Type: int

Allowed values in QtyTypeCodeSet:

Code | Name | Description
0 | Units | Units (shares, par, currency)
1 | Contracts | Contracts
2 | UnitsOfMeasurePerTimeUnit | Unit of Measure per Time Unit

Used in groups: TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegQuotGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup |
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegOrderQty | [0..1] | Qty |
LegQty | [0..1] | Qty | The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
LegMidPx | [0..1] | Price |
LegSwapType | [0..1] | CodeSet |
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate |
LegStipulations | [0..*] | Group |
NestedParties | [0..*] | Group |
LegPriceType | [0..1] | CodeSet | Code to represent type of price presented in LegBidPx(681) and LegOfferPx(684). Conditionally required when LegBidPx(681) or PegOfferPx(684) is present.
LegBidPx | [0..1] | Price |
LegOfferPx | [0..1] | Price |
LegBenchmarkCurveData | [0..1] | Component |
LegRefID | [0..1] | String | Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
LegBidForwardPoints | [0..1] | PriceOffset |
LegOfferForwardPoints | [0..1] | PriceOffset |

Used in messages: Quote, QuoteResponse

LegQuotStatGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup |
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegOrderQty | [0..1] | Qty |
LegQty | [0..1] | Qty | The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
LegMidPx | [0..1] | Price |
LegSwapType | [0..1] | CodeSet |
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate |
LegStipulations | [0..*] | Group |
NestedParties | [0..*] | Group |

Used in messages: QuoteStatusReport

LegRatioQty

The ratio of quantity for this individual leg relative to the entire multileg security.

Type: float

Used in components: InstrumentLeg

LegRedemptionDate

Multileg instrument's individual leg security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: InstrumentLeg

LegReferenceEntityType

Specifies the type of reference entity for first-to-default CDS basket contracts.

Type: int

Allowed values in ReferenceEntityTypeCodeSet:

Code | Name | Description
1 | Asian | Asian
2 | AustralianNewZealand | Australian and New Zealand
3 | EuropeanEmergingMarkets | European emerging markets
4 | Japanese | Japanese
5 | NorthAmericanHighYield | North American high yield
6 | NorthAmericanInsurance | North American insurance
7 | NorthAmericanInvestmentGrade | North American investment grade
8 | Singaporean | Singaporean
9 | WesternEuropean | Western European
10 | WesternEuropeanInsurance | Western European insurance

Used in components: InstrumentLeg

LegRefID

Unique identifier for a specific leg (uniqueness not defined as part of the FIX specification). LegRefID(654) be used to reference the value from LegID(1788).

Type: String

Used in groups: InstrmtLegExecGrp, LegOrdGrp, LegQuotGrp, MDFullGrp, QuotReqLegsGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegRepoCollateralSecurityType

Multileg instrument's individual leg security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: InstrumentLeg

LegReportID

Additional attribute to store the Trade ID of the Leg.

Type: String

Used in groups: TrdInstrmtLegGrp

LegRepurchaseRate

Multileg instrument's individual leg security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Percentage

Used in components: InstrumentLeg

LegRepurchaseTerm

Multileg instrument's individual leg security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: int

Used in components: InstrumentLeg

LegRestructuringType

A category of CDS credit event in which the underlying bond experiences a restructuring.

Used to define a CDS instrument.

Type: String

Allowed values in RestructuringTypeCodeSet:

Code | Name | Description
FR | FullRestructuring | Full Restructuring
MR | ModifiedRestructuring | Modified Restructuring
MM | ModifiedModRestructuring | Modified Mod Restructuring
XR | NoRestructuringSpecified | No Restructuring specified

Used in components: InstrumentLeg

LegReturnRateAmountRelativeTo

Specifies the reference amount when the return rate amount is relative to another amount in the trade.

See http://www.fixtradingcommunity.org/codelists#Amount_Relative_To for code list of relative amounts.

Type: int

Used in groups: LegReturnRateGrp

LegReturnRateCashFlowType

Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.

See http://www.fpml.org/coding-scheme/cashflow-type for values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateCommissionAmount

The commission amount.

Type: Amt

Used in groups: LegReturnRateGrp

LegReturnRateCommissionBasis

Specifies the basis or unit used to calculate the commission.

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | Amount per unit. Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
2 | Percent | Percent
3 | Absolute | Absolute. Total monetary amount.
4 | PercentageWaivedCashDiscount | Percentage waived, cash discount basis. For use with CIV buy orders.
5 | PercentageWaivedEnhancedUnits | Percentage waived, enhanced units basis. For use with CIV buy orders.
6 | PointsPerBondOrContract | Points per bond or contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
7 | BasisPoints | Basis points. The commission is expressed in basis points in reference to the gross price of the reference asset.
8 | AmountPerContract | Amount per contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.

Used in groups: LegReturnRateGrp

LegReturnRateCommissionCurrency

Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegReturnRateGrp

LegReturnRateDateGrp

LegReturnRateDateGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRateDates | [1..1] | NumInGroup |
LegReturnRateDateMode | [0..1] | CodeSet | Required if NoLegReturnRateDates(42508) > 0.
LegReturnRateValuationDateGrp | [0..*] | Group |
LegReturnRateValuationDateRelativeTo | [0..1] | int |
LegReturnRateValuationDateOffsetPeriod | [0..1] | int | Conditionally required when LegReturnRateValuationDateOffsetUnit(42512) is specified.
LegReturnRateValuationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegReturnRateValuationDateOffsetPeriod(42511) is specified.
LegReturnRateValuationDateOffsetDayType | [0..1] | CodeSet |
LegReturnRateValuationStartDateUnadjusted | [0..1] | LocalMktDate |
LegReturnRateValuationStartDateRelativeTo | [0..1] | int |
LegReturnRateValuationStartDateOffsetPeriod | [0..1] | int | Conditionally required when LegReturnRateValuationStartDateOffsetUnit(42517) is specified.
LegReturnRateValuationStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegReturnRateValuationStartDateOffsetPeriod(42516) is specified.
LegReturnRateValuationStartDateOffsetDayType | [0..1] | CodeSet |
LegReturnRateValuationStartDateAdjusted | [0..1] | LocalMktDate |
LegReturnRateValuationEndDateUnadjusted | [0..1] | LocalMktDate |
LegReturnRateValuationEndDateRelativeTo | [0..1] | int |
LegReturnRateValuationEndDateOffsetPeriod | [0..1] | int | Conditionally required when LegReturnRateValuationEndDateOffsetUnit(42523) is specified.
LegReturnRateValuationEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegReturnRateValuationEndDateOffsetPeriod(42522) is specified.
LegReturnRateValuationEndDateOffsetDayType | [0..1] | CodeSet |
LegReturnRateValuationEndDateAdjusted | [0..1] | LocalMktDate |
LegReturnRateValuationFrequencyPeriod | [0..1] | int | Conditionally required when LegReturnRateValuationFrequencyUnit(42527) is specified.
LegReturnRateValuationFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegReturnRateValuationFrequencyPeriod(42526) is specified.
LegReturnRateValuationFrequencyRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of return rate valuation dates.
LegReturnRateValuationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to payment stream return rate valuation dates.
LegReturnRateValuationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to payment stream return rate valuation dates.

Used in groups: LegReturnRateGrp

LegReturnRateDateMode

Specifies the valuation type applicable to the return rate date.

Type: int

Allowed values in ReturnRateDateModeCodeSet:

Code | Name | Description
0 | PriceValuation | Price valuation
1 | DividendValuation | Dividend valuation

Used in groups: LegReturnRateDateGrp

LegReturnRateDeterminationMethod

Specifies the method by which the underlier prices are determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateFinalPriceFallback

Specifies the fallback provision for the hedging party in the determination of the final price.

Type: int

Allowed values in ComplexEventPVFinalPriceElectionFallbackCodeSet:

Code | Name | Description
0 | Close | Close. In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
1 | HedgeElection | Hedge election. In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.

Used in groups: LegReturnRateGrp

LegReturnRateFXConversionGrp

LegReturnRateFXConversionGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRateFXConversions | [1..1] | NumInGroup |
LegReturnRateFXCurrencySymbol | [0..1] | String | Required if NoLegReturnRateFXConversions(42530) > 0.
LegReturnRateFXRate | [0..1] | float | Required if NoLegReturnRateFXConversions(42530) > 0.
LegReturnRateFXRateCalc | [0..1] | CodeSet |

Used in groups: LegReturnRateGrp

LegReturnRateFXCurrencySymbol

Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.

Type: String

Used in groups: LegReturnRateFXConversionGrp

LegReturnRateFXRate

The rate of exchange between the two currencies specified in LegReturnRateFXCurrencySymbol(42531).

Type: float

Used in groups: LegReturnRateFXConversionGrp

LegReturnRateFXRateCalc

The rate of exchange between the two currencies specified in LegReturnRateFXCurrencySymbol(42531).

Type: char

Allowed values in SettlCurrFxRateCalcCodeSet:

Code | Name | Description
M | Multiply | Multiply
D | Divide | Divide

Used in groups: LegReturnRateFXConversionGrp

LegReturnRateGrp

LegReturnRateGrp is a repeating subcomponent within the LegPaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRates | [1..1] | NumInGroup |
LegReturnRatePriceSequence | [0..1] | CodeSet | Required if NoLegReturnRates(42534) > 0.
LegReturnRateCommissionBasis | [0..1] | CodeSet |
LegReturnRateCommissionAmount | [0..1] | Amt |
LegReturnRateCommissionCurrency | [0..1] | Currency | If not specified, this is defaulted to the reporting currency.
LegReturnRateTotalCommissionPerTrade | [0..1] | Amt |
LegReturnRateDeterminationMethod | [0..1] | String |
LegReturnRatePriceGrp | [0..*] | Group |
LegReturnRateFXConversionGrp | [0..*] | Group |
LegReturnRateAmountRelativeTo | [0..1] | int |
LegReturnRateQuoteMeasureType | [0..1] | String |
LegReturnRateQuoteUnits | [0..1] | String |
LegReturnRateQuoteMethod | [0..1] | CodeSet |
LegReturnRateQuoteCurrency | [0..1] | Currency |
LegReturnRateQuoteCurrencyType | [0..1] | String |
LegReturnRateQuoteTimeType | [0..1] | CodeSet | Mutually exclusive with LegReturnRateQuoteTime(42548).
LegReturnRateQuoteTime | [0..1] | LocalMktTime | Mutually exclusive with LegReturnRateQuoteTimeType(42547).
LegReturnRateQuoteDate | [0..1] | LocalMktDate |
LegReturnRateQuoteExpirationTime | [0..1] | LocalMktTime |
LegReturnRateQuoteBusinessCenter | [0..1] | String |
LegReturnRateQuoteExchange | [0..1] | Exchange |
LegReturnRateInformationSourceGrp | [0..*] | Group |
LegReturnRateQuotePricingModel | [0..1] | String |
LegReturnRateCashFlowType | [0..1] | String |
LegReturnRateDateGrp | [0..*] | Group |
LegReturnRateValuationTimeType | [0..1] | CodeSet | Mutually exclusive with LegReturnRateValuationTime(42556).
LegReturnRateValuationTime | [0..1] | LocalMktTime | Mutually exclusive with LegReturnRateValuationTimeType(42555).
LegReturnRateValuationTimeBusinessCenter | [0..1] | String |
LegReturnRateValuationPriceOption | [0..1] | CodeSet |
LegReturnRateFinalPriceFallback | [0..1] | CodeSet |

Used in components: LegPaymentStreamFloatingRate

LegReturnRateInformationSource

Identifies the source of rate information. For FX the references source to be used for the FX spot rate.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: LegReturnRateInformationSourceGrp

LegReturnRateInformationSourceGrp

LegReturnRateInformationSourceGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRateInformationSources | [1..1] | NumInGroup |
LegReturnRateInformationSource | [0..1] | CodeSet | Required if NoLegReturnRateInformationSources(42560) > 0.
LegReturnRateReferencePage | [0..1] | String |
LegReturnRateReferencePageHeading | [0..1] | String |

Used in groups: LegReturnRateGrp

LegReturnRateNotionalReset

Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.

Type: Boolean

Used in components: LegPaymentStreamFloatingRate

LegReturnRatePrice

Specifies the price of the underlying swap asset.

Type: Price

Used in groups: LegReturnRatePriceGrp

LegReturnRatePriceBasis

The basis of the return price.

Type: int

Allowed values in ReturnRatePriceBasisCodeSet:

Code | Name | Description
0 | Gross | Gross.
1 | Net | Net
2 | Accrued | Accrued
3 | CleanNet | Clean net

Used in groups: LegReturnRatePriceGrp

LegReturnRatePriceCurrency

Specifies the currency of the price of the leg swap asset. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegReturnRatePriceGrp

LegReturnRatePriceGrp

LegReturnRatePriceGrp is a repeating subcomponent within the LegReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRatePrices | [1..1] | NumInGroup |
LegReturnRatePriceBasis | [0..1] | CodeSet | Required if NoLegReturnRatePrices(42564) > 0.
LegReturnRatePrice | [0..1] | Price |
LegReturnRatePriceCurrency | [0..1] | Currency |
LegReturnRatePriceType | [0..1] | CodeSet |

Used in groups: LegReturnRateGrp

LegReturnRatePriceSequence

Specifies the type of price sequence of the return rate.

Type: int

Allowed values in ReturnRatePriceSequenceCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Interim | Interim
2 | Final | Final

Used in groups: LegReturnRateGrp

LegReturnRatePriceType

Specifies whether the LegReturnRatePrice(42566) is expressed in absolute or relative terms.

Type: int

Allowed values in ReturnRatePriceTypeCodeSet:

Code | Name | Description
0 | AbsoluteTerms | Absolute terms
1 | PercentageOfNotional | Percentage of notional

Used in groups: LegReturnRatePriceGrp

LegReturnRateQuoteBusinessCenter

The business center calendar used for adjustments associated with LegReturnRateQuoteTimeType(42547) or LegReturnRateQuoteTime(42548) and LegReturnRateQuoteDate(42549), e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateQuoteCurrency

Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: LegReturnRateGrp

LegReturnRateQuoteCurrencyType

Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.

See http://www.fpml.org/coding-scheme/reporting-currency-type for values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateQuoteDate

The date when the quote is to be generated.

Type: LocalMktDate

Used in groups: LegReturnRateGrp

LegReturnRateQuoteExchange

Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.

Type: Exchange

Used in groups: LegReturnRateGrp

LegReturnRateQuoteExpirationTime

The time when the quote ceases to be valid.

Type: LocalMktTime

Used in groups: LegReturnRateGrp

LegReturnRateQuoteMeasureType

Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.

See http://www.fpml.org/coding-scheme/asset-measure for values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateQuoteMethod

Specifies the type of quote used to determine the return rate of the swap.

Type: int

Allowed values in CashSettlQuoteMethodCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer

Used in groups: LegReturnRateGrp

LegReturnRateQuotePricingModel

Specifies the pricing model used to evaluate the underlying asset price.

See http://www.fpml.org/coding-scheme/pricing-model for values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateQuoteTime

The time when the quote is to be generated.

Type: LocalMktTime

Used in groups: LegReturnRateGrp

LegReturnRateQuoteTimeType

Specifies how or the timing when the quote is to be obtained.

Type: int

Allowed values in ReturnRateQuoteTimeTypeCodeSet:

Code | Name | Description
0 | Open | Open. The official opening time of the exchange on valuation date.
1 | OfficialSettlPx | Official settlement price time. The time at which the official settlement price is determined.
2 | Xetra | XETRA. The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
3 | Close | Close. The official closing time of the exchange on valuation date.
4 | DerivativesClose | Derivatives close. The official closing time for derivative trading of the exchange on valuation date.
5 | High | High. The high price for the day.
6 | Low | Low. The low price for the day.
7 | AsSpecifiedInMasterConfirmation | As specified in the master confirmation

Used in groups: LegReturnRateGrp

LegReturnRateQuoteUnits

Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.

See http://www.fpml.org/coding-scheme/price-quote-units for values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateReferencePage

Identifies the reference "page" from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When LegReturnRateInformationSource(42561) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.

See: http://www.fpml.org/coding-scheme/settlement-rate-option.

Type: String

Used in groups: LegReturnRateInformationSourceGrp

LegReturnRateReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in groups: LegReturnRateInformationSourceGrp

LegReturnRateTotalCommissionPerTrade

The total commission per trade.

Type: Amt

Used in groups: LegReturnRateGrp

LegReturnRateValuationDate

The return rate valuation date. The type of date is specified in LegReturnRateValuationDateType(42573).

Type: LocalMktDate

Used in groups: LegReturnRateValuationDateGrp

LegReturnRateValuationDateBusinessCenter

The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegReturnRateValuationDateBusinessCenterGrp

LegReturnRateValuationDateBusinessCenterGrp

LegReturnRateValuationDateBusinessCenterGrp is a repeating subcomponent within the LegReturnRateValuationDateGrp component. It is used to specify the valuation date business center adjustments for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRateValuationDateBusinessCenters | [1..1] | NumInGroup |
LegReturnRateValuationDateBusinessCenter | [0..1] | String | Required if NoLegReturnRateValuationDateBusinessCenters(42569) > 0.

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateBusinessDayConvention

The return rate valuation dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateGrp

LegReturnRateValuationDateGrp is a repeating subcomponent within the LegReturnRateDateGrp component. It is used to specify the fixed valuation dates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoLegReturnRateValuationDates | [1..1] | NumInGroup |
LegReturnRateValuationDate | [0..1] | LocalMktDate | Required if NoLegReturnRateValuationDates(42571) > 0.
LegReturnRateValuationDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateOffsetDayType

Specifies the day type of the relative return rate valuation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateOffsetPeriod

Time unit multiplier for the relative return rate valuation date offset.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateOffsetUnit

Time unit associated with the relative return rate valuation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateRelativeTo

Specifies the anchor date when the return rate valuation dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationDateType

Specifies the type of return rate valuation date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegReturnRateValuationDateGrp

LegReturnRateValuationEndDateAdjusted

The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationEndDateOffsetDayType

Specifies the day type of the relative return rate valuation end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationEndDateOffsetPeriod

Time unit multiplier for the relative return rate valuation end date offset.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationEndDateOffsetUnit

Time unit associated with the relative return rate valuation end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationEndDateRelativeTo

Specifies the anchor date when the return rate valuation end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationEndDateUnadjusted

The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationFrequencyPeriod

Time unit multiplier for the frequency at which return rate valuation dates occur.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationFrequencyRollConvention

The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationFrequencyUnit

Time unit associated with the frequency at which return rate valuation dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationPriceOption

Indicates whether an ISDA price option applies, and if applicable which type of price.

Type: int

Allowed values in ReturnRateValuationPriceOptionCodeSet:

Code | Name | Description
0 | None | None (the default)
1 | FuturesPrice | Futures price. The official settlement price as announced by the related futures exchange is applicable.
2 | OptionsPrice | Options price. The official settlement price as announced by the related options exchange is applicable.

Used in groups: LegReturnRateGrp

LegReturnRateValuationStartDateAdjusted

The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationStartDateOffsetDayType

Specifies the day type of the relative return rate valuation start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationStartDateOffsetPeriod

Time unit multiplier for the relative return rate valuation start date offset.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationStartDateOffsetUnit

Time unit associated with the relative return rate valuation start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationStartDateRelativeTo

Specifies the anchor date when the return rate valuation start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationStartDateUnadjusted

The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: LegReturnRateDateGrp

LegReturnRateValuationTime

The time at which the calculation agent values the underlying asset.

Type: LocalMktTime

Used in groups: LegReturnRateGrp

LegReturnRateValuationTimeBusinessCenter

The business center calendar used for adjustments associated with LegReturnRateValuationTimeType(42555) or LegReturnRateValuationTime(42556), e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegReturnRateGrp

LegReturnRateValuationTimeType

Specifies the timing at which the calculation agent values the underlying.

Type: int

Allowed values in ReturnRateQuoteTimeTypeCodeSet:

Code | Name | Description
0 | Open | Open. The official opening time of the exchange on valuation date.
1 | OfficialSettlPx | Official settlement price time. The time at which the official settlement price is determined.
2 | Xetra | XETRA. The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
3 | Close | Close. The official closing time of the exchange on valuation date.
4 | DerivativesClose | Derivatives close. The official closing time for derivative trading of the exchange on valuation date.
5 | High | High. The high price for the day.
6 | Low | Low. The low price for the day.
7 | AsSpecifiedInMasterConfirmation | As specified in the master confirmation

Used in groups: LegReturnRateGrp

LegReturnTrigger

Indicates the type of return or payout trigger for the swap or forward.

Type: int

Allowed values in ReturnTriggerCodeSet:

Code | Name | Description
1 | Dividend | Dividend
2 | Variance | Variance
3 | Volatility | Volatility
4 | TotalReturn | Total return
5 | ContractForDifference | Contract for difference
6 | CreditDefault | Credit default
7 | SpreadBet | Spread bet
8 | Price | Price
9 | ForwardPriceUnderlyingInstrument | Forward price of underlying instrument
99 | Other | Other

Used in components: InstrumentLeg

LegSecAltIDGrp

Name | Mult. | Type | Description
NoLegSecurityAltID | [1..1] | NumInGroup |
LegSecurityAltID | [0..1] | String |
LegSecurityAltIDSource | [0..1] | CodeSet |
LegSymbolPositionNumber | [0..1] | int |

Used in components: InstrumentLeg

LegSecondaryAssetClass

The broad asset category for assessing risk exposure for a multi-asset trade.

Type: int

Allowed values in AssetClassCodeSet:

Code | Name | Description
1 | InterestRate | Interest rate
2 | Currency | Currency
3 | Credit | Credit
4 | Equity | Equity
5 | Commodity | Commodity
6 | Other | Other
7 | Cash | Cash
8 | Debt | Debt
9 | Fund | Fund. Such as mutual fund, collective investment vehicle, investment program, specialized account program.
10 | LoanFacility | Loan facility
11 | Index | Index. A main index identified as a security type, for example under EU SFTR reporting.

Used in groups: LegSecondaryAssetGrp

LegSecondaryAssetGrp

LegSecondaryAssetGrp is a repeating subcomponent of the InstrumentLeg component used to specify secondary assets of a multi-asset swap.

Name | Mult. | Type | Description
NoLegSecondaryAssetClasses | [1..1] | NumInGroup |
LegSecondaryAssetClass | [0..1] | CodeSet | Required if NoLegSecondaryAssetClasses(2076) > 0.
LegSecondaryAssetSubClass | [0..1] | CodeSet | Required if LegSecondaryAssetType(2079) is specified.
LegSecondaryAssetType | [0..1] | String | Required if LegSecondaryAssetSubType(2743) is specified.
LegSecondaryAssetSubType | [0..1] | String |

Used in components: InstrumentLeg

LegSecondaryAssetSubClass

An indication of the general description of the asset class.

Type: int

Allowed values in AssetSubClassCodeSet:

Code
Name
Description

1
SingleCurrency
Single currency

2
CrossCurrency
Cross currency

3
Basket
Basket [for multi-currency]

4
SingleName
Single name

5
CreditIndex
Credit index

6
IndexTranche
Index tranche

7
CreditBasket
Credit basket

8
Exotic
Exotic

9
Common
Common

10
Preferred
Preferred

11
EquityIndex
Equity index

12
EquityBasket
Equity basket

13
Metals
Metals

14
Bullion
Bullion

15
Energy
Energy

16
CommodityIndex
Commodity index

17
Agricultural
Agricultural

18
Environmental
Environmental

19
Freight
Freight

20
Government
Government

21
Agency
Agency

22
Corporate
Corporate

23
Financing
Financing

24
MoneyMarket
Money market

25
Mortgage
Mortgage

26
Municipal
Municipal

27
MutualFund
Mutual fund

28
CollectiveInvestmentVehicle
Collective investment vehicle

29
InvestmentProgram
Investment program. A generalized fund for major investors.

30
SpecializedAccountProgram
Specialized account program. A specialized fund setup for a particular account or group of accounts.

31
TermLoan
Term loan

32
BridgeLoan
Bridge loan

33
LetterOfCredit
Letter of credit

34
DividendIndex
Dividend index

35
StockDividend
Stock dividend

36
ExchangeTradedFund
Exchange traded fund

37
VolatilityIndex
Volatility index

38
FXCrossRates
FX cross rates

39
FXEmergingMarkets
FX emerging markets

40
FXMajors
FX Majors

41
Fertilizer
Fertilizer

42
IndustrialProduct
Industrial product

43
Inflation
Inflation

44
Paper
Paper

45
Polypropylene
Polypropylene

46
OfficialEconomicStatistics
Official economic statistics

47
OtherC10
Other C10. Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".

48
Other
Other. May be used with any AssetClass(1938) values.

Used in groups: LegSecondaryAssetGrp

LegSecondaryAssetSubType

Used to provide a more specific description of the asset specified in LegSecondaryAssetType(2079).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

Type: String

Used in groups: LegSecondaryAssetGrp

LegSecondaryAssetType

Used to provide more specific description of the asset specified in LegSecondaryAssetSubClass(2078).

See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed.

Other values may be used by mutual agreement of the counterparties.

Type: String

Used in groups: LegSecondaryAssetGrp

LegSecurityAltID

Multileg instrument's individual security's SecurityAltID.

See SecurityAltID (455) field for description

Type: String

Used in groups: LegSecAltIDGrp

LegSecurityAltIDSource

Alternate identifier for individual leg security of a multileg instrument.

See SecurityAltIDSource(456) field for complete definition.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LegSecAltIDGrp

LegSecurityDesc

Description of a multileg instrument.

Can be used by the venue or one of the trading parties to provide an optional non-normative textual description of the financial instrument.

Type: String

Used in components: InstrumentLeg

LegSecurityExchange

Multileg instrument's individual security's SecurityExchange.

See SecurityExchange (207) field for description

Type: Exchange

Used in components: InstrumentLeg

LegSecurityGroup

Represents the product group of a leg.This is useful in conveying multi-leg instruments where the legs may participate in separate security groups.

Type: String

Used in components: InstrumentLeg

LegSecurityID

Multileg instrument's individual security's SecurityID.

See SecurityID (48) field for description

Type: String

Used in components: InstrumentLeg

LegSecurityIDSource

Multileg instrument's individual security's SecurityIDSource.

See SecurityIDSource (22) field for description

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegSecurityStatus

Indicates the current state of the leg instrument.

Type: String

Allowed values in SecurityStatusCodeSet:

Code
Name
Description

1
Active
Active. Instrument is active, i.e. trading is possible.

2
Inactive
Inactive. Instrument has previously been active and is now no longer traded but has not expired yet. The instrument may become active again.

3
ActiveClosingOrdersOnly
Active, closing orders only. Instrument is active but only orders closing positions (reducing risk) are allowed.

4
Expired
Expired. Instrument has expired. E.g. An instrument may expire due to reaching maturity or expired based on contract definitions or exchange rules.

5
Delisted
Delisted. Instrument has been removed from securities reference data. Delisting rules varies from exchange to exchange, which may include non-compliance of capitalization, revenue, consecutive minimum closing price. The instrument may become listed again once the instrument is back in compliance. A delisted instrument would not trade on the exchange but it may still be traded over-the-counter (e.g. OTCBB) or on Pink Sheets, or other similar trading service.

6
KnockedOut
Knocked-out. Instrument has breached a pre-defined price threshold.

7
KnockOutRevoked
Knock-out revoked. Instrument reinstated, i.e. threshold has not been breached.

8
PendingExpiry
Pending Expiry. Instrument is currently still active but will expire after the current business day. For example, a contract that expires intra-day (e.g. at noon time) and is no longer tradeable but will still show up in the current day's order book with related statistics.

9
Suspended
Suspended. Instrument has been temporarily disabled for trading (i.e. halted).

10
Published
Published. Instrument information is provided prior to its first activation.

11
PendingDeletion
Pending Deletion. Instrument is awaiting deletion from security reference data.

Used in components: InstrumentLeg

LegSecuritySubType

SecuritySubType of the leg instrument.

See SecuritySubType (762) field for description

Type: String

Used in components: InstrumentLeg

LegSecurityType

Refer to definition of SecurityType(167)

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
ABS | AssetBackedSecurities | Asset-backed Securities
AN | OtherAnticipationNotes | Other Anticipation Notes (BAN, GAN, etc.)
BA | BankersAcceptance | Bankers Acceptance
BRADY | BradyBond | Brady Bond
CORP | CorporateBond | Corporate Bond
CS | CommonStock | Common Stock
EUSUPRA | EuroSupranationalCoupons | Euro Supranational Coupons. Identify the issuer name in Issuer(106).
FOR | ForeignExchangeContract | Foreign Exchange Contract
MF | MutualFund | Mutual Fund
REPO | Repurchase | Repurchase
TERM | TermLoan | Term Loan
BDN | BankDepositoryNote | Bank Depository Note
CAN | CanadianTreasuryNotes | Canadian Treasury Notes
CAP | Cap | Cap. In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
CMB | CanadianMortgageBonds | Canadian Mortgage Bonds
COFO | CertificateOfObligation | Certificate Of Obligation
CPP | CorporatePrivatePlacement | Corporate Private Placement
FAC | FederalAgencyCoupon | Federal Agency Coupon
FORWARD | Forward | Forward
FXNDF | NonDeliverableForward | Non-deliverable forward
MLEG | MultilegInstrument | Multileg Instrument
PS | PreferredStock | Preferred Stock
RVLV | RevolverLoan | Revolver Loan
BN | BankNotes | Bank Notes
BUYSELL | BuySellback | Buy Sellback
CB | ConvertibleBond | Convertible Bond
CDS | CreditDefaultSwap | Credit Default Swap
CMBS | Corp | Corp. Mortgage-backed Securities
COFP | CertificateOfParticipation | Certificate Of Participation
CTB | CanadianTreasuryBills | Canadian Treasury Bills
DR | DepositoryReceipts | Depository Receipts
FADN | FederalAgencyDiscountNote | Federal Agency Discount Note
FXSPOT | FXSpot | FX Spot
NONE | NoSecurityType | No Security Type
RVLVTRM | Revolver | Revolver/Term Loan
BOX | BillOfExchanges | Bill Of Exchanges
BRIDGE | BridgeLoan | Bridge Loan
CLLR | Collar | Collar. In an interest rate collar, this is a combination of a cap and a floor.
CMO | CollateralizedMortgageObligation | Collateralized Mortgage Obligation
DUAL | DualCurrency | Dual Currency
EUSOV | EuroSovereigns | Euro Sovereigns. Identify the issuer name in Issuer(106).
FXFWD | FXForward | FX Forward
GO | GeneralObligationBonds | General Obligation Bonds
PEF | PrivateExportFunding | Private Export Funding. Identify the issuer name in Issuer(106).
SECLOAN | SecuritiesLoan | Securities Loan
UST | USTreasuryNoteOld | US Treasury Note (Deprecated Value Use TNOTE)
CAMM | CanadianMoneyMarkets | Canadian Money Markets
CMDTYSWAP | CommoditySwap | Commodity swap
EUCORP | EuroCorporateBond | Euro Corporate Bond
FXSWAP | FXSwap | FX Swap
IET | IOETTEMortgage | IOETTE Mortgage
LOFC | LetterOfCredit | Letter Of Credit
MT | MandatoryTender | Mandatory Tender
PROV | CanadianProvincialBonds | Canadian Provincial Bonds
SECPLEDGE | SecuritiesPledge | Securities Pledge
SUPRA | USDSupranationalCoupons | USD Supranational Coupons. Identify the issuer name in Issuer(106).
USTB | USTreasuryBillOld | US Treasury Bill (Deprecated Value Use TBILL)
? | Wildcard | Wildcard entry for use on Security Definition Request
CD | CertificateOfDeposit | Certificate Of Deposit
DVPLDG | DeliveryVersusPledge | Delivery versus pledge
EUFRN | EuroCorporateFloatingRateNotes | Euro Corporate Floating Rate Notes
EXOTIC | Exotic | Exotic
FXNDS | NonDeliverableSwap | Non-deliverable Swap
MBS | MortgageBackedSecurities | Mortgage-backed Securities
RAN | RevenueAnticipationNote | Revenue Anticipation Note
SWING | SwingLineFacility | Swing Line Facility
TB | TreasuryBill | Treasury Bill - non US
CASH | Cash | Cash
CL | CallLoans | Call Loans
COLLBSKT | CollateralBasket | Collateral basket. A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
DINP | DebtorInPossession | Debtor In Possession
FLR | Floor | Floor. In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
FRN | USCorporateFloatingRateNotes | US Corporate Floating Rate Notes
FXBN | FXBankNote | FX Bank Note
MIO | MortgageInterestOnly | Mortgage Interest Only
OOC | OptionsOnCombo | Options on Combo
REV | RevenueBonds | Revenue Bonds
TBOND | USTreasuryBond | US Treasury Bond
CP | CommercialPaper | Commercial Paper
DEFLTED | Defaulted | Defaulted
FRA | FRA | Forward Rate Agreement
FXDN | ForeignCurrencyDiscountNote | Foreign Currency Discount Note. Discount notes issued in foreign currency by Fannie Mae.
MPO | MortgagePrincipalOnly | Mortgage Principal Only
Other | Other | Other
SFP | StructuredFinanceProduct | Structured finance product
SPCLA | SpecialAssessment | Special Assessment
TINT | InterestStripFromAnyBondOrNote | Interest Strip From Any Bond Or Note
XLINKD | IndexedLinked | Indexed Linked
DN | DepositNotes | Deposit Notes
ETN | ExchangeTradedNote | Exchange traded note
FUT | Future | Future
MPP | MortgagePrivatePlacement | Mortgage Private Placement
SPCLO | SpecialObligation | Special Obligation
STRUCT | StructuredNotes | Structured Notes
TBILL | USTreasuryBill | US Treasury Bill
TIPS | TreasuryInflationProtectedSecurities | Treasury Inflation Protected Securities
WITHDRN | Withdrawn | Withdrawn
EUCD | EuroCertificateOfDeposit | Euro Certificate Of Deposit
FWD | DerivativeForward | Derivative forward
MPT | MiscellaneousPassThrough | Miscellaneous Pass-through
MRGNLOAN | MarginLoan | Margin loan
REPLACD | Replaced | Replaced
SPCLT | SpecialTax | Special Tax
TCAL | PrincipalStripOfACallableBondOrNote | Principal Strip Of A Callable Bond Or Note
YANK | YankeeCorporateBond | Yankee Corporate Bond
DIMSUMCORP | OffshoreIssuedChineseYuanCorporateBond | Offshore issued Chinese Yuan (CNY) denominated corporate bond
EUCP | EuroCommercialPaper | Euro Commercial Paper
IRS | InterestRateSwap | Interest Rate Swap
MATURED | Matured | Matured
PFAND | Pfandbrief | Pfandbrief. Identify the issuer name in Issuer(106).
SECDERIV | SecuritizedDerivative | Securitized derivative
TAN | TaxAnticipationNote | Tax Anticipation Note
TPRN | PrincipalStripFromANonCallableBondOrNote | Principal Strip From A Non-Callable Bond Or Note
TRS | TotalReturnSwap | Total return swap
AMENDED | Amended | Amended and restated
ETF | ExchangeTradedFund | Exchange Traded Fund
LOANLEASE | LoanLease | Loan/lease
LQN | LiquidityNote | Liquidity Note
PRCORP | PreferredCorporateBond | Preferred Corporate Bond
TAXA | TaxAllocation | Tax Allocation
TBA | ToBeAnnounced | To Be Announced
TNOTE | USTreasuryNote | US Treasury Note
DIGITAL | DigitalAsset | Digital Asset. Asset that exists only in digital form or which is the digital representation of another asset (Source: ISO 24165 - Terms and Definitions).
DIMSUMSOV | OffshoreIssuedChineseYuanSovereignBond | Offshore issued Chinese Yuan (CNY) denominated sovereign bond
MTN | MediumTermNotes | Medium Term Notes
RETIRED | Retired | Retired
TECP | TaxExemptCommercialPaper | Tax Exempt Commercial Paper
ONITE | Overnight | Overnight
OOF | OptionsOnFutures | Options on Futures
SOV | SovereignBond | Sovereign Bond. Sovereign or government bond other than Euro and US issuer. Specify sovereign issuer in Issuer(106).
TMCP | TaxableMunicipalCP | Taxable Municipal CP
OOP | OptionsOnPhysical | Options on Physical - use not recommended
PN | PromissoryNote | Promissory Note
STN | ShortTermLoanNote | Short Term Loan Note
TFRN | USTreasuryFloatingRateNote | US Treasury Floating Rate Note
TRAN | TaxRevenueAnticipationNote | Tax Revenue Anticipation Note
OPT | Option | Option
PZFJ | PlazosFijos | Plazos Fijos
VRDN | VariableRateDemandNote | Variable Rate Demand Note
SLQN | SecuredLiquidityNote | Secured Liquidity Note
SPOTFWD | SpotForward | Spot forward
WAR | Warrant | Warrant
MCPIB | MunicipalInterestBearingCommercialPaper | Municipal Interest Bearing Commercial Paper
SWAPTION | SwapOption | Swap option
TD | TimeDeposit | Time Deposit
TMB | TaxableMunicipalBond | Taxable Municipal Bond
XMISSION | Transmission | Transmission
INDEX | Index | General type for a contract based on an established index
TLQN | TermLiquidityNote | Term Liquidity Note
VRDO | VariableRateDemandObligation | Variable Rate Demand Obligation
BDBSKT | BondBasket | Bond basket
XCN | ExtendedCommNote | Extended Comm Note
CFD | ContractForDifference | Contract for difference
YCD | YankeeCertificateOfDeposit | Yankee Certificate Of Deposit
BAB | BankAcceptedBill | Bank Accepted Bill. Also known as Bank Bill.
CRLTNSWAP | CorrelationSwap | Correlation swap
BNST | ShortTermBankNote | Short Term Bank Note
DVDNDSWAP | DiviendSwap | Dividend swap
CLCP | CallableCommercialPaper | Callable Commercial Paper
EQBSKT | EquityBasket | Equity basket
CN | CommercialNote | Commercial Note
EQFWD | EquityForward | Equity forward
CPIB | InterestBearingCommercialPaper | Interest Bearing Commercial Paper
RTRNSWAP | ReturnSwap | Return swap
EUMTN | EuroMediumTermNote | Euro Medium Term Note
VARSWAP | VarianceSwap | Variance swap
EUNCP | EuroNegotiableCommercialPaper | Euro Negotiable Commercial Paper
PRTFLIOSWAP | PortfolioSwaps | Portfolio swap
EUSTLQN | EuroStructuredLiquidityNote | Euro Structured Liquidity Note
FUTSWAP | FuturesOnASwap | Futures on a Swap
EUTD | EuroTimeDeposit | Euro Time Deposit
FWDSWAP | ForwardsOnASwap | Forwards on a Swap
FWDFRTAGMT | ForwardFreightAgreement | Forward Freight Agreement
JCD | JumboCertificateOfDeposit | Jumbo Certificate of Deposit
MMF | MoneyMarketFund | Money Market Fund
SPREADBET | SpreadBetting | Spread Betting
ETC | ExchangeTradedCommodity | Exchange traded commodity
MN | MasterNote | Master Note. Short term notes issued by Federal Farm Credit Banks Funding Corporation to provide loans and funding under Federal Farm Credit System (FFCS).
NCD | NegotiableCertificateOfDeposit | Negotiable Certificate of Deposit
NCP | NegotiableCommercialPaper | Negotiable Commercial Paper
RCD | RetailCertificateOfDeposit | Retail Certificate of Deposit
TDR | TermDepositReceipt | Term Deposit Receipt

Used in components: InstrumentLeg

LegSecurityXML

XML definition for the leg security.

Type: XMLData

Used in components: LegSecurityXML

LegSecurityXML

The LegSecurityXML component is used to provide a definition in an XML format for the leg instrument.

Name | Mult. | Type | Description
LegSecurityXMLLen | [0..1] | Length | Must be provided if LegSecurityXML(1872) field is specified and must immediately precede it.
LegSecurityXML | [0..1] | XMLData |
LegSecurityXMLSchema | [0..1] | String |

Used in components: InstrumentLeg

LegSecurityXMLLen

The length of the LegSecurityXML(1872) data block.

Type: Length

Used in components: LegSecurityXML

LegSecurityXMLSchema

The schema used to validate the contents of LegSecurityXML(1872).

Type: String

Used in components: LegSecurityXML

LegSeniority

Specifies which issue (underlying bond) will receive payment priority in the event of a default.

Used to define a CDS instrument.

Type: String

Allowed values in SeniorityCodeSet:

Code | Name | Description
SD | SeniorSecured | Senior Secured
SR | Senior | Senior
SB | Subordinated | Subordinated
JR | Junior | Junior. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
MZ | Mezzanine | Mezzanine. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
SN | SeniorNonPreferred | Senior Non-Preferred. For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).

Used in components: InstrumentLeg

LegSettlCurrency

Identifies settlement currency for the Leg.

See SettlCurrency (20) for description and valid values

Type: Currency

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegSettlCurrencyCodeSource

Identifies class or source of the LegSettlCurrency(675) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegSettlDate

Refer to description for SettlDate[64]

Type: LocalMktDate

Used in groups: InstrmtLegExecGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegSettlDisruptionProvision

Specifies the consequences of bullion settlement disruption events.

Type: int

Allowed values in SettlDisruptionProvisionCodeSet:

Code | Name | Description
1 | Negotiation | Negotiation
2 | Cancellation | Cancellation and payment

Used in components: InstrumentLeg

LegSettledEntityMatrixPublicationDate

The publication date of the applicable version of the matrix. When this element is omitted, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Type: LocalMktDate

Used in components: InstrumentLeg

LegSettledEntityMatrixSource

Relevant settled entity matrix source.

Type: String

Used in components: InstrumentLeg

LegSettleOnOpenFlag

Indicator to determine if the instrument is to settle on open.

Type: String

Used in components: InstrumentLeg

LegSettlMethod

Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.

Type: String

Allowed values in SettlMethodCodeSet:

Code | Name | Description
C | CashSettlementRequired | Cash settlement required
P | PhysicalSettlementRequired | Physical settlement required
E | Election | Election at exercise. The settlement method will be elected at the time of contract exercise.

Used in components: InstrumentLeg

LegSettlMethodElectingPartySide

Side value of the party electing the settlement method.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in components: LegOptionExercise

LegSettlMethodElectionDateAdjusted

The adjusted settlement method election date.

Type: LocalMktDate

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDateBusinessCenter

The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegSettlMethodElectionDateBusinessCenterGrp

LegSettlMethodElectionDateBusinessCenterGrp

LegSettlMethodElectionDateBusinessCenterGrp is a repeating subcomponent within the LegSettlMethodElectionDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegSettlMethodElectionDateBusinessCenters | [1..1] | NumInGroup |
LegSettlMethodElectionDateBusinessCenter | [0..1] | String | Required if NoLegSettlMethodElectionDateBusinessCenters(42581) > 0.

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDateBusinessDayConvention

The settlement method election date adjustment business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDate

The LegSettlMethodElectionDate component is a subcomponent within the LegOptionExercise component used to report the settlement method election date.

Name | Mult. | Type | Description
LegSettlMethodElectionDateUnadjusted | [0..1] | LocalMktDate |
LegSettlMethodElectionDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to LegOptionExercise.
LegSettlMethodElectionDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to LegOptionExercise.
LegSettlMethodElectionDateRelativeTo | [0..1] | int |
LegSettlMethodElectionDateOffsetPeriod | [0..1] | int | Conditionally required when LegSettlMethodElectionDateOffsetUnit(42578) is specified.
LegSettlMethodElectionDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegSettlMethodElectionDateOffsetPeriod(42577) is specified.
LegSettlMethodElectionDateOffsetDayType | [0..1] | CodeSet |
LegSettlMethodElectionDateAdjusted | [0..1] | LocalMktDate |

Used in components: LegOptionExercise

LegSettlMethodElectionDateOffsetDayType

Specifies the day type of the relative settlement method election date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDateOffsetPeriod

Time unit multiplier for the relative settlement method election date offset.

Type: int

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDateOffsetUnit

Time unit associated with the relative settlement method election date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDateRelativeTo

Specifies the anchor date when the settlement method election date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegSettlMethodElectionDate

LegSettlMethodElectionDateUnadjusted

The unadjusted settlement method election date.

Type: LocalMktDate

Used in components: LegSettlMethodElectionDate

LegSettlRateDisruptionFallbackGrp

The LegSettlRateDisruptionsFallbackGrp is a repeating subcomponent of the LegPaymentStreamNonDeliverableSettlTerms component used to specify the method, prioritized by the order it is listed, to get a replacement rate for a disrupted settlement rate option for a non-deliverable settlement currency.

Name | Mult. | Type | Description
NoLegSettlRateFallbacks | [1..1] | NumInGroup |
LegSettlRatePostponementMaximumDays | [0..1] | int | Required if NoLegSettlRateFallbacks(40902) > 0.
LegSettlRateFallbackRateSource | [0..1] | Component |
LegSettlRatePostponementSurvey | [0..1] | Boolean |
LegSettlRatePostponementCalculationAgent | [0..1] | CodeSet |

Used in components: LegPaymentStreamNonDeliverableSettlTerms

LegSettlRateFallbackRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in components: LegSettlRateFallbackRateSource

LegSettlRateFallbackRateSource

LegSettlRateFallbackRateSource is a subcomponent of the LegSettlRateDisruptionFallbackGrp component used to specify the rate source in the event of rate disruption fallback.

Name | Mult. | Type | Description
LegSettlRateFallbackRateSource | [0..1] | CodeSet |
LegSettlRateFallbackReferencePage | [0..1] | String | Conditionally required when LegSettlRateFallbackRateSource(40366) = 3 (ISDA Settlement Rate Option) or 99 (Other).

Used in groups: LegSettlRateDisruptionFallbackGrp

LegSettlRateFallbackReferencePage

Identifies the reference "page" from the rate source.

When LegSettlRateFallbackRateSource(40366) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in components: LegSettlRateFallbackRateSource

LegSettlRateIndex

In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.

Type: String

Used in components: InstrumentLeg

LegSettlRateIndexLocation

This is an optional qualifying attribute of LegSettlementRateIndex(2176) such as the delivery zone for an electricity contract.

Type: String

Used in components: InstrumentLeg

LegSettlRatePostponementCalculationAgent

Used to identify the settlement rate postponement calculation agent.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: LegSettlRateDisruptionFallbackGrp

LegSettlRatePostponementMaximumDays

The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.

Type: int

Used in groups: LegSettlRateDisruptionFallbackGrp

LegSettlRatePostponementSurvey

Indicates whether to request a settlement rate quote from the market.

Type: Boolean

Used in groups: LegSettlRateDisruptionFallbackGrp

LegSettlType

Indicates order settlement period. If present, LegSettlDate (588) overrides this field. If both LegSettlType (587) and LegSettDate (588) are omitted, the default for LegSettlType (587) is 0 (Regular)

Regular is defined as the default settlement period for the particular security on the exchange of execution.

In Fixed Income the contents of this field may influence the instrument definition if the LegSecurityID (602) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.

Additionally the following patterns may be uses as well as enum values

Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0

Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0

Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0

Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0.

Note that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.

Type: String

Allowed values in SettlTypeCodeSet:

Code | Name | Description
0 | Regular | Regular / FX Spot settlement (T+1 or T+2 depending on currency)
1 | Cash | Cash (TOD / T+0)
2 | NextDay | Next Day (TOM / T+1)
3 | TPlus2 | T+2
4 | TPlus3 | T+3
5 | TPlus4 | T+4
6 | Future | Future
7 | WhenAndIfIssued | When And If Issued
8 | SellersOption | Sellers Option
9 | TPlus5 | T+5
B | BrokenDate | Broken date. Use within FX to specify a non-standard tenor. The use of SettlDate(64) is required to specify the actual settlement date when SettlType(63) = B (Broken date).
C | FXSpotNextSettlement | FX Spot Next settlement (Spot+1, aka next day)

Used in groups: InstrmtLegExecGrp, InstrmtLegSecListGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SecLstUpdRelSymsLegGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegShortSaleExemptionReason

Indicates the reason a short sale is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.)

Type: int

Allowed values in ShortSaleExemptionReasonCodeSet:

Code
Name
Description

0
ExemptionReasonUnknown
Exemption reason unknown. An exemption reason not provided or received.

1
IncomingSSE
Income sell short exempt. Agency broker has the customer's exemption reason, which is not explicitly provided to executing broker.

2
AboveNationalBestBid
Above national best bid (broker/dealer provision). Broker / dealer responsible for enforcing exemption rule has determined that the order is priced one or more ticks above the nation best bid of the security to be traded.

3
DelayedDelivery
Delayed delivery. The broker-dealer has a reasonable basis to believe the seller owns the covered security (pursuant to Rule 200 in the U.S.), but is subject to restrictions on delivery, provided that the seller intends to deliver the security as soon as all restrictions on delivery have been removed.

4
OddLot
Odd lot. The broker-dealer has a reasonable basis to believe the sale is by a market maker to offset customer odd-lot orders or to liquidate an odd-lot position that changes such broker’s or dealer’s position by no more than a unit of trading.

5
DomesticArbitrage
Domestic arbitrage. The sale is connected to a bona-fide domestic arbitrage transaction.

6
InternationalArbitrage
International arbitrage. The sale is connected to an international arbitrage transaction.

7
UnderwriterOrSyndicateDistribution
Underwriter or syndicate distribution. The short sale is (i) by an underwriter or member of a syndicate or group participating in the distribution of a security in connection with an over-allotment of securities; or (ii) is for purposes of a lay-off sale by an underwriter or member of a syndicate or group in connection with a distribution of securities through a rights or standby underwriting commitment.

8
RisklessPrincipal
Riskless principal. The short sale is by a broker or dealer effecting the execution of a customer purchase or the execution of a customer “long” sale on a riskless principal basis.

9
VWAP
VWAP. The short sale order is for the sale of a covered security at the volume weighted average price (VWAP) meeting certain criteria.

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp, TrdInstrmtLegGrp

LegShortSaleRestriction

Indicates whether a restriction applies to short selling a security.

Type: int

Allowed values in ShortSaleRestrictionCodeSet:

Code | Name | Description
0 | NoRestrictions | No restrictions
1 | SecurityNotShortable | Security is not shortable
2 | SecurityNotShortableAtOrBelowBestBid | Security not shortable at or below the best bid
3 | SecurityNotShortableWithoutPreBorrow | Security is not shortable without pre-borrow

Used in components: InstrumentLeg

LegSide

The side of this individual leg (multileg security).

See Side (54) field for description and values

Type: char

Allowed values in SideCodeSet:

Code | Name | Description
1 | Buy | Buy. For Securities Financing indicates the receipt of securities or collateral.
2 | Sell | Sell. For Securities Financing indicates the delivery of securities or collateral.
3 | BuyMinus | Buy minus
4 | SellPlus | Sell plus
5 | SellShort | Sell short
6 | SellShortExempt | Sell short exempt
7 | Undisclosed | Undisclosed
8 | Cross | Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
9 | CrossShort | Cross short
A | CrossShortExempt | Cross short exempt
B | AsDefined | "As Defined" (for use with multileg instruments)
C | Opposite | "Opposite" (for use with multileg instruments)
D | Subscribe | Subscribe (e.g. CIV)
E | Redeem | Redeem (e.g. CIV)
F | Lend | Lend (FINANCING - identifies direction of collateral)
G | Borrow | Borrow (FINANCING - identifies direction of collateral)
H | SellUndisclosed | Sell undisclosed. In the context of ESMA RTS 22, this allows for reporting of transactions where the investment firm (broker) is not able to determine whether the sell is a short sale transaction. Corresponds to RTS 22 "short selling indicator" value of 'UNDI'.

Used in components: InstrumentLeg

LegSpecialDividendsIndicator

Indicates whether special dividends are applicable.

Type: Boolean

Used in components: LegDividendConditions

LegStartDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral.

Type: LocalMktDate

Used in components: LegFinancingDetails

LegStateOrProvinceOfIssue

Multileg instrument's individual leg security's StateOrProvinceOfIssue.

See StateOrProvinceOfIssue (471) field for description

Type: String

Used in components: InstrumentLeg

LegStipulations

The LegStipulations component block has the same usage as the Stipulations component block, but for a leg instrument in a multi-legged security.

Name | Mult. | Type | Description
NoLegStipulations | [1..1] | NumInGroup |
LegStipulationType | [0..1] | CodeSet | Required if NoLegStipulations >0
LegStipulationValue | [0..1] | String |

Used in groups: InstrmtLegExecGrp, InstrmtLegIOIGrp, InstrmtLegSecListGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SecLstUpdRelSymsLegGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegStipulationType

For Fixed Income, type of Stipulation for this leg.

See StipulationType (233) for description and valid values

Type: String

Allowed values in StipulationTypeCodeSet:

Code
Name
Description

ABS
AbsolutePrepaymentSpeed
Absolute Prepayment Speed

AMT
AlternativeMinimumTax
Alternative Minimum Tax (Y/N)

INCURRCVY
IncurredRecovery
Incurred recovery (Y/N). Specifies whether incurred recovery is applicable (Y) or not (N). Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. 2009 CDX Tranche Terms.

ADDTRM
AdditionalTerm
Additional term. Used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.

AUTOREINV
AutoReinvestment
Auto Reinvestment at <rate> or better

CPP
ConstantPrepaymentPenalty
Constant Prepayment Penalty

BANKQUAL
BankQualified
Bank qualified (Y/N)

CPR
ConstantPrepaymentRate
Constant Prepayment Rate

MODEQTYDLVY
ModifiedEquityDelivery
Modified equity delivery. Indicates whether delivery of selected obligationshaving an amountgreater than the reference entity notional amount is allowed (Y) or (N). 2005 iTraxx tranched Transactions Standard Terms Supplement.

BGNCON
BargainConditions
Bargain conditions (see StipulationValue (234) for values)

CPY
ConstantPrepaymentYield
Constant Prepayment Yield

NOREFOBLIG
NoReferenceOblication
No reference obligation (Y/N). When specified as "Y" this indicates that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one. 2003 ISDA Credit Derivatives Definitions.

COUPON
CouponRange
Coupon range

HEP
FinalCPROfHomeEquityPrepaymentCurve
final CPR of Home Equity Prepayment Curve

UNKREFOBLIG
UnknownReferenceObligation
Unknown reference obligation (Y/N). When specified as "Y" this indicates that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation). 2003 FpML-CD-4.0.

ALLGUARANTEES
AllGuarantees
All guarantees (Y/N). Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction (Y) or (N). ISDA 2003 Term: All Guarantees.

CURRENCY
ISOCurrencyCode
ISO Currency Code

MHP
PercentOfManufacturedHousingPrepaymentCurve
Percent of Manufactured Housing Prepayment Curve

CUSTOMDATE
CustomStart
Custom start/end date

MPR
MonthlyPrepaymentRate
Monthly Prepayment Rate

REFPX
ReferencePrice
Reference price (Y/N). Specifies the reference price expressed as a percentage between 0 and 1 (e.g. 0.05 is 5%). The reference price is used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price.

GEOG
Geographics
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])

PPC
PercentOfProspectusPrepaymentCurve
Percent of Prospectus Prepayment Curve

REFPOLICY
ReferencePolicy
Reference policy (Y/N). Indicates whether the reference obligation is guaranteed (Y), or not (N), under a reference policy. If the Reference Obligation is guaranteed under a Reference Policy, and such Reference Policy by its terms excludes any component of the Expected Principal Amount for purposes of determining the liability of the relevant Insurer, or the Insurer is otherwise not required to pay any such amounts under the terms of the Reference Policy, the relevant component or amount shall also be excluded for purposes of determining the Expected Principal Amount with respect to any determination of Principal Shortfall hereunder. 2006 ISDA CDS on MBS Terms.

HAIRCUT
ValuationDiscount
Valuation Discount

PSA
PercentOfBMAPrepaymentCurve
Percent of BMA Prepayment Curve

SECRDLIST
SecuredList
Secured list (Y/N). Specifies whether a list of Syndicated Secured Obligations (also known as the Relevant Secured List) exists (Y), or not (N), for the Reference Entity. With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most recently before such day, which list is currently available at [http://www.markit.com]. ISDA 2003 Term: Relevant Secured List.

INSURED
Insured
Insured (Y/N)

SMM
SingleMonthlyMortality
Single Monthly Mortality

ISSUE
IssueDate
Year Or Year/Month of Issue (ex. 234=2002/09)

ISSUER
Issuer
Issuer's ticker

ISSUESIZE
IssueSizeRange
issue size range

LOOKBACK
LookbackDays
Lookback Days

LOT
ExplicitLotIdentifier
Explicit lot identifier

LOTVAR
LotVariance
Lot Variance (value in percent maximum over- or under-allocation allowed)

MAT
MaturityYearAndMonth
Maturity Year And Month

MATURITY
MaturityRange
Maturity range

MAXSUBS
MaximumSubstitutions
Maximum substitutions (Repo)

MINDNOM
MinimumDenomination
Minimum denomination

MININCR
MinimumIncrement
Minimum increment

MINQTY
MinimumQuantity
Minimum quantity

PAYFREQ
PaymentFrequency
Payment frequency, calendar

PIECES
NumberOfPieces
Number Of Pieces

PMAX
PoolsMaximum
Pools Maximum

PPL
PoolsPerLot
Pools per Lot

PPM
PoolsPerMillion
Pools per Million

PPT
PoolsPerTrade
Pools per Trade

PRICE
PriceRange
Price Range

PRICEFREQ
PricingFrequency
Pricing frequency

PROD
ProductionYear
Production Year

PROTECT
CallProtection
Call protection

PURPOSE
Purpose
Purpose

PXSOURCE
BenchmarkPriceSource
Benchmark price source

RATING
RatingSourceAndRange
Rating source and range

REDEMPTION
TypeOfRedemption
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible

RESTRICTED
Restricted
Restricted (Y/N)

SECTOR
MarketSector
Market Sector

SECTYPE
SecurityTypeIncludedOrExcluded
Security Type included or excluded

STRUCT
Structure
Structure

SUBSFREQ
SubstitutionsFrequency
Substitutions frequency (Repo)

SUBSLEFT
SubstitutionsLeft
Substitutions left (Repo)

TEXT
FreeformText
Freeform Text

TRDVAR
TradeVariance
Trade Variance (value in percent maximum over- or under-allocation allowed)

WAC
WeightedAverageCoupon
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])

WAL
WeightedAverageLifeCoupon
Weighted Average Life Coupon - value in percent (exact or range)

WALA
WeightedAverageLoanAge
Weighted Average Loan Age - value in months (exact or range)

WAM
WeightedAverageMaturity
Weighted Average Maturity - value in months (exact or range)

WHOLE
WholePool
Whole Pool (Y/N)

YIELD
YieldRange
Yield Range

AVFICO
AverageFICOScore
Average FICO Score

ORIGAMT
OriginalAmount
Original amount. The original issued amount of a mortgage backed security or other loan/asset backed security.

AVSIZE
AverageLoanSize
Average Loan Size

POOLEFFDT
PoolEffectiveDate
Pool effective date

MAXBAL
MaximumLoanBalance
Maximum Loan Balance

POOLINITFCTR
PoolInitialFactor
Pool initial factor. For morttgage backed securities, the part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the mortgage: where 1 means that the whole mortage amount is outstanding, 0.8 means that80% remains to be repaid and 20% has been repaid.

POOL
PoolIdentifier
Pool Identifier

TRANCHE
Tranche
Tranche identifier. Identifies the tranche of a mortgage backed security, loan, collateralized mortgage obligation or similar securities that can be split into different risk or maturity (for example) classes.

ROLLTYPE
TypeOfRollTrade
Type of Roll trade

SUBSTITUTION
Substitution
Substitution (Y/N). Indicates whether substitution is applicable (Y) or (N).

MULTEXCHFLLBCK
MULTEXCHFLLBCK
Multiple exchange fallback (Y/N). For an index option transaction, indicates whether a relevant "Multiple Exchange Index Annex" is applicable (Y) to the transaction or not (N). This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.

REFTRADE
ReferenceToRollingOrClosingTrade
Reference to rolling or closing trade

COMPSECFLLBCK
COMPSECFLLBCK
Component security fallback (Y/N). For an index option transaction, indicates whether a relevant "Component Security Index Annex" is applicable (Y) to the transaction or not (N).

REFPRIN
PrincipalOfRollingOrClosingTrade
Principal to rolling or closing trade

LOCLJRSDCTN
LOCLJRSDCTN
Local jurisdiction (Y/N). "Local Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties, and similar charges) imposed by the taxing authority of the local jurisdiction.

REFINT
InterestOfRollingOrClosingTrade
Interest of rolling or closing trade

AVAILQTY
AvailableOfferQuantityToBeShownToTheStreet
Available offer quantity to be shown to the street

RELVJRSDCTN
RELVJRSDCTN
Relevant jurisdiction (Y/N). "Relevant Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties and similar charges) that would be imposed by the taxing authority of the "country of underlier" on a "hypothetical broker dealer" assuming that the applicable hedge positions are held by its office in the Relevant Jurisdiction.

BROKERCREDIT
BrokerCredit
Broker's sales credit

INTERNALPX
OfferPriceToBeShownToInternalBrokers
Offer price to be shown to internal brokers

INTERNALQTY
OfferQuantityToBeShownToInternalBrokers
Offer quantity to be shown to internal brokers

LEAVEQTY
TheMinimumResidualOfferQuantity
The minimum residual offer quantity

MAXORDQTY
MaximumOrderSize
Maximum order size

ORDRINCR
OrderQuantityIncrement
Order quantity increment

PRIMARY
PrimaryOrSecondaryMarketIndicator
Primary or Secondary market indicator

SALESCREDITOVR
BrokerSalesCreditOverride
Broker sales credit override

TRADERCREDIT
TraderCredit
Trader's credit

DISCOUNT
DiscountRate
Discount Rate (when price is denominated in percent of par)

YTM
YieldToMaturity
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)

PAYOFF
InterestPayoffOfRollingOrAmendingTrade
Interest payoff of rolling or amending trade

Used in groups: LegStipulations

LegStipulationValue

For Fixed Income, value of stipulation.

See StipulationValue (234) for description and valid values

Type: String

Used in groups: LegStipulations

LegStrategyType

Specifies the type of trade strategy.

Type: String

Allowed values in StrategyTypeCodeSet:

Code | Name | Description
STD | Straddle | Straddle
STG | Strangle | Strangle
BF | Butterfly | Butterfly
CNDR | Condor | Condor
CISN | CallableInversibleSnowball | Callable inversible snowball
OTHER | Other | Other

Used in components: InstrumentLeg

LegStreamAssetAttributeGrp

The LegStreamAssetAttributeGrp is a repeating subcomponent of the LegStreamCommodity component used to detail commodity attributes, quality standards and reject limits.

Name | Mult. | Type | Description
NoLegStreamAssetAttributes | [1..1] | NumInGroup |
LegStreamAssetAttributeType | [0..1] | String | Required if NoLegStreamAssetAttributes(41452) > 0.
LegStreamAssetAttributeValue | [0..1] | String |
LegStreamAssetAttributeLimit | [0..1] | String |

Used in components: LegStreamCommodity

LegStreamAssetAttributeLimit

Limit or lower acceptable value of the attribute.

Type: String

Used in groups: LegStreamAssetAttributeGrp

LegStreamAssetAttributeType

Specifies the name of the attribute.

See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.

Type: String

Used in groups: LegStreamAssetAttributeGrp

LegStreamAssetAttributeValue

Specifies the value of the attribute.

Type: String

Used in groups: LegStreamAssetAttributeGrp

LegStreamCalculationBalanceOfFirstPeriod

When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).

Type: Boolean

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationCorrectionPeriod

Time unit multiplier for the length of time after the publication of the data when corrections can be made.

Type: int

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationCorrectionUnit

Time unit associated with the length of time after the publication of the data when corrections can be made.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationFrequencyPeriod

Time unit multiplier for the frequency at which calculation period end dates occur.

Type: int

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationFrequencyUnit

Time unit associated with the frequency at which calculation period end dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationPeriodBusinessCenter

The business center calendar used to adjust calculation periods, e.g. "GLBO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegStreamCalculationPeriodBusinessCenterGrp

LegStreamCalculationPeriodBusinessCenterGrp

LegStreamCalculationPeriodBusinessCenterGrp is a repeating subcomponent within the LegStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegStreamCalculationPeriodBusinessCenters | [1..1] | NumInGroup |
LegStreamCalculationPeriodBusinessCenter | [0..1] | String | Required if NoLegStreamCalculationPeriodBusinessCenters(40940) > 0.

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationPeriodBusinessDayConvention

The business day convention used to adjust calculation periods. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationPeriodDate

The adjusted or unadjusted fixed calculation period date.

Type: LocalMktDate

Used in groups: LegStreamCalculationPeriodDateGrp

LegStreamCalculationPeriodDateGrp

The LegStreamCalculationPeriodDateGrp is a repeating subcomponent of the LegStreamCalculationPeriodDates component used to detail fixed dates for the swap stream.

Name | Mult. | Type | Description
NoLegStreamCalculationPeriodDates | [1..1] | NumInGroup |
LegStreamCalculationPeriodDate | [0..1] | LocalMktDate | Required if NoLegStreamCalculationPeriodDates(41638) > 0.
LegStreamCalculationPeriodDateType | [0..1] | CodeSet |

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationPeriodDates

LegStreamCalculationPeriodDates is a subcomponent of the LegStreamGrp component used to specify the calculation period dates of the stream.

Name | Mult. | Type | Description
LegStreamCalculationPeriodDatesXID | [0..1] | XID |
LegStreamCalculationPeriodDatesXIDRef | [0..1] | XIDREF |
LegStreamCalculationPeriodBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream calculation period dates.
LegStreamCalculationPeriodBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream calculation period dates.
LegStreamCalculationPeriodDateGrp | [0..*] | Group |
LegStreamFirstPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
LegStreamFirstPeriodStartDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream calculation period dates.
LegStreamFirstPeriodStartDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream calculation period dates.
LegStreamFirstPeriodStartDateAdjusted | [0..1] | LocalMktDate |
LegStreamFirstRegularPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
LegStreamFirstCompoundingPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
LegStreamLastRegularPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
LegStreamCalculationFrequencyPeriod | [0..1] | int | Conditionally required when LegStreamCalculationFrequencyUnit(40275) is specified.
LegStreamCalculationFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegStreamCalculationFrequencyPeriod(40274) is specified.
LegStreamCalculationRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the stream calculation period dates.
LegStreamCalculationBalanceOfFirstPeriod | [0..1] | Boolean |
LegStreamCalculationCorrectionPeriod | [0..1] | int | Conditionally required when LegStreamCalculationCorrectionUnit(41645) is specified.
LegStreamCalculationCorrectionUnit | [0..1] | CodeSet | Conditionally required when LegStreamCalculationCorrectionPeriod(41644) is specified.

Used in groups: LegStreamGrp

LegStreamCalculationPeriodDatesXID

Identifier of this calculation period for cross referencing elsewhere in the message.

Type: XID

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationPeriodDatesXIDRef

Cross reference to another calculation period for duplicating its properties.

Type: XIDREF

Used in components: LegStreamCalculationPeriodDates

LegStreamCalculationPeriodDateType

Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: LegStreamCalculationPeriodDateGrp

LegStreamCalculationRollConvention

The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: LegStreamCalculationPeriodDates

LegStreamCommodityAltID

Alternate security identifier value for the commodity.

Type: String

Used in groups: LegStreamCommodityAltIDGrp

LegStreamCommodityAltIDGrp

LegStreamCommodityAltIDGrp is a subcomponent of the LegStreamCommodity component used to specify alternate identifiers.

Name | Mult. | Type | Description
NoLegStreamCommodityAltIDs | [1..1] | NumInGroup |
LegStreamCommodityAltID | [0..1] | String | Required if NoLegStreamCommodityAltIDs(41674) > 0.
LegStreamCommodityAltIDSource | [0..1] | String | Required if NoLegStreamCommodityAltIDs(41674) > 0.

Used in components: LegStreamCommodity

LegStreamCommodityAltIDSource

Identifies the class or source of the alternate commodity security identifier.

Type: String

Used in groups: LegStreamCommodityAltIDGrp

LegStreamCommodityBase

Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodity

LegStreamCommodity is a subcomponent of the LegStream component used to identify and describe the underlying commodity.

Name | Mult. | Type | Description
LegStreamCommodityBase | [0..1] | String |
LegStreamCommodityType | [0..1] | String |
LegStreamCommoditySecurityID | [0..1] | String | Conditionally required when LegStreamCommoditySecurityIDSource(41651) is specified.
LegStreamCommoditySecurityIDSource | [0..1] | CodeSet | Conditionally required when LegStreamCommoditySecurityID(41650) is specified.
LegStreamCommodityAltIDGrp | [0..*] | Group |
LegStreamCommodityDesc | [0..1] | String |
EncodedLegStreamCommodityDescLen | [0..1] | Length | Must be set if EncodedLegStreamCommodityDesc(41654) field is specified and must immediately precede it.
EncodedLegStreamCommodityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the LegStreamCommodityDesc(41652) field in the encoded format specified via the MessageEncoding(347) field.
LegStreamCommodityDeliveryPricingRegion | [0..1] | String | May be used to specify the delivery or pricing region of a non-standard commodity swap contract (e.g. when InstrAttribType(871)=38 (US standard contract indicator) and InstrAttribValue(872)=N).
LegStreamAssetAttributeGrp | [0..*] | Group |
LegStreamCommodityUnitOfMeasure | [0..1] | CodeSet |
LegStreamCommodityCurrency | [0..1] | Currency |
LegStreamCommodityExchange | [0..1] | Exchange |
LegStreamCommodityRateSource | [0..1] | int |
LegStreamCommodityRateReferencePage | [0..1] | String |
LegStreamCommodityRateReferencePageHeading | [0..1] | String |
LegStreamDataProvider | [0..1] | String |
LegStreamCommodityDataSourceGrp | [0..*] | Group |
LegStreamCommodityPricingType | [0..1] | String |
LegStreamCommodityNearbySettlDayPeriod | [0..1] | int | Conditionally required when LegStreamCommodityNearbySettlDayUnit(41664) is specified.
LegStreamCommodityNearbySettlDayUnit | [0..1] | CodeSet | Conditionally required when LegStreamCommodityNearbySettlDayPeriod(41663) is specified.
LegStreamCommoditySettlDateUnadjusted | [0..1] | LocalMktDate |
LegStreamCommoditySettlDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the settlement date.
LegStreamCommoditySettlBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to the settlement date.
LegStreamCommoditySettlDateAdjusted | [0..1] | LocalMktDate |
LegStreamCommoditySettlMonth | [0..1] | int |
LegStreamCommoditySettlDateRollPeriod | [0..1] | int | Conditionally required when LegStreamCommoditySettlDateRollUnit(41670) is specified.
LegStreamCommoditySettlDateRollUnit | [0..1] | CodeSet | Conditionally required when LegStreamCommoditySettlDateRollPeriod(41669) is specified.
LegStreamCommoditySettlDayType | [0..1] | CodeSet |
LegStreamCommoditySettlPeriodGrp | [0..*] | Group |
LegStreamCommodityXID | [0..1] | XID |
LegStreamCommodityXIDRef | [0..1] | XIDREF |

Used in groups: LegStreamGrp

LegStreamCommodityCurrency

Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegStreamCommodity

LegStreamCommodityDataSourceGrp

LegStreamCommodityDataSourceGrp is a subcomponent of the LegStreamCommodity component used to specify sources of data, e.g. weather stations. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.

Name | Mult. | Type | Description
NoLegStreamCommodityDataSources | [1..1] | NumInGroup |
LegStreamCommodityDataSourceID | [0..1] | String | Required if NoLegStreamCommodityDataSources(41677) > 0.
LegStreamCommodityDataSourceIDType | [0..1] | CodeSet | Required if NoLegStreamCommodityDataSources(41677) > 0.

Used in components: LegStreamCommodity

LegStreamCommodityDataSourceID

Specifies the data source identifier.

Type: String

Used in groups: LegStreamCommodityDataSourceGrp

LegStreamCommodityDataSourceIDType

Specifies the type of data source identifier.

Type: int

Allowed values in StreamCommodityDataSourceIDTypeCodeSet:

Code | Name | Description
0 | City | City (4 character business center code)
1 | Airport | Airport (IATA standard)
2 | WeatherStation | Weather station WBAN (Weather Bureau Army Navy)
3 | WeatherIndex | Weather index WMO (World Meteorological Organization)

Used in groups: LegStreamCommodityDataSourceGrp

LegStreamCommodityDeliveryPricingRegion

The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodityDesc

Description of the commodity asset.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodityExchange

Identifies the exchange where the commodity is traded.

Type: Exchange

Used in components: LegStreamCommodity

LegStreamCommodityNearbySettlDayPeriod

Time unit multiplier for the nearby settlement day.

Type: int

Used in components: LegStreamCommodity

LegStreamCommodityNearbySettlDayUnit

Time unit associated with the nearby settlement day.

Type: String

Allowed values in StreamCommodityNearbySettlDayUnitCodeSet:

Code | Name | Description
Wk | Week | Week
Mo | Month | Month

Used in components: LegStreamCommodity

LegStreamCommodityPricingType

Specifies how the pricing or rate setting of the trade is to be determined or based upon.

See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodityRateReferencePage

Identifies the reference "page" from the rate source.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodityRateReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodityRateSource

Identifies the source of rate information used for commodities.

See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.

Type: int

Used in components: LegStreamCommodity

LegStreamCommoditySecurityID

Specifies the market identifier for the commodity.

Type: String

Used in components: LegStreamCommodity

LegStreamCommoditySecurityIDSource

Identifies the class or source of the LegStreamCommoditySecurityIDSource(41650) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: LegStreamCommodity

LegStreamCommoditySettlBusinessCenter

The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegStreamCommoditySettlBusinessCenterGrp

LegStreamCommoditySettlBusinessCenterGrp

LegStreamCommoditySettlBusinessCenterGrp is a repeating subcomponent of the LegStreamCommodity component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegStreamCommoditySettlBusinessCenters | [1..1] | NumInGroup |
LegStreamCommoditySettlBusinessCenter | [0..1] | String | Required if NoLegStreamCommoditySettlementBusinessCenters(41646) > 0.

Used in components: LegStreamCommodity

LegStreamCommoditySettlCountry

Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.

Type: Country

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlDateAdjusted

The adjusted commodity delivery date.

Type: LocalMktDate

Used in components: LegStreamCommodity

LegStreamCommoditySettlDateBusinessDayConvention

The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegStreamCommodity

LegStreamCommoditySettlDateRollPeriod

Time unit multiplier for the commodity delivery date roll.

Type: int

Used in components: LegStreamCommodity

LegStreamCommoditySettlDateRollUnit

Time unit associated with the commodity delivery date roll.

Type: String

Allowed values in StreamCommoditySettlDateRollUnitCodeSet:

Code | Name | Description
D | Day | Day

Used in components: LegStreamCommodity

LegStreamCommoditySettlDateUnadjusted

The unadjusted commodity delivery date.

Type: LocalMktDate

Used in components: LegStreamCommodity

LegStreamCommoditySettlDay

Specifies the day or group of days for delivery.

Type: int

Allowed values in DeliveryScheduleSettlDayCodeSet:

Code | Name | Description
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday
8 | AllWeekdays | All weekdays
9 | AllDays | All days
10 | AllWeekends | All weekends

Used in groups: LegStreamCommoditySettlDayGrp

LegStreamCommoditySettlDayGrp

The LegStreamCommoditySettlDayGrp is a repeating subcomponent of the LegStreamCommoditySettlPeriodGrp component used to define the settlement days associated with the commodity contract.

Name | Mult. | Type | Description
NoLegStreamCommoditySettlDays | [1..1] | NumInGroup |
LegStreamCommoditySettlDay | [0..1] | CodeSet | Required if NoLegStreamCommoditySettlementDays(41680) > 0.
LegStreamCommoditySettlTotalHours | [0..1] | int |
LegStreamCommoditySettlTimeGrp | [0..*] | Group |

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlDayType

Specifies the commodity delivery roll day type.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegStreamCommodity

LegStreamCommoditySettlEnd

The end time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.

Type: String

Used in groups: LegStreamCommoditySettlTimeGrp

LegStreamCommoditySettlFlowType

Specifies the commodity delivery flow type.

Type: int

Allowed values in DeliveryScheduleSettlFlowTypeCodeSet:

Code | Name | Description
0 | AllTimes | All times
1 | OnPeak | On peak
2 | OffPeak | Off peak
3 | Base | Base
4 | BlockHours | Block hours
5 | Other | Other

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlHolidaysProcessingInstruction

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

Type: int

Allowed values in DeliveryScheduleSettlHolidaysProcessingInstructionCodeSet:

Code | Name | Description
0 | DoNotIncludeHolidays | Do not include holidays
1 | IncludeHolidays | Include holidays

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlMonth

Specifies a fixed single month for commodity delivery.

Type: int

Used in components: LegStreamCommodity

LegStreamCommoditySettlPeriodFrequencyPeriod

Time unit multiplier for the settlement period frequency.

Type: int

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodFrequencyUnit

Time unit associated with the settlement period frequency.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodGrp

The LegStreamCommoditySettlPeriodGrp is a repeating subcomponent of the LegStreamCommodiry component used to to define the settlement period details associated with the commodity contract.

Name | Mult. | Type | Description
NoLegStreamCommoditySettlPeriods | [1..1] | NumInGroup |
LegStreamCommoditySettlCountry | [0..1] | Country | Required if NoLegStreamCommoditySettlPeriods(41686) > 0.
LegStreamCommoditySettlTimeZone | [0..1] | String |
LegStreamCommoditySettlFlowType | [0..1] | CodeSet |
LegStreamCommoditySettlPeriodNotional | [0..1] | Qty |
LegStreamCommoditySettlPeriodNotionalUnitOfMeasure | [0..1] | CodeSet |
LegStreamCommoditySettlPeriodFrequencyPeriod | [0..1] | int | Conditionally required when LegStreamCommoditySettlPeriodFrequencyUnit(41693) is specified.
LegStreamCommoditySettlPeriodFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegStreamCommoditySettlPeriodFrequencyPeriod(41692) is specified.
LegStreamCommoditySettlPeriodPrice | [0..1] | Price |
LegStreamCommoditySettlPeriodPriceUnitOfMeasure | [0..1] | CodeSet |
LegStreamCommoditySettlPeriodPriceCurrency | [0..1] | Currency |
LegStreamCommoditySettlHolidaysProcessingInstruction | [0..1] | CodeSet |
LegStreamCommoditySettlDayGrp | [0..*] | Group |
LegStreamCommoditySettlPeriodXID | [0..1] | XID |
LegStreamCommoditySettlPeriodXIDRef | [0..1] | XIDREF |

Used in components: LegStreamCommodity

LegStreamCommoditySettlPeriodNotional

Delivery quantity associated with this settlement period.

Type: Qty

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodNotionalUnitOfMeasure

Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodPrice

The settlement period price.

Type: Price

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodPriceCurrency

The currency of the settlement period price. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodPriceUnitOfMeasure

The settlement period price unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodXID

Identifier of this settlement period for cross referencing elsewhere in the message.

Type: XID

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlPeriodXIDRef

Cross reference to another settlement period for duplicating its properties.

Type: XIDREF

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlStart

The start time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.

Type: String

Used in groups: LegStreamCommoditySettlTimeGrp

LegStreamCommoditySettlTimeGrp

The LegStreamCommoditySettlTimeGrp is a repeating subcomponent of the LegStreamCommoditySettlDayGrp component used to define the settlement time periods associated with the commodity contract.

Name | Mult. | Type | Description
NoLegStreamCommoditySettlTimes | [1..1] | NumInGroup |
LegStreamCommoditySettlStart | [0..1] | String | Required if NoLegStreamCommoditySettlTimes(41683) > 0.
LegStreamCommoditySettlEnd | [0..1] | String | Required if NoLegStreamCommoditySettlTimes(41683) > 0.
LegStreamCommoditySettlTimeType | [0..1] | CodeSet | May be defaulted to market convention or bilaterally agreed if not specified.

Used in groups: LegStreamCommoditySettlDayGrp

LegStreamCommoditySettlTimeType

Specifies the format of the commodity settlement start and end times.

Type: int

Allowed values in DeliveryScheduleSettlTimeTypeCodeSet:

Code
Name
Description

0
Hour
Hour of the day. Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.

1
Timestamp
HH:MM time format. Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.

Used in groups: LegStreamCommoditySettlTimeGrp

LegStreamCommoditySettlTimeZone

Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".

See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.

Type: String

Used in groups: LegStreamCommoditySettlPeriodGrp

LegStreamCommoditySettlTotalHours

Sum of the hours specified in LegStreamCommoditySettlTimeGrp.

Type: int

Used in groups: LegStreamCommoditySettlDayGrp

LegStreamCommodityType

Specifies the type of commodity product.

For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.

For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.

For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.

Type: String

Used in components: LegStreamCommodity

LegStreamCommodityUnitOfMeasure

The unit of measure (UOM) of the commodity asset.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: LegStreamCommodity

LegStreamCommodityXID

Identifier of this stream commodity for cross referencing elsewhere in the message.

Type: XID

Used in components: LegStreamCommodity

LegStreamCommodityXIDRef

Reference to a stream commodity elsewhere in the message.

Type: XIDREF

Used in components: LegStreamCommodity

LegStreamCurrency

Specifies the currency the LegStreamNotional(40246) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: LegStreamGrp

LegStreamDataProvider

Specifies the commodity data or information provider.

See http://www.fpml.org/coding-scheme/commodity-information-provider for values.

Type: String

Used in components: LegStreamCommodity

LegStreamDesc

A short descriptive name given to the payment stream, e.g. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as a reference.

Type: String

Used in groups: LegStreamGrp

LegStreamEffectiveDateAdjusted

The adjusted effective date.

Type: LocalMktDate

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDateBusinessCenter

The business center calendar used to adjust the instrument leg's stream's effective date or relative effective date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegStreamEffectiveDateBusinessCenterGrp

LegStreamEffectiveDateBusinessCenterGrp

LegStreamEffectiveDateBusinessCenterGrp is a repeating subcomponent within the LegStreamEffectiveDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegStreamEffectiveDateBusinessCenters | [1..1] | NumInGroup |
LegStreamEffectiveDateBusinessCenter | [0..1] | String | Required if NoLegStreamEffectiveDateBusinessCenters(40942) > 0.

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDateBusinessDayConvention

The business day convention used to adjust the instrument leg's stream's effective date or relative effective date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDate

LegStreamEffectivedDate is a subcomponent of the LegStreamGrp component used to specify the effective date of the stream.

Name | Mult. | Type | Description
LegStreamEffectiveDateUnadjusted | [0..1] | LocalMktDate |
LegStreamEffectiveDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream effective date.
LegStreamEffectiveDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream stream effective date.
LegStreamEffectiveDateRelativeTo | [0..1] | int |
LegStreamEffectiveDateOffsetPeriod | [0..1] | int | Conditionally required when LegPaymentStreamEffectiveDateOffsetUnit(40254) is specified.
LegStreamEffectiveDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegPaymentStreamEffectiveDateOffsetPeriod(40253) is specified.
LegStreamEffectiveDateOffsetDayType | [0..1] | CodeSet |
LegStreamEffectiveDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegStreamGrp

LegStreamEffectiveDateOffsetDayType

Specifies the day type of the relative effective date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDateOffsetPeriod

Time unit multiplier for the relative effective date offset.

Type: int

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDateOffsetUnit

Time unit associated with the relative effective date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDateRelativeTo

Specifies the anchor date when the effective date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values

Type: int

Used in components: LegStreamEffectiveDate

LegStreamEffectiveDateUnadjusted

The unadjusted effective date.

Type: LocalMktDate

Used in components: LegStreamEffectiveDate

LegStreamFirstCompoundingPeriodEndDateUnadjusted

The unadjusted end date of the initial compounding period.

Type: LocalMktDate

Used in components: LegStreamCalculationPeriodDates

LegStreamFirstPeriodStartDateAdjusted

The adjusted first calculation period start date, if it is before the effective date.

Type: LocalMktDate

Used in components: LegStreamCalculationPeriodDates

LegStreamFirstPeriodStartDateBusinessCenter

The business center calendar used to adjust the instrument leg's stream's first calculation period start date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegStreamFirstPeriodStartDateBusinessCenterGrp

LegStreamFirstPeriodStartDateBusinessCenterGrp

LegStreamFirstPeriodStartDateBusinessCenterGrp is a repeating subcomponent within the LegStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegStreamFirstPeriodStartDateBusinessCenters | [1..1] | NumInGroup |
LegStreamFirstPeriodStartDateBusinessCenter | [0..1] | String | Required if NoLegStreamFirstPeriodStartDateBusinessCenters(40941) > 0.

Used in components: LegStreamCalculationPeriodDates

LegStreamFirstPeriodStartDateBusinessDayConvention

The business day convention used to adjust the instrument leg's stream's first calculation period start date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegStreamCalculationPeriodDates

LegStreamFirstPeriodStartDateUnadjusted

The unadjusted first calculation period start date if before the effective date.

Type: LocalMktDate

Used in components: LegStreamCalculationPeriodDates

LegStreamFirstRegularPeriodStartDateUnadjusted

The unadjusted first start date of the regular calculation period, if there is an initial stub period.

Type: LocalMktDate

Used in components: LegStreamCalculationPeriodDates

LegStreamGrp

The LegStreamGrp is a repeating subcomponent of the InstrumentLeg component used to detail the swap streams associated with the instrument.

Name | Mult. | Type | Description
NoLegStreams | [1..1] | NumInGroup |
LegStreamType | [0..1] | CodeSet | Required if NoLegStreams(40241) > 0.
LegStreamXID | [0..1] | XID |
LegStreamDesc | [0..1] | String |
LegStreamVersion | [0..1] | String |
LegStreamVersionEffectiveDate | [0..1] | LocalMktDate |
LegStreamPaySide | [0..1] | CodeSet |
LegStreamReceiveSide | [0..1] | CodeSet |
LegStreamNotionalXIDRef | [0..1] | XIDREF |
LegStreamNotional | [0..1] | Amt |
LegStreamCurrency | [0..1] | Currency |
LegStreamNotionalDeterminationMethod | [0..1] | String |
LegStreamNotionalAdjustments | [0..1] | CodeSet |
LegStreamNotionalFrequencyPeriod | [0..1] | int | Conditionally required when LegStreamNotionalFrequencyUnit(41704) is specified.
LegStreamNotionalFrequencyUnit | [0..1] | CodeSet | Conditionally required when LegStreamNotionalFrequencyPeriod(41703) is specified.
LegStreamNotionalCommodityFrequency | [0..1] | CodeSet |
LegStreamNotionalUnitOfMeasure | [0..1] | CodeSet |
LegStreamTotalNotional | [0..1] | Qty |
LegStreamTotalNotionalUnitOfMeasure | [0..1] | CodeSet |
LegStreamCommodity | [0..1] | Component |
LegStreamEffectiveDate | [0..1] | Component |
LegStreamTerminationDate | [0..1] | Component |
LegStreamCalculationPeriodDates | [0..1] | Component |
LegPaymentStream | [0..1] | Component |
LegPaymentScheduleGrp | [0..*] | Group |
LegPaymentStubGrp | [0..*] | Group |
LegDeliveryStream | [0..1] | Component |
LegDeliveryScheduleGrp | [0..*] | Group |
LegStreamText | [0..1] | String |
EncodedLegStreamTextLen | [0..1] | Length | Must be set if EncodedLegStreamText(40979) field is specified and must immediately precede it.
EncodedLegStreamText | [0..1] | data | Encoded (non-ASCII characters) representation of the LegStreamText(40248) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: InstrumentLeg

LegStreamLastRegularPeriodEndDateUnadjusted

The unadjusted last regular period end date if there is a final stub period.

Type: LocalMktDate

Used in components: LegStreamCalculationPeriodDates

LegStreamMaximumPaymentAmount

Specifies the limit on the total payment amount.

Type: Amt

Used in components: LegPaymentStream

LegStreamMaximumPaymentCurrency

Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStream

LegStreamMaximumTransactionAmount

Specifies the limit on the payment amount that goes out in any particular calculation period.

Type: Amt

Used in components: LegPaymentStream

LegStreamMaximumTransactionCurrency

Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.

Type: Currency

Used in components: LegPaymentStream

LegStreamNotional

Notional, or initial notional value for the payment stream. The LegPaymentSchedule component should be used for specifying the steps.

Type: Amt

Used in groups: LegStreamGrp

LegStreamNotionalAdjustments

For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.

Type: int

Allowed values in StreamNotionalAdjustmentsCodeSet:

Code | Name | Description
0 | Execution | Execution. The adjustments to the number of units are governed by an execution clause.
1 | PortfolioRebalancing | Portfolio rebalancing. The adjustments to the number of units are governed by a portfolio rebalancing clause.
2 | Standard | Standard. The adjustments to the number of units are not governed by any specific clause.

Used in groups: LegStreamGrp

LegStreamNotionalCommodityFrequency

The commodity's notional or quantity delivery frequency.

Type: int

Allowed values in StreamNotionalCommodityFrequencyCodeSet:

Code | Name | Description
0 | Term | Term
1 | PerBusinessDay | Per business day
2 | PerCalculationPeriod | Per calculation period
3 | PerSettlPeriod | Per settlement period
4 | PerCalendarDay | Per calendar day
5 | PerHour | Per hour
6 | PerMonth | Per month

Used in groups: LegStreamGrp

LegStreamNotionalDeterminationMethod

Specifies the method for determining the floating notional value for equity swaps.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: LegStreamGrp

LegStreamNotionalFrequencyPeriod

Time unit multiplier for the swap stream's notional frequency.

Type: int

Used in groups: LegStreamGrp

LegStreamNotionalFrequencyUnit

Time unit associated with the swap stream's notional frequency.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in groups: LegStreamGrp

LegStreamNotionalUnitOfMeasure

Specifies the delivery quantity unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegStreamGrp

LegStreamNotionalXIDRef

Cross reference to another LegStream notional for duplicating its properties.

Type: XIDREF

Used in groups: LegStreamGrp

LegStreamPaySide

The side of the party paying the stream.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegStreamGrp

LegStreamReceiveSide

The side of the party receiving the stream.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: LegStreamGrp

LegStreamTerminationDateAdjusted

The adjusted termination date.

Type: LocalMktDate

Used in components: LegStreamTerminationDate

LegStreamTerminationDateBusinessCenter

The business center calendar used to adjust the instrument leg's stream's termination, or relative termination, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: LegStreamTerminationDateBusinessCenterGrp

LegStreamTerminationDateBusinessCenterGrp

LegStreamTerminationDateBusinessCenterGrp is a repeating subcomponent within the LegStreamTerminationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the LegDateAdjustment component in InstrumentLeg.

Name | Mult. | Type | Description
NoLegStreamTerminationDateBusinessCenters | [1..1] | NumInGroup |
LegStreamTerminationDateBusinessCenter | [0..1] | String | Required if NoLegStreamTerminationDateBusinessCenters(40943) > 0.

Used in components: LegStreamTerminationDate

LegStreamTerminationDateBusinessDayConvention

The business day convention used to adjust the instrument leg's stream's termination, or relative termination, date. Used only to override the business day convention specified in the LegDateAdjustment component within the InstrumentLeg component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: LegStreamTerminationDate

LegStreamTerminationDate

LegStreamTerminationDate is a subcomponent of the LegStreamGrp component used to specify the termination date of the stream.

Name | Mult. | Type | Description
LegStreamTerminationDateUnadjusted | [0..1] | LocalMktDate |
LegStreamTerminationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the LegDateAdjustment component in InstrumentLeg. The specified value would be specific to this instance of the leg stream termination date.
LegStreamTerminationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the LegDateAdjustment component in InstrumentLeg. The specified values would be specific to this instance of the leg stream termination date.
LegStreamTerminationDateRelativeTo | [0..1] | int |
LegStreamTerminationDateOffsetPeriod | [0..1] | int | Conditionally required when LegStreamTerminationDateOffsetUnit(40262) is specified.
LegStreamTerminationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when LegStreamTerminationDateOffsetPeriod(40261) is specified.
LegStreamTerminationDateOffsetDayType | [0..1] | CodeSet |
LegStreamTerminationDateAdjusted | [0..1] | LocalMktDate |

Used in groups: LegStreamGrp

LegStreamTerminationDateOffsetDayType

Specifies the day type of the relative termination date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: LegStreamTerminationDate

LegStreamTerminationDateOffsetPeriod

Time unit multiplier for the relative termination date offset.

Type: int

Used in components: LegStreamTerminationDate

LegStreamTerminationDateOffsetUnit

Time unit associated with the relative termination date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: LegStreamTerminationDate

LegStreamTerminationDateRelativeTo

Specifies the anchor date when the termination date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: LegStreamTerminationDate

LegStreamTerminationDateUnadjusted

The unadjusted termination date.

Type: LocalMktDate

Used in components: LegStreamTerminationDate

LegStreamText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: LegStreamGrp

LegStreamTotalNotional

Specifies the total notional or delivery quantity over the term of the contract.

Type: Qty

Used in groups: LegStreamGrp

LegStreamTotalNotionalUnitOfMeasure

Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: LegStreamGrp

LegStreamType

Type of swap stream.

Type: int

Allowed values in StreamTypeCodeSet:

Code | Name | Description
0 | PaymentCashSettlement | Payment / cash settlement
1 | PhysicalDelivery | Physical delivery

Used in groups: LegStreamGrp

LegStreamVersion

The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.

Type: String

Used in groups: LegStreamGrp

LegStreamVersionEffectiveDate

The effective date of the LegStreamVersion(42583).

Type: LocalMktDate

Used in groups: LegStreamGrp

LegStreamXID

Identifier of this LegStream for cross referencing elsewhere in the message.

Type: XID

Used in groups: LegStreamGrp

LegStrikeCurrency

Currency in which the strike price of a instrument leg of a multileg instrument is denominated

Type: Currency

Used in components: InstrumentLeg

LegStrikeCurrencyCodeSource

Identifies class or source of the LegStrikeCurrency(942) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegStrikeIndex

Specifies the index used to calculate the strike price.

Type: String

Used in components: InstrumentLeg

LegStrikeIndexCurvePoint

The point on the floating rate index curve. Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Type: String

Used in components: InstrumentLeg

LegStrikeIndexQuote

The quote side from which the index price is to be determined.

Type: int

Allowed values in StrikeIndexQuoteCodeSet:

Code | Name | Description
0 | Bid | Bid.
1 | Mid | Mid
2 | Offer | Offer

Used in components: InstrumentLeg

LegStrikeIndexSpread

Specifies the strike price offset from the named index.

Type: PriceOffset

Used in components: InstrumentLeg

LegStrikeMultiplier

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Type: float

Used in components: InstrumentLeg

LegStrikePrice

Multileg instrument's individual security's StrikePrice.

See StrikePrice (202) field for description

Type: Price

Used in components: InstrumentLeg

LegStrikePriceBoundaryMethod

Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.

Type: int

Allowed values in StrikePriceBoundaryMethodCodeSet:

Code | Name | Description
1 | LessThan | Less than underlying price is in-the-money (ITM)
2 | LessThanOrEqual | Less than or equal to the underlying price is in-the-money(ITM)
3 | Equal | Equal to the underlying price is in-the-money(ITM)
4 | GreaterThanOrEqual | Greater than or equal to underlying price is in-the-money(ITM)
5 | GreaterThan | Greater than underlying is in-the-money(ITM)

Used in components: InstrumentLeg

LegStrikePriceBoundaryPrecision

Used in combination with StrikePriceBoundaryMethod(2187) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Type: Percentage

Used in components: InstrumentLeg

LegStrikePriceDeterminationMethod

Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.

Type: int

Allowed values in StrikePriceDeterminationMethodCodeSet:

Code | Name | Description
1 | FixedStrike | Fixed strike (default if not specified)
2 | StrikeSetAtExpiration | Strike set at expiration to underlying or other value (lookback floating)
3 | StrikeSetToAverageAcrossLife | Strike set to average of underlying settlement price across the life of the option
4 | StrikeSetToOptimalValue | Strike set to optimal value

Used in components: InstrumentLeg

LegStrikeUnitOfMeasure

Used to express the unit of measure (UOM) of the price if different from the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: InstrumentLeg

LegStrikeValue

The number of shares/units for the financial instrument involved in the option trade. Used for derivatives.

Type: float

Used in components: InstrumentLeg

LegSwapClass

Swap type.

Type: String

Allowed values in SwapClassCodeSet:

Code | Name | Description
BS | BasisSwap | Basis swap
IX | IndexSwap | Index swap
BB | BroadBasedSecuritySwap | Broad-based security swap
SK | BasketSwap | Basket swap

Used in components: InstrumentLeg

LegSwapSubClass

The sub-classification or notional schedule type of the swap.

Type: String

Allowed values in SwapSubClassCodeSet:

Code | Name | Description
AMTZ | Amortizing | Amortizing notional schedule
COMP | Compounding | Compounding
CNST | ConstantNotionalSchedule | Constant notional schedule
ACRT | AccretingNotionalSchedule | Accreting notional schedule
CUST | CustomNotionalSchedule | Custom notional schedule

Used in components: InstrumentLeg

LegSwapType

For Fixed Income, used instead of LegOrderQty(685) to requests the respondent to calculate the quantity based on the quantity on the opposite side of the swap.

Type: int

Allowed values in LegSwapTypeCodeSet:

Code | Name | Description
1 | ParForPar | Par For Par
2 | ModifiedDuration | Modified Duration
4 | Risk | Risk
5 | Proceeds | Proceeds

Used in groups: InstrmtLegExecGrp, InstrmtLegSecListGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SecLstUpdRelSymsLegGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LegSymbol

Multileg instrument's individual security's Symbol.

See Symbol (55) field for description

Type: String

Used in components: InstrumentLeg

LegSymbolPositionNumber

Reference to the first or second currency or digital asset in LegSymbol(600) for FX-style trading.

Conditionally required when one or both symbols in LegSymbol(600) represent a digital asset.

Type: int

Used in groups: LegSecAltIDGrp

LegSymbolSfx

Multileg instrument's individual security's SymbolSfx.

See SymbolSfx (65) field for description

Type: String

Allowed values in SymbolSfxCodeSet:

Code | Name | Description
CD | EUCPWithLumpSumInterest | EUCP with lump-sum interest rather than discount price
WI | WhenIssued | "When Issued" for a security to be reissued under an old CUSIP or ISIN

Used in components: InstrumentLeg

LegTerminationType

Type of financing termination.

Type: int

Allowed values in TerminationTypeCodeSet:

Code | Name | Description
1 | Overnight | Overnight
2 | Term | Term
3 | Flexible | Flexible
4 | Open | Open

Used in components: LegFinancingDetails

LegTimeUnit

See TimeUnit(997) for complete definition.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: InstrumentLeg

LegTotalGrossTradeAmt

Expresses the full total monetary value of the traded contract. The value is the product of LegLastPx(637) and LegTotalTradeQty(2357) or LegTotalTradeMultipliedQty(2360), if priced in units instead of contracts.

Type: Amt

Used in groups: TrdInstrmtLegGrp

LegTotalIssuedAmount

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.

Type: Amt

Used in components: InstrumentLeg

LegTotalTradeMultipliedQty

Expresses the total trade quantity in units where LegContractMultiplier(614) is not 1. The value is the product of LegTotalTradeQty(2357) and LegContractMultiplier(614).

Type: Qty

Used in groups: TrdInstrmtLegGrp

LegTotalTradeQty

Expresses the total quantity traded over the life of the contract when LegLastQty(1418) is to be repeated periodically over the term of the contract. The value is the product of LegLastQty(1418) and LegTradingUnitPeriodMultiplier(2353).

Type: Qty

Used in groups: TrdInstrmtLegGrp

LegTradeID

The TradeID(1003) value corresponding to a trade leg.

Type: String

Used in groups: TrdInstrmtLegExecGrp

LegTradeReportID

The TradeReportID(571) value corresponding to a trade leg.

Type: String

Used in groups: TrdInstrmtLegExecGrp

LegTradingUnitPeriodMultiplier

Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.

Type: int

Used in components: InstrumentLeg

LegUnderlyingPriceDeterminationMethod

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

Type: int

Allowed values in UnderlyingPriceDeterminationMethodCodeSet:

Code | Name | Description
1 | Regular | Regular
2 | SpecialReference | Special reference
3 | OptimalValue | Optimal value (Lookback)
4 | AverageValue | Average value (Asian option)

Used in components: InstrumentLeg

LegUnitOfMeasure

Multileg instrument unit of measure.

See UnitOfMeasure(996) for complete definition.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: InstrumentLeg

LegUnitOfMeasureCurrency

Indicates the currency of the unit of measure. Conditionally required when LegUnitOfMeasure(999) = Ccy

Type: Currency

Used in components: InstrumentLeg

LegUnitOfMeasureCurrencyCodeSource

Identifies class or source of the LegUnitOfMeasureCurrency(1720) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: InstrumentLeg

LegUnitOfMeasureQty

Refer to definition of UnitOfMeasureQty(1147)

Type: Qty

Used in components: InstrumentLeg

LegUPICode

Uniquely identifies the product of a leg instrument using ISO 4914. See UPICode(2891) for further detail.

Type: String

Used in components: InstrumentLeg

LegValuationMethod

Specifies the type of valuation method applied.

Type: String

Allowed values in ValuationMethodCodeSet:

Code | Name | Description
EQTY | PremiumStyle | premium style
FUT | FuturesStyleMarkToMarket | futures style mark-to-market
FUTDA | FuturesStyleWithAnAttachedCashAdjustment | futures style with an attached cash adjustment
CDS | CDSStyleCollateralization | CDS style collateralization of market to market and coupon
CDSD | CDSInDeliveryUseRecoveryRateToCalculate | CDS in delivery - use recovery rate to calculate obligation

Used in components: InstrumentLeg

LegValuationReferenceModel

Specifies the methodology and/or assumptions used to generate the trade value.

Type: String

Used in components: InstrumentLeg

LegValuationSource

Specifies the source of trade valuation data.

Type: String

Used in components: InstrumentLeg

LegVersusPurchaseDate

The effective acquisition date of the lot that would be used for gain-loss trade lot reporting. The versus purchase date used to identify the lot in situations where a custodial lot identifier is not available.

Type: LocalMktDate

Used in groups: LegPreAllocGrp

LegVersusPurchasePrice

The versus purchase price used to identify the lot in situations where a custodial lot identifier is not available.The value should be calculated based on current cost basis / quantity held.

Type: Price

Used in groups: LegPreAllocGrp

LegVolatility

Specifies the volatility of an instrument leg.

Type: float

Used in groups: InstrmtLegExecGrp, LegOrdGrp, SideCrossLegGrp, TrdInstrmtLegGrp

LienSeniority

Indicates the seniority level of the lien in a loan.

Type: int

Allowed values in LienSeniorityCodeSet:

Code | Name | Description
0 | Unknown | Unknown
1 | FirstLien | First lien
2 | SecondLien | Second lien
3 | ThirdLien | Third lien

Used in components: Instrument

LimitAmt

The limit for the counterparty. This represents the total limit amount, independent of any amount already utilized.

Type: Amt

Used in groups: LimitAmts

LimitAmtCurrency

Indicates the currency that the limit amount is specified in.

Type: Currency

Used in groups: LimitAmts

LimitAmtCurrencyCodeSource

Identifies class or source of the LimitAmtCurrency(1634) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: LimitAmts

LimitAmtRemaining

The remaining limit amount available between the counterparties. The type of limit is specified in LimitAmtType(1631).

Bilateral agreements dictate the units and maximum value of this field.

Type: Amt

Used in groups: LimitAmts

LimitAmts

Name | Mult. | Type | Description
NoLimitAmts | [1..1] | NumInGroup | Number of limit amount occurrences.
LimitAmtType | [0..1] | CodeSet | Required when NoLimitAmts > 0
LastLimitAmt | [0..1] | Amt | Either LastLimitAmt(1632) or LimitAmtRemaining(1633) or LimitUtilizationAmt(2394) must be specified when NoLimitAmts > 0.
LimitAmtRemaining | [0..1] | Amt | Either LastLimitAmt(1632) or LimitAmtRemaining(1633) or LimitUtilizationAmt(2394) must be specified when NoLimitAmts > 0.
LimitUtilizationAmt | [0..1] | Amt | Either LastLimitAmt(1632) or LimitAmtRemaining(1633) or LimitUtilizationAmt(2394) must be specified when NoLimitAmts > 0.
LimitAmt | [0..1] | Amt |
LimitAmtCurrency | [0..1] | Currency |
LimitAmtCurrencyCodeSource | [0..1] | CodeSet |
LimitRole | [0..1] | CodeSet |

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: ExecutionReport

LimitAmtType

Identifies the type of limit amount expressed in LastLimitAmt(1632) and LimitAmtRemaining(1633).

Type: int

Allowed values in LimitAmtTypeCodeSet:

Code | Name | Description
0 | CreditLimit | Credit limit
1 | GrossPositionLimit | Gross position limit
2 | NetPositionLimit | Net position limit
3 | RiskExposureLimit | Risk exposure limit
4 | LongPositionLimit | Long position limit
5 | ShortPositionLimit | Short position limit

Used in groups: LimitAmts

LimitedRightToConfirmIndicator

Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.

Type: Boolean

Used in components: OptionExercise

LimitRole

Indicates the scope of the limit by role.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: LimitAmts

LimitUtilizationAmt

The total amount of the limit that has been drawn down against the counterparty. This includes the amount for prior trades. It may or may not include the amount for the given trade, specified in LastLimitAmt(1632), depending upon whether the given trade is considered pending.

Type: Amt

Used in groups: LimitAmts

LinesOfTextGrp

Name | Mult. | Type | Description
NoLinesOfText | [1..1] | NumInGroup | Specifies the number of repeating lines of text specified
Text | [1..1] | String | Repeating field, number of instances defined in LinesOfText
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: Email, News

LinkageHandlingIndicator

Indicate whether linkage handling is in effect for an instrument or not.

Type: Boolean

Used in messages: SecurityStatus

LiquidityIndType

Code to identify the type of liquidity indicator.

Type: int

Allowed values in LiquidityIndTypeCodeSet:

Code | Name | Description
1 | FiveDayMovingAverage | 5-day moving average
2 | TwentyDayMovingAverage | 20-day moving average
3 | NormalMarketSize | Normal market size
4 | Other | Other

Used in messages: BidRequest

LiquidityNumSecurities

Number of Securites between LiquidityPctLow (402) and LiquidityPctHigh (403) in Currency.

Type: int

Used in groups: BidDescReqGrp

LiquidityPctHigh

Upper liquidity indicator if TotalNumSecurities (393) > 1. Represented as a percentage.

Type: Percentage

Used in groups: BidDescReqGrp

LiquidityPctLow

Liquidity indicator or lower limit if TotalNumSecurities (393) > 1. Represented as a percentage.

Type: Percentage

Used in groups: BidDescReqGrp

LiquidityValue

Value between LiquidityPctLow (402) and LiquidityPctHigh (403) in Currency

Type: Amt

Used in groups: BidDescReqGrp

ListExecInst

Free format text message containing list handling and execution instructions.

Type: String

Used in messages: NewOrderList

ListExecInstType

Identifies the type of ListExecInst (69).

Type: char

Allowed values in ListExecInstTypeCodeSet:

Code | Name | Description
1 | Immediate | Immediate
2 | WaitForInstruction | Wait for Execut Instruction (i.e. a List Execut message or phone call before proceeding with execution of the list)
3 | SellDriven | Exchange/switch CIV order - Sell driven
4 | BuyDrivenCashTopUp | Exchange/switch CIV order - Buy driven, cash top-up (i.e. additional cash will be provided to fulfill the order)
5 | BuyDrivenCashWithdraw | Exchange/switch CIV order - Buy driven, cash withdraw (i.e. additional cash will not be provided to fulfill the order)

Used in messages: NewOrderList

ListID

Unique identifier for list as assigned by institution, used to associate multiple individual orders. Uniqueness must be guaranteed within a single trading day. Firms which generate multi-day orders should consider embedding a date within the ListID field to assure uniqueness across days.

Type: String

Used in components: TradeReportOrderDetail

Used in groups: BidCompReqGrp, BidCompRspGrp, OrdAllocGrp

Used in messages: ExecutionReport, ListCancelRequest, ListExecute, ListStatus, ListStatusRequest, ListStrikePrice, NewOrderList, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest

ListManualOrderIndicator

Indicates if the list of orders was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).

Type: Boolean

Used in messages: NewOrderList

ListMethod

Indicates whether instruments are pre-listed only or can also be defined via user request

Type: int

Allowed values in ListMethodCodeSet:

Code | Name | Description
0 | PreListedOnly | pre-listed only
1 | UserRequested | user requested

Used in components: Instrument

ListName

Descriptive name for list order.

Type: String

Used in messages: BidRequest

ListOrderStatus

Code to represent the status of a list order.

Type: int

Allowed values in ListOrderStatusCodeSet:

Code | Name | Description
1 | InBiddingProcess | In bidding process
2 | ReceivedForExecution | Received for execution
3 | Executing | Executing
4 | Cancelling | Cancelling
5 | Alert | Alert
6 | AllDone | All Done
7 | Reject | Reject

Used in messages: ListStatus

ListOrdGrp

Name | Mult. | Type | Description
NoOrders | [1..1] | NumInGroup | Number of orders in this message (number of repeating groups to follow)
ClOrdID | [1..1] | String | Must be the first field in the repeating group.
SecondaryClOrdID | [0..1] | String |
ListSeqNo | [1..1] | int | Order number within the list
ClOrdLinkID | [0..1] | String |
SettlInstMode | [0..1] | CodeSet |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
DayBookingInst | [0..1] | CodeSet |
BookingUnit | [0..1] | CodeSet |
AllocID | [0..1] | String | Use to assign an ID to the block of individual preallocations
PreallocMethod | [0..1] | CodeSet |
PreAllocGrp | [0..*] | Group |
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
CashMargin | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
HandlInst | [0..1] | CodeSet |
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
MinQty | [0..1] | Qty |
MatchIncrement | [0..1] | Qty |
MaxPriceLevels | [0..1] | int |
DisplayInstruction | [0..1] | Component | Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
MaxFloor | [0..1] | Qty |
ExDestination | [0..1] | Exchange |
ExDestinationIDSource | [0..1] | CodeSet |
TrdgSesGrp | [0..*] | Group |
ProcessCode | [0..1] | CodeSet |
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group |
PrevClosePx | [0..1] | Price | Useful for verifying security identification
Side | [1..1] | CodeSet | Note: to indicate the side of SideValue1 or SideValue2, specify Side=Undisclosed and SideValueInd=either the SideValue1 or SideValue2 indicator.
ShortMarkingExemptIndicator | [0..1] | Boolean |
ShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when Side(54) = 6(Sell short exempt).
SideValueInd | [0..1] | CodeSet | Refers to the SideValue1 or SideValue2. These are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.
LocateReqd | [0..1] | CodeSet | Required for short sell orders
TransactTime | [0..1] | UTCTimestamp |
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
QtyType | [0..1] | CodeSet |
OrderQtyData | [1..1] | Component | Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"
OrdType | [0..1] | CodeSet |
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price |
PriceProtectionScope | [0..1] | CodeSet |
StopPx | [0..1] | Price |
TriggeringInstruction | [0..1] | Component | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
IOIID | [0..1] | String | Required for Previously Indicated Orders (OrdType=E)
QuoteID | [0..1] | String | Required for Previously Quoted Orders (OrdType=D)
RefOrderID | [0..1] | String | Required for counter-order selection / Hit / Take Orders (OrdType = Q)
RefOrderIDSource | [0..1] | CodeSet | Conditionally required if RefOrderID is specified.
TimeInForce | [0..1] | CodeSet |
EffectiveTime | [0..1] | UTCTimestamp |
ExpireDate | [0..1] | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
ExpireTime | [0..1] | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
GTBookingInst | [0..1] | CodeSet | States whether executions are booked out or accumulated on a partially filled GT order
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59)=10 (Good for Time)
ExposureDurationUnit | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
CustOrderCapacity | [0..1] | CodeSet |
OrderAttributeGrp | [0..*] | Group |
ForexReq | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet | 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). Absence of this field implies regular booking.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Price2 | [0..1] | Price | Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap which is also a limit order. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points).
PositionEffect | [0..1] | CodeSet |
CoveredOrUncovered | [0..1] | CodeSet |
MaxShow | [0..1] | Qty |
PegInstructions | [0..1] | Component | Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
DiscretionInstructions | [0..1] | Component | Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
TargetStrategy | [0..1] | CodeSet | The target strategy of the order
StrategyParametersGrp | [0..*] | Group | Strategy parameter block
TargetStrategyParameters | [0..1] | String | For further specification of the TargetStrategy
ParticipationRate | [0..1] | Percentage | Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate. For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)
Designation | [0..1] | String | Supplementary registration information for this Order within the List
ManualOrderIndicator | [0..1] | Boolean |

Used in messages: NewOrderList

ListRejectReason

Identifies the reason for rejection of a New Order List message. Note that OrdRejReason(103) is used if the rejection is based on properties of an individual order part of the List.

Type: int

Allowed values in ListRejectReasonCodeSet:

Code | Name | Description
0 | BrokerCredit | Broker / Exchange option
2 | ExchangeClosed | Exchange closed
4 | TooLateToEnter | Too late to enter
5 | UnknownOrder | Unknown order
6 | DuplicateOrder | Duplicate Order (e.g. dupe ClOrdID)
11 | UnsupportedOrderCharacteristic | Unsupported order characteristic
99 | Other | Other

Used in messages: ListStatus

ListSeqNo

Sequence of individual order within list (i.e. ListSeqNo of TotNoOrders (68), 2 of 25, 3 of 25, . . . )

Type: int

Used in groups: ListOrdGrp

ListStatusText

Free format text string related to List Status.

Type: String

Used in messages: ListStatus

ListStatusType

Code to represent the status type.

Type: int

Allowed values in ListStatusTypeCodeSet:

Code | Name | Description
1 | Ack | Ack
2 | Response | Response
3 | Timed | Timed
4 | ExecStarted | Exec Started
5 | AllDone | All Done
6 | Alert | Alert

Used in messages: ListStatus

ListUpdateAction

If provided, then Instrument occurrence has explicitly changed

Type: char

Allowed values in ListUpdateActionCodeSet:

Code | Name | Description
A | Add | Add
D | Delete | Delete
M | Modify | Modify
S | Snapshot | Snapshot

Used in groups: PartyDetailAckGrp, PartyDetailsUpdateGrp, PartyEntitlementAckGrp, PartyEntitlementUpdateGrp, PartyRiskLimitsAckGrp, PartyRiskLimitsUpdateGrp, RelSymDerivSecUpdGrp, SecLstUpdRelSymGrp

LoanFacility

Specifies the type of loan when the credit default swap's reference obligation is a loan.

Type: int

Allowed values in LoanFacilityCodeSet:

Code | Name | Description
0 | BridgeLoan | Bridge loan
1 | LetterOfCredit | Letter of credit
2 | RevolvingLoan | Revolving loan
3 | SwinglineFunding | Swingline funding
4 | TermLoan | Term loan
5 | TradeClaim | Trade claim

Used in components: Instrument

LocaleOfIssue

Identifies the locale or region of issue.

Type: String

Used in components: Instrument

LocateReqd

Indicates whether the broker is to locate the stock in conjunction with a short sell order.

Type: Boolean

Allowed values in LocateReqdCodeSet:

Code | Name | Description
N | No | Indicates the broker is not required to locate
Y | Yes | Indicates the broker is responsible for locating the stock

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

LocationID

Identification of a Market Maker's location

Type: String

Used in groups: CompIDReqGrp, CompIDStatGrp, MDFullGrp, MDIncGrp

LockedQty

Locked order quantity.

Type: Qty

Used in messages: ExecutionReport

LockType

Indicates whether an order is locked and for what reason.

Type: int

Allowed values in LockTypeCodeSet:

Code
Name
Description

0
NotLocked
Not locked

1
AwayMarketNetter
Away market better

2
ThreeTickLocked
Three tick locked

3
LockedByMarketMaker
Locked by market maker

4
DirectedOrderLock
Directed order lock

5
MultilegLock
Multileg lock. Lock in the context of multileg orders where legs are executed independently and the entire order is locked until matching information is available for all legs. A multileg order or quote must be matched in its entirety or not at all. For example, one of the legs may be a stock leg sent to a different execution venue that may or may not be able to fill it.

6
MarketOrderLock
Market order lock

7
PreAssignmentLock
Pre-assignment lock

Used in messages: ExecutionReport

LongQty

Long quantity.

Type: Qty

Used in groups: PositionQty, TradePositionQty

LotType

Defines the lot type assigned to the order.

Type: char

Allowed values in LotTypeCodeSet:

Code | Name | Description
1 | OddLot | Odd Lot
2 | RoundLot | Round Lot
3 | BlockLot | Block Lot
4 | RoundLotBasedUpon | Round lot based upon UnitOfMeasure(996)

Used in components: TradeReportOrderDetail

Used in groups: LotTypeRules, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport

LotTypeRules

Name | Mult. | Type | Description
NoLotTypeRules | [1..1] | NumInGroup | Number of Lot Types
LotType | [0..1] | CodeSet | Defines the lot type assigned to the order. Use as an alternate to RoundLot(561). To be used with MinLotSize(1231). LotType + MinLotSize (max is next level minus 1). Required if NoLotTypeRules(1234) > 0.
MinLotSize | [0..1] | Qty | Minimum lot size allowed based on lot type specified in LotType(1093)

Used in components: BaseTradingRules

LowExercisePriceOptionIndicator

Indicates if a given option instrument permits low exercise prices (LEPO).

Type: Boolean

Used in components: Instrument

LowLimitPrice

Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected

Type: Price

Used in components: PriceLimits

LowPx

Represents an indication of the low end of the price range for a security prior to the open or reopen

Type: Price

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstructionAlert, SecurityStatus

MailingDtls

Set of Correspondence address details, possibly including phone, fax, etc.

Type: String

Used in groups: RgstDtlsGrp

MailingInst

Free format text to specify mailing instruction requirements, e.g. "no third party mailings".

Type: String

Used in groups: RgstDtlsGrp

MakeWholeAmount

Amount to be paid by the buyer of the option if the option is exercised prior to the MakeWholeDate(42591).

Type: Amt

Used in components: OptionExerciseMakeWholeProvision

MakeWholeBenchmarkCurveName

Identifies the benchmark floating rate index.

Type: String

Used in components: OptionExerciseMakeWholeProvision

MakeWholeBenchmarkCurvePoint

The point on the floating rate index curve.

Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Type: String

Used in components: OptionExerciseMakeWholeProvision

MakeWholeBenchmarkQuote

The quote side of the benchmark to be used for calculating the "make whole" amount.

Type: int

Allowed values in StrikeIndexQuoteCodeSet:

Code | Name | Description
0 | Bid | Bid.
1 | Mid | Mid
2 | Offer | Offer

Used in components: OptionExerciseMakeWholeProvision

MakeWholeDate

The date through which option cannot be exercised without penalty.

Type: LocalMktDate

Used in components: OptionExerciseMakeWholeProvision

MakeWholeInterpolationMethod

The method used when calculating the "make whole" amount. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: OptionExerciseMakeWholeProvision

MakeWholeRecallSpread

Spread over the floating rate index.

Type: PriceOffset

Used in components: OptionExerciseMakeWholeProvision

MandatoryClearingIndicator

An indication that the trade is flagged for mandatory clearing.

Type: Boolean

Used in messages: TradeCaptureReport

MandatoryClearingJurisdiction

Identifier of the regulatory jurisdiction requiring the trade to be cleared.

Type: String

Used in groups: MandatoryClearingJurisdictionGrp

MandatoryClearingJurisdictionGrp

MandatoryClearingJurisdictionGrp is a repeating component of TradeCaptureReport used to specify the set of jurisdictions to which mandatory clearing applies.

Name | Mult. | Type | Description
NoMandatoryClearingJurisdictions | [1..1] | NumInGroup |
MandatoryClearingJurisdiction | [0..1] | String | Required if NoNoMandatoryClearingJurisdictions(41312) > 0.

Used in messages: TradeCaptureReport

ManualNoticeBusinessCenter

Identifies the business center used for adjusting the time for manual exercise notice.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: OptionExercise

ManualOrderIndicator

Indicates if an order, quote or trade was initially received manually (as opposed to electronically) or if it was entered manually (as opposed to entered by automated trading software).

Type: Boolean

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, MassOrder, MassOrderAck, NewOrderSingle, OrderCancelReplaceRequest, TradeCaptureReport

MarginAmount

Name | Mult. | Type | Description
NoMarginAmt | [1..1] | NumInGroup | Number of margin amount entries
MarginAmt | [0..1] | Amt |
MarginAmtType | [0..1] | CodeSet | Total margin requirement if not provided
MarginAmtCcy | [0..1] | Currency | Can be used to specify the base settlement currency if Currency(15) is not specified.
MarginAmtFXRate | [0..1] | float |
MarginAmtFXRateCalc | [0..1] | CodeSet |
MarginAmountMarketSegmentID | [0..1] | String |
MarginAmountMarketID | [0..1] | String |
MarginDirection | [0..1] | CodeSet |

Used in messages: AccountSummaryReport, MarginRequirementReport

MarginAmountMarketID

Market associated with the margin amount

Type: String

Used in groups: MarginAmount

MarginAmountMarketSegmentID

Market segment associated with the margin amount.

Type: String

Used in groups: MarginAmount

MarginAmt

Amount of margin requirement.

Type: Amt

Used in groups: MarginAmount

MarginAmtCcy

Currency of the MarginAmt(1645).

Type: Currency

Used in groups: MarginAmount

MarginAmtFXRate

Foreign exchange rate used to compute the MarginAmt(1645) from the MarginAmtCcy(1646) and the Currency(15).

Type: float

Used in groups: MarginAmount

MarginAmtFXRateCalc

Specifies whether or not MarginAmtFXRate(2088) should be multipled or divided.

Type: char

Allowed values in UnderlyingFXRateCalcCodeSet:

Code | Name | Description
D | Divide | Divide
M | Multiply | Multiply

Used in groups: MarginAmount

MarginAmtType

Type of margin requirement amount being specified.

Type: int

Allowed values in MarginAmtTypeCodeSet:

Code
Name
Description

1
AdditionalMargin
Additional Margin. Component of the total margin calculation which allows the CCP to include amounts generated outside of the Margin Deficit. Additional risk charges collected when a firm is placed on higher than normal surveillance. Additional margin serves to cover the additional liquidation costs that potentially could be incurred. Such possible close-out costs could arise if, based on the current market value of a portfolio, the worst case loss were to occur within a 24-hour period. It is used for options (also options on futures) and non-spread futures positions, bonds and equity trades. For bonds and equity trades, the additional margin is calculated for security positions but not for the corresponding cash positions.

2
AdjustedMargin
Adjusted Margin. Unadjusted Margin can be modified to become an Adjusted Margin by assigning a specific collateral to it or by applying an exchange rate.

3
UnadjustedMargin
Unadjusted Margin. Calculated by adding up the options Premium Margin, the current Liquidating Margin, the Futures Spread Margin and the Additional Margin on account and currency level.

4
BinaryAddOnAmount
Binary Add-On Amount. Requirement generated from positions in Binary Options which are considered fully margined. Margin for an individual contract in this category represents the total amount that would be paid upon delivery of a contract should it expire in-the-money. This amount is included as a component of Additional Margin in the Total Margin calculation.

5
CashBalanceAmount
Cash Balance Amount. Information about cash balance posted to the clearing house to cover the current margin requirement.

6
ConcentrationMargin
Concentration Margin. Reflects a riskier portfolio concentration when a set of closely related products is held.

7
CoreMargin
Core Margin. Specific basic requirement of a position. Core margin is equal to Initial Margin plus a percentage of the Variation Margin.

8
DeliveryMargin
Delivery Margin. Margin amount calculated between the Last Trade Date or Options Exercise Date and the Delivery or Settlement Date. Can also represent a commodities or energy delivery.

9
DiscretionaryMargin
Discretionary Margin. Unspecific margin amount added by the risk manager, also called Increase Coverage Amount.

10
FuturesSpreadMargin
Futures Spread Margin. Long and short positions of futures with different expiration dates can be offset against each other and are called “spreads”. The remaining risk stems from the difference in expiration dates which does not provide a perfect price correlation. The purpose of Futures Spread Margin is to cover this risk until the next trading day. This kind of margin is levied in order to cover those risks associated with a futures spread which could arise between today and tomorrow.

11
InitialMargin
Initial Margin. The initial amount required to cover the position.

12
LiquidatingMargin
Liquidating Margin. Calculated for cash, bond and equity positions and is equal to the profits and losses in such positions at the time of calculation. This margin protects the CCP if it is required to close out the position at the current/EOD price. The liquidating margin (also called Current Liquidating Margin or Net Liquidating Margin) is paid by the buyer or the seller of the bonds. This margin covers losses that would occur if a position were to be liquidated today. The liquidating margin is adjusted daily similar to premium margin.

13
MarginCallAmount
Margin Call Amount. If the collateral that has been deposited is no longer sufficient, meaning a lack of coverage exists, then the market participant will be called upon to provide additional cash as collateral.

14
MarginDeficitAmount
Margin Deficit Amount (Shortfall). Base margin risk charge. This amount represents anticipated losses should the value of a portfolio (all positions in the account) fall below predefined level of Historical Value-at-Risk confidence. Also called Expected Shortfall Amount.

15
MarginExcessAmount
Margin Excess Amount (Surplus). Excess long premium value which is generated when long premium value exceeds the sum of any short premium debit requirement and the account's risk charges. Also called Expected Surplus Amount or Margin Credit Amount.

16
OptionPremiumAmount
Option Premium Amount. Premium registered on the given trading date. The amount of money that the options buyer must pay the options seller.

17
PremiumMargin
Premium Margin. Premium margin must be deposited by the seller of a traditional options position. It remains effective until the exercise or expiration of the option, and covers the potential costs of a close-out (liquidation) of the position of the seller at the settlement price.

18
ReserveMargin
Reserve Margin. Reserve margin provides a way to reflect the inflated risk of a position. Reserve margin is equal to a percentage of the variation margin.

19
SecurityCollateralAmount
Security Collateral Amount. Information about the security collateral posted to the clearing house to cover the current margin requirement.

20
StressTestAddOnAmount
Stress Test Add-On Amount. Amount in addition to Margin Deficit in the Risk component of the margin calculation. This charge is based on tests which incorporate changes to distributional and confidence level assumptions to evaluate exposure to security concentration and changes in dependence structure; a predetermined percentage of the calculated exposure is collateralized as this charge.

21
SuperMargin
Super Margin. Additional risk charge applied to predetermined Cross-Margin accounts. The charge is based on the account's level of Margin Deficit. This amount is included as a component of Additional Margin in the Total Margin calculation.

22
TotalMargin
Total Margin. Sum of all margin amounts at value date.

23
VariationMargin
Variation Margin. Variation margin (also called Contingent Variation Margin or Maintenance Margin) is the daily Profit and Loss (P&L) on Open Positions for the given trading date. The current price is compared to the previous day's price. Variation margin (a daily offsetting of profits and losses) occurs as a result of the mark-to-market procedure used for futures and options on futures.

24
SecondaryVariationMargin
Secondary Variation Margin. Variation margin on Option Positions that is calculated based on the market movement. This will be used by CCPs wanting to report the variation for Options and Futures separately.

25
RolledUpMarginDeficit
Rolled up margin deficit

26
SpreadResponseMargin
Spread response margin. Risk factor component associated with spread moves, curve shape changes and recovery rates.

27
SystemicRiskMargin
Systemic risk margin. Risk factor component to capture parallel shift of credit spreads.

28
CurveRiskMargin
Curve risk margin. Risk factor captures curve shifts based on portfolio.

29
IndexSpreadRiskMargin
Index spread risk margin. Risk factor component associated with risks due to widening/tightening spreads of CDS indices relative to each other.

30
SectorRiskMargin
Sector risk margin. Risk factor component to capture sector risk.

31
JumpToDefaultRiskMargin
Jump-to-default risk margin. Risk factor component to capture extreme widening of credit spreads of a reference entity. Also known as Idiosyncratic Risk.

32
BasisRiskMargin
Basis risk margin. Risk factor component to capture basis risk between index and index constituent reference entities.

33
InterestRateRiskMargin
Interest rate risk margin. Risk factor component associated with parallel shift movements in interest rates.

34
JumpToHealthRiskMargin
Jump-to-health risk margin. Risk factor component to capture extreme narrowing of credit spreads of a reference entity. Also known as Idiosyncratic Risk.

35
OtherRiskMargin
Other risk margin. Any other risk factors include in the Margin Model.

Used in groups: MarginAmount

MarginClass

Identifier for group of instruments with similar risk profile.

Type: String

Used in messages: MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport

MarginDirection

Indicates whether the margin described is posted or received.

Type: int

Allowed values in MarginDirectionCodeSet:

Code | Name | Description
0 | Posted | Posted. The party or account that is the object of the report posted margin.
1 | Received | Received. The party or account that is the object of the report received margin.

Used in groups: MarginAmount

MarginExcess

Excess margin amount (deficit if value is negative)

Type: Amt

Used in messages: AccountSummaryReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse

MarginRatio

The fraction of the cash consideration that must be collateralized, expressed as a percent. A MarginRatio of 02% indicates that the value of the collateral (after deducting for "haircut") must exceed the cash consideration by 2%.

Type: Percentage

Used in components: FinancingDetails

MarginReqmtInqID

Unique identifier of the MarginRequirementInquiry.

Type: String

Used in messages: MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, PositionReport

MarginReqmtInqQualGrp

Name | Mult. | Type | Description
NoMarginReqmtInqQualifier | [1..1] | NumInGroup | Number of qualifier entries
MarginReqmtInqQualifier | [0..1] | CodeSet |

Used in messages: MarginRequirementInquiry, MarginRequirementInquiryAck

MarginReqmtInqQualifier

Qualifier for MarginRequirementInquiry to identify a specific report.

Type: int

Allowed values in MarginReqmtInqQualifierCodeSet:

Code | Name | Description
0 | Summary | Summary
1 | Detail | Detail
2 | ExcessDeficit | Excess/Deficit
3 | NetPosition | Net Position

Used in groups: MarginReqmtInqQualGrp

MarginReqmtInqResult

Result returned in response to MarginRequirementInquiry.

Type: int

Allowed values in MarginReqmtInqResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidOrUnknownInstrument | Invalid or unknown instrument
2 | InvalidOrUnknownMarginClass | Invalid or unknown margin class
3 | InvalidParties | Invalid Parties
4 | InvalidTransportTypeReq | Invalid Transport Type requested
5 | InvalidDestinationReq | Invalid Destination requested
6 | NoMarginReqFound | No margin requirement found
7 | MarginReqInquiryQualifierNotSupported | Margin requirement inquiry qualifier not supported
8 | UnauthorizedForMarginReqInquiry | Unauthorized for margin requirement inquiry
99 | Other | Other (further information in Text (58) field)

Used in messages: MarginRequirementInquiryAck

MarginReqmtInqStatus

Status of MarginRequirementInquiry.

Type: int

Allowed values in CollInquiryStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithWarnings | Accepted With Warnings
2 | Completed | Completed
3 | CompletedWithWarnings | Completed With Warnings
4 | Rejected | Rejected

Used in messages: MarginRequirementInquiryAck

MarginReqmtRptID

Identifier for the MarginRequirementReport message.

Type: String

Used in messages: MarginRequirementReport

MarginReqmtRptType

Type of MarginRequirementReport.

Type: int

Allowed values in MarginReqmtRptTypeCodeSet:

Code | Name | Description
0 | Summary | Summary
1 | Detail | Detail
2 | ExcessDeficit | Excess/Deficit

Used in messages: MarginRequirementReport

MarketCondition

Market condition. In the context of ESMA RTS 8 it is important that trading venues communicate the condition of the market, particularly "stressed" and "exceptional", in order to provide incentives for firms contributing to liquidity.

Type: int

Allowed values in MarketConditionCodeSet:

Code
Name
Description

0
Normal
Normal. The condition of the market in the absence of "stressed" or "exceptional" conditions.

1
Stressed
Stressed. In the context of ESMA RTS 8 Article 6: Trading venues shall set out the parameters to identify stressed market conditions in terms of significant short-term changes of price and volume. Trading venues shall consider the resumption of trading after volatility interruptions as stressed market conditions.

2
Exceptional
Exceptional. In the context of ESMA RTS 8 Article 3: Due to (a) a situation of extreme volatility; (b) war, industrial action, civil unrest or cyber sabotage; (c) disorderly trading conditions, e.g. due to technical issues; (d) unavailability of risk management facilities.

Used in groups: MDFullGrp, MDIncGrp

MarketDataFeedTypes

The MarketDataFeedTypes component is used to specify the different available feed types and sub-types, and additional market data feed related attributes, such as the market depth of the specified feed type.

Name | Mult. | Type | Description
NoMDFeedTypes | [1..1] | NumInGroup |
MDFeedType | [0..1] | String | Required if NoMDFeedTypes(1141) > 0.
MDSubFeedType | [0..1] | String |
MarketDepth | [0..1] | int | Specifies the depth of book (or levels of market depth) for the feed type.
MarketDepthTimeInterval | [0..1] | int | Conditionally required when MarketDepthTimeIntervalUnit(2564) is specified.
MarketDepthTimeIntervalUnit | [0..1] | CodeSet | Conditionally required when MarketDataTimeInterval(2563) is specified.
MDRecoveryTimeInterval | [0..1] | int | Conditionally required when MDRecoveryTimeIntervalUnit(2566) is specified.
MDRecoveryTimeIntervalUnit | [0..1] | CodeSet | Conditionally required when MDRecoveryTimeInterval(2565) is specified.
MDBookType | [0..1] | CodeSet |
MDSubBookType | [0..1] | int |
PrimaryServiceLocationID | [0..1] | String |
SecondaryServiceLocationID | [0..1] | String |

Used in components: TradingSessionRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

MarketDepth

Depth of market for Book Snapshot / Incremental updates

0 - full book depth

1 - top of book

2 and above - book depth (number of levels)

Type: int

Used in components: MDStatisticParameters

Used in groups: MDIncGrp, MarketDataFeedTypes

Used in messages: MarketDataRequest, MarketDataSnapshotFullRefresh, SecurityMassStatus, SecurityStatus

MarketDepthTimeInterval

Specifies the time interval used for netting market data in a price depth feed.

Type: int

Used in groups: MarketDataFeedTypes

MarketDepthTimeIntervalUnit

The time unit associated with the time interval of the netting of market data in a price depth feed.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: MarketDataFeedTypes

MarketDisruption

The MarketDisruption component is a subcomponent of the Instrument used to specify the market disruption provisions of the swap.

Name | Mult. | Type | Description
MarketDisruptionProvision | [0..1] | CodeSet |
MarketDisruptionEventGrp | [0..*] | Group |
MarketDisruptionFallbackProvision | [0..1] | CodeSet |
MarketDisruptionFallbackGrp | [0..*] | Group |
MarketDisruptionFallbackReferencePriceGrp | [0..*] | Group |
MarketDisruptionMaximumDays | [0..1] | int |
MarketDisruptionMaterialityPercentage | [0..1] | Percentage | If specified, the disruption event should be specified in MarketDisruptionEventGrp.
MarketDisruptionMinimumFuturesContracts | [0..1] | int | Applicable only when MarketDisruptionEvent(41093)='DeMinimisTrading'.

Used in components: Instrument

MarketDisruptionEvent

Specifies the market disruption event.

For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.

For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.

Type: String

Used in groups: MarketDisruptionEventGrp

MarketDisruptionEventGrp

The MarketDisruptionEventGrp is a repeating subcomponent of the MarketDisruption component used to specify the market disruption events.

Name | Mult. | Type | Description
NoMarketDisruptionEvents | [1..1] | NumInGroup |
MarketDisruptionEvent | [0..1] | String | Required if NoMarketDisruptionEvents(41092) > 0.
MarketDisruptionValue | [0..1] | String |

Used in components: MarketDisruption

MarketDisruptionFallbackBasketCurrency

Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackBasketDivisor

Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.

Type: float

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackGrp

The MarketDisruptionFallbackGrp is a repeating subcomponent of the MarketDisruption component used to specify the market disruption fallback provisions.

Name | Mult. | Type | Description
NoMarketDisruptionFallbacks | [1..1] | NumInGroup |
MarketDisruptionFallbackType | [0..1] | String | Required if NoMarketDisruptionFallbacks(41094) > 0. The sequence of entries specifies the order in which the fallback provisions should be applied.
MarketDisruptionFallbackValue | [0..1] | String |

Used in components: MarketDisruption

MarketDisruptionFallbackOpenUnits

If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

Type: Qty

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackProvision

Specifies the location of the fallback provision documentation.

Type: int

Allowed values in MarketDisruptionFallbackProvisionCodeSet:

Code | Name | Description
0 | MasterAgreement | As specified in master agreement
1 | Confirmation | As specified in confirmation

Used in components: MarketDisruption

MarketDisruptionFallbackReferencePriceGrp

The MarketDisruptionFallbackReferencePriceGrp is a repeating subcomponent of the MarketDisruption component used to specify the fallback reference price and underlying security provisions

Name | Mult. | Type | Description
NoMarketDisruptionFallbackReferencePrices | [1..1] | NumInGroup |
MarketDisruptionFallbackUnderlierType | [0..1] | CodeSet | Required if NoMarketDisruptionFallbackReferencePrices(41096) > 0.
MarketDisruptionFallbackUnderlierSecurityID | [0..1] | String | Conditionally required when MarketDisruptionFallbackUnderlyerSecurityIDSource(41099) is specified.
MarketDisruptionFallbackUnderlierSecurityIDSource | [0..1] | CodeSet | Conditionally required when MarketDisruptionFallbackUnderlierSecurityID(41098) is specified.
MarketDisruptionFallbackUnderlierSecurityDesc | [0..1] | String |
EncodedMarketDisruptionFallbackUnderlierSecurityDescLen | [0..1] | Length | Must be set if EncodedMarketDisruptionFallbackUnderlierSecurityDesc(41102) field is specified and must immediately precede it
EncodedMarketDisruptionFallbackUnderlierSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MarketDisruptionFallbackUnderlierSecurityDesc(41100) field in the encoded format specified via the MessageEncoding(347) field.
MarketDisruptionFallbackOpenUnits | [0..1] | Qty |
MarketDisruptionFallbackBasketCurrency | [0..1] | Currency |
MarketDisruptionFallbackBasketDivisor | [0..1] | float |

Used in components: MarketDisruption

MarketDisruptionFallbackType

Specifies the type of disruption fallback.

See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.

Type: String

Used in groups: MarketDisruptionFallbackGrp

MarketDisruptionFallbackUnderlierSecurityDesc

Specifies the description of the underlying security.

Type: String

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackUnderlierSecurityID

Specifies the identifier value of the security.

Type: String

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackUnderlierSecurityIDSource

Specifies the class or source scheme of the security identifier.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackUnderlierType

The type of reference price underlier.

Type: int

Allowed values in MarketDisruptionFallbackUnderlierTypeCodeSet:

Code | Name | Description
0 | Basket | Basket
1 | Bond | Bond
2 | Cash | Cash
3 | Commodity | Commodity
4 | ConvertibleBond | Convertible bond
5 | Equity | Equity
6 | ExchangeTradedFund | Exchange traded fund
7 | Future | Future
8 | Index | Index
9 | Loan | Loan
10 | Mortgage | Mortgage
11 | MutualFund | Mutual fund

Used in groups: MarketDisruptionFallbackReferencePriceGrp

MarketDisruptionFallbackValue

Applicable value for MarketDisruptionFallbackType(41095).

Type: String

Used in groups: MarketDisruptionFallbackGrp

MarketDisruptionMaterialityPercentage

Used when a price materiality percentage applies to the price source disruption event and this event has been specified.

Type: Percentage

Used in components: MarketDisruption

MarketDisruptionMaximumDays

Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).

Type: int

Used in components: MarketDisruption

MarketDisruptionMinimumFuturesContracts

Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.

Type: int

Used in components: MarketDisruption

MarketDisruptionProvision

The consequences of market disruption events.

Type: int

Allowed values in MarketDisruptionProvisionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable
1 | Applicable | Applicable
2 | AsInMasterAgreement | As specified in master agreement
3 | AsInConfirmation | As specified in confirmation

Used in components: MarketDisruption

MarketDisruptionValue

Applicable value for MarketDisruptionEvent(41093).

Type: String

Used in groups: MarketDisruptionEventGrp

MarketID

Identifies the market

Type: Exchange

Used in groups: MarketSegmentGrp, MarketSegmentScopeGrp, TrdSessLstGrp

Used in messages: CrossRequest, CrossRequestAck, DerivativeSecurityListRequest, MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionRequest, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, News, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, PartyActionReport, PartyActionRequest, SecurityDefinitionRequest, SecurityList, SecurityListRequest, SecurityListUpdateReport, SecurityMassStatus, SecurityMassStatusRequest, SecurityStatus, SecurityStatusRequest, SecurityTypeRequest, SecurityTypes, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport, TradingSessionListRequest, TradingSessionStatus, TradingSessionStatusRequest

MarketMakerActivity

Indicates market maker participation in security.

Type: int

Allowed values in MarketMakerActivityCodeSet:

Code | Name | Description
0 | NoParticipation | No participation
1 | BuyParticipation | Buy participation
2 | SellParticipation | Sell participation
3 | BothBuyAndSellParticipation | Both buy and sell participation

Used in messages: SecurityStatus

MarketReportID

Market Definition message identifier.

Type: String

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

MarketReqID

Unique ID of a Market Definition Request message.

Type: String

Used in messages: MarketDefinition, MarketDefinitionRequest, MarketDefinitionUpdateReport

MarketSegmentDesc

Description or name of Market Segment

Type: String

Used in messages: MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport

MarketSegmentGrp

Name | Mult. | Type | Description
NoMarketSegments | [1..1] | NumInGroup | Number of Market Segments on which a security may trade.
MarketID | [0..1] | Exchange | Identifies the market which lists and trades the instrument.
MarketSegmentID | [0..1] | String | Identifies the segment of the market to which the specify trading rules and listing rules apply.
SecurityTradingRules | [0..1] | Component |
StrikeRules | [0..*] | Group | This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument.

Used in components: DerivativeSecurityDefinition

Used in messages: SecurityDefinition, SecurityDefinitionUpdateReport

MarketSegmentID

Identifies the market segment

Type: String

Used in groups: MarketSegmentGrp, MarketSegmentScopeGrp, TrdSessLstGrp

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, CrossRequest, CrossRequestAck, DerivativeSecurityListRequest, ExecutionReport, MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionRequest, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, News, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderStatusRequest, PartyActionReport, PartyActionRequest, SecurityDefinitionRequest, SecurityList, SecurityListRequest, SecurityListUpdateReport, SecurityMassStatus, SecurityMassStatusRequest, SecurityStatus, SecurityStatusRequest, SecurityTypeRequest, SecurityTypes, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport, TradingSessionListRequest, TradingSessionStatus, TradingSessionStatusRequest

MarketSegmentRelationship

Type of relationship between two or more market segments.

Type: int

Allowed values in MarketSegmentRelationshipCodeSet:

Code | Name | Description
1 | MarketSegmentPoolMember | Market segment pool member. Market segments represent constituents of the pool identified.
2 | RetailSegment | Retail segment. Retail segment related to wholesale segment identified.
3 | WholesaleSegment | Wholesale segment. Wholesale segment related to retail segment identified.

Used in groups: RelatedMarketSegmentGrp

MarketSegmentScopeGrp

Conveys a list of markets and, optionally, their market segments. Note that the component MarketSegmentGrp exists, but is not useful for this purpose, as it conveys additional information not appropriate in this context.

Name | Mult. | Type | Description
NoMarketSegments | [1..1] | NumInGroup |
MarketID | [0..1] | Exchange | Required if NoMarketSegments(1310) > 0.
MarketSegmentID | [0..1] | String |

Used in groups: EntitlementGrp

Used in messages: MarketDataRequest, PartyEntitlementsRequest

MarketSegmentStatus

Status of market segment.

Type: int

Allowed values in MarketSegmentStatusCodeSet:

Code | Name | Description
1 | Active | Active. Market segment is active, i.e. trading is possible.
2 | Inactive | Inactive. Market segment has previously been active and is now inactive.
3 | Published | Published. Market segment information is provided prior to its first activation.

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

MarketSegmentSubType

Used to further categorize market segments within a MarketSegmentType(2543).

Type: int

Allowed values in MarketSegmentSubTypeCodeSet:

Code | Name | Description
1 | InterProductSpread | Inter-product spread. Complex instruments which consist of leg instruments from different products, e.g. a location spread which include country-specific products in each leg instrument.

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

MarketSegmentType

Used to classify the type of market segment.

Type: int

Allowed values in MarketSegmentTypeCodeSet:

Code | Name | Description
1 | Pool | Pool. Used when multiple market segments are being grouped or pooled together.
2 | Retail | Retail.
3 | Wholesale | Wholesale.

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

MarketUpdateAction

Specifies the action taken for the specified MarketID(1301) + MarketSegmentID(1300).

Type: char

Allowed values in SecurityUpdateActionCodeSet:

Code | Name | Description
A | Add | Add
D | Delete | Delete
M | Modify | Modify

Used in messages: MarketDefinitionUpdateReport

MassActionReason

Reason for submission of mass action.

Type: int

Allowed values in MassActionReasonCodeSet:

Code | Name | Description
0 | None | No special reason (default)
1 | TradingRiskControl | Trading risk control. General violation of trading rules. Can be used if specific reason is unavailable or must not be disclosed.
2 | ClearingRiskControl | Clearing risk control. General violation of clearing rules. Can be used if specific reason is unavailable or must not be disclosed.
3 | MarketMakerProtection | Market maker protection. Specific action taken to prevent further executions for a market maker.
4 | StopTrading | Stop trading. Specific action taken in conjunction with the prevention of further trading. Scope can be defined with TargetParties component.
5 | EmergencyAction | Emergency action. Specific action taken due to an emergency condition. Scope can be defined with TargetParties component.
6 | SessionLossLogout | Session loss or logout. Protection of trader or firm after having lost connectivity.
7 | DuplicateLogin | Duplicate login. Trader only allowed to login once.
8 | ProductNotTraded | Product not traded. Product not available for trading, e.g. in a halted state.
9 | InstrumentNotTraded | Instrument not traded. Instrument not available for trading, e.g. due to intra-day expiration.
10 | CompleInstrumentDeleted | Complex instrument deleted. Removal of complex instrument, e.g. due to expiry, leading to mass action on open orders.
11 | CircuitBreakerActivated | Circuit breaker activated. Trading interruption leading to mass action on open orders.
99 | Other | Other

Used in messages: OrderMassActionReport, OrderMassActionRequest

MassActionRejectReason

Reason Order Mass Action Request was rejected

Type: int

Allowed values in MassActionRejectReasonCodeSet:

Code | Name | Description
0 | MassActionNotSupported | Mass action not supported
1 | InvalidOrUnknownSecurity | Invalid or unknown security
2 | InvalidOrUnknownUnderlyingSecurity | Invalid or unknown underlying security
3 | InvalidOrUnknownProduct | Invalid or unknown product
4 | InvalidOrUnknownCFICode | Invalid or unknown CFI Code
5 | InvalidOrUnknownSecurityType | Invalid or unknown security type
6 | InvalidOrUnknownTradingSession | Invalid or unknown trading session
7 | InvalidOrUnknownMarket | Invalid or unknown market
8 | InvalidOrUnknownMarketSegment | Invalid or unknown market segment
9 | InvalidOrUnknownSecurityGroup | Invalid or unknown security group
10 | InvalidOrUnknownSecurityIssuer | Invalid or unknown issuer
11 | InvalidOrUnknownIssuerOfUnderlyingSecurity | Invalid or unknown issuer of underlying security
99 | Other | Other

Used in messages: OrderMassActionReport

MassActionReportID

Unique identifier of Order Mass Cancel Report or Order Mass Action Report message as assigned by sell-side (broker, exchange, ECN)

Type: String

Used in messages: OrderMassActionReport, OrderMassCancelReport

MassActionResponse

Specifies the action taken by counterparty order handling system as a result of the action type indicated in MassActionType of the Order Mass Action Request.

Type: int

Allowed values in MassActionResponseCodeSet:

Code | Name | Description
0 | Rejected | Rejected - See MassActionRejectReason(1376)
1 | Accepted | Accepted
2 | Completed | Completed

Used in messages: OrderMassActionReport

MassActionScope

Specifies scope of Order Mass Action Request.

Type: int

Allowed values in MassActionScopeCodeSet:

Code | Name | Description
1 | AllOrdersForASecurity | All orders for a security
2 | AllOrdersForAnUnderlyingSecurity | All orders for an underlying security
3 | AllOrdersForAProduct | All orders for a product
4 | AllOrdersForACFICode | All orders for a CFI Code
5 | AllOrdersForASecurityType | All orders for a security type
6 | AllOrdersForATradingSession | All orders for a trading session
7 | AllOrders | All orders
8 | AllOrdersForAMarket | All orders for a market
9 | AllOrdersForAMarketSegment | All orders for a market segment (or multiple segments)
10 | AllOrdersForASecurityGroup | All orders for a security group
11 | CancelForSecurityIssuer | All orders for an issuer
12 | CancelForIssuerOfUnderlyingSecurity | All orders for an issuer of underlying security

Used in messages: OrderMassActionReport, OrderMassActionRequest

MassActionType

Specifies the type of action requested

Type: int

Allowed values in MassActionTypeCodeSet:

Code | Name | Description
1 | SuspendOrders | Suspend orders
2 | ReleaseOrdersFromSuspension | Release orders from suspension
3 | CancelOrders | Cancel orders

Used in messages: OrderMassActionReport, OrderMassActionRequest

MassCancelRejectReason

Reason Order Mass Cancel Request was rejected

Type: int

Allowed values in MassCancelRejectReasonCodeSet:

Code | Name | Description
0 | MassCancelNotSupported | Mass Cancel Not Supported
1 | InvalidOrUnknownSecurity | Invalid or unknown security
2 | InvalidOrUnknownUnderlyingSecurity | Invalid or unknown underlying security
3 | InvalidOrUnknownProduct | Invalid or unknown product
4 | InvalidOrUnknownCFICode | Invalid or unknown CFI Code
5 | InvalidOrUnknownSecurityType | Invalid or unknown security type
6 | InvalidOrUnknownTradingSession | Invalid or unknown trading session
7 | InvalidOrUnknownMarket | Invalid or unknown market
8 | InvalidOrUnkownMarketSegment | Invalid or unknown market segment
9 | InvalidOrUnknownSecurityGroup | Invalid or unknown security group
10 | InvalidOrUnknownSecurityIssuer | Invalid or unknown security issuer
11 | InvalidOrUnknownIssuerOfUnderlyingSecurity | Invalid or unknown issuer of underlying security
99 | Other | Other

Used in messages: OrderMassCancelReport

MassCancelRequestType

Specifies scope of Order Mass Cancel Request.

Type: char

Allowed values in MassCancelRequestTypeCodeSet:

Code | Name | Description
1 | CancelOrdersForASecurity | Cancel orders for a security
2 | CancelOrdersForAnUnderlyingSecurity | Cancel orders for an underlying security
3 | CancelOrdersForAProduct | Cancel orders for a product
4 | CancelOrdersForACFICode | Cancel orders for a CFICode
5 | CancelOrdersForASecurityType | Cancel orders for a security type
6 | CancelOrdersForATradingSession | Cancel orders for a trading session
7 | CancelAllOrders | Cancel all orders
8 | CancelOrdersForAMarket | Cancel orders for a market
9 | CancelOrdersForAMarketSegment | Cancel orders for a market segment
A | CancelOrdersForASecurityGroup | Cancel orders for a security group
B | CancelOrdersForSecurityIssuer | Cancel orders for an issuer
C | CancelForIssuerOfUnderlyingSecurity | Cancel orders for an issuer of underlying security

Used in messages: OrderMassCancelReport, OrderMassCancelRequest

MassCancelResponse

Specifies the action taken by counterparty order handling system as a result of the Order Mass Cancel Request

Type: char

Allowed values in MassCancelResponseCodeSet:

Code | Name | Description
0 | CancelRequestRejected | Cancel Request Rejected - See MassCancelRejectReason (532)
1 | CancelOrdersForASecurity | Cancel orders for a security
2 | CancelOrdersForAnUnderlyingSecurity | Cancel orders for an underlying security
3 | CancelOrdersForAProduct | Cancel orders for a product
4 | CancelOrdersForACFICode | Cancel orders for a CFI Code
5 | CancelOrdersForASecurityType | Cancel orders for a security type
6 | CancelOrdersForATradingSession | Cancel orders for a trading session
7 | CancelAllOrders | Cancel all orders
8 | CancelOrdersForAMarket | Cancel orders for a market
9 | CancelOrdersForAMarketSegment | Cancel orders for a market segment
A | CancelOrdersForASecurityGroup | Cancel orders for a security group
B | CancelOrdersForASecuritiesIssuer | Cancel orders for an issuer
C | CancelOrdersForIssuerOfUnderlyingSecurity | Cancel orders for an issuer of underlying security

Used in messages: OrderMassCancelReport

MassHaltReason

Denotes the reason for the Opening Delay or Trading halt of a group of securities.

Type: int

Allowed values in HaltReasonCodeSet:

Code | Name | Description
0 | NewsDissemination | News Dissemination
1 | OrderInflux | Order Influx
2 | OrderImbalance | Order Imbalance
3 | AdditionalInformation | Additional Information
4 | NewsPending | News Pending
5 | EquipmentChangeover | Equipment Changeover

Used in messages: SecurityMassStatus

MassOrderReportID

Unique message identifier for the response to a mass order request as assigned by the receiver of the orders.

Type: String

Used in messages: MassOrderAck

MassOrderRequestID

Unique message identifier for a mass order request as assigned by the submitter of the orders.

Type: String

Used in messages: ExecutionReport, MassOrder, MassOrderAck

MassOrderRequestResult

Request result of mass order request.

Type: int

Allowed values in MassOrderRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful
1 | ResponseLevelNotSupported | Response level not supported
2 | InvalidMarket | Invalid market
3 | InvalidMarketSegment | Invalid market segment
99 | Other | Other

Used in messages: MassOrderAck

MassOrderRequestStatus

Status of mass order request.

Type: int

Allowed values in MassOrderRequestStatusCodeSet:

Code | Name | Description
1 | Accepted | Accepted
2 | AcceptedWithAdditionalEvents | Accepted with additional events
3 | Rejected | Rejected

Used in messages: MassOrderAck

MassStatusReqID

Value assigned by issuer of Mass Status Request to uniquely identify the request

Type: String

Used in messages: ExecutionReport, OrderMassStatusRequest

MassStatusReqType

Specifies the type or scope of the mass order status request.

Type: int

Allowed values in MassStatusReqTypeCodeSet:

Code | Name | Description
1 | StatusForOrdersForASecurity | Status for orders for a security
2 | StatusForOrdersForAnUnderlyingSecurity | Status for orders for an underlying security
3 | StatusForOrdersForAProduct | Status for orders for a product
4 | StatusForOrdersForACFICode | Status for orders for a CFI Code
5 | StatusForOrdersForASecurityType | Status for orders for a security type
6 | StatusForOrdersForATradingSession | Status for orders for a trading session
7 | StatusForAllOrders | Status for all orders
8 | StatusForOrdersForAPartyID | Status for orders for a party identifier
9 | StatusForSecurityIssuer | Status for orders for an issuer
10 | StatusForIssuerOfUnderlyingSecurity | Status for orders for an issuer of underlying security

Used in messages: OrderMassStatusRequest

MasterConfirmationAnnexDate

The date that an annex to the master confirmation was executed between the parties.

Type: LocalMktDate

Used in components: FinancingDetails

MasterConfirmationAnnexDesc

The type of master confirmation annex executed between the parties.

See http://www.fpml.org/coding-scheme/master-confirmation-annex-type for values.

Type: String

Used in components: FinancingDetails

MasterConfirmationDate

Alternative to broker confirmation. The date of the confirmation executed between the parties and intended to govern all relevant transactions between those parties.

Type: LocalMktDate

Used in components: FinancingDetails

MasterConfirmationDesc

The type of master confirmation executed between the parties.

See http://www.fpml.org/coding-scheme/master-confirmation-type for values.

Type: String

Used in components: FinancingDetails

MatchAlgorithm

The types of algorithm used to match orders in a specific security. Possilbe value types are FIFO, Allocation, Pro-rata, Lead Market Maker, Currency Calender.

Type: String

Used in groups: MatchRules

MatchAttribTagID

Existing FIX field to be applied as a matching criteria to the instruction, bilaterally agreed between parties.

Type: TagNum

Used in groups: MatchingInstructions

MatchAttribValue

Value of MatchAttribTagID(1626) on which to apply the matching instruction.

Type: String

Used in groups: MatchingInstructions

MatchExceptionAllocValue

The allocating party's data value used in the match operation.

Type: String

Used in groups: MatchExceptionGrp

MatchExceptionConfirmValue

The confirming party's data value used in the match operation.

Type: String

Used in groups: MatchExceptionGrp

MatchExceptionElementName

The matching exception data point name, for example: "Trade currency". This may be used for display purposes, providing a corresponding description for the value in MatchExceptionElementType(2774).

Type: String

Used in groups: MatchExceptionGrp

MatchExceptionElementType

Identifies the data point used in the matching operation which resulted in an exception.

Type: int

Allowed values in MatchExceptionElementTypeCodeSet:

Code | Name | Description
1 | AccruedInterest | Accrued interest
2 | DealPrice | Deal price
3 | TradeDate | Trade date. Tolerance not applicable
4 | SettlementDate | Settlement date. Tolerance not applicable
5 | SideIndicator | Side indicator. Tolerance not applicable
6 | TradedCurrency | Traded currency. Tolerance not applicable
7 | AccountID | Account ID. Tolerance not applicable
8 | ExecutingBrokerID | Executing broker ID. Tolerance not applicable
9 | SettlementCurrencyAndAmount | Settlement currency and amount
10 | InvestmentManagerID | Investment manager ID. Tolerance not applicable
11 | NetAmount | Net amount
12 | PlaceOfSettlement | Place of settlement. Tolerance not applicable
13 | Commissions | Commissions
14 | SecurityIdentifier | Security identifier. Tolerance not applicable
15 | QualityAllocated | Quantity allocated
16 | Principal | Principal
17 | Fees | Fees
18 | Tax | Tax

Used in groups: MatchExceptionGrp

MatchExceptionGrp

The MatchExceptionGrp component details the matching exceptions and variances identified during the matching process based on the defined matching criteria and tolerances.

Name | Mult. | Type | Description
NoMatchExceptions | [1..1] | NumInGroup |
MatchExceptionType | [0..1] | CodeSet | Required if NoMatchExceptions(2772) > 0.
MatchExceptionElementType | [0..1] | CodeSet | Required if NoMatchExceptions(2772) > 0.
MatchExceptionElementName | [0..1] | String |
MatchExceptionAllocValue | [0..1] | String |
MatchExceptionConfirmValue | [0..1] | String |
MatchExceptionToleranceValue | [0..1] | float |
MatchExceptionToleranceValueType | [0..1] | CodeSet |
MatchExceptionText | [0..1] | String |
EncodedMatchExceptionTextLen | [0..1] | Length | Must be set if EncodedMatchExceptionText(2780) field is specified and must immediately precede it.
EncodedMatchExceptionText | [0..1] | data | Encoded (non-ASCII characters) representation of the MatchExceptionText(2780) field in the encoded format specified via the MessageEncoding(347) field.

Used in messages: Confirmation, ConfirmationAck

MatchExceptionText

Description of the exception.

Type: String

Used in groups: MatchExceptionGrp

MatchExceptionToleranceValue

The data element's tolerance value. Omitted if no tolerance is allowed or not applicable.

Type: float

Used in groups: MatchExceptionGrp

MatchExceptionToleranceValueType

The type of value in MatchExceptionToleranceValue(2778). Omitted if no tolerance is allowed or not applicable.

Type: int

Allowed values in MatchExceptionToleranceValueTypeCodeSet:

Code | Name | Description
1 | FixedAmount | Fixed amount. Default if not specified
2 | Percentage | Percentage

Used in groups: MatchExceptionGrp

MatchExceptionType

Type of matching exception.

Type: int

Allowed values in MatchExceptionTypeCodeSet:

Code | Name | Description
0 | NoMatchingConfirmation | No matching confirmation
1 | NoMatchingAllocation | No matching allocation
2 | AllocationDataElementMissing | Allocation data element missing
3 | ConfirmationDataElementMissing | Confirmation data element missing
4 | DataDifferenceNotWithinTolerance | Data difference not within tolerance
5 | MatchWithinTolerance | Match within tolerance
99 | Other | Other

Used in groups: MatchExceptionGrp

MatchIncrement

Allows orders to specify a minimum quantity that applies to every execution (one execution could be for multiple counter-orders). The order may still fill against smaller orders, but the cumulative quantity of the execution must be in multiples of the MatchIncrement.

Type: Qty

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MatchingDataPointGrp

The MatchingDataPointGrp component details all the trade attributes and tolerances used for trade matching.

Name | Mult. | Type | Description
NoMatchingDataPoints | [1..1] | NumInGroup |
MatchingDataPointIndicator | [0..1] | CodeSet | Required if NoMatchingDataPoints(2781) > 0.
MatchingDataPointValue | [0..1] | String | Required if NoMatchingDataPoints(2781) > 0.
MatchingDataPointType | [0..1] | CodeSet | Required if NoMatchingDataPoints(2781) > 0.
MatchingDataPointName | [0..1] | String |

Used in messages: Confirmation, ConfirmationAck

MatchingDataPointIndicator

Data point's matching type.

Type: int

Allowed values in MatchingDataPointIndicatorCodeSet:

Code | Name | Description
1 | Mandatory | Mandatory
2 | Optional | Optional

Used in groups: MatchingDataPointGrp

MatchingDataPointName

The matching data point name, for example: "Trade currency". This may be used for display purposes, providing a corresponding description for the value in MatchingDataPointType(2784).

Type: String

Used in groups: MatchingDataPointGrp

MatchingDataPointType

Identifies the data point used in the matching operation.

Type: int

Allowed values in MatchExceptionElementTypeCodeSet:

Code | Name | Description
1 | AccruedInterest | Accrued interest
2 | DealPrice | Deal price
3 | TradeDate | Trade date. Tolerance not applicable
4 | SettlementDate | Settlement date. Tolerance not applicable
5 | SideIndicator | Side indicator. Tolerance not applicable
6 | TradedCurrency | Traded currency. Tolerance not applicable
7 | AccountID | Account ID. Tolerance not applicable
8 | ExecutingBrokerID | Executing broker ID. Tolerance not applicable
9 | SettlementCurrencyAndAmount | Settlement currency and amount
10 | InvestmentManagerID | Investment manager ID. Tolerance not applicable
11 | NetAmount | Net amount
12 | PlaceOfSettlement | Place of settlement. Tolerance not applicable
13 | Commissions | Commissions
14 | SecurityIdentifier | Security identifier. Tolerance not applicable
15 | QualityAllocated | Quantity allocated
16 | Principal | Principal
17 | Fees | Fees
18 | Tax | Tax

Used in groups: MatchingDataPointGrp

MatchingDataPointValue

Value of the matching data point.

Type: String

Used in groups: MatchingDataPointGrp

MatchingInstructions

Name | Mult. | Type | Description
NoMatchInst | [1..1] | NumInGroup |
MatchInst | [0..1] | CodeSet | Required if NoMatchInst > 0.
MatchInstMarketID | [0..1] | Exchange |
MatchAttribTagID | [0..1] | TagNum | Required if NoMatchInst > 0.
MatchAttribValue | [0..1] | String | Required if NoMatchInst > 0.

Used in components: TradeReportOrderDetail

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MatchInst

Matching Instruction for the order.

Type: int

Allowed values in MatchInstCodeSet:

Code | Name | Description
1 | Match | Match
2 | DoNotMatch | Do Not Match

Used in groups: MatchingInstructions

MatchInstMarketID

Identifies the market to which the matching instruction applies.

Type: Exchange

Used in groups: MatchingInstructions

MatchRuleProductComplex

Identifies an entire suite of products for which the matching rule applies.

Type: String

Used in groups: MatchRules

MatchRules

The MatchRules component is used to specify the details of order matching rules for specified product group or complex.

Name | Mult. | Type | Description
NoMatchRules | [1..1] | NumInGroup |
MatchAlgorithm | [0..1] | String | Required if NoMatchRules(1235) > 0.
MatchType | [0..1] | CodeSet |
MatchRuleProductComplex | [0..1] | String | Can be used to limit match rule to specific product suite.
CustomerPriority | [0..1] | CodeSet | Can be used to give customer orders priority for the given matching algorithm.

Used in components: TradingSessionRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

MatchStatus

The status of this trade with respect to matching or comparison.

Type: char

Allowed values in MatchStatusCodeSet:

Code | Name | Description
0 | Compared | Compared, matched or affirmed
1 | Uncompared | Uncompared, unmatched, or unaffirmed
2 | AdvisoryOrAlert | Advisory or alert
3 | Mismatched | Mismatched. Indicates that data points from the AllocationInstruction(35=J) and Confirmation(35=AK) are matched but there are variances. MatchExceptionGrp component may be used to detail on the mis-matched data fields.

Used in groups: AllocGrp

Used in messages: AllocationInstructionAck, AllocationReportAck, Confirmation, ConfirmationAck, PositionReport, RequestForPositions, RequestForPositionsAck, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

MatchType

The point in the matching process at which this trade was matched.

Type: String

Allowed values in MatchTypeCodeSet:

Code | Name | Description
A1 | ExactMatchPlus4BadgesExecTime | Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator plus four badges and execution time (within two-minute window)
A2 | ExactMatchPlus4Badges | Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus four badges
A3 | ExactMatchPlus2BadgesExecTime | Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges and execution time (within two-minute window)
M3 | ACTAcceptedTrade | ACT Accepted Trade
A4 | ExactMatchPlus2Badges | Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator, plus two badges
M4 | ACTDefaultTrade | ACT Default Trade
A5 | ExactMatchPlusExecTime | Exact match on Trade Date, Stock Symbol, Quantity, Price, TradeType, and Special Trade Indicator plus execution time (within two-minute window)
M5 | ACTDefaultAfterM2 | ACT Default After M2
AQ | StampedAdvisoriesOrSpecialistAccepts | Compared records resulting from stamped advisories or specialist accepts/pair-offs
M6 | ACTM6Match | ACT M6 Match
S1 | A1ExactMatchSummarizedQuantity | Summarized match using A1 exact match criteria except quantity is summaried
S2 | A2ExactMatchSummarizedQuantity | Summarized match using A2 exact match criteria except quantity is summarized
S3 | A3ExactMatchSummarizedQuantity | Summarized match using A3 exact match criteria except quantity is summarized
S4 | A4ExactMatchSummarizedQuantity | Summarized match using A4 exact match criteria except quantity is summarized
S5 | A5ExactMatchSummarizedQuantity | Summarized match using A5 exact match criteria except quantity is summarized
M1 | ExactMatchMinusBadgesTimes | Exact match on Trade Date, Stock Symbol, Quantity, Price, Trade Type, and Special Trade Indicator minus badges And times: ACT M1 match
M2 | SummarizedMatchMinusBadgesTimes | Summarized match minus badges and times: ACT M2 Match
MT | OCSLockedIn | OCS Locked In: Non-ACT
1 | OnePartyTradeReport | One-Party Trade Report (privately negotiated trade)
2 | TwoPartyTradeReport | Two-Party Trade Report (privately negotiated trade)
3 | ConfirmedTradeReport | Confirmed Trade Report (reporting from recognized markets)
4 | AutoMatch | Auto-match
5 | CrossAuction | Cross Auction
6 | CounterOrderSelection | Counter-Order Selection
7 | CallAuction | Call Auction
8 | Issuing | Issuing/Buy Back Auction
9 | SystematicInternaliser | Systematic Internaliser (SI)
10 | AutoMatchLastLook | Auto-match with last look. Execution that arises from a match against orders or quotes which require a confirmation during continuous trading.
11 | CrossAuctionLastLook | Cross auction with last look. Execution that arises from a match against orders or quotes which require a confirmation during an auction.

Used in groups: MDFullGrp, MDIncGrp, MatchRules

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport

MaterialDividendsIndicator

Indicates whether material non-cash dividends are applicable.

Type: Boolean

Used in components: DividendConditions

MaturityDate

Date of maturity.

Type: LocalMktDate

Used in components: Instrument

MaturityFrequencyPeriod

Time unit multiplier for the minimum frequency of the instrument maturity intervals.

Type: int

Used in components: Instrument

MaturityFrequencyUnit

Time unit associated with the minimum frequency of the instrument maturity intervals.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: Instrument

MaturityMonthYear

Can be used with standardized derivatives vs. the MaturityDate (541) field. Month and Year of the maturity (used for standardized futures and options).

Format:

YYYYMM (e.g. 199903)

YYYYMMDD (e.g. 20030323)

YYYYMMwN (e.g. 200303w) for week

A specific date or can be appended to the MaturityMonthYear. For instance, if multiple standard products exist that mature in the same Year and Month, but actually mature at a different time, a value can be appended, such as "w" or "w2" to indicate week as opposed to week 2 expiration. Likewise, the date (0-3) can be appended to indicate a specific expiration (maturity date).

Type: MonthYear

Used in components: Instrument

MaturityMonthYearFormat

Format used to generate the MaturityMonthYear for each option

Type: int

Allowed values in MaturityMonthYearFormatCodeSet:

Code | Name | Description
0 | YearMonthOnly | YearMonth Only (default)
1 | YearMonthDay | YearMonthDay
2 | YearMonthWeek | YearMonthWeek

Used in groups: MaturityRules

MaturityMonthYearIncrement

Increment between successive maturities for an option class

Type: int

Used in groups: MaturityRules

MaturityMonthYearIncrementUnits

Unit of measure for the Maturity Month Year Increment

Type: int

Allowed values in MaturityMonthYearIncrementUnitsCodeSet:

Code | Name | Description
0 | Months | Months
1 | Days | Days
2 | Weeks | Weeks
3 | Years | Years

Used in groups: MaturityRules

MaturityNetMoney

Net Money at maturity if Zero Coupon and maturity value is different from par value

Type: Amt

Used in messages: Confirmation

MaturityRuleID

Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated

Type: String

Used in groups: MaturityRules

MaturityRules

Name | Mult. | Type | Description
NoMaturityRules | [1..1] | NumInGroup | Number of maturity rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument
MaturityRuleID | [0..1] | String | Allows maturity rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
MaturityMonthYearFormat | [0..1] | CodeSet | Format used to generate the MMY for each option contract:
MaturityMonthYearIncrementUnits | [0..1] | CodeSet | enumeration specifying the increment unit:
StartMaturityMonthYear | [0..1] | MonthYear | Starting maturity for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
EndMaturityMonthYear | [0..1] | MonthYear | Ending maturity month year to which the StrikeIncrement applies. Price refers to the price of the underlying.
MaturityMonthYearIncrement | [0..1] | int | Value by which maturity month year should be incremented within the specified price range.

Used in groups: StrikeRules

MaturityTime

Time of security's maturity expressed in local time with offset to UTC specified

Type: TZTimeOnly

Used in components: Instrument

MaxFloor

The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.

Type: Qty

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MaximumPriceDeviation

Maximum deviation, in percentage terms, of an execution price from a reference price, e.g. the initial price of a match event.

Type: Percentage

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MaxMessageSize

Maximum number of bytes supported for a single message.

Type: Length

Used in messages: Logon

MaxPriceLevels

Allows an order to specify a maximum number of price levels to trade through. Only valid for aggressive orders and during continuous (autoexecution) trading sessions. Property lost when order is put on book. A partially filled order is assigned last trade price as limit price. Non-filled order behaves as ordinary Market or Limit.

Type: int

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MaxPriceVariation

The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.

Type: float

Used in components: BaseTradingRules

Used in groups: MDFullGrp, MDIncGrp

MaxShow

Maximum quantity (e.g. number of shares) within an order to be shown to other customers (i.e. sent via an IOI).

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MaxTradeVol

The maximum order quantity (as expressed by TradeVolType(1786)) that can be submitted for a security.

Type: Qty

Used in components: BaseTradingRules

MDBookType

Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection

Type: int

Allowed values in MDBookTypeCodeSet:

Code | Name | Description
1 | TopOfBook | Top of Book
2 | PriceDepth | Price Depth
3 | OrderDepth | Order Depth

Used in groups: MarketDataFeedTypes

Used in messages: MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh, SecurityMassStatus, SecurityStatus

MDEntryBuyer

Buying party in a trade

Type: String

Used in groups: MDFullGrp, MDIncGrp

MDEntryDate

Date of Market Data Entry.

(prior to FIX 4.4 field was of type UTCDate)

Type: UTCDateOnly

Used in groups: MDFullGrp, MDIncGrp

MDEntryForwardPoints

Used for an F/X entry. The forward points to be added to or subtracted from the spot rate to get the "all-in" rate in MDEntryPx. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in groups: MDFullGrp, MDIncGrp

MDEntryID

Unique Market Data Entry identifier.

Type: String

Used in groups: MDFullGrp, MDIncGrp

Used in messages: ExecutionReport

MDEntryOriginator

Originator of a Market Data Entry

Type: String

Used in groups: MDFullGrp, MDIncGrp

MDEntryPositionNo

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1.

Type: int

Used in groups: MDFullGrp, MDIncGrp

MDEntryPx

Price of the Market Data Entry.

Type: Price

Used in groups: MDFullGrp, MDIncGrp

MDEntryRefID

Refers to a previous MDEntryID (278).

Type: String

Used in groups: MDIncGrp

MDEntrySeller

Selling party in a trade

Type: String

Used in groups: MDFullGrp, MDIncGrp

MDEntrySize

Quantity or volume represented by the Market Data Entry.

Type: Qty

Used in groups: InstrmtMDReqGrp, MDFullGrp, MDIncGrp, StrmAsgnReqInstrmtGrp

MDEntrySpotRate

The spot rate for an FX entry

Type: float

Used in groups: MDFullGrp, MDIncGrp

MDEntryTime

Time of Market Data Entry.

Type: UTCTimeOnly

Used in groups: MDFullGrp, MDIncGrp

MDEntryType

Type of market data entry.

Type: char

Allowed values in MDEntryTypeCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Offer | Offer
2 | Trade | Trade
3 | IndexValue | Index value. A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR).
4 | OpeningPrice | Opening price
5 | ClosingPrice | Closing price
6 | SettlementPrice | Settlement price
7 | TradingSessionHighPrice | Trading session high price
8 | TradingSessionLowPrice | Trading session low price
9 | VWAP | Volume Weighted Average Price. VWAP
A | Imbalance | Imbalance
B | TradeVolume | Trade volume
C | OpenInterest | Open interest
D | CompositeUnderlyingPrice | Composite underlying price
E | SimulatedSellPrice | Simulated sell price
F | SimulatedBuyPrice | Simulated buy price
G | MarginRate | Margin rate
H | MidPrice | Mid-price
J | EmptyBook | Empty book
K | SettleHighPrice | Settle high price
L | SettleLowPrice | Settle low price
M | PriorSettlePrice | Prior settle price
N | SessionHighBid | Session high bid
O | SessionLowOffer | Session low offer
P | EarlyPrices | Early prices
Q | AuctionClearingPrice | Auction clearing price
S | SwapValueFactor | Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
R | DailyValueAdjustmentForLongPositions | Daily value adjustment for long positions
T | CumulativeValueAdjustmentForLongPositions | Cumulative value adjustment for long positions
U | DailyValueAdjustmentForShortPositions | Daily value adjustment for short positions
V | CumulativeValueAdjustmentForShortPositions | Cumulative value adjustment for short positions
W | FixingPrice | Fixing price
X | CashRate | Cash rate
Y | RecoveryRate | Recovery rate
Z | RecoveryRateForLong | Recovery rate for long positions
a | RecoveryRateForShort | Recovery rate for short positions
b | MarketBid | Market bid
c | MarketOffer | Market offer
d | ShortSaleMinPrice | Short sale minimum price
e | PreviousClosingPrice | Previous closing price
g | ThresholdLimitPriceBanding | Threshold limits and price banding. Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters.
h | DailyFinancingValue | Daily financing value. The financing cost of rolling an analogous total return swap from the previous business day to the current business day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price.
i | AccruedFinancingValue | Accrued financing value. The total of the daily funding values or amounts from a contract's first day of trading to the current day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price.
t | TWAP | Time Weighted Average Price. TWAP

Used in groups: MDFullGrp, MDIncGrp, MDReqGrp

MDFeedType

Describes a class of service for a given data feed, ie Regular and Market Maker, Bandwidth Intensive or Bandwidth Conservative

Type: String

Used in components: MDStatisticParameters

Used in groups: MarketDataFeedTypes

Used in messages: MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh

MDFullGrp

Name | Mult. | Type | Description
NoMDEntries | [1..1] | NumInGroup | Number of entries following.
MDEntryType | [1..1] | CodeSet | Required if NoMDEntries(268) > 0.
MDEntryID | [0..1] | String | Conditionally required when maintaining an order-depth book (AggregatedBook(266) is "N"). Allows subsequent Incremental changes to be applied using MDEntryID(278).
MDEntryPx | [0..1] | Price | Conditionally required if MDEntryType(269) is not A (Imbalance), B (Trade Volume), or C (Open Interest); Conditionally required when MDEntryType(269) = Q (Auction clearing price).
PriceType | [0..1] | CodeSet |
PriceQualifierGrp | [0..*] | Group |
AvgPxIndicator | [0..1] | CodeSet |
YieldData | [0..1] | Component |
SpreadOrBenchmarkCurveData | [0..1] | Component |
OrdType | [0..1] | CodeSet | Used to support market mechanism type; limit order, market order, committed principal order
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.
CurrencyCodeSource | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency | Required for NDFs to specify the settlement currency (fixing currency).
SettlCurrencyCodeSource | [0..1] | CodeSet |
RateSource | [0..*] | Group |
MDEntrySize | [0..1] | Qty | Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest).
SecSizesGrp | [0..*] | Group |
LotType | [0..1] | CodeSet | Can be used to specify the lot type of the quoted size in order depth books.
MDEntryDate | [0..1] | UTCDateOnly |
MDEntryTime | [0..1] | UTCTimeOnly |
TickDirection | [0..1] | CodeSet |
MDMkt | [0..1] | Exchange | Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
SecurityTradingStatus | [0..1] | CodeSet |
HaltReason | [0..1] | CodeSet |
FastMarketIndicator | [0..1] | Boolean |
MarketCondition | [0..1] | CodeSet |
QuoteCondition | [0..1] | CodeSet | Space-delimited list of conditions describing a quote.
TradeCondition | [0..1] | CodeSet | Space-delimited list of conditions describing a trade
TradePriceConditionGrp | [0..*] | Group |
AnonymousTradeIndicator | [0..1] | Boolean |
AlgorithmicTradeIndicator | [0..1] | CodeSet |
MDEntryOriginator | [0..1] | String |
LocationID | [0..1] | String |
DeskID | [0..1] | String |
OpenCloseSettlFlag | [0..1] | CodeSet | Used if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
TimeInForce | [0..1] | CodeSet | For optional use when this Bid or Offer represents an order
ExpireDate | [0..1] | LocalMktDate | For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
ExpireTime | [0..1] | UTCTimestamp | For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.
ExposureDuration | [0..1] | int | Conditionally required when TimeInForce(59) = A (Good for Time).
ExposureDurationUnit | [0..1] | CodeSet |
MinQty | [0..1] | Qty | For optional use when this Bid or Offer represents an order
ExecInst | [0..1] | CodeSet | Can contain multiple instructions, space delimited.
SellerDays | [0..1] | int |
OrderID | [0..1] | String | For optional use when this Bid, Offer, or Trade represents an order
SecondaryOrderID | [0..1] | String | For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
QuoteEntryID | [0..1] | String | For optional use when this Bid, Offer, or Trade represents a quote
TradeID | [0..1] | String | For optional use in reporting Trades.
StrategyLinkID | [0..1] | String | For optional use in reporting Trades. May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.
MDEntryBuyer | [0..1] | String | For optional use in reporting Trades
MDEntrySeller | [0..1] | String | For optional use in reporting Trades
NumberOfBuyOrders | [0..1] | int | For optional use in reporting trades.
NumberOfSellOrders | [0..1] | int | For optional use in reporting trades.
NumberOfOrders | [0..1] | int | In an Aggregated Book, used to show how many individual orders make up an MDEntry
MDEntryPositionNo | [0..1] | int |
Scope | [0..1] | CodeSet |
PriceDelta | [0..1] | float |
TrdType | [0..1] | CodeSet | Specifies trade type when a trade is being reported. For optional use in reporting trades.
TrdSubType | [0..1] | CodeSet | For optional use in reporting trades.
SecondaryTrdType | [0..1] | CodeSet | For optional use in reporting trades. Conditionally requires presence of TrdType(828).
TertiaryTrdType | [0..1] | CodeSet | For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType(855).
TradeTypeGrp | [0..*] | Group | For optional use in reporting trades as alternative to the use of individual fields.
RegulatoryReportType | [0..1] | CodeSet | Used only when reporting a trade (MDEntryType(269)=2 (Trade)) that is a regulatory trade report.
MultiJurisdictionReportingIndicator | [0..1] | CodeSet | For optional use in reporting trades.
ExecMethod | [0..1] | CodeSet |
MatchType | [0..1] | CodeSet | For optional use in reporting trades.
OrderCategory | [0..1] | CodeSet |
TradePublishIndicator | [0..1] | CodeSet | For optional use in reporting trades.
TrdRegPublicationGrp | [0..*] | Group |
IntraFirmTradeIndicator | [0..1] | Boolean |
PreviouslyReported | [0..1] | CodeSet |
RelatedTradeGrp | [0..*] | Group | For optional use when reporting trades. Lists trades related to the current market data entry, e.g. leg trades of a multi-leg trade.
Text | [0..1] | String | Text to describe the Market Data Entry. Part of repeating group.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText(355) field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
MDPriceLevel | [0..1] | int |
OrderCapacity | [0..1] | CodeSet |
MDOriginType | [0..1] | CodeSet |
HighPx | [0..1] | Price | Used to report high price in association with trade, bid or ask rather than a separate entity
LowPx | [0..1] | Price | Used to report low price in association with trade, bid or ask rather than a separate entity.
FirstPx | [0..1] | Price | Indicates the first price of a trading session; can be a bid, ask, or trade price.
LastPx | [0..1] | Price | Indicates the last price of a trading session; can be a bid, ask, or trade price.
DiscountFactor | [0..1] | float |
TradeVolume | [0..1] | Qty | Used to report trade volume in association with trade, bid or ask rather than a separate entity
PriceLimits | [0..1] | Component |
MaxPriceVariation | [0..1] | float |
SettlPriceType | [0..1] | CodeSet |
SettlPriceDeterminationMethod | [0..1] | CodeSet |
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Indicates date on which instrument will settle. For NDFs required for specifying the "value date".
MDQuoteType | [0..1] | CodeSet |
RptSeq | [0..1] | int | Used to identify the sequence number within a feed type
DealingCapacity | [0..1] | CodeSet |
MDEntrySpotRate | [0..1] | float |
MDEntryForwardPoints | [0..1] | PriceOffset |
Parties | [0..*] | Group |
AggressorTime | [0..1] | UTCTimestamp |
AggressorSide | [0..1] | CodeSet |
LegRefID | [0..1] | String | May be specified for an MDEntryType(269)=2 (Trade) entry to indicate that MDEntryPx(270), PriceType(423) and MDEntrySize(271) apply to the instance of the InstrmtLegGrp component with matching LegID(1788).

Used in messages: MarketDataSnapshotFullRefresh

MDHaltReason

Denotes the reason for the Opening Delay or Trading Halt.

Type: int

Allowed values in HaltReasonCodeSet:

Code | Name | Description
0 | NewsDissemination | News Dissemination
1 | OrderInflux | Order Influx
2 | OrderImbalance | Order Imbalance
3 | AdditionalInformation | Additional Information
4 | NewsPending | News Pending
5 | EquipmentChangeover | Equipment Changeover

Used in messages: MarketDataSnapshotFullRefresh

MDImplicitDelete

Defines how a server handles distribution of a truncated book. Defaults to broker option.

Type: Boolean

Allowed values in MDImplicitDeleteCodeSet:

Code | Name | Description
N | No | Server must send an explicit delete for bids or offers falling outside the requested MarketDepth of the request
Y | Yes | Client has responsibility for implicitly deleting bids or offers falling outside the MarketDepth of the request

Used in messages: MarketDataRequest

MDIncGrp

Name
Mult.
Type
Description

NoMDEntries
[1..1]
NumInGroup
Number of entries following.

MDUpdateAction
[1..1]
CodeSet
Required if NoMDEntries(268) > 0.

DeleteReason
[0..1]
CodeSet
If MDUpdateAction = Delete(2), can be used to specify a reason for the deletion.

MDSubBookType
[0..1]
int
Can be used to define a subordinate book.

MarketDepth
[0..1]
int
Can be used to define the current depth of the book.

MDEntryType
[0..1]
CodeSet
Conditionally required if MDUpdateAction(279) = 0 (New). Cannot be changed.

MDEntryID
[0..1]
String
If specified, must be unique among currently active entries if MDUpdateAction(279) = 0 (New);. must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 2 (Delete);. must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is not specified; or. must be unique among currently active entries if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is specified.

MDEntryRefID
[0..1]
String
If MDUpdateAction(279) = 0 (New), for the first market data entry in a message, either this field or a security symbol must be specified. If MDUpdateAction(279) = 1 (Change), this must refer to a previous MDEntryID(278).

MDStreamID
[0..1]
String

Instrument
[0..1]
Component

InstrumentExtension
[0..1]
Component

FinancingDetails
[0..1]
Component

UndInstrmtGrp
[0..*]
Group

InstrmtLegGrp
[0..*]
Group

RelatedInstrumentGrp
[0..*]
Group

FinancialStatus
[0..1]
CodeSet

CorporateAction
[0..1]
CodeSet

MDEntryPx
[0..1]
Price
Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) is not A (Imbalance), B (Trade volume), or C (Open interest). Conditionally required when MDEntryType(269) = Q (Auction clearing price).

PriceType
[0..1]
CodeSet

PriceQualifierGrp
[0..*]
Group

AvgPxIndicator
[0..1]
CodeSet

YieldData
[0..1]
Component
Insert here the set of YieldData (yield-related) fields defined in Common Components of Application Messages

SpreadOrBenchmarkCurveData
[0..1]
Component
Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages

OrdType
[0..1]
CodeSet
Used to support market mechanism type; limit order, market order, committed principal order

Currency
[0..1]
Currency
Can be used to specify the currency of the quoted price.

CurrencyCodeSource
[0..1]
CodeSet

SettlCurrency
[0..1]
Currency
Required for NDFs to specify the settlement currency (fixing currency).

SettlCurrencyCodeSource
[0..1]
CodeSet

RateSource
[0..*]
Group

MDEntrySize
[0..1]
Qty
Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest).

SecSizesGrp
[0..*]
Group

LotType
[0..1]
CodeSet
Can be used to specify the lot type of the quoted size in order depth books.

MDEntryDate
[0..1]
UTCDateOnly

MDEntryTime
[0..1]
UTCTimeOnly

TickDirection
[0..1]
CodeSet

MDMkt
[0..1]
Exchange
Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C

TradingSessionID
[0..1]
String

TradingSessionSubID
[0..1]
CodeSet

SecurityTradingStatus
[0..1]
CodeSet

HaltReason
[0..1]
CodeSet

FastMarketIndicator
[0..1]
Boolean

MarketCondition
[0..1]
CodeSet

QuoteCondition
[0..1]
CodeSet
Space-delimited list of conditions describing a quote.

TradeCondition
[0..1]
CodeSet
Space-delimited list of conditions describing a trade

TradePriceConditionGrp
[0..*]
Group

AnonymousTradeIndicator
[0..1]
Boolean

AlgorithmicTradeIndicator
[0..1]
CodeSet

RegulatoryReportType
[0..1]
CodeSet
Used only when reporting a trade (MDEntryType(269)=2 (Trade)) that is a regulatory trade report.

MultiJurisdictionReportingIndicator
[0..1]
CodeSet
For optional use in reporting trades.

TrdType
[0..1]
CodeSet
For optional use in reporting trades.

TrdSubType
[0..1]
CodeSet
For optional use in reporting trades.

SecondaryTrdType
[0..1]
CodeSet
For optional use in reporting trades. Conditionally requires presence of TrdType(828).

TertiaryTrdType
[0..1]
CodeSet
For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType(855).

TradeTypeGrp
[0..*]
Group
For optional use in reporting trades as alternative to the use of individual fields.

ExecMethod
[0..1]
CodeSet

MatchType
[0..1]
CodeSet
For optional use in reporting trades.

OrderCategory
[0..1]
CodeSet

TradePublishIndicator
[0..1]
CodeSet
For optional use in reporting trades.

TrdRegPublicationGrp
[0..*]
Group

IntraFirmTradeIndicator
[0..1]
Boolean

PreviouslyReported
[0..1]
CodeSet

RelatedTradeGrp
[0..*]
Group
For optional use when reporting trades. List of trades related to the current market data entry, e.g. leg trades of a multi-leg trade.

MDEntryOriginator
[0..1]
String

LocationID
[0..1]
String

DeskID
[0..1]
String

OpenCloseSettlFlag
[0..1]
CodeSet
Used if MDEntryType(269) = 4 (Opening Price), 5 (Closing Price), or 6 (Settlement Price).

TimeInForce
[0..1]
CodeSet
For optional use when this Bid or Offer represents an order

ExpireDate
[0..1]
LocalMktDate
For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.

ExpireTime
[0..1]
UTCTimestamp
For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.

ExposureDuration
[0..1]
int
Conditionally required when TimeInForce(59)= 10 (Good for Time).

ExposureDurationUnit
[0..1]
CodeSet

MinQty
[0..1]
Qty
For optional use when this Bid or Offer represents an order

ExecInst
[0..1]
CodeSet
Can contain multiple instructions, space delimited.

SellerDays
[0..1]
int

OrderID
[0..1]
String
For optional use when this Bid, Offer, or Trade represents an order

SecondaryOrderID
[0..1]
String
For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.

QuoteEntryID
[0..1]
String
For optional use when this Bid, Offer, or Trade represents a quote

TradeID
[0..1]
String
For optional use in reporting Trades

StrategyLinkID
[0..1]
String
For optional use in reporting Trades. May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.

MDEntryBuyer
[0..1]
String
For optional use in reporting Trades

MDEntrySeller
[0..1]
String
For optional use in reporting Trades

NumberOfBuyOrders
[0..1]
int
For optional use when reporting trades

NumberOfSellOrders
[0..1]
int
For optional use when reporting trades

NumberOfOrders
[0..1]
int
In an Aggregated Book, used to show how many individual orders make up an MDEntry

MDEntryPositionNo
[0..1]
int

Scope
[0..1]
CodeSet

PriceDelta
[0..1]
float

NetChgPrevDay
[0..1]
PriceOffset

Text
[0..1]
String
Text to describe the Market Data Entry. Part of repeating group.

EncodedTextLen
[0..1]
Length
Must be set if EncodedText(355) field is specified and must immediately precede it.

EncodedText
[0..1]
data
Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.

MDPriceLevel
[0..1]
int

OrderCapacity
[0..1]
CodeSet

MDOriginType
[0..1]
CodeSet

HighPx
[0..1]
Price

LowPx
[0..1]
Price

FirstPx
[0..1]
Price
Indicates the first price of a trading session; can be a bid, ask, or a trade price.

LastPx
[0..1]
Price
Indicates the last price of a trading session; can be a bid, ask, or a trade price.

DiscountFactor
[0..1]
float

TradeVolume
[0..1]
Qty

PriceLimits
[0..1]
Component

MaxPriceVariation
[0..1]
float

SettlPriceType
[0..1]
CodeSet

SettlPriceDeterminationMethod
[0..1]
CodeSet

SettlType
[0..1]
CodeSet

SettlDate
[0..1]
LocalMktDate
Indicates date on which instrument will settle. For NDFs required for specifying the "value date".

TransBkdTime
[0..1]
UTCTimestamp
For optional use in reporting Trades. Used to specify the time of trade agreement for privately negotiated trades.

TransactTime
[0..1]
UTCTimestamp
For optional use in reporting Trades. Used to specify the time of matching.

AggressorTime
[0..1]
UTCTimestamp
Entry time of the incoming order that triggered the trade

AggressorSide
[0..1]
CodeSet

MDQuoteType
[0..1]
CodeSet

RptSeq
[0..1]
int
Allows sequence number to be specified within a feed type

DealingCapacity
[0..1]
CodeSet

MDEntrySpotRate
[0..1]
float

MDEntryForwardPoints
[0..1]
PriceOffset

StatsIndGrp
[0..*]
Group

Parties
[0..*]
Group

Used in messages: MarketDataIncrementalRefresh

MDMkt

Market posting quote / trade.

Valid values:

See "Appendix 6-C"

Type: Exchange

Used in groups: MDFullGrp, MDIncGrp

MDOriginDesc

Description of the origin of the market data.

Type: String

Used in groups: TestScenarioGrp

MDOriginTime

Date and time of the market data.

Type: UTCTimestamp

Used in groups: TestScenarioGrp

MDOriginType

Used to describe the origin of the market data entry.

Type: int

Allowed values in MDOriginTypeCodeSet:

Code | Name | Description
0 | Book | Book
1 | OffBook | Off-Book
2 | Cross | Cross
3 | QuoteDrivenMarket | Quote driven market. Examples for quote driven markets are market maker or specialist market models.
4 | DarkOrderBook | Dark order book
5 | AuctionDrivenMarket | Auction driven market. Markets where matching occurs only in scheduled auctions.
6 | QuoteNegotiation | Quote negotiation. Discretionary quoting on request or "request for quote" market.
7 | VoiceNegotiation | Voice negotiation. A trading system where transactions between members are arranged through voice negotiation.
8 | HybridMarket | Hybrid market. A hybrid system falling into two or more types of trading systems. In the context of ESMA reporting, this is for "Hybrid system." In the context of FCA reporting, this is for "Any other, including hybrid."
9 | OtherMarket | Other market. A market that does not fall under any of the market types defined for MDOriginType(1024). In the context of ESMA reporting, this is for "Any other, excluding hybrid."

Used in components: MDStatisticParameters

Used in groups: MDFullGrp, MDIncGrp, TestScenarioGrp

MDPriceLevel

Integer to convey the level of a bid or offer at a given price level. This is in contrast to MDEntryPositionNo(290) which is used to convey the position of an order within a price level.

Type: int

Used in groups: MDFullGrp, MDIncGrp

MDQuoteType

Identifies market data quote type.

Type: int

Allowed values in QuoteTypeCodeSet:

Code | Name | Description
0 | Indicative | Indicative
1 | Tradeable | Tradeable
2 | RestrictedTradeable | Restricted tradeable
3 | Counter | Counter (tradeable)
4 | InitiallyTradeable | Initially tradeable

Used in groups: MDFullGrp, MDIncGrp

Used in messages: MarketDataRequest

MDRecoveryTimeInterval

Specifies the time interval between two repetitions of the same market data for cyclic recovery feeds.

Type: int

Used in groups: MarketDataFeedTypes

MDRecoveryTimeIntervalUnit

The time unit associated with the time interval between two cycles of the same market data in cyclic data recovery feeds.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: MarketDataFeedTypes

MDReportCount

Number of reference and market data messages in-between two MarketDataReport(35=DR) messages.

Type: int

Used in messages: MarketDataReport

MDReportEvent

Technical event within market data feed.

Type: int

Allowed values in MDReportEventCodeSet:

Code | Name | Description
1 | StartInstrumentRefData | Start of instrument reference data.
2 | EndInstrumentRefData | End of instrument reference data.
3 | StartOffMarketTrades | Start of off-market trades.
4 | EndOffMarketTrades | End of off-market trades.
5 | StartOrderBookTrades | Start of order book trades.
6 | EndOrderBookTrades | End of order book trades.
7 | StartOpenInterest | Start of open interest.
8 | EndOpenInterest | End of open interest.
9 | StartSettlementPrices | Start of settlement prices.
10 | EndSettlementPrices | End of settlement prices.
11 | StartStatsRefData | Start of statistics reference data.
12 | EndStatsRefData | End of statistics reference data.
13 | StartStatistics | Start of statistics.
14 | EndStatistics | End of statistics.

Used in messages: MarketDataReport

MDReportID

Unique identifier for the Market Data Report.

Type: int

Used in messages: MarketDataReport, MarketDataSnapshotFullRefresh

MDReqGrp

Name | Mult. | Type | Description
NoMDEntryTypes | [1..1] | NumInGroup | Number of MDEntryType fields requested.
MDEntryType | [1..1] | CodeSet | Must be the first field in this repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving.

Used in messages: MarketDataRequest

MDReqID

Unique identifier for Market Data Request

Type: String

Used in messages: MarketDataIncrementalRefresh, MarketDataRequest, MarketDataRequestReject, MarketDataSnapshotFullRefresh

MDReqRejReason

Reason for the rejection of a Market Data request.

Type: char

Allowed values in MDReqRejReasonCodeSet:

Code | Name | Description
0 | UnknownSymbol | Unknown symbol
1 | DuplicateMDReqID | Duplicate MDReqID
2 | InsufficientBandwidth | Insufficient Bandwidth
3 | InsufficientPermissions | Insufficient Permissions
4 | UnsupportedSubscriptionRequestType | Unsupported SubscriptionRequestType
5 | UnsupportedMarketDepth | Unsupported MarketDepth
6 | UnsupportedMDUpdateType | Unsupported MDUpdateType
7 | UnsupportedAggregatedBook | Unsupported AggregatedBook
8 | UnsupportedMDEntryType | Unsupported MDEntryType
9 | UnsupportedTradingSessionID | Unsupported TradingSessionID
A | UnsupportedScope | Unsupported Scope
B | UnsupportedOpenCloseSettleFlag | Unsupported OpenCloseSettleFlag
C | UnsupportedMDImplicitDelete | Unsupported MDImplicitDelete
D | InsufficientCredit | Insufficient credit

Used in messages: MarketDataRequestReject

MDRjctGrp

Name | Mult. | Type | Description
NoAltMDSource | [1..1] | NumInGroup |
AltMDSourceID | [0..1] | String | Alternative Market Data Source

Used in messages: MarketDataRequestReject

MDSecSize

A part of the MDEntrySize(271) that represents secondary interest as specified by MDSecSizeType(1178).

Type: Qty

Used in groups: SecSizesGrp

MDSecSizeType

Specifies the type of secondary size.

Type: int

Allowed values in MDSecSizeTypeCodeSet:

Code | Name | Description
1 | Customer | Customer. Quantity of retail investors.
2 | CustomerProfessional | Customer professional. Quantity of high-volume investors acting similar to broker-dealers.
3 | DoNotTradeThrough | Do not trade through. Quantity that cannot trade through the away markets.

Used in groups: SecSizesGrp

MDSecurityTradingStatus

Identifies the trading status applicable to the instrument in the market data message.

Type: int

Allowed values in SecurityTradingStatusCodeSet:

Code | Name | Description
1 | OpeningDelay | Opening delay
2 | TradingHalt | Trading halt
3 | Resume | Resume
4 | NoOpen | No Open / No Resume
5 | PriceIndication | Price indication
6 | TradingRangeIndication | Trading Range Indication
7 | MarketImbalanceBuy | Market Imbalance Buy
8 | MarketImbalanceSell | Market Imbalance Sell
9 | MarketOnCloseImbalanceBuy | Market on Close Imbalance Buy
10 | MarketOnCloseImbalanceSell | Market on Close Imbalance Sell
12 | NoMarketImbalance | No Market Imbalance
13 | NoMarketOnCloseImbalance | No Market on Close Imbalance
14 | ITSPreOpening | ITS Pre-opening
15 | NewPriceIndication | New Price Indication
16 | TradeDisseminationTime | Trade Dissemination Time
17 | ReadyToTrade | Ready to trade (start of session)
18 | NotAvailableForTrading | Not available for trading (end of session)
19 | NotTradedOnThisMarket | Not traded on this market
20 | UnknownOrInvalid | Unknown or Invalid
21 | PreOpen | Pre-open
22 | OpeningRotation | Opening Rotation
23 | FastMarket | Fast Market
24 | PreCross | Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
25 | Cross | Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
26 | PostClose | Post-close
27 | NoCancel | No-cancel

Used in messages: MarketDataSnapshotFullRefresh

MDStatisticDelayPeriod

Number of time units between the calculation of the statistic and its dissemination. Can be used to defer or delay publication.

Type: int

Used in components: MDStatisticParameters

MDStatisticDelayUnit

Time unit for MDStatisticDelayPeriod(2462).

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in components: MDStatisticParameters

MDStatisticDesc

Can be used to provide an optional textual description for a statistic.

Type: String

Used in components: MDStatisticParameters

MDStatisticEndDate

Last day of range for which statistical data is collected.

Type: UTCTimestamp

Used in components: MDStatisticParameters

MDStatisticEndTime

End time of the time range for which statistical data is collected.

Type: UTCTimeOnly

Used in components: MDStatisticParameters

MDStatisticFrequencyPeriod

Dissemination frequency of statistics.

Special meaning for a value of zero which represents an event-driven dissemination in real time (e.g. as soon as a new trade occurs).

Type: int

Used in components: MDStatisticParameters

MDStatisticFrequencyUnit

Time unit for MDStatisticFrequencyPeriod(2460).

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in components: MDStatisticParameters

MDStatisticID

Unique identifier for a statistic.

Type: String

Used in groups: MDStatisticReqGrp, MDStatisticRptGrp

MDStatisticIntervalPeriod

Length of time over which the statistic is calculated. Special meaning for a value of zero to express that there is no aggregation over time. Can be used with other interval types expressing relative date and time ranges to combine them with sliding window peaks, e.g. highest volume across 1 minute intervals of the previous day.

Type: int

Used in components: MDStatisticParameters

MDStatisticIntervalType

Type of interval over which statistic is calculated.

Type: int

Allowed values in MDStatisticIntervalTypeCodeSet:

Code
Name
Description

1
SlidingWindow
Sliding window. Window is defined as an interval period up to the current time of dissemination, see MDStatisticIntervalPeriod (2466).

2
SlidingWindowPeak
Sliding window peak. Highest value of all sliding windows across date and/or time range. Omission of date/time range represents current day.

3
FixedDateRange
Fixed date range. Interval may be open ended on either side, see MDStatisticStartDate (2468) and MDStatisticEndDate(2469). Starting/ending time of date fields only apply to the first/last day of the date range. Additional time range may be defined with MDStatisticStartTime(2470) and MDStatisticEndTime(2471) and applies to every business day within date range, i.e. to define an identical time slice across days.

4
FixedTimeRange
Fixed time range. Interval may be open ended on either side, see MDStatisticStartTime(2470) and MDStatisticEndTime(2471).

5
CurrentTimeUnit
Current time unit. Relative time unit which has not ended yet, e.g. current day. Interval ends with the time of dissemination of the statistic. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465).

6
PreviousTimeUnit
Previous time unit. Relative time unit which has ended in the past. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465).

7
MaximumRange
Maximum range. Use to convey record values over the lifetime of the system or venue.

8
MaximumRangeUpToPreviousTimeUnit
Maximum range up to previous time unit. Use to convey record values over the lifetime of the system or venue but does not include the most recent time unit as it has not completed yet. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465)

Used in components: MDStatisticParameters

MDStatisticIntervalTypeUnit

Time unit for MDStatisticIntervalType(2464).

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: MDStatisticParameters

MDStatisticIntervalUnit

Time unit for MDStatisticIntervalPeriod(2466).

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in components: MDStatisticParameters

MDStatisticName

The short name or acronym for a set of statistic parameters.

Type: String

Used in components: MDStatisticParameters

MDStatisticParameters

This component comprises all parameters that can be used to describe the market data statistics. These can be part of the request as well as the response. All parameters defined on the MarketDataStatisticsRequest(35=DO) message should be echoed in the MarketDataStatisticsReport(35=DP) message as the latter could also be sent unsolicited.

The general category and the entities involved in the statistics are defined by MDStatisticType(2456), MDStatisticScope(2457), and MDStatisticIntervalType(2464) and must always be specified. The remaining fields are optional and restrict the data range in one way or another. The time range for the data can either be specified in terms of an interval for which the statistics are typically calculated on a regular basis or in terms of an absolute date and/or time range.

Name | Mult. | Type | Description
MDStatisticType | [1..1] | CodeSet |
MDStatisticScope | [1..1] | CodeSet |
MDStatisticSubScope | [0..1] | CodeSet |
MDStatisticScopeType | [0..1] | CodeSet |
MDStatisticName | [0..1] | String |
MDStatisticDesc | [0..1] | String |
EncodedMDStatisticDescLen | [0..1] | Length | Must be set if EncodedMDStatisticDesc(2482) field is specified and must immediately precede it.
EncodedMDStatisticDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding(347) field.
MarketDepth | [0..1] | int | May be used to specify the market depth up to specified level.
MDStatisticFrequencyPeriod | [0..1] | int | Conditionally required when MDStatisticFrequencyUnit(2461) is specified. Omission represents a one-time dissemination.
MDStatisticFrequencyUnit | [0..1] | CodeSet | Conditionally required when MDStatisticFrequencyPeriod(2460) is specified.
MDStatisticDelayPeriod | [0..1] | int | Conditionally required when MDStatisticDelayUnit(2463) is specified.
MDStatisticDelayUnit | [0..1] | CodeSet | Conditionally required when MDStatisticDelayPeriod(2462) is specified.
MDStatisticIntervalType | [1..1] | CodeSet |
MDStatisticIntervalTypeUnit | [0..1] | CodeSet | Conditionally required when MDStatisticIntervalType (2464) = 5(Current time unit), 6(Previous time unit) or 8(Maximum range up to previous time unit).
MDStatisticIntervalPeriod | [0..1] | int | Conditionally required if/when MDStatisticIntervalUnit(2467) is specified. Conditionally required when MDStatisticIntervalType(2464) = 1 (Sliding window) or 2 (Sliding window peak).
MDStatisticIntervalUnit | [0..1] | CodeSet | Conditionally required when MDStatisticIntervalPeriod(2466) is specified.
MDStatisticStartDate | [0..1] | UTCTimestamp | Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range starting with the first available day.
MDStatisticEndDate | [0..1] | UTCTimestamp | Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range including the current day.
MDStatisticStartTime | [0..1] | UTCTimeOnly | Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range starting at midnight.
MDStatisticEndTime | [0..1] | UTCTimeOnly | Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range ending with the time of dissemination of the statistical data.
MDStatisticRatioType | [0..1] | CodeSet | Conditionally required when MDStatisticType(2456) = 5(Ratio).
NestedParties | [0..*] | Group |
AnnualTradingBusinessDays | [0..1] | int |
TradingCapacity | [0..1] | CodeSet |
OrdType | [0..1] | CodeSet |
TimeInForce | [0..1] | CodeSet |
QuoteCondition | [0..1] | CodeSet |
TradeCondition | [0..1] | CodeSet |
Side | [0..1] | CodeSet |
TradeInputSource | [0..1] | String |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
MDOriginType | [0..1] | CodeSet |
MDValueTier | [0..1] | CodeSet |
TradSesMethod | [0..1] | CodeSet |
MDFeedType | [0..1] | String |
ExposureDuration | [0..1] | int |
ExposureDurationUnit | [0..1] | CodeSet | Conditionally required when ExposureDuration(1629) is specified.
AggressorIndicator | [0..1] | CodeSet |

Used in groups: MDStatisticReqGrp, MDStatisticRptGrp

MDStatisticRatioType

Ratios between various entities.

Type: int

Allowed values in MDStatisticRatioTypeCodeSet:

Code | Name | Description
1 | BuyersToSellers | Buyers to sellers.
2 | UpticksToDownticks | Upticks to downticks. Can also be used with a scope of multiple instruments representing an index.
3 | MarketMakerToNonMarketMaker | Market maker to non-market maker. Use to identify share of market making activity.
4 | AutomatedToNonAutomated | Automated to non-automated. Use to identify ratio of orders and quotes resulting from automated trading.
5 | OrdersToTrades | Orders to trades. Use with scope of trades.
6 | QuotesToTrades | Quotes to trades. Use with scope of trades.
7 | OrdersAndQuotesToTrades | Orders and quotes to trades. Use with scope of trades.
8 | FailedToTotalTradedValue | Failed to total traded value. Total value of failed trades over total traded value.
9 | BenefitsToTotalTradedValue | Benefits to total traded value. Total value of all benefits over total traded value.
10 | FeesToTotalTradedValue | Fees to total traded value. Total value of all fees excluding rebates over total traded value.
11 | TradeVolumeToTotalTradedVolume | Trade volume to total traded volume. Total value of failed trades over total traded value.
12 | OrdersToTotalNumberOrders | Orders to total number of orders. Orders pertaining to a type over total number of orders.

Used in components: MDStatisticParameters

MDStatisticReqGrp

This component block is used within the MarketDataStatisticsRequest(35=DO) message to define a set of parameters describing the desired statistics.

Name | Mult. | Type | Description
NoMDStatistics | [1..1] | NumInGroup |
MDStatisticID | [0..1] | String | Required if NoMDStatistics(2474) > 0. Unique statistics identifier used as a placeholder for a set of parameters. If an ID is not applicable use "[N/A]".
MDStatisticParameters | [0..1] | Component | Required if NoMDStatistics(2474) > 0 and MDStatisticID(2475) = "[N/A]".

Used in messages: MarketDataStatisticsRequest

MDStatisticReqID

Message identifier for a statistics request.

Type: String

Used in messages: MarketDataStatisticsReport, MarketDataStatisticsRequest

MDStatisticRequestResult

Result returned in response to MarketDataStatisticsRequest (35=DO).

Type: int

Allowed values in MDStatisticRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidOrUnknownMarket | Invalid or unknown market
2 | InvalidOrUnknownMarketSegment | Invalid or unknown market segment
3 | InvalidOrUnknownSecurityList | Invalid or unknown security list
4 | InvalidOrUnknownInstruments | Invalid or unknown instrument(s)
5 | InvalidParties | Invalid parties
6 | TradeDateOutOfSupportedRange | Trade date out of supported range
7 | UnsupportedStatisticType | Statistic type not supported
8 | UnsupportedScopeOrSubScope | Scope or sub-scope not supported
9 | UnsupportedScopeType | Scope type not supported
10 | MarketDepthNotSupported | Market depth not supported
11 | FrequencyNotSupported | Frequency not supported
12 | UnsupportedStatisticInterval | Statistic interval not supported
13 | UnsupportedStatisticDateRange | Statistic date range not supported
14 | UnsupportedStatisticTimeRange | Statistic time range not supported
15 | UnsupportedRatioType | Ratio type not supported
16 | InvalidOrUnknownTradeInputSource | Invalid or unknown trade input source
17 | InvalidOrUnknownTradingSession | Invalid or unknown trading session
18 | UnauthorizedForStatisticRequest | Unauthorized for statistic request
99 | Other | Other (further information in Text (58) field)

Used in messages: MarketDataStatisticsReport

MDStatisticRptGrp

This component block is used within the MarketDataStatisticsReport(35=DP) message to provide results together with the related set of parameters.

Name | Mult. | Type | Description
NoMDStatistics | [1..1] | NumInGroup |
MDStatisticParameters | [0..1] | Component | Required if NoMDStatistics(2474) > 0.
MDStatisticID | [0..1] | String | Required if NoMDStatistics(2474) > 0.
MDStatisticTime | [0..1] | UTCTimestamp | Conditionally required when MDStatisticValue(2478) is specified.
MDStatisticStatus | [0..1] | CodeSet | May be used when sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component. If not specified the default is MDStatisticStatus(2477)=1 (Active).
MDStatisticValue | [0..1] | float | Conditionally required unless sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component.
MDStatisticValueType | [0..1] | CodeSet |
MDStatisticValueUnit | [0..1] | CodeSet |

Used in messages: MarketDataStatisticsReport

MDStatisticRptID

Message identifier for a statistics report.

Type: String

Used in messages: MarketDataStatisticsReport

MDStatisticScope

Entities used as basis for the statistics.

Type: int

Allowed values in MDStatisticScopeCodeSet:

Code | Name | Description
1 | BidPrices | Bid prices
2 | OfferPrices | Offer prices
3 | BidDepth | Bid depth
4 | OfferDepth | Offer depth
5 | Orders | Orders
6 | Quotes | Quotes
7 | OrdersAndQuotes | Orders and Quotes
8 | Trades | Trades
9 | TradePrices | Trade prices
10 | AuctionPrices | Auction prices
11 | OpeningPrices | Opening prices
12 | ClosingPrices | Closing prices
13 | SettlementPrices | Settlement prices
14 | UnderlyingPrices | Underlying prices
15 | OpenInterest | Open interest
16 | IndexValues | Index values
17 | MarginRates | Margin rates
18 | Outages | Outages. System halt due to a technical malfunction or failure.
19 | ScheduledAuctions | Scheduled auctions
20 | ReferencePrices | Reference prices
21 | TradeValue | Trade value. Trade size multiplied by price.
22 | MarketDataFeeItems | Market data fee items. Fees related to market data access.
23 | Rebates | Rebates. Rebate items offered to the client.
24 | Discounts | Discounts. Discounts offered to the client.
25 | Payments | Payments. Other benefits offered to the client.
26 | Taxes | Taxes. Taxes incurred.
27 | Levies | Levies. Levies incurred.
28 | Benefits | Benefits. Benefits offered to the client.
29 | Fees | Fees
30 | OrdersRFQs | Orders and RFQs (Request for quotes)
31 | MarketMakers | Market makers
32 | TradingInterruptions | Trading interruptions. Disruption in trading due to an automatic or manual decision.
33 | TradingSuspensions | Trading suspensions. An instrument is deliberately prevented from being quoted or traded due to a decision by execution venue or a competent authority.
34 | NoQuotes | No quotes. Period of no quotes received.
35 | RequestForQuotes | Request for quotes
36 | TradeVolume | Trade volume. Quantity traded.

Used in components: MDStatisticParameters

MDStatisticScopeType

Scope details of the statistics to reduce the number of events being used as basis for the statistics.

Type: int

Allowed values in MDStatisticScopeTypeCodeSet:

Code | Name | Description
1 | EntryRate | Entry rate
2 | ModificationRate | Modification rate
3 | CancelRate | Cancel rate
4 | DownwardMove | Downward move
5 | UpwardMove | Upward move

Used in components: MDStatisticParameters

MDStatisticStartDate

First day of range for which statistical data is collected.

Type: UTCTimestamp

Used in components: MDStatisticParameters

MDStatisticStartTime

Start time of the time range for which statistical data is collected.

Type: UTCTimeOnly

Used in components: MDStatisticParameters

MDStatisticStatus

Status for a statistic to indicate its availability.

Type: int

Allowed values in MDStatisticStatusCodeSet:

Code | Name | Description
1 | Active | Active (default)
2 | Inactive | Inactive (not disseminated)

Used in groups: MDStatisticRptGrp

MDStatisticSubScope

Sub-scope of the statistics to further reduce the entities used as basis for the statistics.

Type: int

Allowed values in MDStatisticSubScopeCodeSet:

Code | Name | Description
1 | Visible | Visible. Only includes visible orders and/or quotes.
2 | Hidden | Hidden. Only includes hidden orders and/or quotes.
3 | Indicative | Indicative. Only includes IOIs and non-tradable quotes.
4 | Tradeable | Tradeable. Excludes IOIs and indicative quotes.
5 | Passive | Passive. Only includes resting orders and tradeable quotes.
6 | MarketConsensus | Market consensus. Only includes entities, e.g. trades, conforming to minimum requirements. Details to be defined out of band.
7 | Power | Power. Outages due to power failure.
8 | HardwareError | Hardware error. Outages due to a hardware malfunction or failure.
9 | SoftwareError | Software error. Outages due to a software malfunction or failure.
10 | NetworkError | Network error. Outages due to network error.
11 | Failed | Failed. Transaction voided by the execution venue.
12 | Executed | Executed. Total or partial execution of an order or quote.
13 | Entered | Entered. Order or quote entry.
14 | Modified | Modified. Order or quote modification.
15 | Cancelled | Cancelled. Order or quote cancellation.
16 | MarketDataAccess | Market data access
17 | TerminalAccess | Terminal access
18 | Volume | Volume. Specifies sub-scope of market data per volume.
19 | Cleared | Cleared. Cleared trade.
20 | Settled | Settled. Settled trade.
21 | Other | Other. Any other fees incurred by the client.
22 | Monetary | Monetary. Monetary benefits offered to the clients.
23 | NonMonetary | Non-monetary. Non-monetary benefits offered to the clients
24 | Gross | Gross. Total fees excluding rebates and discounts.
25 | LargeInScale | Large in scale. Means an order classified as large in scale in accordance with a regulatory definition.
26 | NeitherHiddenNorLargeInScale | Neither hidden nor large in scale. Excluding orders pending disclosures and LIS.
27 | CorporateAction | Corporate action. Specifies type of trading suspension.
28 | VenueDecision | Venue decision. Specifies type of trading suspension.
29 | MinimumTimePeriod | Minimum time period. Minimum time period for the event defined by scope.
30 | Open | Open. Open status of RFQs (request for quotes), no quotes have been provided.
31 | NotExecuted | Not executed. Orders or quotes that didn't execute.
32 | Aggressive | Aggressive. Order or Quote entered into the order book that took liquidity.
33 | Directed | Directed. An order where execution venue is specified by the client.

Used in components: MDStatisticParameters

MDStatisticTime

Time of calculation of a statistic.

Type: UTCTimestamp

Used in groups: MDStatisticRptGrp

MDStatisticType

Type of statistic value.

Type: int

Allowed values in MDStatisticTypeCodeSet:

Code | Name | Description
1 | Count | Count. Simple count of entities or events, e.g. orders transactions during a period of time.
2 | AverageVolume | Average volume. Average quantity of entities, e.g. average volume of incoming quotes or average trade volume.
3 | TotalVolume | Total volume. Aggregated quantities of entities across events, e.g. total trade volume during a period of time.
4 | Distribution | Distribution. Distribution of entities across entity types, e.g. percentage of limit orders amongst all order types.
5 | Ratio | Ratio. Pre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.
6 | Liquidity | Liquidity. Measurement of liquidity of an instrument, e.g. by providing the spread between bid and offer or the trade volume needed to move the price.
7 | VWAP | Volume weighted average price (VWAP). Benchmark price.
8 | Volatility | Volatility. Volatility of entities, e.g. price movements of incoming orders.
9 | Duration | Duration. Time period of events, e.g. resting period of passive orders.
10 | Tick | Tick. Price movement of an instrument in number of ticks.
11 | AverageValue | Average value. Average quantity multiplied by price.
12 | TotalValue | Total value. Aggregated quantity multiplied by price; also described as turnover.
13 | High | High. Highest price.
14 | Low | Low. Lowest price.
15 | Midpoint | Midpoint. Midpoint price between bid and offer.
16 | First | First. First price or initial value.
17 | Last | Last. Most recent price or value.
18 | Final | Final. Final price or confirmed value.
19 | ExchangeBest | Exchange best. Best price of a single venue regardless of volume.
20 | ExchangeBestWithVolume | Exchange best with volume. Best price of a single venue with volume at or above a pre-defined threshold.
21 | ConsolidatedBest | Consolidated best. Best price across multiple venues regardless of volume.
22 | ConsolidatedBestWithVolume | Consolidated best with volume. Best price across multiple venues with volume at or above a pre-defined threshold.
23 | TWAP | Time weighted average price (TWAP)
24 | AverageDuration | Average duration. Average duration of time periods of events.
25 | AveragePrice | Average price. Average price across entities e.g. trade prices.
26 | TotalFees | Total fees. Aggregated fees.
27 | TotalBenefits | Total benefits. Aggregated benefits.
28 | MedianValue | Median value. Median quantity multiplied by price for orders or quotes.
29 | AverageLiquidity | Average liquidity. Average liquidity of an instrument e.g. average effective spread.
30 | MedianDuration | Median duration. Median duration of time periods of events.

Used in components: MDStatisticParameters

MDStatisticValue

Statistical value.

Type: float

Used in groups: MDStatisticRptGrp

MDStatisticValueType

Type of statistical value.

Type: int

Allowed values in MDStatisticValueTypeCodeSet:

Code | Name | Description
1 | Absolute | Absolute
2 | Percentage | Percentage

Used in groups: MDStatisticRptGrp

MDStatisticValueUnit

Unit of time for statistical value.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: MDStatisticRptGrp

MDStreamID

The identifier or name of the price stream.

Type: String

Used in groups: InstrmtMDReqGrp, MDIncGrp, StrmAsgnReqInstrmtGrp, StrmAsgnRptInstrmtGrp

Used in messages: MarketDataSnapshotFullRefresh

MDSubBookType

Describes a class of sub book, e.g. for the separation of various lot types. The Sub Book Type indicates that the following Market Data Entries belong to a non-integrated Sub Book. Whenever provided the Sub Book must be used together with MDPriceLevel and MDEntryPositionNo in order to sort the order properly.

Values are bilaterally agreed.

Type: int

Used in groups: MDIncGrp, MarketDataFeedTypes

Used in messages: MarketDataSnapshotFullRefresh

MDSubFeedType

Describes a sub-class for a given class of service defined by MDFeedType (1022)

Type: String

Used in groups: MarketDataFeedTypes

Used in messages: MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh

MDUpdateAction

Type of Market Data update action.

Type: char

Allowed values in MDUpdateActionCodeSet:

Code | Name | Description
0 | New | New
1 | Change | Change
2 | Delete | Delete
3 | DeleteThru | Delete Thru
4 | DeleteFrom | Delete From
5 | Overlay | Overlay

Used in groups: MDIncGrp

MDUpdateType

Specifies the type of Market Data update.

Type: int

Allowed values in MDUpdateTypeCodeSet:

Code | Name | Description
0 | FullRefresh | Full refresh
1 | IncrementalRefresh | Incremental refresh

Used in messages: MarketDataRequest

MDValueTier

Describes the reporting ranges for executed transactions.

Type: int

Allowed values in MDValueTierCodeSet:

Code | Name | Description
1 | Range1 | Range 1
2 | Range2 | Range 2
3 | Range3 | Range 3

Used in components: MDStatisticParameters

MessageEncoding

Type of message encoding (non-ASCII (non-English) characters) used in a message's "Encoded" fields.

Type: String

Used in components: StandardHeader

MessageEventSource

Used to identify the event or source which gave rise to a message.

Valid values will be based on an exchange's implementation.

Example values are:

"MQM" (originated at Firm Back Office)

"Clear" (originated in Clearing System)

"Reg" (static data generated via Register request)

Type: String

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, PositionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

MetricsCalculationPriceSource

Specifies the source of the price(s) of the security used in the calculation of the metrics or analytics data.

Type: int

Allowed values in MetricsCalculationPriceSourceCodeSet:

Code | Name | Description
1 | Realtime | Real-time. Real-time market prices used as the data source in metrics/analytics calculation.
2 | EndOfDay | End of day. Official end of day price (marking) used as the data source in metrics/analytics calculation.

Used in messages: SecurityRiskMetricsReport

MidPx

Mid price/rate.

For OTC swaps this is the mid-market mark (for example, as defined by CFTC).

For uncleared OTC swaps, LegMidPx(2346) and the MidPx(631) fields are mutually exclusive.

Type: Price

Used in groups: QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp

Used in messages: ExecutionReport, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport

MidVolatility

Volatility based on mid prices.

Type: float

Used in groups: SecurityRiskMetricGrp

MidYield

Mid yield

Type: Percentage

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

MinBidSize

Used to indicate a minimum quantity for a bid.

Type: Qty

Used in groups: QuoteSizeRuleGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

MinLotSize

Minimum lot size allowed based on lot type specified in LotType(1093)

Type: Qty

Used in groups: LotTypeRules

MinOfferSize

Used to indicate a minimum quantity for an offer. If this field is used the OfferSize (135) field is interpreted as the maximum offer size.

Type: Qty

Used in groups: QuoteSizeRuleGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

MinPriceIncrement

Minimum price increase for a given exchange-traded Instrument

Type: float

Used in components: Instrument

MinPriceIncrementAmount

Minimum price increment amount associated with MinPriceIncrement(969). For listed derivatives, the value can be calculated by multiplying MinPriceIncrement(969) with ContractMultiplier(231).

Type: Amt

Used in components: Instrument

MinQty

Minimum quantity of an order to be executed.

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport

MinQtyMethod

Indicates how the minimum quantity should be applied when executing the order.

Type: int

Allowed values in MinQtyMethodCodeSet:

Code | Name | Description
1 | Once | Once (applies only to first execution)
2 | Multiple | Multiple (applies to every execution)

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MinTradeVol

The minimum order quantity (as expressed by TradeVolType(1786)) that can be submitted for a security.

Type: Qty

Used in components: BaseTradingRules

MiscFeeAmountDue

The fee amount due if different from MiscFeeAmt(137).

Type: Amt

Used in groups: MiscFeesGrp

MiscFeeAmt

Miscellaneous fee value

Type: Amt

Used in groups: MiscFeesGrp

MiscFeeBasis

Defines the unit for a miscellaneous fee.

Type: int

Allowed values in MiscFeeBasisCodeSet:

Code | Name | Description
0 | Absolute | Absolute. The fee or markup is a total fixed amount expressed in the currency of the trade.
1 | PerUnit | Per Unit. The fee or markup is an amount per quantity unit, i.e. per share or contract, expressed in the currency of the trade.
2 | Percentage | Percentage. The percentage is expressed in standard FIX "Percentage" datatype format, i.e. "0.01" for 1 percent and ranges between 0 and 1. It is the number which when multiplied by the trade price and quantity produces the total amount of the fee or markup.

Used in groups: MiscFeesGrp

MiscFeeCurr

Currency of miscellaneous fee

Type: Currency

Used in groups: MiscFeesGrp

MiscFeeDesc

Can be used to provide a textual description of the fee type.

Type: String

Used in groups: MiscFeesGrp

MiscFeeQualifier

Identifies whether the current entry contributes to the trade or transaction economics, i.e. affects NetMoney(118).

Type: int

Allowed values in MiscFeeQualifierCodeSet:

Code | Name | Description
0 | Contributes | Contributes (default). Fee contributes to the trade or transaction economics.
1 | DoesNotContribute | Does not contribute. Fee does not contribute to the trade or transaction economics.

Used in groups: MiscFeesGrp

MiscFeeRate

The fee rate when MiscFeeAmt(137) is a percentage of trade quantity.

Type: Percentage

Used in groups: MiscFeesGrp

MiscFeesGrp

The MiscFeesGrp component is used to provide details of trade and transaction fees other than commissions, e.g. regulatory, exchange, taxes, levies, markup, trade reporting, etc. In the context of ESMA RTS 27 Best Execution Reporting, it may also be used to collect and publish the nature and level of current venue fees, rebates and payouts. Use MiscFeeQualifier(2712) to communicate whether the fee affects trade economics.

Name | Mult. | Type | Description
NoMiscFees | [1..1] | NumInGroup | Required if any miscellaneous fees are reported. Indicates number of repeating entries.
MiscFeeAmt | [0..1] | Amt | Required if NoMiscFees(136) > 0.
MiscFeeCurr | [0..1] | Currency |
MiscFeeType | [0..1] | CodeSet | Required if NoMiscFees(136) > 0.
MiscFeeQualifier | [0..1] | CodeSet |
MiscFeesSubGrp | [0..*] | Group |
MiscFeeBasis | [0..1] | CodeSet |
MiscFeeRate | [0..1] | Percentage |
MiscFeeAmountDue | [0..1] | Amt |
MiscFeeDesc | [0..1] | String |

Used in groups: AllocGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: CollateralAssignment, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport, MarketDefinition

MiscFeesSubGrp

The MiscFeesSubGrp component is used to provide further details for a given MiscFeeType(139) value.

Name | Mult. | Type | Description
NoMiscFeeSubTypes | [1..1] | NumInGroup |
MiscFeeSubType | [0..1] | String | Required if NoMiscFeeSubTypes(2633) > 0.
MiscFeeSubTypeAmt | [0..1] | Amt |
MiscFeeSubTypeDesc | [0..1] | String |
EncodedMiscFeeSubTypeDescLen | [0..1] | Length | Must be set if EncodedMiscFeeSubTypeDesc(2638) field is specified and must immediately precede it.
EncodedMiscFeeSubTypeDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the MiscFeeSubTypeDesc(2636) field in the encoded format specified via the MessageEncoding(347) field.

Used in groups: MiscFeesGrp

MiscFeeSubType

Used to provide more granular fee types related to a value of MiscFeeType(139).

See http://www.fixtradingcommunity.org/codelists#Misc_Fee_Sub_Types for code list of applicable fees. Other fee sub-types may be used by mutual agreement of the counterparties.

Type: String

Used in groups: MiscFeesSubGrp

MiscFeeSubTypeAmt

The amount of the specified MiscFeeSubType(2634).

Type: Amt

Used in groups: MiscFeesSubGrp

MiscFeeSubTypeDesc

Can be used to provide an optional textual description of the fee sub-type.

Type: String

Used in groups: MiscFeesSubGrp

MiscFeeType

Indicates type of miscellaneous fee.

Type: String

Allowed values in MiscFeeTypeCodeSet:

Code | Name | Description
1 | Regulatory | Regulatory (e.g. SEC)
2 | Tax | Tax
3 | LocalCommission | Local Commission. DEPRECATE - use <CommissionDataGrp> component instead
4 | ExchangeFees | Exchange Fees
5 | Stamp | Stamp
6 | Levy | Levy
7 | Other | Other
8 | Markup | Markup
9 | ConsumptionTax | Consumption Tax
10 | PerTransaction | Per transaction
11 | Conversion | Conversion
12 | Agent | Agent
13 | TransferFee | Transfer Fee
14 | SecurityLending | Security Lending
15 | TradeReporting | Trade reporting. The fee charged to recover the cost of trade reporting, e.g. corporate bonds and structured products reported to FINRA TRACE.
16 | TaxOnPrincipalAmount | Tax on principal amount
17 | TaxOnAccruedInterestAmount | Tax on accrued interest amount
18 | NewIssuanceFee | New issuance fee
19 | ServiceFee | Service fee
20 | OddLotFee | Odd lot fee
21 | AuctionFee | Auction fee
22 | ValueAddedTax | Value Added tax - VAT
23 | SalesTax | Sales tax
24 | ExecutionFee | Execution venue fee
25 | OrderEntryFee | Order or quote entry fee. Order or quote submission fees per transaction.
26 | OrderModificationFee | Order or quote modification fee. Order or quote modification fees per transaction.
27 | OrdersCancellationFee | Orders or quote cancellation fee. Order or quote cancellation fees per transaction.
28 | MarketDataAccessFee | Market data access fee. Fee for market data access.
29 | MarketDataTerminalFee | Market data terminal fee. Fee for market data terminal.
30 | MarketDataVolumeFee | Market data volume fee. Fee for market data per volume group.
31 | ClearingFee | Clearing fee. Fee for clearing of trades.
32 | SettlementFee | Settlement fee. Fee for settlement of trades.
33 | Rebates | Rebates. Rebates offered to the client.
34 | Discounts | Discounts. Discounts offered to the client.
35 | Payments | Payments. Other benefits offered to the client.
36 | NonMonetaryPayments | Non-monetary payments. Non-monetary benefits offered to the client.

Used in groups: MiscFeesGrp

MixedSwapIndicator

An indication that the trade is a mixed swap.

Type: Boolean

Used in messages: TradeCaptureReport

MktBidPx

Used to indicate the best bid in a market

Type: Price

Used in messages: Quote, QuoteResponse, QuoteStatusReport

MktOfferPx

Used to indicate the best offer in a market

Type: Price

Used in messages: Quote, QuoteResponse, QuoteStatusReport

ModelType

Type of pricing model used

Type: int

Allowed values in ModelTypeCodeSet:

Code | Name | Description
0 | UtilityProvidedStandardModel | Utility provided standard model
1 | ProprietaryModel | Proprietary (user supplied) model

Used in messages: PositionReport

MoneyLaunderingStatus

A one character code identifying Money laundering status.

Type: char

Allowed values in MoneyLaunderingStatusCodeSet:

Code | Name | Description
Y | Passed | Passed
N | NotChecked | Not Checked
1 | ExemptBelowLimit | Exempt - Below the Limit
2 | ExemptMoneyType | Exempt - Client Money Type exemption
3 | ExemptAuthorised | Exempt - Authorised Credit or financial institution

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

MsgDirection

Specifies the direction of the message.

Type: char

Allowed values in MsgDirectionCodeSet:

Code | Name | Description
R | Receive | Receive
S | Send | Send

Used in groups: MsgTypeGrp

MsgSeqNum

Integer message sequence number.

Type: SeqNum

Used in components: StandardHeader

MsgType

Defines message type ALWAYS THIRD FIELD IN MESSAGE. (Always unencrypted)

Note: A "U" as the first character in the MsgType field (i.e. U, U2, etc) indicates that the message format is privately defined between the sender and receiver.

*** Note the use of lower case letters ***

Type: String

Allowed values in MsgTypeCodeSet:

Code
Name
Description

0
Heartbeat
Heartbeat. The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

1
TestRequest
TestRequest. The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.

2
ResendRequest
ResendRequest. The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

3
Reject
Reject. The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.

4
SequenceReset
SequenceReset. The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

5
Logout
Logout. The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.

6
IOI
IOI. Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade. Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.

7
Advertisement
Advertisement. Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.

8
ExecutionReport
ExecutionReport. The execution report message is used to:. 1. confirm the receipt of an order. 2. confirm changes to an existing order (i.e. accept cancel and replace requests). 3. relay order status information. 4. relay fill information on working orders. 5. relay fill information on tradeable or restricted tradeable quotes. 6. reject orders. 7. report post-trade fees calculations associated with a trade

9
OrderCancelReject
OrderCancelReject. The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

A
Logon
Logon. The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.

B
News
News. The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

C
Email
Email. The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.

D
NewOrderSingle
NewOrderSingle. The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution. The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.

E
NewOrderList
NewOrderList. The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

F
OrderCancelRequest
OrderCancelRequest. The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).

G
OrderCancelReplaceRequest
OrderCancelReplaceRequest. The order cancel/replace request is used to change the parameters of an existing order. Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.

H
OrderStatusRequest
OrderStatusRequest. The order status request message is used by the institution to generate an order status message back from the broker.

J
AllocationInstruction
AllocationInstruction. The AllocationInstruction(35=J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

K
ListCancelRequest
ListCancelRequest. The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

L
ListExecute
ListExecute. The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

M
ListStatusRequest
ListStatusRequest. The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

N
ListStatus
ListStatus. The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the List Cancel Request.

P
AllocationInstructionAck
AllocationInstructionAck. In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message. The Allocation Instruction Ack message is used to acknowledge the receipt of and provide status for an Allocation Instruction message.

Q
DontKnowTrade
DontKnowTrade. The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

R
QuoteRequest
QuoteRequest. In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

S
Quote
Quote. The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.

T
SettlementInstructions
SettlementInstructions. The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.

V
MarketDataRequest
MarketDataRequest. Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.

W
MarketDataSnapshotFullRefresh
MarketDataSnapshotFullRefresh. The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

X
MarketDataIncrementalRefresh
MarketDataIncrementalRefresh. The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

Y
MarketDataRequestReject
MarketDataRequestReject. The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

Z
QuoteCancel
QuoteCancel. The Quote Cancel message is used by an originator of quotes to cancel quotes. The Quote Cancel message supports cancellation of:. • All quotes. • Quotes for a specific symbol or security ID. • All quotes for a security type. • All quotes for an underlying

a
QuoteStatusRequest
QuoteStatusRequest. The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:. • For the issuer of a quote in a market to query the status of that quote (using the QuoteID to specify the target quote). • To subscribe and unsubscribe for Quote Status Report messages for one or more securities.

b
MassQuoteAck
MassQuoteAck. Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.

c
SecurityDefinitionRequest
SecurityDefinitionRequest. The SecurityDefinitionRequest(35=c) message is used for the following:. 1. Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs. 2. Request a set of individual securities for a single market segment. 3. Request all securities, independent of market segment.

d
SecurityDefinition
SecurityDefinition. The SecurityDefinition(35=d) message is used for the following:. 1. Accept the security defined in a SecurityDefinition(35=d) message. 2. Accept the security defined in a SecurityDefinition(35=d) message with changes to the definition and/or identity of the security. 3. Reject the security requested in a SecurityDefinition(35=d) message. 4. Respond to a request for securities within a specified market segment. 5. Convey comprehensive security definition for all market segments that the security participates in. 6. Convey the security's trading rules that differ from default rules for the market segment.

e
SecurityStatusRequest
SecurityStatusRequest. The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.

f
SecurityStatus
SecurityStatus. The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

g
TradingSessionStatusRequest
TradingSessionStatusRequest. The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

h
TradingSessionStatus
TradingSessionStatus. The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

i
MassQuote
MassQuote. The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

j
BusinessMessageReject
BusinessMessageReject. The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.

k
BidRequest
BidRequest. The BidRequest Message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention (e.g. US/European model) the BidRequest message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example. In the "Disclosed" convention (e.g. Japanese model) the BidRequest message can be used to request bids based on the ListOrderDetail messages sent in advance of BidRequest message. In the "Disclosed" convention the list repeating group is used to define which ListOrderDetail messages a bid is being sort for and the directions of the required bids.

l
BidResponse
BidResponse. The Bid Response message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example. In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

m
ListStrikePrice
ListStrikePrice. The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

n
XMLnonFIX
XMLnonFIX.

o
RegistrationInstructions
RegistrationInstructions. The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

p
RegistrationInstructionsResponse
RegistrationInstructionsResponse. The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.

q
OrderMassCancelRequest
OrderMassCancelRequest. The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

r
OrderMassCancelReport
OrderMassCancelReport. The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.

s
NewOrderCross
NewOrderCross. Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

t
CrossOrderCancelReplaceRequest
CrossOrderCancelReplaceRequest. Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.

u
CrossOrderCancelRequest
CrossOrderCancelRequest. Used to fully cancel the remaining open quantity of a cross order.

v
SecurityTypeRequest
SecurityTypeRequest. The Security Type Request message is used to return a list of security types available from a counterparty or market.

w
SecurityTypes
SecurityTypes. The Security Type Request message is used to return a list of security types available from a counterparty or market.

x
SecurityListRequest
SecurityListRequest. The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

y
SecurityList
SecurityList. The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.

z
DerivativeSecurityListRequest
DerivativeSecurityListRequest. The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

AA
DerivativeSecurityList
DerivativeSecurityList. The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

AB
NewOrderMultileg
NewOrderMultileg. The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

AC
MultilegOrderCancelReplace
MultilegOrderCancelReplace. Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.

AD
TradeCaptureReportRequest
TradeCaptureReportRequest. The Trade Capture Report Request can be used to:. • Request one or more trade capture reports based upon selection criteria provided on the trade capture report request. • Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

AE
TradeCaptureReport
TradeCaptureReport. The Trade Capture Report message can be:. - Used to report trades between counterparties. - Used to report trades to a trade matching system. - Sent unsolicited between counterparties. - Sent as a reply to a Trade Capture Report Request. - Used to report unmatched and matched trades.

AF
OrderMassStatusRequest
OrderMassStatusRequest. The order mass status request message requests the status for orders matching criteria specified within the request.

AG
QuoteRequestReject
QuoteRequestReject. The Quote Request Reject message is used to reject Quote Request messages for all quoting models.

AH
RFQRequest
RFQRequest. In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

AI
QuoteStatusReport
QuoteStatusReport. The quote status report message is used:. • as the response to a Quote Status Request message. • as a response to a Quote Cancel message. • as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)

AJ
QuoteResponse
QuoteResponse. The QuoteResponse(35=AJ) message is used for the following purposes:. 1. Respond to an IOI(35=6) message. 2. Respond to a Quote(35=S) message. 3. Counter a Quote. 4. End a negotiation dialog. 5. Follow-up or end a QuoteRequest(35=R) dialog that did not receive a response.

AK
Confirmation
Confirmation. The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

AL
PositionMaintenanceRequest
PositionMaintenanceRequest. The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.

AM
PositionMaintenanceReport
PositionMaintenanceReport. The Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

AN
RequestForPositions
RequestForPositions. The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

AO
RequestForPositionsAck
RequestForPositionsAck. The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.

AP
PositionReport
PositionReport. The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

AQ
TradeCaptureReportRequestAck
TradeCaptureReportRequestAck. The Trade Capture Request Ack message is used to:. - Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod. - Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments. - Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request or the Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

AR
TradeCaptureReportAck
TradeCaptureReportAck. The Trade Capture Report Ack message can be:. - Used to acknowledge trade capture reports received from a counterparty. - Used to reject a trade capture report received from a counterparty.

AS
AllocationReport
AllocationReport. Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport(35=AS) message (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase.

AT
AllocationReportAck
AllocationReportAck. The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

AU
ConfirmationAck
ConfirmationAck. The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.

AV
SettlementInstructionRequest
SettlementInstructionRequest. The Settlement Instruction Request message is used to request standing settlement instructions from another party.

AW
AssignmentReport
AssignmentReport. Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

AX
CollateralRequest
CollateralRequest. An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

AY
CollateralAssignment
CollateralAssignment. Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.

AZ
CollateralResponse
CollateralResponse. Used to respond to a Collateral Assignment message.

BA
CollateralReport
CollateralReport. Used to report collateral status when responding to a Collateral Inquiry message.

BB
CollateralInquiry
CollateralInquiry. Used to inquire for collateral status.

BC
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusRequest. This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.

BD
NetworkCounterpartySystemStatusResponse
NetworkCounterpartySystemStatusResponse. This message is sent in response to a Network (Counterparty System) Status Request Message.

BE
UserRequest
UserRequest. This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.

BF
UserResponse
UserResponse. This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.

BG
CollateralInquiryAck
CollateralInquiryAck. Used to respond to a Collateral Inquiry in the following situations:. • When the CollateralInquiry will result in an out of band response (such as a file transfer). • When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message. • When the Collateral Inquiry is invalid based upon the business rules of the counterparty.

BH
ConfirmationRequest
ConfirmationRequest. The Confirmation Request message is used to request a Confirmation message.

BO
ContraryIntentionReport
ContraryIntentionReport. The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

BP
SecurityDefinitionUpdateReport
SecurityDefinitionUpdateReport. This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

BK
SecurityListUpdateReport
SecurityListUpdateReport. The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

BL
AdjustedPositionReport
AdjustedPositionReport. Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

BM
AllocationInstructionAlert
AllocationInstructionAlert. This message is used in a 3-party allocation model (buy-side and sell-side using a central clearing entity) where notification of group creation and group updates to counterparties is needed. The message will also carry trade information that comprised the group to the counterparties.

BN
ExecutionAck
ExecutionAck. The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).

BJ
TradingSessionList
TradingSessionList. The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.

BI
TradingSessionListRequest
TradingSessionListRequest. The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.

BQ
SettlementObligationReport
SettlementObligationReport. The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

BR
DerivativeSecurityListUpdateReport
DerivativeSecurityListUpdateReport. The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

BS
TradingSessionListUpdateReport
TradingSessionListUpdateReport. The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

BT
MarketDefinitionRequest
MarketDefinitionRequest. The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.

BU
MarketDefinition
MarketDefinition. The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).

BV
MarketDefinitionUpdateReport
MarketDefinitionUpdateReport. In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.

BW
ApplicationMessageRequest
ApplicationMessageRequest. This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).

BX
ApplicationMessageRequestAck
ApplicationMessageRequestAck. This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

BY
ApplicationMessageReport
ApplicationMessageReport. This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.

BZ
OrderMassActionReport
OrderMassActionReport. The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

CA
OrderMassActionRequest
OrderMassActionRequest. The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.

CB
UserNotification
UserNotification. The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

CC
StreamAssignmentRequest
StreamAssignmentRequest. In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.

CD
StreamAssignmentReport
StreamAssignmentReport. The StreamAssignmentReport(35=CD) message is in response to the StreamAssignmentRequest(35=CC) message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.

CE
StreamAssignmentReportACK
StreamAssignmentReportACK. This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.

CF
PartyDetailsListRequest
PartyDetailsListRequest. The PartyDetailsListRequest is used to request party detail information.

CG
PartyDetailsListReport
PartyDetailsListReport. The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.

CH
MarginRequirementInquiry
MarginRequirementInquiry. The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages. If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.

CI
MarginRequirementInquiryAck
MarginRequirementInquiryAck. Used to respond to a Margin Requirement Inquiry.

CJ
MarginRequirementReport
MarginRequirementReport. The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.

CK
PartyDetailsListUpdateReport
PartyDetailsListUpdateReport. The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.

CL
PartyRiskLimitsRequest
PartyRiskLimitsRequest. The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.

CM
PartyRiskLimitsReport
PartyRiskLimitsReport. The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.

CN
SecurityMassStatusRequest
SecurityMassStatusRequest.

CO
SecurityMassStatus
SecurityMassStatus.

CQ
AccountSummaryReport
AccountSummaryReport. The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component. In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations). Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).

CR
PartyRiskLimitsUpdateReport
PartyRiskLimitsUpdateReport. The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.

CS
PartyRiskLimitsDefinitionRequest
PartyRiskLimitsDefinitionRequest. PartyRiskLimitDefinitionRequest is used for defining new risk limits.

CT
PartyRiskLimitsDefinitionRequestAck
PartyRiskLimitsDefinitionRequestAck. PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.

CU
PartyEntitlementsRequest
PartyEntitlementsRequest. The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).

CV
PartyEntitlementsReport
PartyEntitlementsReport. The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).

CW
QuoteAck
QuoteAck. The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.

CX
PartyDetailsDefinitionRequest
PartyDetailsDefinitionRequest. The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties. The recipient of the message responds with a PartyDetailsDefinitionRequestAck(35=CY) to indicate whether the request was accepted or rejected.

CY
PartyDetailsDefinitionRequestAck
PartyDetailsDefinitionRequestAck. The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.

CZ
PartyEntitlementsUpdateReport
PartyEntitlementsUpdateReport. The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).

DA
PartyEntitlementsDefinitionRequest
PartyEntitlementsDefinitionRequest. The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).

DB
PartyEntitlementsDefinitionRequestAck
PartyEntitlementsDefinitionRequestAck. The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.

DC
TradeMatchReport
TradeMatchReport. The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.

DD
TradeMatchReportAck
TradeMatchReportAck. The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

DE
PartyRiskLimitsReportAck
PartyRiskLimitsReportAck. PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.

DF
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequest. PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.

DG
PartyRiskLimitCheckRequestAck
PartyRiskLimitCheckRequestAck. PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.

DH
PartyActionRequest
PartyActionRequest. The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.

DI
PartyActionReport
PartyActionReport. Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.

DJ
MassOrder
MassOrder. The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.

DK
MassOrderAck
MassOrderAck. The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.

DL
PositionTransferInstruction
PositionTransferInstruction. The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.

DM
PositionTransferInstructionAck
PositionTransferInstructionAck. The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.

DN
PositionTransferReport
PositionTransferReport. The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.

DO
MarketDataStatisticsRequest
MarketDataStatisticsRequest. The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.

DP
MarketDataStatisticsReport
MarketDataStatisticsReport. The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

DQ
CollateralReportAck
CollateralReportAck. CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).

DR
MarketDataReport
MarketDataReport. The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.

DS
CrossRequest
CrossRequest. The CrossRequest(35=DS) message is used to indicate the submission of orders or quotes that may result in a crossed trade.

DT
CrossRequestAck
CrossRequestAck. The CrossRequestAck(35=DT) message is used to confirm the receipt of a CrossRequest(35=DS) message.

DU
AllocationInstructionAlertRequest
AllocationInstructionAlertRequest. This message is used in a clearinghouse 3-party allocation model to request for AllocationInstructionAlert(35=BM) from the clearinghouse. The request may be used to obtain a one-time notification of the status of an allocation group.

DV
AllocationInstructionAlertRequestAck
AllocationInstructionAlertRequestAck. This message is used in a clearinghouse 3-party allocation model to acknowledge a AllocationInstructionAlertRequest(35=DU) message for an AllocationInstructionAlert(35=BM) message from the clearinghouse.

DW
TradeAggregationRequest
TradeAggregationRequest. TradeAggregationRequest(35=DW) is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

DX
TradeAggregationReport
TradeAggregationReport. TradeAggregationReport(35=DX) is used to respond to the TradeAggregationRequest(35=DW) message. It provides the status of the request (e.g. accepted or rejected) and may also provide additional information supplied by the respondent.

EA
PayManagementReport
PayManagementReport. PayManagementReport(35=EA) may be used to respond to the PayManagementRequest(35=DY) message. It provides the status of the request (e.g. accepted, disputed) and may provide additional information related to the request. PayManagementReport(35=EA) may also be sent unsolicited by the broker to a client. In which case the client may acknowledge and resolve disputes out-of-band or with a simple PayManagementReportAck(35=EB). PayManagementReport(35=EA) may also be sent unsolicited to report the progress status of the payment itself with PayReportTransType(2804)=2 (Status).

EB
PayManagementReportAck
PayManagementReportAck. PayManagementReportAck(35=EB) is used as a response to the PayManagementReport(35=EA) message. It may be used to accept, reject or dispute the details of the PayManagementReport(35=EA) depending on the business rules of the receiver. This message may also be used to acknowledge the receipt of a PayManagementReport(35=EA) message.

DY
PayManagementRequest
PayManagementRequest. PayManagementRequest(35=DY) message is used to communicate a future or expected payment to be made or received related to a trade or contract after its settlement.

DZ
PayManagementRequestAck
PayManagementRequestAck. PayManagementRequestAck(35=DZ) is used to acknowledge the receipt of the PayManagementRequest(35=DY) message (i.e. a technical acknowledgement of receipt). Acceptance or rejection of the request is reported in the corresponding PayManagementReport(35=EA).

EC
SettlementStatusRequest
SettlementStatusRequest. SettlementStatusRequest(35=EC) is used to request for the settlement status of a trade.

ED
SettlementStatusRequestAck
SettlementStatusRequestAck. SettlementStatusRequestAck(35=ED) is used to respond to the SettlementStatusRequest(35=EC) to acknowledge the request and provide status for the request message.

EE
SettlementStatusReport
SettlementStatusReport. SettlementStatusReport(35=EE) is a response to the SettlementStatusRequest(35=EC) to provide settlement status for the requested trade. It may also be sent unsolicited without an explicit request message by the party able to provide the settlement status for the trade identified in the report message.

EF
SettlementStatusReportAck
SettlementStatusReportAck. SettlementStatusReportAck(35=EF) is used to respond to the SettlementStatusReport(35=EE) to acknowledge or reject the report.

EG
SecurityRiskMetricsReport
SecurityRiskMetricsReport. SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.

EH
AlgoCertificateRequest
AlgoCertificateRequest. AlgoCertificateRequest(35=EH) is used to request algo testing certificate information for one or more algorithms.

EI
AlgoCertificateRequestAck
AlgoCertificateRequestAck. AlgoCertificateRequestAck(35=EI) is used to respond to the AlgoCertificateRequest(35=EH) to acknowledge the request and provide status for the request message.

EJ
AlgoCertificateReport
AlgoCertificateReport. AlgoCertificateReport(35=EJ) is a response to the AlgoCertificateRequest(35=EH) to certify an algo. It may also be sent unsolicited without an explicit request message by the party able to provide certificate information for the algo identified in the report message.

EK
AlgoCertificateReportAck
AlgoCertificateReportAck. AlgoCertificateReportAck(35=EK) is used to respond to the AlgoCertificateReport(35=EJ) to acknowledge or reject the report message.

EL
TestSuiteDefinitionRequest
TestSuiteDefinitionRequest. TestSuiteDefinitionRequest(35=EL) is used to convey to the test system the suite of test scenarios to perform.

EM
TestSuiteDefinitionRequestAck
TestSuiteDefinitionRequestAck. TestSuiteDefinitionRequestAck(35=EM) is used to respond to the TestSuiteDefinitionRequest(35= EL) to acknowledge the request and provide status for the request message.

EN
TestActionRequest
TestActionRequest. TestActionRequest(35=EN) is used to manage test executions or request for testing activity state of the identified test suite.

EO
TestActionRequestAck
TestActionRequestAck. TestActionRequestAck(35=EO) is used to respond to the TestActionRequest(35=EN) to acknowledge the request and provide status for the request message.

EP
TestActionReport
TestActionReport. TestActionReport(35=EP) is used to report the testing results of the identified test suite that has been executed with TestActionRequest(35=EN). In the context of algorithmic trading, the results may be used to create a certificate for the algorithm upon meeting the success criteria.

Used in components: StandardHeader

MsgTypeGrp

Name | Mult. | Type | Description
NoMsgTypes | [1..1] | NumInGroup | Specifies the number of repeating RefMsgTypes specified
RefMsgType | [0..1] | CodeSet | Specifies a specific, supported MsgType. Required if NoMsgTypes is > 0. Should be specified from the point of view of the sender of the Logon message
MsgDirection | [0..1] | CodeSet | Indicates direction (send vs. receive) of a supported MsgType. Required if NoMsgTypes is > 0. Should be specified from the point of view of the sender of the Logon message
RefApplVerID | [0..1] | CodeSet | Specifies the service pack release being applied to an application message.
RefApplExtID | [0..1] | int | Specified the extension pack being applied to a message.
RefCstmApplVerID | [0..1] | String | Specifies a custom extension to a message being applied at the session level.
DefaultVerIndicator | [0..1] | Boolean | Indicates that this Application Version (RefApplVerID(1130), RefApplExtID(1406),RefCstmApplVerID(1131)) is the default for the RefMsgType(372) field.

Used in messages: Logon

MthToDefault

The Mth reference obligation to default in a CDS reference basket. When NthToDefault(1942) and MthToDefault(1943) are represented then the CDS payout occurs between the Nth and Mth obligations to default.

Type: int

Used in components: Instrument

MultiAssetSwapIndicator

Indicates a swap that does not have one easily identifiable primary underlying asset, but instead involves multiple underlying assets within one trade repository's jurisdiction that belong to different asset classes.

Type: Boolean

Used in messages: TradeCaptureReport

MultiJurisdictionReportingIndicator

Indicate whether a trade is eligible to be reported to more than one regulatory jurisdictions, e.g. due to overlapping reporting rules that require reporting to different jurisdictions.

Type: int

Allowed values in MultiJurisdictionReportingIndicatorCodeSet:

Code | Name | Description
0 | NotMultiJrsdctnEligible | Trade not eligible for multi-jurisdiction reporting
1 | MultiJrsdctnEligible | Trade eligible for multi-jurisdiction reporting

Used in groups: MDFullGrp, MDIncGrp

Used in messages: TradeCaptureReport

MultilegModel

Specifies the type of multileg order. Defines whether the security is pre-defined or user-defined. Note that MultilegModel(1377)=2(User-defined, Non-Securitized, Multileg) does not apply for Securities.

Type: int

Allowed values in MultilegModelCodeSet:

Code | Name | Description
0 | PredefinedMultilegSecurity | Predefined Multileg Security
1 | UserDefinedMultilegSecurity | User-defined Multileg Security
2 | UserDefined | User-defined, Non-Securitized, Multileg

Used in components: BaseTradingRules

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg

MultilegPriceMethod

Code to represent how the multileg price is to be interpreted when applied to the legs.

(See Volume : "Glossary" for further value definitions)

Type: int

Allowed values in MultilegPriceMethodCodeSet:

Code | Name | Description
0 | NetPrice | Net Price
1 | ReversedNetPrice | Reversed Net Price
2 | YieldDifference | Yield Difference
3 | Individual | Individual
4 | ContractWeightedAveragePrice | Contract Weighted Average Price
5 | MultipliedPrice | Multiplied Price

Used in components: BaseTradingRules

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg

MultiLegReportingType

Used to indicate how the multi-legged security (e.g. option strategies, spreads, etc.) is being reported.

Type: char

Allowed values in MultiLegReportingTypeCodeSet:

Code | Name | Description
1 | SingleSecurity | Single security (default if not specified)
2 | IndividualLegOfAMultiLegSecurity | Individual leg of a multi-leg security
3 | MultiLegSecurity | Multi-leg security

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradeMatchReport

MultiLegRptTypeReq

Indicates the method of execution reporting requested by issuer of the order.

Type: int

Allowed values in MultiLegRptTypeReqCodeSet:

Code | Name | Description
0 | ReportByMulitlegSecurityOnly | Report by mulitleg security only (do not report legs)
1 | ReportByMultilegSecurityAndInstrumentLegs | Report by multileg security and by instrument legs belonging to the multileg security
2 | ReportByInstrumentLegsOnly | Report by instrument legs belonging to the multileg security only (do not report status of multileg security)

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg

NBBOEntryType

Type of NBBO information.

Type: int

Allowed values in NBBOEntryTypeCodeSet:

Code | Name | Description
0 | Bid | Bid. May apply to price or quantity.
1 | Offer | Offer. May apply to price or quantity.
2 | MidPrice | Mid-price

Used in groups: TrdRegTimestamps

NBBOPrice

Price related to NBBO. NBBOEntryType(2831) may be used to indicate entry type, e.g. bid or offer.

Type: Price

Used in groups: TrdRegTimestamps

NBBOQty

Quantity related to NBBO. NBBOEntryType(2831) may be used to indicte entry type, e.g. bid or offer.

Type: Qty

Used in groups: TrdRegTimestamps

NBBOSource

Source of NBBO information.

Type: int

Allowed values in NBBOSourceCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Default if not specified. NBBO information is not applicable. NBBOEntryType(2831), NBBOPrice(2832), and NBBOQty(2833) must be omitted.
1 | Direct | Direct. Information is retrieved directly from an exchange or other electronic execution venue. There may be a performance advantage compared to retrieving the information from a source consolidating multiple feeds.
2 | SIP | Securities Information Processor. The Securities Information Processor (SIP) links the U.S. markets by processing and consolidating all protected bid/ask quotes and trades from every trading venue into a single, easily consumed data feed.
3 | Hybrid | Hybrid. A combination of two or more data feeds is used as NBBO source. In the context of US CAT this is used for a combination of direct and SIP feeds.

Used in groups: TrdRegTimestamps

NegotiationMethod

Specifies the negotiation method to be used.

Type: int

Allowed values in NegotiationMethodCodeSet:

Code | Name | Description
0 | AutoSpot | Auto spot. The spot price for the reference or benchmark security is provided automatically.
1 | NegotiatedSpot | Negotiated spot. The spot price for the reference or benchmark security is to be negotiated.
2 | PhoneSpot | The spot price for the reference or benchmark security is to be negotiated via phone or voice. The spot price for the reference of benchmark security is to be negotiated via phone or voice.

Used in groups: QuotReqGrp, QuotReqRjctGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

Nested2PartyID

PartyID value within a "second instance" Nested repeating group.

Same values as PartyID (448)

Type: String

Used in groups: NestedParties2

Nested2PartyIDSource

PartyIDSource value within a "second instance" Nested repeating group.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: NestedParties2

Nested2PartyRole

PartyRole value within a "second instance" Nested repeating group.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: NestedParties2

Nested2PartyRoleQualifier

Used to further qualify the value of Nested2PartyRole(759).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: NestedParties2

Nested2PartySubID

PartySubID value within a "second instance" Nested repeating group.

Same values as PartySubID (523)

Type: String

Used in groups: NstdPtys2SubGrp

Nested2PartySubIDType

Type of Nested2PartySubID (760) value. Second instance of <NestedParties>.

Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: NstdPtys2SubGrp

Nested3PartyID

PartyID value within a "third instance" Nested repeating group.

Same values as PartyID (448)

Type: String

Used in groups: NestedParties3

Nested3PartyIDSource

PartyIDSource value within a "third instance" Nested repeating group.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: NestedParties3

Nested3PartyRole

PartyRole value within a "third instance" Nested repeating group.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: NestedParties3

Nested3PartyRoleQualifier

Used to further qualify the value of Nested3PartyRole(951).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: NestedParties3

Nested3PartySubID

PartySubID value within a "third instance" Nested repeating group.

Same values as PartySubID (523)

Type: String

Used in groups: NstdPtys3SubGrp

Nested3PartySubIDType

PartySubIDType value within a "third instance" Nested repeating group.

Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: NstdPtys3SubGrp

Nested4PartyID

Refer to definition of PartyID(448)

Type: String

Used in groups: NestedParties4

Nested4PartyIDSource

Refer to definition of PartyIDSource(447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: NestedParties4

Nested4PartyRole

Refer to definition of PartyRole(452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: NestedParties4

Nested4PartyRoleQualifier

Used to further qualify the value of Nested4PartyRole(1417).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: NestedParties4

Nested4PartySubID

Refer to definition of PartySubID(523)

Type: String

Used in groups: NstdPtys4SubGrp

Nested4PartySubIDType

Refer to definition of PartySubIDType(803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: NstdPtys4SubGrp

NestedInstrAttribType

Code to represent the type of instrument attribute

Type: int

Allowed values in InstrAttribTypeCodeSet:

Code
Name
Description

1
Flat
Flat (securities pay interest on a current basis but are traded without interest)

2
ZeroCoupon
Zero coupon

3
InterestBearing
Interest bearing (for Euro commercial paper when not issued at discount)

4
NoPeriodicPayments
No periodic payments

5
VariableRate
Variable rate

6
LessFeeForPut
Less fee for put

7
SteppedCoupon
Stepped coupon

8
CouponPeriod
Coupon period (if not semi-annual). Supply redemption date in the InstrAttribValue(872) field.

9
When
When [and if] issued

10
OriginalIssueDiscount
Original issue discount

11
Callable
Callable, puttable

12
EscrowedToMaturity
Escrowed to Maturity

13
EscrowedToRedemptionDate
Escrowed to redemption date - callable. Supply redemption date in the InstrAttribValue(872) field.

14
PreRefunded
Pre-refunded

15
InDefault
In default

16
Unrated
Unrated

17
Taxable
Taxable

18
Indexed
Indexed

19
SubjectToAlternativeMinimumTax
Subject To Alternative Minimum Tax

20
OriginalIssueDiscountPrice
Original issue discount price. Supply price in the InstrAttribValue(872) field.

21
CallableBelowMaturityValue
Callable below maturity value

22
CallableWithoutNotice
Callable without notice by mail to holder unless registered

23
PriceTickRulesForSecurity
Price tick rules for security

24
TradeTypeEligibilityDetailsForSecurity
Trade type eligibility details for security

25
InstrumentDenominator
Instrument denominator

26
InstrumentNumerator
Instrument numerator

27
InstrumentPricePrecision
Instrument price precision

28
InstrumentStrikePrice
Instrument strike price

29
TradeableIndicator
Tradeable indicator

30
InstrumentEligibleAnonOrders
Instrument is eligible to accept anonymous orders

31
MinGuaranteedFillVolume
Minimum guaranteed fill volume

32
MinGuaranteedFillStatus
Minimum guaranteed fill status

33
TradeAtSettlementEligibility
Trade at settlement (TAS) eligibility

34
TestInstrument
Test instrument. Instrument that is tradable but has no effect on the positions, exchange turnover etc.

35
DummyInstrument
Dummy instrument. Instrument that is normally halted and is only activated for trading under very special conditions (e.g. temporarily assigned for newly listed instrument). Use of a dummy instrument generally applies to systems that are unable to add reference data for new instruments intraday.

36
NegativeSettlementPriceEligibility
Negative settlement price eligibility

37
NegativeStrikePriceEligibility
Negative strike price eligibility

38
USStdContractInd
US standard contract indicator. Indicates through InstrAttribValue(872) - values Y or N - whether the underlying asset in the trade references or is economically related to a contract listed in Appendix B of CFTC Part 43 regulation. See http://www.ecfr.gov/cgi-bin/text-idx?SID=4b2d1078ad68f6564a89d7ff6c52ec43&node=17:2.0.1.1.3.0.1.8.2&rgn=div or refer to Appendix B to Part 43 in the final rule at http://www.cftc.gov/ucm/groups/public/@lrfederalregister/documents/file/2013-12133a.pdf

39
AdmittedToTradingOnTradingVenue
Admitted to trading on a trading venue

40
AverageDailyNotionalAmount
Average daily notional amount

41
AverageDailyNumberTrades
Average daily number of trades

99
Text
Text. Supply the text value in InstrAttribValue(872).

Used in groups: NestedInstrumentAttribute

NestedInstrAttribValue

Attribute value appropriate to the NestedInstrAttribType field

Type: String

Used in groups: NestedInstrumentAttribute

NestedInstrumentAttribute

Name | Mult. | Type | Description
NoNestedInstrAttrib | [1..1] | NumInGroup |
NestedInstrAttribType | [0..1] | CodeSet | Code to represent the type of instrument attribute
NestedInstrAttribValue | [0..1] | String | Attribute value appropriate to the NestedInstrAttribType field

Used in components: SecurityTradingRules

NestedParties2

The NestedParties2 component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message. Use of NestedParties2 under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.

Name | Mult. | Type | Description
NoNested2PartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of Nested2PartyID, Nested2PartyIDSource, and Nested2PartyRole
Nested2PartyID | [0..1] | String | Used to identify source of Nested2PartyID. Required if Nested2PartyIDSource is specified. Required if NoNested2PartyIDs > 0.
Nested2PartyIDSource | [0..1] | CodeSet | Used to identify class source of Nested2PartyID value (e.g. BIC). Required if Nested2PartyID is specified. Required if NoNested2PartyIDs > 0.
Nested2PartyRole | [0..1] | CodeSet | Identifies the type of Nested2PartyID (e.g. Executing Broker). Required if NoNested2PartyIDs > 0.
Nested2PartyRoleQualifier | [0..1] | CodeSet |
NstdPtys2SubGrp | [0..*] | Group | Repeating group of Nested2Party sub-identifiers.

Used in groups: LegPreAllocGrp, OrdAllocGrp, TrdAllocGrp

NestedParties3

The NestedParties3 component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message. Use of NestedParties3 under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.

Name | Mult. | Type | Description
NoNested3PartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of Nested3PartyID, Nested3PartyIDSource, and Nested3PartyRole
Nested3PartyID | [0..1] | String | Used to identify source of Nested3PartyID. Required if Nested3PartyIDSource is specified. Required if NoNested3PartyIDs > 0.
Nested3PartyIDSource | [0..1] | CodeSet | Used to identify class source of Nested3PartyID value (e.g. BIC). Required if Nested3PartyID is specified. Required if NoNested3PartyIDs > 0.
Nested3PartyRole | [0..1] | CodeSet | Identifies the type of Nested3PartyID (e.g. Executing Broker). Required if NoNested3PartyIDs > 0.
Nested3PartyRoleQualifier | [0..1] | CodeSet |
NstdPtys3SubGrp | [0..*] | Group | Repeating group of Nested3Party sub-identifiers.

Used in groups: InstrmtLegExecGrp, PreAllocMlegGrp, SideCrossLegGrp, TrdInstrmtLegExecGrp

NestedParties4

The NestedParties4 component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message. Use of NestedParties4 under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.

Name | Mult. | Type | Description
NoNested4PartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of Nested4PartyID, Nested4PartyIDSource, and Nested4PartyRole.
Nested4PartyID | [0..1] | String | Used to identify source of Nested4PartyID. Required if Nested4PartyIDSource is specified. Required if NoNested4PartyIDs > 0.
Nested4PartyIDSource | [0..1] | CodeSet | Used to identify class source of Nested4PartyID value (e.g. BIC). Required if Nested4PartyID is specified. Required if NoNested4PartyIDs > 0.
Nested4PartyRole | [0..1] | CodeSet | Identifies the type of Nested4PartyID (e.g. Executing Broker). Required if NoNested4PartyIDs > 0.
Nested4PartyRoleQualifier | [0..1] | CodeSet |
NstdPtys4SubGrp | [0..*] | Group |

Used in groups: FillsGrp

NestedParties

The NestedParties component block is identical to the Parties Block. It is used in other component blocks and repeating groups when nesting will take place resulting in multiple occurrences of the Parties block within a single FIX message. Use of NestedParties under these conditions avoids multiple references to the Parties block within the same message which is not allowed in FIX tag/value syntax.

Name | Mult. | Type | Description
NoNestedPartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of NestedPartyID, NestedPartyIDSource, and NestedPartyRole
NestedPartyID | [0..1] | String | Used to identify source of NestedPartyID. Required if NestedPartyIDSource is specified. Required if NoNestedPartyIDs > 0.
NestedPartyIDSource | [0..1] | CodeSet | Used to identify class source of NestedPartyID value (e.g. BIC). Required if NestedPartyID is specified. Required if NoNestedPartyIDs > 0.
NestedPartyRole | [0..1] | CodeSet | Identifies the type of NestedPartyID (e.g. Executing Broker). Required if NoNestedPartyIDs > 0.
NestedPartyRoleQualifier | [0..1] | CodeSet |
NstdPtysSubGrp | [0..*] | Group | Repeating group of NestedParty sub-identifiers.

Used in components: MDStatisticParameters, SettlTradeDetails

Used in groups: AllocAckGrp, AllocGrp, ApplIDRequestAckGrp, ApplIDRequestGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, PositionQty, PreAllocGrp, QuotReqLegsGrp, RgstDtlsGrp, TestScenarioGrp, TrdInstrmtLegGrp

NestedPartyID

PartyID value within a nested repeating group.

Same values as PartyID (448)

Type: String

Used in groups: NestedParties

NestedPartyIDSource

PartyIDSource value within a nested repeating group.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: NestedParties

NestedPartyRole

PartyRole value within a nested repeating group.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: NestedParties

NestedPartyRoleQualifier

Used to further qualify the value of NestedPartyRole(538).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: NestedParties

NestedPartySubID

PartySubID value within a nested repeating group.

Same values as PartySubID (523)

Type: String

Used in groups: NstdPtysSubGrp

NestedPartySubIDType

Type of NestedPartySubID (545) value.

Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: NstdPtysSubGrp

NetChgPrevDay

Net change from previous day's closing price vs. last traded price.

Type: PriceOffset

Used in groups: MDIncGrp

Used in messages: MarketDataSnapshotFullRefresh

NetGrossInd

Code to represent whether value is net (inclusive of tax) or gross.

Type: int

Allowed values in NetGrossIndCodeSet:

Code | Name | Description
1 | Net | Net
2 | Gross | Gross

Used in groups: BidCompReqGrp, BidCompRspGrp, SettlObligationInstructions, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

NetMoney

Total amount due as the result of the transaction (e.g. for Buy order - principal + commission + fees) reported in currency of execution.

Type: Amt

Used in components: SettlTradeDetails

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport

NetworkRequestID

Unique identifier for a network resquest.

Type: String

Used in messages: NetworkCounterpartySystemStatusRequest, NetworkCounterpartySystemStatusResponse

NetworkRequestType

Indicates the type and level of details required for a Network Status Request Message

Boolean logic applies EG If you want to subscribe for changes to certain id's then UserRequestType =0 (8+2), Snapshot for certain ID's = 9 (8+1)

Type: int

Allowed values in NetworkRequestTypeCodeSet:

Code | Name | Description
1 | Snapshot | Snapshot
2 | Subscribe | Subscribe
4 | StopSubscribing | Stop Subscribing
8 | LevelOfDetail | Level of Detail, then NoCompID's becomes required

Used in messages: NetworkCounterpartySystemStatusRequest

NetworkResponseID

Unique identifier for a network response.

Type: String

Used in messages: NetworkCounterpartySystemStatusResponse

NetworkStatusResponseType

Indicates the type of Network Response Message.

Type: int

Allowed values in NetworkStatusResponseTypeCodeSet:

Code | Name | Description
1 | Full | Full
2 | IncrementalUpdate | Incremental Update

Used in messages: NetworkCounterpartySystemStatusResponse

NewPassword

New Password or passphrase

Type: String

Used in messages: Logon, UserRequest

NewsCategory

Category of news message.

Type: int

Allowed values in NewsCategoryCodeSet:

Code | Name | Description
0 | CompanyNews | Company News
1 | MarketplaceNews | Marketplace News
2 | FinancialMarketNews | Financial Market News
3 | TechnicalNews | Technical News
99 | OtherNews | Other News

Used in messages: News

NewSeqNo

New sequence number

Type: SeqNum

Used in messages: SequenceReset

NewsID

Unique identifier for a News message

Type: String

Used in messages: News

NewsRefGrp

Name | Mult. | Type | Description
NoNewsRefIDs | [1..1] | NumInGroup | Number of news item references
NewsRefID | [0..1] | String | Required if NoNewsRefIDs(2144) > 0. News item being referenced.
NewsRefType | [0..1] | CodeSet | Type of reference.

Used in messages: News

NewsRefID

Reference to another News message identified by NewsID(1474).

Type: String

Used in groups: NewsRefGrp

NewsRefType

Type of reference to another News(35=B) message item.

Type: int

Allowed values in NewsRefTypeCodeSet:

Code | Name | Description
0 | Replacement | Replacement
1 | OtherLanguage | Other language
2 | Complimentary | Complimentary
3 | Withdrawal | Withdrawal. Withdrawal of the referenced news item, e.g. to correct an error.

Used in groups: NewsRefGrp

NextAuctionTime

The time of the next auction.

Type: UTCTimestamp

Used in messages: SecurityStatus

NextExpectedMsgSeqNum

Next expected MsgSeqNum value to be received.

Type: SeqNum

Used in messages: Logon

NextIndexRollDate

Next index roll date.

Type: LocalMktDate

Used in components: InstrumentExtension

NoAdditionalTermBondRefs

Number of bonds in the repeating group.

Type: NumInGroup

Used in groups: AdditionalTermBondRefGrp

NoAdditionalTerms

Number of additional terms in the repeating group.

Type: NumInGroup

Used in groups: AdditionalTermGrp

NoAffectedMarketSegments

Number of market segments affected by a mass action.

Type: NumInGroup

Used in groups: AffectedMarketSegmentGrp

NoAffectedOrders

Number of affected orders in the repeating group of order ids.

Type: NumInGroup

Used in groups: AffectedOrdGrp

NoAlgoSystemModules

Number of components making up a system for algorithmic trading.

Type: NumInGroup

Used in groups: AlgoSystemModuleGrp

NoAllocCommissions

Number of commissions in the repeating group.

Type: NumInGroup

Used in groups: AllocCommissionDataGrp

NoAllocGroupSubQtyAttributes

Indicates number of trade attributes used to define a subgroup in an allocation group.

Type: NumInGroup

Used in groups: AllocGroupSubQtyAttributeGrp

NoAllocGroupSubQtys

Indicates number of subgroups in an allocation group.

Type: NumInGroup

Used in groups: AllocGroupSubQtyGrp

NoAllocRegulatoryTradeIDs

Number of regulatory IDs in the repeating group.

Type: NumInGroup

Used in groups: AllocRegulatoryTradeIDGrp

NoAllocs

Number of repeating AllocAccount (79)/AllocPrice (366) entries.

Type: NumInGroup

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

NoAllocTrdRegTimestamps

Number of allocation timestamps.

Type: NumInGroup

Used in groups: AllocTrdRegTimestamps

NoAltMDSource

Number of alternative market data sources

Type: NumInGroup

Used in groups: MDRjctGrp

NoApplIDs

Specifies number of application id occurrences

Type: NumInGroup

Used in groups: ApplIDReportGrp, ApplIDRequestAckGrp, ApplIDRequestGrp

NoAsgnReqs

Number of assignment requests.

Type: NumInGroup

Used in groups: StrmAsgnReqGrp, StrmAsgnRptGrp

NoAssetAttributes

The number of asset attribute entries in the group.

Type: NumInGroup

Used in groups: AssetAttributeGrp

NoAttachmentKeywords

The number of attachment keywords.

Type: NumInGroup

Used in groups: AttachmentKeywordGrp

NoAttachments

The number of attached files.

Type: NumInGroup

Used in groups: AttachmentGrp

NoAuctionTypeRules

Number of auction order types.

Type: NumInGroup

Used in groups: AuctionTypeRuleGrp

NoBidComponents

Indicates the number of list entries.

Type: NumInGroup

Used in groups: BidCompReqGrp, BidCompRspGrp

NoBidDescriptors

Number of BidDescriptor (400) entries.

Type: NumInGroup

Used in groups: BidDescReqGrp

NoBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: BusinessCenterGrp

NoCapacities

Number of repeating OrderCapacity entries.

Type: NumInGroup

Used in groups: CpctyConfGrp

NoCashSettlDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: CashSettlDateBusinessCenterGrp

NoCashSettlDealers

Number of dealers in the repeating group.

Type: NumInGroup

Used in groups: CashSettlDealerGrp

NoCashSettlTerms

Number of elements in the repeating group.

Type: NumInGroup

Used in groups: CashSettlTermGrp

NoClearingAccountTypes

Number of clearing account type entries.

Type: NumInGroup

Used in groups: ClearingAccountTypeGrp

NoClearingInstructions

Number of clearing instructions

Type: NumInGroup

Used in groups: ClrInstGrp

NoClearingPriceParameters

Number of parameter sets for clearing prices.

Type: NumInGroup

Used in groups: ClearingPriceParametersGrp

NoCollateralAmounts

Number of collateral amount entries.

Type: NumInGroup

Used in groups: CollateralAmountGrp

NoCollateralReinvestments

Number of instances of CollateralReinvestmentType(2844) in the repeating group.

Type: NumInGroup

Used in groups: CollateralReinvestmentGrp

NoCollInquiryQualifier

Number of CollInquiryQualifier entries in a repeating group.

Type: NumInGroup

Used in groups: CollInqQualGrp

NoCommissions

Number of commissions in the repeating group.

Type: NumInGroup

Used in groups: CommissionDataGrp

NoCompIDs

Number of CompID entries in a repeating group.

Type: NumInGroup

Used in groups: CompIDReqGrp, CompIDStatGrp

NoComplexEventAveragingObservations

The number of averaging observations in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventAveragingObservationGrp

NoComplexEventCreditEventQualifiers

The number of qualifiers in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventCreditEventQualifierGrp

NoComplexEventCreditEvents

The number of credit events specified in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventCreditEventGrp

NoComplexEventCreditEventSources

Number of event sources in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventCreditEventSourceGrp

NoComplexEventDateBusinessCenters

The number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventDateBusinessCenterGrp

NoComplexEventDates

Number of complex event date occurrences for a given complex event.

Type: NumInGroup

Used in groups: ComplexEventDates

NoComplexEventPeriodDateTimes

The number of entries in the date-time repeating group.

Type: NumInGroup

Used in groups: ComplexEventPeriodDateGrp

NoComplexEventPeriods

The number of periods in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventPeriodGrp

NoComplexEventRateSources

The number of rate sources in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventRateSourceGrp

NoComplexEvents

Number of complex event occurrences.

Type: NumInGroup

Used in groups: ComplexEvents

NoComplexEventSchedules

Number of schedules in the repeating group.

Type: NumInGroup

Used in groups: ComplexEventScheduleGrp

NoComplexEventTimes

Number of complex event time occurrences for a given complex event date

The default in case of an absence of time fields is 00:00:00-23:59:59.

Type: NumInGroup

Used in groups: ComplexEventTimes

NoContAmts

The number of Contract Amount details on an Execution Report message

Type: NumInGroup

Used in groups: ContAmtGrp

NoContraBrokers

The number of ContraBroker (375) entries.

Type: NumInGroup

Used in groups: ContraGrp

NoContractualDefinitions

Number of financing definitions in the repeating group.

Type: NumInGroup

Used in groups: FinancingContractualDefinitionGrp

NoContractualMatrices

Number of contractual matrices in the repeating group.

Type: NumInGroup

Used in groups: FinancingContractualMatrixGrp

NoCrossLegs

Number of legs in the side of a cross order.

Type: NumInGroup

Used in groups: SideCrossLegGrp

NoDates

Number of Date fields provided in date range

Type: NumInGroup

Used in groups: TrdCapDtGrp

NoDeliverySchedules

Number of delivery schedules in the repeating group.

Type: NumInGroup

Used in groups: DeliveryScheduleGrp

NoDeliveryScheduleSettlDays

Number of delivery schedules in the repeating group.

Type: NumInGroup

Used in groups: DeliveryScheduleSettlDayGrp

NoDeliveryScheduleSettlTimes

Number of hour ranges in the repeating group.

Type: NumInGroup

Used in groups: DeliveryScheduleSettlTimeGrp

NoDeliveryStreamCommoditySources

Number of commodity sources in the repeating group.

Type: NumInGroup

Used in groups: DeliveryStreamCommoditySourceGrp

NoDeliveryStreamCycles

Number of delivery cycles in the repeating group.

Type: NumInGroup

Used in groups: DeliveryStreamCycleGrp

NoDerivativeEvents

Number of repeating DerivativeEventType entries.

Type: NumInGroup

Used in groups: DerivativeEventsGrp

NoDerivativeInstrAttrib

Number of instrument attributes.

Type: NumInGroup

Used in groups: DerivativeInstrumentAttribute

NoDerivativeInstrumentParties

Number of repeating derivative instrument party entries.

Type: NumInGroup

Used in groups: DerivativeInstrumentParties

NoDerivativeInstrumentPartySubIDs

Number of derivative instrument party sub IDs.

Type: NumInGroup

Used in groups: DerivativeInstrumentPartySubIDsGrp

NoDerivativeSecurityAltID

Number of alternate derivative security IDs.

Type: NumInGroup

Used in groups: DerivativeSecurityAltIDGrp

NoDisclosureInstructions

Number of disclosure instructions.

Type: NumInGroup

Used in groups: DisclosureInstructionGrp

NoDistribInsts

The number of Distribution Instructions on a Registration Instructions message

Type: NumInGroup

Used in groups: RgstDistInstGrp

NoDividendAccrualPaymentDateBusinessCenters

Number of entries in the DividendAccrualPaymentDateBusinessCenterGrp.

Type: NumInGroup

Used in groups: DividendAccrualPaymentDateBusinessCenterGrp

NoDividendFXTriggerDateBusinessCenters

Number of entries in the DividendFXTriggerDateBusinessCenterGrp.

Type: NumInGroup

Used in groups: DividendFXTriggerDateBusinessCenterGrp

NoDividendPeriodBusinessCenters

Number of entries in the DividendPeriodBusinessCenterGrp.

Type: NumInGroup

Used in groups: DividendPeriodBusinessCenterGrp

NoDividendPeriods

Number of entries in the DividendPeriodGrp component.

Type: NumInGroup

Used in groups: DividendPeriodGrp

NoDlvyInst

Number of delivery instruction fields in repeating group.

Note this field was removed in FIX 4.1 and reinstated in FIX 4.4.

Type: NumInGroup

Used in groups: DlvyInstGrp

NoEntitlementAttrib

Number of entitlement attributes.

Type: NumInGroup

Used in groups: EntitlementAttribGrp

NoEntitlements

Number of entitlement values.

Type: NumInGroup

Used in groups: EntitlementGrp

NoEntitlementTypes

Number of entitlement types in the repeating group.

Type: NumInGroup

Used in groups: EntitlementTypeGrp

NoEvents

Number of repeating EventType entries.

Type: NumInGroup

Used in groups: EvntGrp

NoExecInstRules

Number of execution instructions

Type: NumInGroup

Used in groups: ExecInstRules

NoExecs

Number of executions or trades.

Type: NumInGroup

Used in groups: ExecAllocGrp, ExecCollGrp, ExecutionAggregationGrp

NoExpiration

Number of Expiration Qty entries

Type: NumInGroup

Used in groups: ExpirationQty

NoExtraordinaryEvents

Number of extraordinary events in the repeating group.

Type: NumInGroup

Used in groups: ExtraordinaryEventGrp

NoFills

Type: NumInGroup

Used in groups: FillsGrp

NoFinancingTermSupplements

Number of financing terms supplements in the repeating group.

Type: NumInGroup

Used in groups: FinancingTermSupplementGrp

NoFlexProductEligibilities

Number of eligibility indicators for the creation of flexible securities.

Type: NumInGroup

Used in groups: FlexProductEligibilityGrp

NoFundingSources

Number of instances of FundingSource(2846) in the repeating group.

Type: NumInGroup

Used in groups: FundingSourceGrp

NoHops

Number of HopCompID entries in repeating group.

Type: NumInGroup

Used in groups: HopGrp

NoIndexRollMonths

Number of instances of the index roll month.

Type: NumInGroup

Used in groups: IndexRollMonthGrp

NoInstrAttrib

Number of repeating InstrAttribType entries.

Type: NumInGroup

Used in groups: AttrbGrp

NoInstrmtMatchSides

Number of instrument match sides.

Type: NumInGroup

Used in groups: InstrmtMatchSideGrp

NoInstrumentParties

Identifies the number of parties identified with an instrument

Type: NumInGroup

Used in groups: InstrumentParties

NoInstrumentPartySubIDs

Number of InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries

Type: NumInGroup

Used in groups: InstrumentPtysSubGrp

NoInstrumentScopes

Number of instrument scopes.

Type: NumInGroup

Used in groups: InstrumentScopeGrp

NoInstrumentScopeSecurityAltID

Number of alternate security identifier for the specified InstrumentScopeSecurityID(1538).

Type: NumInGroup

Used in groups: InstrumentScopeSecurityAltIDGrp

NoIOIQualifiers

Number of repeating groups of IOIQualifiers (04).

Type: NumInGroup

Used in groups: IOIQualGrp

NoLegAdditionalTermBondRefs

Number of bonds in the repeating group.

Type: NumInGroup

Used in groups: LegAdditionalTermBondRefGrp

NoLegAdditionalTerms

Number of additional terms in the repeating group.

Type: NumInGroup

Used in groups: LegAdditionalTermGrp

NoLegAllocs

Number of Allocations for the leg

Type: NumInGroup

Used in groups: LegPreAllocGrp

NoLegAssetAttributes

Number of asset attribute entries in the group.

Type: NumInGroup

Used in groups: LegAssetAttributeGrp

NoLegBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegBusinessCenterGrp

NoLegCashSettlDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegCashSettlDateBusinessCenterGrp

NoLegCashSettlDealers

Number of dealers in the repeating group.

Type: NumInGroup

Used in groups: LegCashSettlDealerGrp

NoLegCashSettlTerms

Number of elements in the repeating group.

Type: NumInGroup

Used in groups: LegCashSettlTermGrp

NoLegComplexEventAveragingObservations

The number of averaging observations in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventAveragingObservationGrp

NoLegComplexEventCreditEventQualifiers

Number of qualifiers in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventCreditEventQualifierGrp

NoLegComplexEventCreditEvents

The number of credit events specified in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventCreditEventGrp

NoLegComplexEventCreditEventSources

Number of event sources in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventCreditEventSourceGrp

NoLegComplexEventDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventDateBusinessCenterGrp

NoLegComplexEventDates

Number of complex event dates in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventDates

NoLegComplexEventPeriodDateTimes

Number of entries in the date-time repeating group.

Type: NumInGroup

Used in groups: LegComplexEventPeriodDateGrp

NoLegComplexEventPeriods

Number of periods in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventPeriodGrp

NoLegComplexEventRateSources

Number of rate sources in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventRateSourceGrp

NoLegComplexEvents

Number of complex events in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEvents

NoLegComplexEventSchedules

Number of schedules in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventScheduleGrp

NoLegComplexEventTimes

Number of complex event times in the repeating group.

Type: NumInGroup

Used in groups: LegComplexEventTimes

NoLegContractualDefinitions

Number of financing definitions in the repeating group.

Type: NumInGroup

Used in groups: LegFinancingContractualDefinitionsGrp

NoLegContractualMatrices

Number of contractual matrices in the repeating group.

Type: NumInGroup

Used in groups: LegFinancingContractualMatrixGrp

NoLegDeliverySchedules

Number of delivery schedules in the repeating group.

Type: NumInGroup

Used in groups: LegDeliveryScheduleGrp

NoLegDeliveryScheduleSettlDays

Number of delivery schedules in the repeating group.

Type: NumInGroup

Used in groups: LegDeliveryScheduleSettlDayGrp

NoLegDeliveryScheduleSettlTimes

Number of hour ranges in the repeating group.

Type: NumInGroup

Used in groups: LegDeliveryScheduleSettlTimeGrp

NoLegDeliveryStreamCommoditySources

Number of commodity sources in the repeating group.

Type: NumInGroup

Used in groups: LegDeliveryStreamCommoditySourceGrp

NoLegDeliveryStreamCycles

Number of commodity sources in the repeating group.

Type: NumInGroup

Used in groups: LegDeliveryStreamCycleGrp

NoLegDividendAccrualPaymentDateBusinessCenters

Number of entries in the LegDividendAccrualPaymentDateBusinessCenterGrp.

Type: NumInGroup

Used in groups: LegDividendAccrualPaymentDateBusinessCenterGrp

NoLegDividendFXTriggerDateBusinessCenters

Number of entries in the LegDividendFXTriggerDateBusinessCenterGrp.

Type: NumInGroup

Used in groups: LegDividendFXTriggerDateBusinessCenterGrp

NoLegDividendPeriodBusinessCenters

The number of entries in the LegDividendPeriodBusinessCentersGrp component.

Type: NumInGroup

Used in groups: LegDividendPeriodBusinessCenterGrp

NoLegDividendPeriods

Number of entries in the LegDividendPeriodGrp component.

Type: NumInGroup

Used in groups: LegDividendPeriodGrp

NoLegEvents

Number of events in the repeating group

Type: NumInGroup

Used in groups: LegEvntGrp

NoLegExecs

Number of instrument leg executions.

Type: NumInGroup

Used in groups: TrdInstrmtLegExecGrp

NoLegExtraordinaryEvents

Number of extraordinary events in the repeating group.

Type: NumInGroup

Used in groups: LegExtraordinaryEventGrp

NoLegFinancingTermSupplements

Number of financing terms supplements in the repeating group.

Type: NumInGroup

Used in groups: LegFinancingTermSupplementGrp

NoLegInstrumentParties

Number of parties in the repeating group.

Type: NumInGroup

Used in groups: LegInstrumentParties

NoLegInstrumentPartySubIDs

Number of parties sub-IDs in the repeating group.

Type: NumInGroup

Used in groups: LegInstrumentPtysSubGrp

NoLegMarketDisruptionEvents

Number of disruption events in the repeating group.

Type: NumInGroup

Used in groups: LegMarketDisruptionEventGrp

NoLegMarketDisruptionFallbackReferencePrices

Number of fallback reference securities in the repeating group.

Type: NumInGroup

Used in groups: LegMarketDisruptionFallbackReferencePriceGrp

NoLegMarketDisruptionFallbacks

Number of fallbacks in the repeating group.

Type: NumInGroup

Used in groups: LegMarketDisruptionFallbackGrp

NoLegNonDeliverableFixingDates

Number of fixing dates in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamNonDeliverableFixingDateGrp

NoLegOptionExerciseBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegOptionExerciseBusinessCenterGrp

NoLegOptionExerciseDates

Number of dates in the repeating group.

Type: NumInGroup

Used in groups: LegOptionExerciseDateGrp

NoLegOptionExerciseExpirationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegOptionExerciseExpirationDateBusinessCenterGrp

NoLegOptionExerciseExpirationDates

Number of fixed exercise expiration dates in the repeating group.

Type: NumInGroup

Used in groups: LegOptionExerciseExpirationDateGrp

NoLegPaymentScheduleFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentScheduleFixingDateBusinessCenterGrp

NoLegPaymentScheduleFixingDays

Number of fixing days in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentScheduleFixingDayGrp

NoLegPaymentScheduleInterimExchangeDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentScheduleInterimExchangeDateBusinessCenterGrp

NoLegPaymentScheduleRateSources

Number of rate sources in the repeating group

Type: NumInGroup

Used in groups: LegPaymentScheduleRateSourceGrp

NoLegPaymentSchedules

Number of swap schedules in the repeating group

Type: NumInGroup

Used in groups: LegPaymentScheduleGrp

NoLegPaymentStreamCompoundingDates

Number of dates in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamCompoundingDateGrp

NoLegPaymentStreamCompoundingDatesBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamCompoundingDatesBusinessCenterGrp

NoLegPaymentStreamFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamFixingDateBusinessCenterGrp

NoLegPaymentStreamFixingDates

Number of fixing dates in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamFixingDateGrp

NoLegPaymentStreamFormulas

Number of formulas in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamFormulaMathGrp

NoLegPaymentStreamInitialFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamInitialFixingDateBusinessCenterGrp

NoLegPaymentStreamNonDeliverableFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

NoLegPaymentStreamPaymentDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamPaymentDateBusinessCenterGrp

NoLegPaymentStreamPaymentDates

Number of payment dates in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamPaymentDateGrp

NoLegPaymentStreamPricingBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamPricingBusinessCenterGrp

NoLegPaymentStreamPricingDates

Number of pricing dates in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamPricingDateGrp

NoLegPaymentStreamPricingDays

Number of pricing days in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamPricingDayGrp

NoLegPaymentStreamResetDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStreamResetDateBusinessCenterGrp

NoLegPaymentStubEndDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStubEndDateBusinessCenterGrp

NoLegPaymentStubs

Number of stubs in the repeating group

Type: NumInGroup

Used in groups: LegPaymentStubGrp

NoLegPaymentStubStartDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPaymentStubStartDateBusinessCenterGrp

NoLegPhysicalSettlDeliverableObligations

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: LegPhysicalSettlDeliverableObligationGrp

NoLegPhysicalSettlTerms

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: LegPhysicalSettlTermGrp

NoLegPosAmt

Number of TrdInstrmtLegPosAmt values.

Type: NumInGroup

Used in groups: LegPositionAmountData

NoLegPricingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegPricingDateBusinessCenterGrp

NoLegProtectionTermEventNewsSources

Number of event sources in the repeating group.

Type: NumInGroup

Used in groups: LegProtectionTermEventNewsSourceGrp

NoLegProtectionTermEventQualifiers

Number of qualifiers in the repeating group.

Type: NumInGroup

Used in groups: LegProtectionTermEventQualifierGrp

NoLegProtectionTermEvents

Number of protection term events in the repeating group.

Type: NumInGroup

Used in groups: LegProtectionTermEventGrp

NoLegProtectionTermObligations

Number of obligations in the repeating group.

Type: NumInGroup

Used in groups: LegProtectionTermObligationGrp

NoLegProtectionTerms

Number of protection terms in the repeating group.

Type: NumInGroup

Used in groups: LegProtectionTermGrp

NoLegProvisionCashSettlPaymentDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionCashSettlPaymentDateBusinessCenterGrp

NoLegProvisionCashSettlPaymentDates

Number of provision cash settlement payment dates in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionCashSettlPaymentFixedDateGrp

NoLegProvisionCashSettlValueDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionCashSettlValueDateBusinessCenterGrp

NoLegProvisionDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionDateBusinessCenterGrp

NoLegProvisionOptionExerciseBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionOptionExerciseBusinessCenterGrp

NoLegProvisionOptionExerciseFixedDates

Number of provision option exercise fixed dates in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionOptionExerciseFixedDateGrp

NoLegProvisionOptionExpirationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionOptionExpirationDateBusinessCenterGrp

NoLegProvisionOptionRelevantUnderlyingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

NoLegProvisionPartyIDs

Number of parties identified in the contract provision.

Type: NumInGroup

Used in groups: LegProvisionParties

NoLegProvisionPartySubIDs

Number of sub-party IDs to be reported for the party.

Type: NumInGroup

Used in groups: LegProvisionPtysSubGrp

NoLegProvisions

Number of provisions in the repeating group.

Type: NumInGroup

Used in groups: LegProvisionGrp

NoLegReturnRateDates

Number of iterations in the return rate date repeating group.

Type: NumInGroup

Used in groups: LegReturnRateDateGrp

NoLegReturnRateFXConversions

Number of iterations in the return rate FX conversion repeating group.

Type: NumInGroup

Used in groups: LegReturnRateFXConversionGrp

NoLegReturnRateInformationSources

Number of iterations in the return rate information source repeating group.

Type: NumInGroup

Used in groups: LegReturnRateInformationSourceGrp

NoLegReturnRatePrices

Number of iterations in the return rate price repeating group.

Type: NumInGroup

Used in groups: LegReturnRatePriceGrp

NoLegReturnRates

Number of iterations in the return rate repeating group.

Type: NumInGroup

Used in groups: LegReturnRateGrp

NoLegReturnRateValuationDateBusinessCenters

Number of iterations in the return rate valuation date business center repeating group.

Type: NumInGroup

Used in groups: LegReturnRateValuationDateBusinessCenterGrp

NoLegReturnRateValuationDates

Number of iterations in the return rate valuation date repeating group.

Type: NumInGroup

Used in groups: LegReturnRateValuationDateGrp

NoLegs

Number of InstrumentLeg repeating group instances.

Type: NumInGroup

Used in groups: InstrmtLegExecGrp, InstrmtLegGrp, InstrmtLegIOIGrp, InstrmtLegSecListGrp, LegOrdGrp, LegQuotGrp, LegQuotStatGrp, QuotReqLegsGrp, SecLstUpdRelSymsLegGrp, TrdInstrmtLegGrp

NoLegSecondaryAssetClasses

Number of secondary asset classes in the repeating group.

Type: NumInGroup

Used in groups: LegSecondaryAssetGrp

NoLegSecurityAltID

Multileg instrument's individual security's NoSecurityAltID.

See NoSecurityAltID (454) field for description

Type: NumInGroup

Used in groups: LegSecAltIDGrp

NoLegSettlMethodElectionDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegSettlMethodElectionDateBusinessCenterGrp

NoLegSettlRateFallbacks

Number of settlement rate fallbacks in the repeating group

Type: NumInGroup

Used in groups: LegSettlRateDisruptionFallbackGrp

NoLegStipulations

Number of leg stipulation entries

Type: NumInGroup

Used in groups: LegStipulations

NoLegStreamAssetAttributes

Number of asset attribute entries in the group.

Type: NumInGroup

Used in groups: LegStreamAssetAttributeGrp

NoLegStreamCalculationPeriodBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegStreamCalculationPeriodBusinessCenterGrp

NoLegStreamCalculationPeriodDates

Number of calculation period dates in the repeating group.

Type: NumInGroup

Used in groups: LegStreamCalculationPeriodDateGrp

NoLegStreamCommodityAltIDs

Number of alternate security identifers.

Type: NumInGroup

Used in groups: LegStreamCommodityAltIDGrp

NoLegStreamCommodityDataSources

Number of data sources in the repeating group. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.

Type: NumInGroup

Used in groups: LegStreamCommodityDataSourceGrp

NoLegStreamCommoditySettlBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegStreamCommoditySettlBusinessCenterGrp

NoLegStreamCommoditySettlDays

Number of days in the repeating group.

Type: NumInGroup

Used in groups: LegStreamCommoditySettlDayGrp

NoLegStreamCommoditySettlPeriods

Number of commodity settlement periods in the repeating group.

Type: NumInGroup

Used in groups: LegStreamCommoditySettlPeriodGrp

NoLegStreamCommoditySettlTimes

Number of hour ranges in the repeating group.

Type: NumInGroup

Used in groups: LegStreamCommoditySettlTimeGrp

NoLegStreamEffectiveDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegStreamEffectiveDateBusinessCenterGrp

NoLegStreamFirstPeriodStartDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegStreamFirstPeriodStartDateBusinessCenterGrp

NoLegStreams

Number of swap streams in the repeating group.

Type: NumInGroup

Used in groups: LegStreamGrp

NoLegStreamTerminationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: LegStreamTerminationDateBusinessCenterGrp

NoLimitAmts

The number of limit amount entries.

Type: NumInGroup

Used in groups: LimitAmts

NoLinesOfText

Identifies number of lines of text body

Type: NumInGroup

Used in groups: LinesOfTextGrp

NoLotTypeRules

Number of Lot Type Rules

Type: NumInGroup

Used in groups: LotTypeRules

NoMandatoryClearingJurisdictions

Number of mandatory clearing jurisdictions.

Type: NumInGroup

Used in groups: MandatoryClearingJurisdictionGrp

NoMarginAmt

Number of margin requirement amounts.

Type: NumInGroup

Used in groups: MarginAmount

NoMarginReqmtInqQualifier

Number of margin requirement inquiry qualifiers.

Type: NumInGroup

Used in groups: MarginReqmtInqQualGrp

NoMarketDisruptionEvents

Number of disruption events in the repeating group.

Type: NumInGroup

Used in groups: MarketDisruptionEventGrp

NoMarketDisruptionFallbackReferencePrices

Number of fallback reference securities in the repeating group.

Type: NumInGroup

Used in groups: MarketDisruptionFallbackReferencePriceGrp

NoMarketDisruptionFallbacks

Number of fallbacks in the repeating group.

Type: NumInGroup

Used in groups: MarketDisruptionFallbackGrp

NoMarketSegments

Number of Market Segments on which a security may trade.

Type: NumInGroup

Used in groups: MarketSegmentGrp, MarketSegmentScopeGrp

NoMatchExceptions

Number of match exceptions in the repeating group.

Type: NumInGroup

Used in groups: MatchExceptionGrp

NoMatchingDataPoints

Number of matching data points in the repeating group.

Type: NumInGroup

Used in groups: MatchingDataPointGrp

NoMatchInst

Number of Instructions in the <MatchingInstructions> repeating group.

Type: NumInGroup

Used in groups: MatchingInstructions

NoMatchRules

Number of Match Rules

Type: NumInGroup

Used in groups: MatchRules

NoMaturityRules

Number of maturity rules in MarurityRules component block

Type: NumInGroup

Used in groups: MaturityRules

NoMDEntries

Number of entries in Market Data message.

Type: NumInGroup

Used in groups: MDFullGrp, MDIncGrp

NoMDEntryTypes

Number of MDEntryType (269) fields requested.

Type: NumInGroup

Used in groups: MDReqGrp

NoMDFeedTypes

The number of feed types and corresponding book depths associated with a security

Type: NumInGroup

Used in groups: MarketDataFeedTypes

NoMDStatistics

Number of market data statistics.

Type: NumInGroup

Used in groups: MDStatisticReqGrp, MDStatisticRptGrp

NoMiscFees

Number of repeating groups of miscellaneous fees

Type: NumInGroup

Used in groups: MiscFeesGrp

NoMiscFeeSubTypes

Specifies the number of miscellaneous fee sub-types.

Type: NumInGroup

Used in groups: MiscFeesSubGrp

NoMsgTypes

Number of MsgTypes (35) in repeating group.

Type: NumInGroup

Used in groups: MsgTypeGrp

NonCashDividendTreatment

Defines the treatment of non-cash dividends.

Type: int

Allowed values in NonCashDividendTreatmentCodeSet:

Code | Name | Description
0 | PotentialAdjustment | Potential adjustment event. The treatment of any non-cash dividend shall be determined in accordance with the potential adjustment event provisions.
1 | CashEquivalent | Cash equivalent. Any non-cash dividend shall be treated as a declared cash equivalent dividend.

Used in components: DividendConditions

NonDeliverableFixingDate

Non-deliverable fixing date unadjusted or adjusted depending on NonDeliverableFixingDateType(40827).

Type: LocalMktDate

Used in groups: PaymentStreamNonDeliverableFixingDateGrp

NonDeliverableFixingDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: PaymentStreamNonDeliverableFixingDateGrp

NoNested2PartyIDs

Number of Nested2PartyID (757), Nested2PartyIDSource (758), and Nested2PartyRole (759) entries

Type: NumInGroup

Used in groups: NestedParties2

NoNested2PartySubIDs

Number of Nested2PartySubID (760) and Nested2PartySubIDType (807) entries. Second instance of <NestedParties>.

Type: NumInGroup

Used in groups: NstdPtys2SubGrp

NoNested3PartyIDs

Number of Nested3PartyID (949), Nested3PartyIDSource (950), and Nested3PartyRole (95) entries

Type: NumInGroup

Used in groups: NestedParties3

NoNested3PartySubIDs

Number of Nested3PartySubIDs (953) entries

Type: NumInGroup

Used in groups: NstdPtys3SubGrp

NoNested4PartyIDs

Refer to definition of NoPartyIDs(453)

Type: NumInGroup

Used in groups: NestedParties4

NoNested4PartySubIDs

Refer to definition of NoPartySubIDs(802)

Type: NumInGroup

Used in groups: NstdPtys4SubGrp

NoNestedInstrAttrib

Type: NumInGroup

Used in groups: NestedInstrumentAttribute

NoNestedPartyIDs

Number of NestedPartyID (524), NestedPartyIDSource (525), and NestedPartyRole (538) entries

Type: NumInGroup

Used in groups: NestedParties

NoNestedPartySubIDs

Number of NestedPartySubID (545) and NestedPartySubIDType (805) entries

Type: NumInGroup

Used in groups: NstdPtysSubGrp

NoNewsRefIDs

Number of News reference items

Type: NumInGroup

Used in groups: NewsRefGrp

NoNonDeliverableFixingDates

Number of Fixing dates in the repeating group

Type: NumInGroup

Used in groups: PaymentStreamNonDeliverableFixingDateGrp

NoNotAffectedMarketSegments

Number of market segments left unaffected by a mass action.

Type: NumInGroup

Used in groups: NotAffectedMarketSegmentGrp

NoNotAffectedOrders

Number of not affected orders in the repeating group of order ids.

Type: NumInGroup

Used in groups: NotAffectedOrdGrp

NoOfLegUnderlyings

Number of Underlyings, Identifies the Underlying of the Leg

Type: NumInGroup

Used in groups: TradeCapLegUnderlyingsGrp

NoOfSecSizes

The number of secondary sizes specifies in this entry

Type: NumInGroup

Used in groups: SecSizesGrp

NoOptionExerciseBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: OptionExerciseBusinessCenterGrp

NoOptionExerciseDates

Number of dates in the repeating group.

Type: NumInGroup

Used in groups: OptionExerciseDateGrp

NoOptionExerciseExpirationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: OptionExerciseExpirationDateBusinessCenterGrp

NoOptionExerciseExpirationDates

Number of fixed exercise expiration dates in the repeating group.

Type: NumInGroup

Used in groups: OptionExerciseExpirationDateGrp

NoOrderAttributes

Number of order attribute entries.

Type: NumInGroup

Used in groups: OrderAttributeGrp

NoOrderEntries

Number of order entries.

Type: NumInGroup

Used in groups: OrderEntryAckGrp, OrderEntryGrp

NoOrderEvents

Number of order events.

Type: NumInGroup

Used in groups: OrderEventGrp

NoOrders

Indicates number of orders to be combined for average pricing and allocation.

Type: NumInGroup

Used in groups: ListOrdGrp, OrdAllocGrp, OrdListStatGrp, OrderAggregationGrp, RelatedOrderGrp

NoOrdTypeRules

Number of order types

Type: NumInGroup

Used in groups: OrdTypeRules

NoPartyDetailAltID

Number of party alternative identifiers.

Type: NumInGroup

Used in groups: PartyDetailAltIDGrp

NoPartyDetailAltSubIDs

Number of party detail alternate sub-identifiers.

Type: NumInGroup

Used in groups: PartyDetailAltSubGrp

NoPartyDetails

Number of party details.

Type: NumInGroup

Used in groups: PartyDetailGrp

NoPartyDetailSubIDs

Number of party detail sub-identifiers.

Type: NumInGroup

Used in groups: PartyDetailSubGrp

NoPartyEntitlements

Number of party entitlement values.

Type: NumInGroup

Used in groups: PartyEntitlementAckGrp, PartyEntitlementGrp, PartyEntitlementUpdateGrp

NoPartyIDs

Number of PartyID (448), PartyIDSource (447), and PartyRole (452) entries

Type: NumInGroup

Used in groups: Parties

NoPartyRelationships

Number of party relationships.

Type: NumInGroup

Used in groups: PartyRelationshipGrp

NoPartyRiskLimits

Number of party risk limits.

Type: NumInGroup

Used in groups: PartyRiskLimitsAckGrp, PartyRiskLimitsGrp, PartyRiskLimitsUpdateGrp

NoPartySubIDs

Number of PartySubID (523)and PartySubIDType (803) entries

Type: NumInGroup

Used in groups: PtysSubGrp

NoPartyUpdates

Number of party updates.

Type: NumInGroup

Used in groups: PartyDetailAckGrp, PartyDetailsUpdateGrp

NoPayCollects

Number of pay collect entries.

Type: NumInGroup

Used in groups: PayCollectGrp

NoPaymentBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentBusinessCenterGrp

NoPayments

Number of additional settlement or bullet payments.

Type: NumInGroup

Used in groups: PaymentGrp

NoPaymentScheduleFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentScheduleFixingDateBusinessCenterGrp

NoPaymentScheduleFixingDays

Number of fixing days in the repeating group.

Type: NumInGroup

Used in groups: PaymentScheduleFixingDayGrp

NoPaymentScheduleInterimExchangeDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentScheduleInterimExchangeDateBusinessCenterGrp

NoPaymentScheduleRateSources

Number of swap schedule rate sources.

Type: NumInGroup

Used in groups: PaymentScheduleRateSourceGrp

NoPaymentSchedules

Number of swap schedules in the repeating group

Type: NumInGroup

Used in groups: PaymentScheduleGrp

NoPaymentSettlPartyIDs

Number of parties identified in the additional settlement or bullet payment.

Type: NumInGroup

Used in groups: PaymentSettlParties

NoPaymentSettlPartySubIDs

Number of sub-party IDs to be reported for the party.

Type: NumInGroup

Used in groups: PaymentSettlPtysSubGrp

NoPaymentSettls

Number of additional settlements or bullet payments.

Type: NumInGroup

Used in groups: PaymentSettlGrp

NoPaymentStreamCompoundingDates

Number of dates in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamCompoundingDateGrp

NoPaymentStreamCompoundingDatesBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamCompoundingDatesBusinessCenterGrp

NoPaymentStreamFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamFixingDateBusinessCenterGrp

NoPaymentStreamFixingDates

Number of fixing dates in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamFixingDateGrp

NoPaymentStreamFormulas

Number of formulas in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamFormulaMathGrp

NoPaymentStreamInitialFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamInitialFixingDateBusinessCenterGrp

NoPaymentStreamNonDeliverableFixingDatesBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

NoPaymentStreamPaymentDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamPaymentDateBusinessCenterGrp

NoPaymentStreamPaymentDates

Number of payment dates in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamPaymentDateGrp

NoPaymentStreamPricingBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamPricingBusinessCenterGrp

NoPaymentStreamPricingDates

Number of pricing dates in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamPricingDateGrp

NoPaymentStreamPricingDays

Number of pricing days in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamPricingDayGrp

NoPaymentStreamResetDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStreamResetDateBusinessCenterGrp

NoPaymentStubEndDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStubEndDateBusinessCenterGrp

NoPaymentStubs

Number of stubs in the repeating group

Type: NumInGroup

Used in groups: PaymentStubGrp

NoPaymentStubStartDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PaymentStubStartDateBusinessCenterGrp

NoPhysicalSettlDeliverableObligations

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: PhysicalSettlDeliverableObligationGrp

NoPhysicalSettlTerms

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: PhysicalSettlTermGrp

NoPosAmt

Number of position amount entries.

Type: NumInGroup

Used in groups: PositionAmountData

NoPositions

Number of position entries.

Type: NumInGroup

Used in groups: PositionQty, TradePositionQty

NoPriceMovements

Number of price movement entries.

Type: NumInGroup

Used in groups: PriceMovementGrp

NoPriceMovementValues

Number of price movement value entries.

Type: NumInGroup

Used in groups: PriceMovementValueGrp

NoPriceQualifiers

Number of price qualifiers in the repeating group.

Type: NumInGroup

Used in groups: PriceQualifierGrp

NoPriceRangeRules

Number of rules related to price ranges.

Type: NumInGroup

Used in groups: PriceRangeRuleGrp

NoPricingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: PricingDateBusinessCenterGrp

NoProtectionTermEventNewsSources

Number of event news sources in the repeating group.

Type: NumInGroup

Used in groups: ProtectionTermEventNewsSourceGrp

NoProtectionTermEventQualifiers

Number of qualifiers in the repeating group.

Type: NumInGroup

Used in groups: ProtectionTermEventQualifierGrp

NoProtectionTermEvents

Number of protection term events in the repeating group.

Type: NumInGroup

Used in groups: ProtectionTermEventGrp

NoProtectionTermObligations

Number of obligations in the repeating group.

Type: NumInGroup

Used in groups: ProtectionTermObligationGrp

NoProtectionTerms

Number of protection terms in the repeating group.

Type: NumInGroup

Used in groups: ProtectionTermGrp

NoProvisionCashSettlPaymentDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ProvisionCashSettlPaymentDateBusinessCenterGrp

NoProvisionCashSettlPaymentDates

Number of provision cash settlement payment dates in the repeating group.

Type: NumInGroup

Used in groups: ProvisionCashSettlPaymentFixedDateGrp

NoProvisionCashSettlValueDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ProvisionCashSettlValueDateBusinessCenterGrp

NoProvisionDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ProvisionDateBusinessCenterGrp

NoProvisionOptionExerciseBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ProvisionOptionExerciseBusinessCenterGrp

NoProvisionOptionExerciseFixedDates

Number of provision option exercise fixed dates in the repeating group.

Type: NumInGroup

Used in groups: ProvisionOptionExerciseFixedDateGrp

NoProvisionOptionExpirationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ProvisionOptionExpirationDateBusinessCenterGrp

NoProvisionOptionRelevantUnderlyingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

NoProvisionPartyIDs

Number of parties identified in the contract provision.

Type: NumInGroup

Used in groups: ProvisionParties

NoProvisionPartySubIDs

Number of sub-party IDs to be reported for the party.

Type: NumInGroup

Used in groups: ProvisionPtysSubGrp

NoProvisions

Number of provisions in the repeating group.

Type: NumInGroup

Used in groups: ProvisionGrp

NoQuoteAttributes

Number of quote attributes entries.

Type: NumInGroup

Used in groups: QuoteAttributeGrp

NoQuoteEntries

The number of quote entries for a QuoteSet.

Type: NumInGroup

Used in groups: QuotCxlEntriesGrp, QuotEntryAckGrp, QuotEntryGrp

NoQuoteQualifiers

Number of repeating groups of QuoteQualifiers (695).

Type: NumInGroup

Used in groups: QuotQualGrp

NoQuoteSets

The number of sets of quotes in the message.

Type: NumInGroup

Used in groups: QuotSetAckGrp, QuotSetGrp

NoQuoteSizeRules

Number of rules related to quote sizes.

Type: NumInGroup

Used in groups: QuoteSizeRuleGrp

NoRateSources

Number of rate sources being specified.

Type: NumInGroup

Used in groups: RateSource

NoReferenceDataDates

Number of instances of reference data dates.

Type: NumInGroup

Used in groups: ReferenceDataDateGrp

NoRegistDtls

The number of registration details on a Registration Instructions message

Type: NumInGroup

Used in groups: RgstDtlsGrp

NoRegulatoryTradeIDs

Number of regulatory IDs in the repeating group.

Type: NumInGroup

Used in groups: RegulatoryTradeIDGrp

NoRelatedInstruments

Number of related instruments

Type: NumInGroup

Used in groups: RelatedInstrumentGrp

NoRelatedMarketSegments

Number of related market segments.

Type: NumInGroup

Used in groups: RelatedMarketSegmentGrp

NoRelatedPartyDetailAltID

Number of related party detail alternate identifiers.

Type: NumInGroup

Used in groups: RelatedPartyDetailAltIDGrp

NoRelatedPartyDetailAltSubIDs

Number of related party detail alternate sub-identifiers.

Type: NumInGroup

Used in groups: RelatedPartyDetailAltSubGrp

NoRelatedPartyDetailID

Number of related party detail identifiers.

Type: NumInGroup

Used in groups: RelatedPartyDetailGrp

NoRelatedPartyDetailSubIDs

Number of related party detail sub-identifiers.

Type: NumInGroup

Used in groups: RelatedPartyDetailSubGrp

NoRelatedPositions

Number of related positions.

Type: NumInGroup

Used in groups: RelatedPositionGrp

NoRelatedSym

Specifies the number of repeating symbols specified.

Type: NumInGroup

Used in groups: InstrmtGrp, InstrmtMDReqGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp, StrmAsgnReqInstrmtGrp, StrmAsgnRptInstrmtGrp

NoRelatedTrades

Number of related trades.

Type: NumInGroup

Used in groups: RelatedTradeGrp

NoRelativeValues

Number of relative value metrics entries in the repeating group.

Type: NumInGroup

Used in groups: RelativeValueGrp

NoRequestedPartyRoles

Number of requested party roles.

Type: NumInGroup

Used in groups: RequestedPartyRoleGrp

NoRequestedRiskLimitType

Number of risk limit types requested.

Type: NumInGroup

Used in groups: RequestedRiskLimitTypesGrp

NoRequestingPartyIDs

Number of requesting party identifiers.

Type: NumInGroup

Used in groups: RequestingPartyGrp

NoRequestingPartySubIDs

Number of requesting party sub-identifiers.

Type: NumInGroup

Used in groups: RequestingPartySubGrp

NoReturnRateDates

Number of iterations in the return rate date repeating group.

Type: NumInGroup

Used in groups: ReturnRateDateGrp

NoReturnRateFXConversions

Number of iterations in the return rate FX conversion repeating group.

Type: NumInGroup

Used in groups: ReturnRateFXConversionGrp

NoReturnRateInformationSources

Number of iterations in the return rate information source repeating group.

Type: NumInGroup

Used in groups: ReturnRateInformationSourceGrp

NoReturnRatePrices

Number of iterations in the return rate price repeating group.

Type: NumInGroup

Used in groups: ReturnRatePriceGrp

NoReturnRates

Number of iterations in the return rate repeating group.

Type: NumInGroup

Used in groups: ReturnRateGrp

NoReturnRateValuationDateBusinessCenters

Number of iterations in the return rate valuation date business center repeating group.

Type: NumInGroup

Used in groups: ReturnRateValuationDateBusinessCenterGrp

NoReturnRateValuationDates

Number of iterations in the return rate valuation date repeating group.

Type: NumInGroup

Used in groups: ReturnRateValuationDateGrp

NoRiskInstrumentScopes

Number of risk instrument scopes.

Type: NumInGroup

Used in groups: RiskInstrumentScopeGrp

NoRiskLimits

Number of risk limits for different instrument scopes.

Type: NumInGroup

Used in groups: RiskLimitsGrp

NoRiskLimitTypes

Number of risk limits with associated warning levels.

Type: NumInGroup

Used in groups: RiskLimitTypesGrp

NoRiskWarningLevels

Number of risk warning levels.

Type: NumInGroup

Used in groups: RiskWarningLevelGrp

NoRootPartyIDs

Number of RootPartyID (1117), RootPartyIDSource (1118), and RootPartyRole (1119) entries

Type: NumInGroup

Used in groups: RootParties

NoRootPartySubIDs

Number of RootPartySubID (1121) and RootPartySubIDType (1122) entries

Type: NumInGroup

Used in groups: RootSubParties

NoRoutingIDs

Number of repeating groups of RoutingID (217) and RoutingType (216) values.

See Volume 3: "Pre-Trade Message Targeting/Routing"

Type: NumInGroup

Used in groups: RoutingGrp

NoRpts

Total number of reports within series.

Type: int

Used in messages: ListStatus

NoSecondaryAssetClasses

Number of secondary asset classes in the repeating group.

Type: NumInGroup

Used in groups: SecondaryAssetGrp

NoSecurityAltID

Number of SecurityAltID (455) entries.

Type: NumInGroup

Used in groups: SecAltIDGrp

NoSecurityClassifications

Number of Security Classifications.

Type: NumInGroup

Used in groups: SecurityClassificationGrp

NoSecurityRiskMetrics

Number of instruments with security risk metrics data.

Type: NumInGroup

Used in groups: SecurityRiskMetricGrp

NoSecurityTypes

Number of Security Type repeating group instances.

Type: NumInGroup

Used in groups: SecTypesGrp

NoSettlDetails

Used to group Each Settlement Party

Type: NumInGroup

Used in groups: SettlDetails

NoSettlementAmounts

Number of settlement amount entries.

Type: NumInGroup

Used in groups: SettlementAmountGrp

NoSettlInst

Number of settlement instructions within repeating group.

Type: NumInGroup

Used in groups: SettlInstGrp

NoSettlMethodElectionDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: SettlMethodElectionDateBusinessCenterGrp

NoSettlOblig

Number of settlement obligations

Type: NumInGroup

Used in groups: SettlObligationInstructions

NoSettlPartyIDs

Number of SettlPartyID (782), SettlPartyIDSource (783), and SettlPartyRole (784) entries

Type: NumInGroup

Used in groups: SettlParties

NoSettlPartySubIDs

Number of SettlPartySubID (785) and SettlPartySubIDType (786) entries

Type: NumInGroup

Used in groups: SettlPtysSubGrp

NoSettlRateFallbacks

Number of settlement rate fallbacks in the repeating group

Type: NumInGroup

Used in groups: SettlRateDisruptionFallbackGrp

NoSideCollateralAmounts

Number of side collateral amount entries.

Type: NumInGroup

Used in groups: SideCollateralAmountGrp

NoSideCollateralReinvestments

Number of instances of SideCollateralReinvestmentType(2867) in the repeating group.

Type: NumInGroup

Used in groups: SideCollateralReinvestmentGrp

NoSideRegulatoryTradeIDs

Number of regulatory IDs in the repeating group.

Type: NumInGroup

Used in groups: SideRegulatoryTradeIDGrp

NoSides

Number of Side repeating group instances.

Type: NumInGroup

Allowed values in NoSidesCodeSet:

Code | Name | Description
1 | OneSide | One Side
2 | BothSides | Both Sides

Used in groups: SideCrossOrdCxlGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

NoSideTrdRegTS

Number of timestamp entries.

Type: NumInGroup

Used in groups: SideTrdRegTS

NoStatsIndicators

Number of statistics indicator repeating group entries

Type: NumInGroup

Used in groups: StatsIndGrp

NoStipulations

Number of stipulation entries

(Note tag # was reserved in FIX 4.1, added in FIX 4.3).

Type: NumInGroup

Used in groups: Stipulations

NoStrategyParameters

Indicates number of strategy parameters

Type: NumInGroup

Used in groups: StrategyParametersGrp

NoStreamAssetAttributes

Number of asset attribute entries in the group.

Type: NumInGroup

Used in groups: StreamAssetAttributeGrp

NoStreamCalculationPeriodBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: StreamCalculationPeriodBusinessCenterGrp

NoStreamCalculationPeriodDates

Number of calculation period dates in the repeating group.

Type: NumInGroup

Used in groups: StreamCalculationPeriodDateGrp

NoStreamCommodityAltIDs

Number of alternate security identifers.

Type: NumInGroup

Used in groups: StreamCommodityAltIDGrp

NoStreamCommodityDataSources

Number of data sources in the repeating group. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.

Type: NumInGroup

Used in groups: StreamCommodityDataSourceGrp

NoStreamCommoditySettlBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: StreamCommoditySettlBusinessCenterGrp

NoStreamCommoditySettlDays

Number of days in the repeating group.

Type: NumInGroup

Used in groups: StreamCommoditySettlDayGrp

NoStreamCommoditySettlPeriods

Number of commodity settlement periods in the repeating group.

Type: NumInGroup

Used in groups: StreamCommoditySettlPeriodGrp

NoStreamCommoditySettlTimes

Number of hour ranges in the repeating group.

Type: NumInGroup

Used in groups: StreamCommoditySettlTimeGrp

NoStreamEffectiveDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: StreamEffectiveDateBusinessCenterGrp

NoStreamFirstPeriodStartDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: StreamFirstPeriodStartDateBusinessCenterGrp

NoStreams

Number of swap streams in the repeating group.

Type: NumInGroup

Used in groups: StreamGrp

NoStreamTerminationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: StreamTerminationDateBusinessCenterGrp

NoStrikeRules

Number of strike rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument

Type: NumInGroup

Used in groups: StrikeRules

NoStrikes

Number of list strike price entries.

Type: NumInGroup

Used in groups: InstrmtStrkPxGrp

NotAffectedMarketSegmentGrp

List of market segments that were not affected by a mass action.

Name | Mult. | Type | Description
NoNotAffectedMarketSegments | [1..1] | NumInGroup |
NotAffectedMarketSegmentID | [0..1] | String | Required when NoNotAffectedMarketSegments(1793) > 0.

Used in messages: OrderMassActionReport

NotAffectedMarketSegmentID

Market segment within an unaffected market repeating segment group.

Type: String

Used in groups: NotAffectedMarketSegmentGrp

NotAffectedOrderID

OrderID(37) of an order not affected by a mass cancel or mass action request.

Type: String

Used in groups: NotAffectedOrdGrp

NotAffectedOrdGrp

Name
Mult.
Type
Description

NoNotAffectedOrders
[1..1]
NumInGroup

NotAffOrigClOrdID
[0..1]
String
Required if NoNotAffectedOrders(1370) > 0 and must be the first repeating field in the group. Indicates the client order identifier of an order not affected by the request. If order(s) were manually delivered (or otherwise not delivered over FIX and not assigned a ClOrdID(11)) this field should contain string "MANUAL".

NotAffectedOrderID
[0..1]
String
Contains the OrderID(37) assigned by the counterparty of an unaffected order. Not required as part of the repeating group if NotAffOrigClOrdID(1372) has a value other than "MANUAL".

NotAffSecondaryOrderID
[0..1]
String
Contains the SecondaryOrderID(198) assigned by the counterparty of an unaffected order. Not required as part of the repeating group.

NotAffectedReason
[0..1]
CodeSet
Can be used to provide a reason for excluding this order from the scope of the mass action.

Used in messages: OrderMassActionReport, OrderMassCancelReport

NotAffectedReason

Reason for order being unaffected by mass action even though it belongs to the orders covered by MassActionScope(1374).

Type: int

Allowed values in NotAffectedReasonCodeSet:

Code | Name | Description
0 | OrderSuspended | Order suspended
1 | InstrumentSuspended | Instrument suspended

Used in groups: NotAffectedOrdGrp

NotAffOrigClOrdID

ClOrdID(11) of an order not affected by a mass cancel or mass action request.

Type: String

Used in groups: NotAffectedOrdGrp

NotAffSecondaryOrderID

SecondaryOrderID (198) of an order not affected by a mass cancel or mass action request.

Type: String

Used in groups: NotAffectedOrdGrp

NoTargetMarketSegments

Number of market segments upon which a mass action is to be taken.

Type: NumInGroup

Used in groups: TargetMarketSegmentGrp

NoTargetPartyIDs

Identifies the number of target parties identified in a mass action.

Type: NumInGroup

Used in groups: TargetParties

NoTargetPartySubIDs

Number of target party sub IDs in the repeating group.

Type: NumInGroup

Used in groups: TargetPtysSubGrp

NoTestGatewayDetails

Number of test gateway details.

Type: NumInGroup

Used in groups: TestGatewayDetailGrp

NoTestMeasures

Number of results for a test scenario.

Type: NumInGroup

Used in groups: TestMeasureGrp

NoTestOrders

Number of orders for testing.

Type: NumInGroup

Used in groups: TestOrderGrp

NoTestScenarios

Number of test scenarios for an algorithmic trading system.

Type: NumInGroup

Used in groups: TestScenarioGrp

NoTestStepParameters

Number of test step parameters.

Type: NumInGroup

Used in groups: TestStepParameterGrp

NoTestSteps

Number of test steps.

Type: NumInGroup

Used in groups: TestStepGrp

NoTestSystemModules

Number of components making up a testing system.

Type: NumInGroup

Used in groups: TestSystemModuleGrp

NoThrottleMsgType

Number of ThrottleMsgType fields.

Type: NumInGroup

Used in groups: ThrottleMsgTypeGrp

NoThrottles

Indicates number of repeating groups to follow.

Type: NumInGroup

Used in groups: ThrottleParamsGrp

NoTickRules

Number of tick rules. This block specifies the rules for determining how a security ticks, i.e. the price increments at which it can be quoted and traded, depending on the current price of the security

Type: NumInGroup

Used in groups: TickRules

NotifyBrokerOfCredit

Indicates whether or not details should be communicated to BrokerOfCredit (i.e. step-in broker).

Type: Boolean

Allowed values in NotifyBrokerOfCreditCodeSet:

Code | Name | Description
N | DetailsShouldNotBeCommunicated | Details should not be communicated
Y | DetailsShouldBeCommunicated | Details should be communicated

Used in groups: AllocGrp

NoTimeInForceRules

Number of time in force techniques

Type: NumInGroup

Used in groups: TimeInForceRules

NotionalPercentageOutstanding

Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index.

Used to calculate the true value of a CDS trade or position.

Type: Percentage

Used in components: Instrument

NoTradeAllocAmts

Number of trade allocation amount entries.

Type: NumInGroup

Used in groups: TradeAllocAmtGrp

NoTradePriceConditions

Number of trade price conditions.

Type: NumInGroup

Used in groups: TradePriceConditionGrp

NoTradeQtys

Number of trade quantities.

Type: NumInGroup

Used in groups: TradeQtyGrp

NoTrades

Number of trades in repeating group.

Type: NumInGroup

Used in groups: TrdCollGrp

NoTradeTypes

Number of trade types in repeating group.

Type: NumInGroup

Used in groups: TradeTypeGrp

NoTradingSessionRules

Allows trading rules to be expressed by trading session

Type: NumInGroup

Used in groups: TradingSessionRulesGrp

NoTradingSessions

Number of TradingSessionIDs (336) in repeating group.

Type: NumInGroup

Used in groups: TrdSessLstGrp, TrdgSesGrp

NoTransactionAttributes

Number of instances of TransactionAttributeType(2872) in the repeating group.

Type: NumInGroup

Used in groups: TransactionAttributeGrp

NoTrdMatchSides

Number of trade match sides.

Type: NumInGroup

Used in groups: TrdMatchSideGrp

NoTrdRegPublications

Number of regulatory publication rules in repeating group.

Type: NumInGroup

Used in groups: TrdRegPublicationGrp

NoTrdRegTimestamps

Number of timestamp entries.

Type: NumInGroup

Used in groups: TrdRegTimestamps

NoTrdRepIndicators

Number of trade reporting indicators

Type: NumInGroup

Used in groups: TrdRepIndicatorsGrp

NoUnderlyingAdditionalTermBondRefs

Number of bonds in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingAdditionalTermBondRefGrp

NoUnderlyingAdditionalTerms

Number of additional terms in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingAdditionalTermGrp

NoUnderlyingAmounts

Total number of occurrences of Amount to pay in order to receive the underlying instrument

Type: NumInGroup

Used in groups: UnderlyingAmount

NoUnderlyingAssetAttributes

Number of asset attribute entries in the group.

Type: NumInGroup

Used in groups: UnderlyingAssetAttributeGrp

NoUnderlyingBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingBusinessCenterGrp

NoUnderlyingCashSettlDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingCashSettlDateBusinessCenterGrp

NoUnderlyingCashSettlDealers

Number of dealers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingCashSettlDealerGrp

NoUnderlyingCashSettlTerms

Number of elements in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingCashSettlTermGrp

NoUnderlyingComplexEventAveragingObservations

The number of averaging observations in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventAveragingObservationGrp

NoUnderlyingComplexEventCreditEventQualifiers

Number of qualifiers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventCreditEventQualifierGrp

NoUnderlyingComplexEventCreditEvents

The number of credit events specified in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventCreditEventGrp

NoUnderlyingComplexEventCreditEventSources

Number of event sources in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventCreditEventSourceGrp

NoUnderlyingComplexEventDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventDateBusinessCenterGrp

NoUnderlyingComplexEventDates

Number of underlying complex event dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventDates

NoUnderlyingComplexEventPeriodDateTimes

Number of entries in the date-time repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventPeriodDateGrp

NoUnderlyingComplexEventPeriods

Number of periods in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventPeriodGrp

NoUnderlyingComplexEventRateSources

Number of rate sources in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventRateSourceGrp

NoUnderlyingComplexEvents

Number of complex events in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEvents

NoUnderlyingComplexEventSchedules

Number of schedules in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventScheduleGrp

NoUnderlyingComplexEventTimes

Number of complex event times in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingComplexEventTimes

NoUnderlyingDeliverySchedules

Number of delivery schedules in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingDeliveryScheduleGrp

NoUnderlyingDeliveryScheduleSettlDays

Number of delivery schedules in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingDeliveryScheduleSettlDayGrp

NoUnderlyingDeliveryScheduleSettlTimes

Number of hour ranges in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingDeliveryScheduleSettlTimeGrp

NoUnderlyingDeliveryStreamCommoditySources

Number of commodity sources in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingDeliveryStreamCommoditySourceGrp

NoUnderlyingDeliveryStreamCycles

Number of delivery cycles in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingDeliveryStreamCycleGrp

NoUnderlyingDividendAccrualPaymentDateBusinessCenters

Number of entries in the UnderlyingDividendAccrualPaymentDateBusinessCenterGrp.

Type: NumInGroup

Used in groups: UnderlyingDividendAccrualPaymentDateBusinessCenterGrp

NoUnderlyingDividendFXTriggerDateBusinessCenters

Number of entries in the UnderlyingDividendFXTriggerDateBusinessCenterGrp.

Type: NumInGroup

Used in groups: UnderlyingDividendFXTriggerDateBusinessCenterGrp

NoUnderlyingDividendPayments

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingDividendPaymentGrp

NoUnderlyingDividendPeriodBusinessCenters

Number of entries in UnderlyingDividendPeriodBusinessCenterGrp.

Type: NumInGroup

Used in groups: UnderlyingDividendPeriodBusinessCenterGrp

NoUnderlyingDividendPeriods

Number of entries in the UnderlyingDividendPeriodGrp component.

Type: NumInGroup

Used in groups: UnderlyingDividendPeriodGrp

NoUnderlyingEvents

Number of events in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingEvntGrp

NoUnderlyingExtraordinaryEvents

Number of extraordinary events in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingExtraordinaryEventGrp

NoUnderlyingLegSecurityAltID

Refer to definition for NoSecurityAltID(454)

Type: NumInGroup

Used in groups: UnderlyingLegSecurityAltIDGrp

NoUnderlyingMarketDisruptionEvents

Number of disruption events in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingMarketDisruptionEventGrp

NoUnderlyingMarketDisruptionFallbackReferencePrices

Number of fallback reference securities in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

NoUnderlyingMarketDisruptionFallbacks

Number of fallbacks in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingMarketDisruptionFallbackGrp

NoUnderlyingNonDeliverableFixingDates

Number of Fixing dates in the repeating group

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamNonDeliverableFixingDateGrp

NoUnderlyingOptionExerciseBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingOptionExerciseBusinessCenterGrp

NoUnderlyingOptionExerciseDates

Number of dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingOptionExerciseDateGrp

NoUnderlyingOptionExerciseExpirationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingOptionExerciseExpirationDateBusinessCenterGrp

NoUnderlyingOptionExerciseExpirationDates

Number of fixed exercise expiration dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingOptionExerciseExpirationDateGrp

NoUnderlyingPaymentScheduleFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentScheduleFixingDateBusinessCenterGrp

NoUnderlyingPaymentScheduleFixingDays

Number of fixing days in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentScheduleFixingDayGrp

NoUnderlyingPaymentScheduleInterimExchangeDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp

NoUnderlyingPaymentScheduleRateSources

Number of rate sources in the repeating group

Type: NumInGroup

Used in groups: UnderlyingPaymentScheduleRateSourceGrp

NoUnderlyingPaymentSchedules

Number of swap schedules in the repeating group

Type: NumInGroup

Used in groups: UnderlyingPaymentScheduleGrp

NoUnderlyingPaymentStreamCompoundingDates

Number of dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamCompoundingDateGrp

NoUnderlyingPaymentStreamCompoundingDatesBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamCompoundingDatesBusinessCenterGrp

NoUnderlyingPaymentStreamFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamFixingDateBusinessCenterGrp

NoUnderlyingPaymentStreamFixingDates

Number of fixing dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamFixingDateGrp

NoUnderlyingPaymentStreamFormulas

Number of formulas in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamFormulaMathGrp

NoUnderlyingPaymentStreamInitialFixingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamInitialFixingDateBusinessCenterGrp

NoUnderlyingPaymentStreamNonDeliverableFixingDatesBizCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

NoUnderlyingPaymentStreamPaymentDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamPaymentDateBusinessCenterGrp

NoUnderlyingPaymentStreamPaymentDates

Number of payment dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamPaymentDateGrp

NoUnderlyingPaymentStreamPricingBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamPricingBusinessCenterGrp

NoUnderlyingPaymentStreamPricingDates

Number of pricing dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamPricingDateGrp

NoUnderlyingPaymentStreamPricingDays

Number of pricing days in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamPricingDayGrp

NoUnderlyingPaymentStreamResetDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStreamResetDateBusinessCenterGrp

NoUnderlyingPaymentStubEndDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStubEndDateBusinessCenterGrp

NoUnderlyingPaymentStubs

Number of stubs in the repeating group

Type: NumInGroup

Used in groups: UnderlyingPaymentStubGrp

NoUnderlyingPaymentStubStartDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPaymentStubStartDateBusinessCenterGrp

NoUnderlyingPhysicalSettlDeliverableObligations

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPhysicalSettlDeliverableObligationGrp

NoUnderlyingPhysicalSettlTerms

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPhysicalSettlTermGrp

NoUnderlyingPricingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingPricingDateBusinessCenterGrp

NoUnderlyingProtectionTermEventNewsSources

Number of event news sources in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProtectionTermEventNewsSourceGrp

NoUnderlyingProtectionTermEventQualifiers

Number of qualifiers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProtectionTermEventQualifierGrp

NoUnderlyingProtectionTermEvents

Number of protection term events in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProtectionTermEventGrp

NoUnderlyingProtectionTermObligations

Number of obligations in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProtectionTermObligationGrp

NoUnderlyingProtectionTerms

Number of protection terms in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProtectionTermGrp

NoUnderlyingProvisionCashSettlPaymentDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionCashSettlPaymentDateBusinessCenterGrp

NoUnderlyingProvisionCashSettlPaymentDates

Number of UnderlyingProvision cash settlement payment dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionCashSettlPaymentFixedDateGrp

NoUnderlyingProvisionCashSettlValueDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionCashSettlValueDateBusinessCenterGrp

NoUnderlyingProvisionDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionDateBusinessCenterGrp

NoUnderlyingProvisionOptionExerciseBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionOptionExerciseBusinessCenterGrp

NoUnderlyingProvisionOptionExerciseFixedDates

Number of UnderlyingProvision option exercise fixed dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionOptionExerciseFixedDateGrp

NoUnderlyingProvisionOptionExpirationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionOptionExpirationDateBusinessCenterGrp

NoUnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

NoUnderlyingProvisionPartyIDs

Number of parties identified in the contract provision.

Type: NumInGroup

Used in groups: UnderlyingProvisionParties

NoUnderlyingProvisionPartySubIDs

Number of sub-party IDs to be reported for the party.

Type: NumInGroup

Used in groups: UnderlyingProvisionPtysSubGrp

NoUnderlyingProvisions

Number of provisions in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingProvisionGrp

NoUnderlyingRateSpreadSteps

Number of entries in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingRateSpreadStepGrp

NoUnderlyingReturnRateDates

Number of iterations in the return rate date repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRateDateGrp

NoUnderlyingReturnRateFXConversions

Number of iterations in the return rate FX conversion repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRateFXConversionGrp

NoUnderlyingReturnRateInformationSources

Number of iterations in the return rate information source repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRateInformationSourceGrp

NoUnderlyingReturnRatePrices

Number of iterations in the return rate price repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRatePriceGrp

NoUnderlyingReturnRates

Number of iterations in the return rate repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRateGrp

NoUnderlyingReturnRateValuationDateBusinessCenters

Number of iterations in the return rate valuation date business center repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRateValuationDateBusinessCenterGrp

NoUnderlyingReturnRateValuationDates

Number of iterations in the return rate valuation date repeating group.

Type: NumInGroup

Used in groups: UnderlyingReturnRateValuationDateGrp

NoUnderlyings

Number of underlying legs that make up the security.

Type: NumInGroup

Used in groups: PosUndInstrmtGrp, UndInstrmtCollGrp, UndInstrmtGrp

NoUnderlyingSecondaryAssetClasses

Number of secondary asset classes in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingSecondaryAssetGrp

NoUnderlyingSecurityAltID

Number of UnderlyingSecurityAltID (458) entries.

Type: NumInGroup

Used in groups: UndSecAltIDGrp

NoUnderlyingSettlMethodElectionDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingSettlMethodElectionDateBusinessCenterGrp

NoUnderlyingSettlRateFallbacks

Number of settlement rate fallbacks in the repeating group

Type: NumInGroup

Used in groups: UnderlyingSettlRateDisruptionFallbackGrp

NoUnderlyingStips

Number of underlying stipulation entries

Type: NumInGroup

Used in groups: UnderlyingStipulations

NoUnderlyingStreamAssetAttributes

Number of asset attribute entries in the group.

Type: NumInGroup

Used in groups: UnderlyingStreamAssetAttributeGrp

NoUnderlyingStreamCalculationPeriodBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCalculationPeriodBusinessCenterGrp

NoUnderlyingStreamCalculationPeriodDates

Number of calculation period dates in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCalculationPeriodDateGrp

NoUnderlyingStreamCommodityAltIDs

Number of alternate security identifers.

Type: NumInGroup

Used in groups: UnderlyingStreamCommodityAltIDGrp

NoUnderlyingStreamCommodityDataSources

Number of commodity data sources in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCommodityDataSourceGrp

NoUnderlyingStreamCommoditySettlBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCommoditySettlBusinessCenterGrp

NoUnderlyingStreamCommoditySettlDays

Number of days in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCommoditySettlDayGrp

NoUnderlyingStreamCommoditySettlPeriods

Number of commodity settlement periods in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

NoUnderlyingStreamCommoditySettlTimes

Number of hour ranges in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamCommoditySettlTimeGrp

NoUnderlyingStreamEffectiveDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamEffectiveDateBusinessCenterGrp

NoUnderlyingStreamFirstPeriodStartDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp

NoUnderlyingStreams

Number of swap streams in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamGrp

NoUnderlyingStreamTerminationDateBusinessCenters

Number of business centers in the repeating group.

Type: NumInGroup

Used in groups: UnderlyingStreamTerminationDateBusinessCenterGrp

NoUndlyInstrumentParties

Identifies the number of parties identified with an underlying instrument

Type: NumInGroup

Used in groups: UndlyInstrumentParties

NoUndlyInstrumentPartySubIDs

Number of Underlying InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries

Type: NumInGroup

Used in groups: UndlyInstrumentPtysSubGrp

NoUsernames

Number of Usernames to which this this response is directed

Type: NumInGroup

Used in groups: UsernameGrp

NoValueChecks

Number of value check entries.

Type: NumInGroup

Used in groups: ValueChecksGrp

NstdPtys2SubGrp

Name | Mult. | Type | Description
NoNested2PartySubIDs | [1..1] | NumInGroup |
Nested2PartySubID | [0..1] | String |
Nested2PartySubIDType | [0..1] | CodeSet |

Used in groups: NestedParties2

NstdPtys3SubGrp

Name | Mult. | Type | Description
NoNested3PartySubIDs | [1..1] | NumInGroup |
Nested3PartySubID | [0..1] | String |
Nested3PartySubIDType | [0..1] | CodeSet |

Used in groups: NestedParties3

NstdPtys4SubGrp

Name | Mult. | Type | Description
NoNested4PartySubIDs | [1..1] | NumInGroup |
Nested4PartySubID | [0..1] | String |
Nested4PartySubIDType | [0..1] | CodeSet |

Used in groups: NestedParties4

NstdPtysSubGrp

Name | Mult. | Type | Description
NoNestedPartySubIDs | [1..1] | NumInGroup |
NestedPartySubID | [0..1] | String |
NestedPartySubIDType | [0..1] | CodeSet |

Used in groups: NestedParties

NthToDefault

The Nth reference obligation to default in a CDS reference basket. If specified without MthToDefault(1943) the default will trigger a CDS payout. If MthToDefault(1943) is also present then payout occurs between the Nth and Mth obligations to default.

Type: int

Used in components: Instrument

NTPositionLimit

Position Limit in the near-term contract for a given exchange-traded product.

Type: int

Used in components: Instrument

NumberOfBuyOrders

Number of buy orders involved in a trade.

Type: int

Used in groups: MDFullGrp, MDIncGrp

NumberOfOrders

Number of orders in the market.

Type: int

Used in groups: MDFullGrp, MDIncGrp

NumberOfSellOrders

Number of sell orders involved in a trade.

Type: int

Used in groups: MDFullGrp, MDIncGrp

NumBidders

Indicates the total number of bidders on the list

Type: int

Used in messages: BidRequest

NumDaysInterest

Number of Days of Interest for convertible bonds and fixed income. Note value may be negative.

Type: int

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport

NumOfCompetitors

The number of competing Respondents (e.g. dealers) to receive a quote request (either via the QuoteRequest(35=R) or via other means).

Type: int

Used in groups: QuotReqGrp

NumOfComplexInstruments

Represents the total number of multileg securities or user defined securities that make up the security.

Type: int

Used in messages: SecurityDefinition, SecurityDefinitionUpdateReport

NumOfSimpleInstruments

Represents the total number of simple instruments that make up a multi-legged security. Complex spread instruments may be constructed of legs which themselves are multi-leg instruments.

Type: int

Used in groups: RelSymDerivSecGrp, SecListGrp

Used in messages: SecurityDefinition, SecurityDefinitionUpdateReport

NumTickets

Total number of tickets.

Type: int

Used in messages: BidRequest

ObligationType

Type of reference obligation for credit derivatives contracts.

Type: String

Allowed values in ObligationTypeCodeSet:

Code | Name | Description
0 | Bond | Bond
1 | ConvertBond | Convertible bond
2 | Mortgage | Mortgage
3 | Loan | Loan

Used in components: Instrument

OddLot

This trade is to be treated as an odd lot

If this field is not specified, the default will be "N"

Type: Boolean

Allowed values in OddLotCodeSet:

Code | Name | Description
N | TreatAsRoundLot | Treat as round lot (default)
Y | TreatAsOddLot | Treat as odd lot

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

OfferForwardPoints

Offer F/X forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

OfferForwardPoints2

Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

OfferID

Unique identifier for the ask side of the quote assigned by the quote issuer.

Type: String

Used in messages: Quote, QuoteStatusReport

OfferMDEntryID

The market data entry identifier of the offer side of a quote.

Type: String

Used in messages: QuoteStatusReport

OfferPx

Offer price/rate

Type: Price

Used in groups: QuotEntryAckGrp, QuotEntryGrp, SecurityRiskMetricGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

OfferQuoteID

Marketplace assigned quote identifier for the offer side. Can be used to indicate priority.

Type: String

Used in messages: QuoteStatusReport

OfferSize

Quantity of offer

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

OfferSpotRate

Offer F/X spot rate.

Type: Price

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

OfferSpread

Basis points relative to a benchmark curve on the offer side, such as LIBOR, or a known security, such as 10Y US Treasury bond. The benchmark security or curve name is specified in the SpreadOrBenchmarkCurveData component.

Type: float

Used in messages: Quote

OfferSwapPoints

The offer FX Swap points for an FX Swap. It is the "far offer forward points - near bid forward points". Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in messages: Quote

OfferVolatility

Volatility based on offer prices.

Type: float

Used in groups: SecurityRiskMetricGrp

OfferYield

Offer yield

Type: Percentage

Used in groups: QuotEntryAckGrp, QuotEntryGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

OffMarketPriceIndicator

An indication that the price is off-market.

Type: Boolean

Used in messages: TradeCaptureReport

OffsetInstruction

Indicates the trade is a result of an offset or onset.

Type: int

Allowed values in OffsetInstructionCodeSet:

Code | Name | Description
0 | Offset | Offset. A type of transaction where an executing firm gives up a trade as a result of an allocation. Or, in the case of a reversal of an allocation, the take-up (claiming) firm's transaction.
1 | Onset | Onset. A type of transaction where a take-up (claiming) firm takes up a trade as a result of an allocation. Or, in the case of a reversal of an allocation, the executing firm's transaction.

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

OffshoreIndicator

Indicates the type of the currency rate being used. This is relevant for currencies that have offshore rate that different from onshore rate.

Type: int

Allowed values in OffshoreIndicatorCodeSet:

Code | Name | Description
0 | Regular | Regular - Default if not specified. The notion of onshore and offshore rates does not apply.
1 | Offshore | Offshore. Used to indicate that the rate specified is an offshore rate which differs from its onshore rate.
2 | Onshore | Onshore. Used to indicate that the rate specified is an onshore rate which differs from its offshore rate.

Used in messages: AllocationInstruction, ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

OnBehalfOfCompID

Assigned value used to identify firm originating message if the message was delivered by a third party i.e. the third party firm identifier would be delivered in the SenderCompID field and the firm originating the message in this field.

Type: String

Used in components: StandardHeader

OnBehalfOfLocationID

Assigned value used to identify specific message originator's location (i.e. geographic location and/or desk, trader) if the message was delivered by a third party

Type: String

Used in components: StandardHeader

OnBehalfOfSubID

Assigned value used to identify specific message originator (i.e. trader) if the message was delivered by a third party

Type: String

Used in components: StandardHeader

OpenCloseSettlFlag

Flag that identifies a market data entry. (Prior to FIX 4.3 this field was of type char)

Type: MultipleCharValue

Allowed values in OpenCloseSettlFlagCodeSet:

Code | Name | Description
0 | DailyOpen | Daily Open / Close / Settlement entry
1 | SessionOpen | Session Open / Close / Settlement entry
2 | DeliverySettlementEntry | Delivery Settlement entry
3 | ExpectedEntry | Expected entry
4 | EntryFromPreviousBusinessDay | Entry from previous business day
5 | TheoreticalPriceValue | Theoretical Price value

Used in groups: MDFullGrp, MDIncGrp

Used in messages: MarketDataRequest

OpenInterest

Open interest that was eligible for assignment.

Type: Amt

Used in messages: AssignmentReport

OptAttribute

Provided to support versioning of option contracts as a result of corporate actions or events. Use of this field is defined by counterparty agreement or market conventions.

Type: char

Used in components: Instrument

OptionExerciseBusinessCenter

The business center calendar used to adjust the option exercise dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: OptionExerciseBusinessCenterGrp

OptionExerciseBusinessCenterGrp

The OptionExerciseBusinessCenterGrp is a repeating subcomponent of the OptionExerciseDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoOptionExerciseBusinessCenters | [1..1] | NumInGroup |
OptionExerciseBusinessCenter | [0..1] | String | Required if NoOptionExerciseBusinessCenters(41116) > 0.

Used in components: OptionExerciseDates

OptionExerciseBusinessDayConvention

The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: OptionExerciseDates

OptionExercise

The OptionExercise component is a subcomponent of the Instrument component used to specify option exercise provisions. Its purpose is to identify the opportunities and conditions for exercise, e.g. the schedule of dates on which exercise is allowed. The embedded OptionExerciseExpiration component is used to terminate the opportunity for exercise.

Name | Mult. | Type | Description
ExerciseDesc | [0..1] | String |
EncodedExerciseDescLen | [0..1] | Length | Must be set if EncodedExerciseDesc(41108) field is specified and must immediately precede it.
EncodedExerciseDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the ExerciseDesc(41106) field in the encoded format specified via the MessageEncoding(347) field.
AutomaticExerciseIndicator | [0..1] | Boolean |
AutomaticExerciseThresholdRate | [0..1] | float |
ExerciseConfirmationMethod | [0..1] | CodeSet |
ManualNoticeBusinessCenter | [0..1] | String |
FallbackExerciseIndicator | [0..1] | Boolean |
LimitedRightToConfirmIndicator | [0..1] | Boolean |
ExerciseSplitTicketIndicator | [0..1] | Boolean |
SettlMethodElectingPartySide | [0..1] | CodeSet |
SettlMethodElectionDate | [0..1] | Component |
OptionExerciseDates | [0..1] | Component |
OptionExerciseExpiration | [0..1] | Component |
OptionExerciseMakeWholeProvision | [0..1] | Component |

Used in components: Instrument

OptionExerciseDate

The option exercise fixed date, unadjusted or adjusted depending on OptionExerciseDateType(41139).

Type: LocalMktDate

Used in groups: OptionExerciseDateGrp

OptionExerciseDateGrp

The OptionExerciseDateGrp is a repeating subcomponent of the OptionExerciseDates component used to specify fixed dates for exercise.

Name | Mult. | Type | Description
NoOptionExerciseDates | [1..1] | NumInGroup |
OptionExerciseDate | [0..1] | LocalMktDate | Required if NoOptionExerciseDates(41137) > 0.
OptionExerciseDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: OptionExerciseDates

OptionExerciseDates

The OptionExerciseDate component is a subcomponent of the OptionExercise component used to specify option exercise dates.

Name | Mult. | Type | Description
OptionExerciseBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of option exercise dates.
OptionExerciseBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of option exercise dates.
OptionExerciseDateGrp | [0..*] | Group |
OptionExerciseEarliestDateOffsetDayType | [0..1] | CodeSet |
OptionExerciseEarliestDateOffsetPeriod | [0..1] | int | Conditionally required when OptionExerciseEarliestDateUnit(41121) is specified.
OptionExerciseEarliestDateOffsetUnit | [0..1] | CodeSet | Conditionally required when OptionExerciseEarliestDatePeriod(41120) is specified.
OptionExerciseFrequencyPeriod | [0..1] | int | Conditionally required when OptionExerciseFrequencyUnit(41123) is specified.
OptionExerciseFrequencyUnit | [0..1] | CodeSet | Conditionally required when OptionExerciseFrequencyPeriod(41122) is specified.
OptionExerciseStartDateUnadjusted | [0..1] | LocalMktDate |
OptionExerciseStartDateRelativeTo | [0..1] | int |
OptionExerciseStartDateOffsetPeriod | [0..1] | int | Conditionally required when OptionExerciseStartDateOffsetUnit(41127) is specified.
OptionExerciseStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when OptionExerciseStartDateOffsetPeriod(41126) is specified.
OptionExerciseStartDateOffsetDayType | [0..1] | CodeSet |
OptionExerciseStartDateAdjusted | [0..1] | LocalMktDate |
OptionExerciseSkip | [0..1] | int |
OptionExerciseNominationDeadline | [0..1] | LocalMktDate |
OptionExerciseFirstDateUnadjusted | [0..1] | LocalMktDate |
OptionExerciseLastDateUnadjusted | [0..1] | LocalMktDate |
OptionExerciseEarliestTime | [0..1] | LocalMktTime |
OptionExerciseLatestTime | [0..1] | LocalMktTime |
OptionExerciseTimeBusinessCenter | [0..1] | String |

Used in components: OptionExercise

OptionExerciseDateType

Specifies the type of date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: OptionExerciseDateGrp

OptionExerciseEarliestDateOffsetDayType

Specifies the day type of the relative earliest option exercise date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: OptionExerciseDates

OptionExerciseEarliestDateOffsetPeriod

Time unit multiplier for the relative earliest exercise date offset.

Type: int

Used in components: OptionExerciseDates

OptionExerciseEarliestDateOffsetUnit

Time unit associated with the relative earliest exercise date offset.

Type: String

Allowed values in ProvisionOptionExerciseEarliestDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: OptionExerciseDates

OptionExerciseEarliestTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.

Type: LocalMktTime

Used in components: OptionExerciseDates

OptionExerciseExpiration

The OptionExerciseExpiration component is a subcomponent of the OptionExercise component used to specify option exercise expiration dates and times. The purpose of OptionExercise is to identify the scheduled opportunities for exercise. OptionExerciseExpiration identifies the end of the schedule.

Name | Mult. | Type | Description
OptionExerciseExpirationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of option exercise expiration dates.
OptionExerciseExpirationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of option exercise expiration dates.
OptionExerciseExpirationDateGrp | [0..*] | Group |
OptionExerciseExpirationDateRelativeTo | [0..1] | int |
OptionExerciseExpirationDateOffsetPeriod | [0..1] | int | Conditionally required when OptionExerciseExpirationDateOffsetUnit(41145) is specified.
OptionExerciseExpirationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when OptionExerciseExpirationDateOffsetPeriod(41144) is specified.
OptionExerciseExpirationFrequencyPeriod | [0..1] | int | Conditionally required when OptionExerciseExpirationFrequencyUnit(41147) is specified.
OptionExerciseExpirationFrequencyUnit | [0..1] | CodeSet | Conditionally required when OptionExerciseExpirationFrequencyPeriod(41146) is specified.
OptionExerciseExpirationRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the option expiration dates and times.
OptionExerciseExpirationDateOffsetDayType | [0..1] | CodeSet |
OptionExerciseExpirationTime | [0..1] | LocalMktTime |
OptionExerciseExpirationTimeBusinessCenter | [0..1] | String |

Used in components: OptionExercise

OptionExerciseExpirationDate

An adjusted or unadjusted fixed option exercise expiration date.

Type: LocalMktDate

Used in groups: OptionExerciseExpirationDateGrp

OptionExerciseExpirationDateBusinessCenter

The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: OptionExerciseExpirationDateBusinessCenterGrp

OptionExerciseExpirationDateBusinessCenterGrp

The OptionExerciseExpirationDateBusinessCenterGrp is a repeating subcomponent of the OptionExerciseExpiration component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoOptionExerciseExpirationDateBusinessCenters | [1..1] | NumInGroup |
OptionExerciseExpirationDateBusinessCenter | [0..1] | String | Required if NoOptionExerciseExpirationDateBusinessCenters(41140) > 0.

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateBusinessDayConvention

The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateGrp

The OptionExerciseExpirationDateGrp is a repeating subcomponent of the OptionExerciseExpiration component used to specify fixed dates for expiration.

Name | Mult. | Type | Description
NoOptionExerciseExpirationDates | [1..1] | NumInGroup |
OptionExerciseExpirationDate | [0..1] | LocalMktDate | Required if NoOptionExpirationDates(41152) > 0.
OptionExerciseExpirationDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateOffsetDayType

Specifies the day type of the relative option exercise expiration date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateOffsetPeriod

Time unit multiplier for the relative exercise expiration date offset.

Type: int

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateOffsetUnit

Time unit associated with the relative exercise expiration date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateRelativeTo

Specifies the anchor date when the option exercise expiration date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: OptionExerciseExpiration

OptionExerciseExpirationDateType

Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: OptionExerciseExpirationDateGrp

OptionExerciseExpirationFrequencyPeriod

Time unit multiplier for the frequency of exercise expiration dates.

Type: int

Used in components: OptionExerciseExpiration

OptionExerciseExpirationFrequencyUnit

Time unit associated with the frequency of exercise expiration dates.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: OptionExerciseExpiration

OptionExerciseExpirationRollConvention

The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the DateAdjustment component in Instrument.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: OptionExerciseExpiration

OptionExerciseExpirationTime

The option exercise expiration time.

Type: LocalMktTime

Used in components: OptionExerciseExpiration

OptionExerciseExpirationTimeBusinessCenter

The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: OptionExerciseExpiration

OptionExerciseFirstDateUnadjusted

The unadjusted first exercise date.

Type: LocalMktDate

Used in components: OptionExerciseDates

OptionExerciseFrequencyPeriod

Time unit multiplier for the frequency of exercise dates.

Type: int

Used in components: OptionExerciseDates

OptionExerciseFrequencyUnit

Time unit associated with the frequency of exercise dates.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: OptionExerciseDates

OptionExerciseLastDateUnadjusted

The unadjusted last exercise date.

Type: LocalMktDate

Used in components: OptionExerciseDates

OptionExerciseLatestTime

The latest exercise time. See also OptionExerciseEarliestTime(41134).

Type: LocalMktTime

Used in components: OptionExerciseDates

OptionExerciseMakeWholeProvision

OptionExerciseMakeWholeProvision is a subcomponent of the OptionExercise component used to specify the set of rules of maintaining balance when an option is exercised.

Name | Mult. | Type | Description
MakeWholeDate | [0..1] | LocalMktDate |
MakeWholeAmount | [0..1] | Amt |
MakeWholeBenchmarkCurveName | [0..1] | String |
MakeWholeBenchmarkCurvePoint | [0..1] | String |
MakeWholeRecallSpread | [0..1] | PriceOffset |
MakeWholeBenchmarkQuote | [0..1] | CodeSet |
MakeWholeInterpolationMethod | [0..1] | CodeSet |

Used in components: OptionExercise

OptionExerciseNominationDeadline

Last date (adjusted) for establishing the option exercise terms.

Type: LocalMktDate

Used in components: OptionExerciseDates

OptionExerciseSkip

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

Type: int

Used in components: OptionExerciseDates

OptionExerciseStartDateAdjusted

The adjusted start date for calculating periodic exercise dates.

Type: LocalMktDate

Used in components: OptionExerciseDates

OptionExerciseStartDateOffsetDayType

Specifies the day type of the relative option exercise start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: OptionExerciseDates

OptionExerciseStartDateOffsetPeriod

Time unit multiplier for the relative exercise start date offset.

Type: int

Used in components: OptionExerciseDates

OptionExerciseStartDateOffsetUnit

Time unit associated with the relative exercise start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: OptionExerciseDates

OptionExerciseStartDateRelativeTo

Specifies the anchor date when the option exercise start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: OptionExerciseDates

OptionExerciseStartDateUnadjusted

The unadjusted start date for calculating periodic exercise dates.

Type: LocalMktDate

Used in components: OptionExerciseDates

OptionExerciseTimeBusinessCenter

The business center used to determine the locale for option exercise time, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values

Type: String

Used in components: OptionExerciseDates

OptionExpirationDesc

Description of the option expiration.

Type: String

Used in components: Instrument

OptionsExchangeDividendsIndicator

Indicates whether option exchange dividends are applicable.

Type: Boolean

Used in components: DividendConditions

OptPayoutAmount

Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.

Type: Amt

Used in components: Instrument

OptPayoutType

Indicates the type of valuation method or payout trigger for an in-the-money option.

Type: int

Allowed values in OptPayoutTypeCodeSet:

Code | Name | Description
1 | Vanilla | Vanilla
2 | Capped | Capped
3 | Binary | Digital (Binary)
4 | Asian | Asian
5 | Barrier | Barrier
6 | DigitalBarrier | Digital Barrier
7 | Lookback | Lookback
8 | OtherPathDependent | Other path dependent
99 | Other | Other

Used in components: Instrument

OrdAllocGrp

Name
Mult.
Type
Description

NoOrders
[1..1]
NumInGroup
Indicates number of orders to be combined for allocation. If order(s) were manually delivered set to 1 (one).Required when AllocNoOrdersType = 1

ClOrdID
[0..1]
String
Order identifier assigned by client if order(s) were electronically delivered over FIX (or otherwise assigned a ClOrdID) and executed. If order(s) were manually delivered (or otherwise not delivered over FIX) this field should contain string "MANUAL". Note where an order has undergone one or more cancel/replaces, this should be the ClOrdID of the most recent version of the order. Required when NoOrders(73) > 0 and must be the first repeating field in the group.

OrderID
[0..1]
String

SecondaryOrderID
[0..1]
String
Can be used to provide order id used by exchange or executing system.

SecondaryClOrdID
[0..1]
String

ListID
[0..1]
String
Required for List Orders.

NestedParties2
[0..*]
Group
Insert here the set of "NestedParties2" fields defined in "Common Components of Application Messages". This is used to identify the executing broker for step in/give in trades

OrderQty
[0..1]
Qty

OrderAvgPx
[0..1]
Price
Average price for this order. For FX, if specified, expressed in terms of Currency(15).

OrderBookingQty
[0..1]
Qty
Quantity of this order that is being booked out by this message (will be equal to or less than this order's OrderQty). Note that the sum of the OrderBookingQty values in this repeating group must equal the total quantity being allocated (in Quantity (53) field)

OrdType
[0..1]
CodeSet

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ConfirmationRequest

OrderAggregationGrp

Identifies the orders being aggregated together.

Name | Mult. | Type | Description
NoOrders | [1..1] | NumInGroup |
ClOrdID | [0..1] | String | Required if NoOrders(73) > 0.
OrderID | [0..1] | String |
OrderQty | [0..1] | Qty | Required if NoOrders(73) > 0.
OrderAvgPx | [0..1] | Price |

Used in messages: TradeAggregationRequest

OrderAttributeGrp

The OrderAttributeGrp component provides additional attributes about the order. Attributes included in this component are primarily "indicators" that may be associated with regulatory requirements and are typically not part of normal trading activities.

Name | Mult. | Type | Description
NoOrderAttributes | [1..1] | NumInGroup |
OrderAttributeType | [0..1] | CodeSet | Required if NoOrderAttributes(2593) > 0.
OrderAttributeValue | [0..1] | String | Required if NoOrderAttributes(2593) > 0.

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

OrderAttributeType

The type of order attribute.

Type: int

Allowed values in OrderAttributeTypeCodeSet:

Code
Name
Description

0
AggregatedOrder
Aggregated order. In the context of ESMA RTS 24 Article 2(3), when OrderAttributeValue(2595)=Y, it signifies that the order consists of several orders aggregated together. This maps to ESMA RTS value "AGGR".

1
PendingAllocation
Order pending allocation. In the context of ESMA RTS 24 Article 2(2), when OrderAttributeValue(2595)=Y, it signifies that the order submitter "is authorized under the legislation of a Member State to allocate an order to its client following submission of the order to the trading venue and has not yet allocated the order to its client at the time of the submission of the order". This maps to ESMA RTS value "PNAL".

2
LiquidityProvisionActivityOrder
Liquidity provision activity order. In the context of ESMA RTS 24 Article 3, when OrderAttributeValue(2595)=Y, it signifies that the order was submitted "as part of a market making strategy pursuant to Articles 17 and 18 of Directive 2014/65/EU, or is submitted as part of another activity in accordance with Article 3" (of RTS 24).

3
RiskReductionOrder
Risk reduction order. In the context of ESMA RTS 22 Article 4(2)(i), when OrderAttributeValue(2595)=Y, it signifies that the commodity derivative order is a transaction "to reduce risk in an objectively measurable way in accordance with Article 57 of Directive 2014/65/EU".

4
AlgorithmicOrder
Algorithmic order. When OrderAttributeValue(2595)=Y, it signifies the order submitted to the dealer/investment firm resulted from an algorithm.

5
SystematicInternaliserOrder
Authorised reporter order. When OrderAttributeValue(2595)=Y, it signifies the order is submitted by an authorised reporter who is responsible for reporting trades resulting from the order. This may be a systematic internaliser.

6
AllExecutionsSubmittedToAPA
All executions for the order are to be submitted to an APA. All executions from this order that may need to be trade reported by the order submitter under MiFID II rules will be submitted by the order receiver on the submitter's behalf to the Approved Publication Arrangement (APA) facility specified in OrderAttributeValue(2595). ESMA RTS 1.

7
OrderExecutionInstructedByClient
Order execution instructed by client. In the context of ESMA RTS 22, Annex I, Table 2, Field 59, when OrderAttributeValue(2595)=Y, it signifies that the execution (e.g. the details of the trade including the venue of execution) was instructed by a client or by another person from outside the Investment Firm but within the same group (Field 59 'CLIENT' in ESMA 2016-1452 Guidelines).

8
LargeInScale
Large in scale order. In the context of MiFIR Article 4(1)(c) and Article 9(1)(a), when OrderAttributeValue(2595)=Y, it signifies that the order size is large in scale compared to normal market size.

9
Hidden
Hidden order. In the context of MiFIR Article 4(1)(d) and Article 9(1)(a), when OrderAttributeValue(2595)=Y, it signifies that the order is held in an order management facility of the trading venue pending disclosure.

10
SubjectToEUSTO
Subject to EU share trading obligation (STO). This attribute is mutually exclusive with OrderAttributeType(2594)=14 (Exempt from STO), but not mutually exclusive with OrderAttributeType(2594)=11 (Subject to UK STO). In the context of the trading obligation for shares (STO) under ESMA's Article 23 of MiFIR, it signifies that the order is subject to the rules defined by ESMA.

11
SubjectToUKSTO
Subject to UK share trading obligation (STO). This attribute is mutually exclusive with OrderAttributeType(2594)=14 (Exempt from STO), but not mutually exclusive with OrderAttributeType(2594)=10 (Subject to EU STO). In the context of the trading obligation for shares (STO) under ESMA's Article 23 of MiFIR, it signifies that the order is subject to UK rules defined by the FCA.

12
RepresentativeOrder
Representative order. Order was originated to represent an order received by the broker from a customer/client.

13
LinkageType
Linkage type. Order is subject to regulatory linkage requirements related to customer/client orders. Can be used for US CAT order and trade level linkages between customer/client orders and representative orders.

14
ExemptFromSTO
Exempt from share trading obligation (STO). This attribute is mutually exclusive with OrderAttributeType(2594)=10 = (Subject to EU STO) and OrderAttributeType(2594)=11 = (Subject to UK STO). It can be used to override standing instructions for a trading obligation for shares (STO). It overrides the standing instructions in their entirety. In the context of STO under ESMA's Article 23 of MiFIR, it signifies that the order is exempt from any share trading obligation.

Used in groups: OrderAttributeGrp

OrderAttributeValue

The value associated with the order attribute type specified in OrderAttributeType(2594).

Type: String

Used in groups: OrderAttributeGrp

OrderAvgPx

Average price for a specific order

Type: Price

Used in groups: OrdAllocGrp, OrderAggregationGrp

OrderBookingQty

Quantity of the order that is being booked out as part of an Allocation Instruction or Allocation Report message

Type: Qty

Used in groups: OrdAllocGrp

OrderCapacity

Designates the capacity of the firm placing the order.

(as of FIX 4.3, this field replaced Rule80A (tag 47) –used in conjunction with OrderRestrictions (529) field)

(see Volume : "Glossary" for value definitions)

Type: char

Allowed values in OrderCapacityCodeSet:

Code | Name | Description
A | Agency | Agency
G | Proprietary | Proprietary
I | Individual | Individual
P | Principal | Principal. For some markets Principal may include Proprietary.
R | RisklessPrincipal | Riskless Principal
W | AgentForOtherMember | Agent for Other Member
M | MixedCapacity | Mixed capacity

Used in components: TradeReportOrderDetail

Used in groups: CpctyConfGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteRequest, QuoteResponse, QuoteStatusReport

OrderCapacityQty

Quantity executed under a specific OrderCapacity (e.g. quantity executed as agent, quantity executed as principal)

Type: Qty

Used in groups: CpctyConfGrp

OrderCategory

Defines the type of interest behind a trade (fill or partial fill).

Type: char

Allowed values in OrderCategoryCodeSet:

Code | Name | Description
1 | Order | Order
2 | Quote | Quote
3 | PrivatelyNegotiatedTrade | Privately Negotiated Trade
4 | MultilegOrder | Multileg order
5 | LinkedOrder | Linked order
6 | QuoteRequest | Quote Request
7 | ImpliedOrder | Implied Order
8 | CrossOrder | Cross Order
9 | StreamingPrice | Streaming price (quote)
A | InternalCrossOrder | Internal Cross Order

Used in groups: MDFullGrp, MDIncGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport

OrderDelay

Time lapsed from order entry until match, based on the unit of time specified in OrderDelayUnit. Default is seconds if OrderDelayUnit is not specified. Value = 0, indicates the aggressor (the initiating side of the trade).

Type: int

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

OrderDelayUnit

Time unit in which the OrderDelay(1428) is expressed

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

OrderEntryAckGrp

Acknowledgment for a group of order transactions across one or more instruments.

Name | Mult. | Type | Description
NoOrderEntries | [1..1] | NumInGroup |
OrdStatus | [0..1] | CodeSet | Required if NoOrderEntries(2428) > 0.
ExecType | [0..1] | CodeSet | Required if NoOrderEntries(2428) > 0.
ExecTypeReason | [0..1] | CodeSet |
OrderEntryAction | [0..1] | CodeSet |
OrderEntryID | [0..1] | int | Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
ClOrdID | [0..1] | String | Conditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
OrigClOrdID | [0..1] | String | ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order. Conditionally required when ClOrdID(11) is provided and message-chaining model is used.
OrderID | [0..1] | String | Conditionally required when neither OrderEntryID(2430) nor ClOrdID(11) is provided.
OrdRejReason | [0..1] | CodeSet |
CumQty | [0..1] | Qty | Use to explicitly provide executed quantity.
LeavesQty | [0..1] | Qty | Use to explicitly provide remaining quantity.
CxlQty | [0..1] | Qty | Use to explicitly provide cancelled quantity.
OrdType | [0..1] | CodeSet |
Price | [0..1] | Price |
Side | [0..1] | CodeSet |
TimeInForce | [0..1] | CodeSet |
OrderQtyData | [0..1] | Component |
Instrument | [0..1] | Component |

Used in messages: MassOrderAck

OrderEntryAction

Specifies the action to be taken for the given order.

Type: char

Allowed values in OrderEntryActionCodeSet:

Code | Name | Description
1 | Add | Add
2 | Modify | Modify
3 | Delete | Delete / Cancel
4 | Suspend | Suspend
5 | Release | Release

Used in groups: OrderEntryAckGrp, OrderEntryGrp

OrderEntryGrp

Group of order transactions across one or more instruments.

Name | Mult. | Type | Description
NoOrderEntries | [1..1] | NumInGroup |
OrderEntryAction | [0..1] | CodeSet | Required if NoOrderEntries(2428) > 0.
OrderEntryID | [0..1] | int | Unique order entry identification across all entries of a single message. Conditionally required when neither ClOrdID(11) nor OrderID(37) is provided.
ClOrdID | [0..1] | String | Conditionally required when neither OrderEntryID(2430) nor OrderID(37) is provided.
OrigClOrdID | [0..1] | String | Conditionally required when OrderEntryAction(2429) is not "1" (Add), ClOrdID(11) was provided in original order, and message-chaining model is used.
OrderID | [0..1] | String | Conditionally required when OrderEntryAction(2429) is not "1" (Add) and neither OrderEntryID(2430) nor ClOrdID(11) is provided.
OrdType | [0..1] | CodeSet | Conditionally required when OrderEntryAction (2429) = 1 (Add) or 2 (Modify). Only a subset of OrdType(40) values permitted that do not require additional pricing fields other than Price(44) field.
Price | [0..1] | Price | Conditionally required when OrdType(40) = 2 (Limit)
Side | [0..1] | CodeSet | Conditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
TimeInForce | [0..1] | CodeSet | Only subset of values permitted that do not require additional fields
OrderQtyData | [0..1] | Component | Conditionally required when OrderEntryAction(2429) = 1 (Add) or 2 (Modify)
Instrument | [0..1] | Component | Required if NoOrderEntries(2432) > 0.

Used in messages: MassOrder

OrderEntryID

Unique identifier for an order within a single MassOrder(35=DJ) message that can be used as a reference in the MassOrderAck(35=DK) message.

Type: int

Used in groups: OrderEntryAckGrp, OrderEntryGrp

OrderEventExecID

Refer to ExecID(17). Used when multiple different events are reported in single Execution Report. ExecID(17) and OrderEventExecID(1797) values should not overlap.

Type: String

Used in groups: OrderEventGrp

OrderEventGrp

List the different types of events affecting orders. These can include entry, modification and deletion of orders as well as executions (fills). Modifications can be solicited or unsolicited, e.g. triggering of stop orders, replenishment of reserve orders, orders being suspended (locked) or released from suspension.

Name | Mult. | Type | Description
NoOrderEvents | [1..1] | NumInGroup |
OrderEventType | [0..1] | CodeSet | Required when NoOrderEvents(1795) > 0.
OrderEventExecID | [0..1] | String |
OrderEventReason | [0..1] | CodeSet |
OrderEventPx | [0..1] | Price |
OrderEventQty | [0..1] | Qty |
OrderEventLiquidityIndicator | [0..1] | CodeSet |
OrderEventText | [0..1] | String |

Used in messages: ExecutionReport

OrderEventLiquidityIndicator

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrderEventType(1796) values of 4(Partially Filled) or 5(Filled).

Type: int

Allowed values in LastLiquidityIndCodeSet:

Code
Name
Description

0
NeitherAddedNorRemovedLiquidity
Neither added nor removed liquidity. May be used by venues where market rules do not define "add" or "remove" liquidity. In the context of the SEC amendment of Regulation NMS Rule 606(b), may be used to identify executions that are only reported as part of total shares executed and not as part of shares providing or removing liquidity (see https://www.sec.gov/rules/final/2018/34-84528.pdf for details).

1
AddedLiquidity
Added Liquidity

2
RemovedLiquidity
Removed Liquidity

3
LiquidityRoutedOut
Liquidity Routed Out

4
Auction
Auction execution

5
TriggeredStopOrder
Triggered stop order. Fill was the result of a stop order being triggered and immediately executed.

6
TriggeredContingencyOrder
Triggered contingency order. Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed.

7
TriggeredMarketOrder
Triggered market order. Fill was the result of a market order being triggered due to an executable orderbook situation.

8
RemovedLiquidityAfterFirmOrderCommitment
Removed liquidity after firm order commitment. An order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

9
AuctionExecutionAfterFirmOrderCommitment
Auction execution after firm order commitment. An order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

10
Unknown
Unknown. The liquidity indicator of the execution cannot be determined or was not provided upon execution.

11
Other
Other. None of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values).

Used in groups: OrderEventGrp

OrderEventPx

Price associated with the event.

Type: Price

Used in groups: OrderEventGrp

OrderEventQty

Quantity associated with the event.

Type: Qty

Used in groups: OrderEventGrp

OrderEventReason

Action that caused the event to occur.

Type: int

Allowed values in OrderEventReasonCodeSet:

Code | Name | Description
1 | AddOrderRequest | Add order request
2 | ModifyOrderRequest | Modify order request
3 | DeleteOrderRequest | Delete order request
4 | OrderEnteredOOB | Order entered out-of-band
5 | OrderModifiedOOB | Order modified out-of-band
6 | OrderDeletedOOB | Order deleted out-of-band
7 | OrderActivatedOrTriggered | Order activated or triggered
8 | OrderExpired | Order expired
9 | ReserveOrderRefreshed | Reserve order refreshed
10 | AwayMarketBetter | Away market better
11 | CorporateAction | Corporate action
12 | StartOfDay | Start of day
13 | EndOfDay | End of day

Used in groups: OrderEventGrp

OrderEventText

Additional information about the event.

Type: String

Used in groups: OrderEventGrp

OrderEventType

The type of event affecting an order. The last event type within the OrderEventGrp component indicates the ExecType(150) value resulting from the series of events (ExecType(150) values are shown in brackets).

Type: int

Allowed values in OrderEventTypeCodeSet:

Code | Name | Description
1 | Added | Added (0=New)
2 | Modified | Modified (5=Replaced)
3 | Deleted | Deleted (4=Canceled)
4 | PartiallyFilled | Partially Filled (F=Trade)
5 | Filled | Filled (F=Trade)
6 | Suspended | Suspended (9=Suspended)
7 | Released | Released (N=Released)
8 | Restated | Restated (D=Restated)
9 | Locked | Locked (M=Locked)
10 | Triggered | Triggered (L=Triggered or Activated by System)
11 | Activated | Activated (L=Triggered or Activated by System)

Used in groups: OrderEventGrp

OrderHandlingInstSource

Identifies the class or source of the order handling instruction values.  Scope of this will apply to both CustOrderHandlingInst(1031) and DeskOrderHandlingInst(1035).

Conditionally required when CustOrderHandlingInst(1031) or DeskOrderHandlingInst(1035) is specified.

Type: int

Allowed values in OrderHandlingInstSourceCodeSet:

Code | Name | Description
1 | FINRAOATS | FINRA OATS
2 | FIAExecutionSourceCode | FIA Execution Source Code

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstructionAlert, AllocationReport, AllocationReportAck, ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

OrderID

Unique identifier for Order as assigned by sell-side (broker, exchange, ECN). Uniqueness must be guaranteed within a single trading day. Firms which accept multi-day orders should consider embedding a date within the OrderID field to assure uniqueness across days.

Type: String

Used in components: TradeReportOrderDetail

Used in groups: MDFullGrp, MDIncGrp, OrdAllocGrp, OrdListStatGrp, OrderAggregationGrp, OrderEntryAckGrp, OrderEntryGrp

Used in messages: CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, DontKnowTrade, Email, ExecutionAck, ExecutionReport, MultilegOrderCancelReplace, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassCancelReport, OrderStatusRequest, TradeCaptureReportRequest

OrderInputDevice

Specific device number, terminal number or station where order was entered

Type: String

Used in components: TradeReportOrderDetail

OrderOrigination

Identifies the origin of the order.

Type: int

Allowed values in OrderOriginationCodeSet:

Code
Name
Description

1
OrderReceivedFromCustomer
Order received from a customer

2
OrderReceivedFromWithinFirm
Order received from within the firm

3
OrderReceivedFromAnotherBrokerDealer
Order received from another broker-dealer

4
OrderReceivedFromCustomerOrWithFirm
Order received from a customer or originated from within the firm

5
OrderReceivedFromDirectAccessCustomer
Order received from a direct access or sponsored access customer

6
OrderReceivedFromForeignDealerEquivalent
Order received from a foreign dealer equivalent. A foreign dealer equivalent is a person in the business of trading securities in a foreign jurisdiction in a manner analogous to an investment dealer and that is subject to the regulatory jurisdiction of a signatory to the International Organization of Securities Commissions’ (IOSCO) Multilateral Memorandum of Understanding in that foreign jurisdiction.

7
OrderReceivedFromExecutionOnlyService
Order received from an execution-only service. The acceptance and execution of orders from customers for trades that the broker-dealer has not recommended and for which the broker-dealer takes no responsibility as to the appropriateness or suitability of orders accepted or account positions held.

Used in components: TradeReportOrderDetail

Used in groups: SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

OrderOriginationFirmID

Identifier for the original owner of an order as part of the RelatedOrderGrp component. Use the Parties component with PartyRole(452) = 13 (Order Origination Firm) to identify the original owner of an individual order.

Type: String

Used in groups: RelatedOrderGrp

OrderOwnershipIndicator

Change of ownership of an order to a specific party.

Type: int

Allowed values in OrderOwnershipIndicatorCodeSet:

Code | Name | Description
0 | NoChange | No change of ownership (default)
1 | ExecutingPartyChange | Change of ownership to executing party. Executing party can be given either implicitly via session attributes or explicitly via Parties component. The party taking over ownership must also be the one submitting the request.
2 | EnteringPartyChange | Change of ownership to entering party. Entering party can be given either implicitly via session attributes or explicitly via Parties component. The party taking over ownership must also be the one submitting the request.
3 | SpecifiedPartyChange | Change of ownership to specified party. Ownership is transferred by a third party from/to the parties specified via Parties component together with PartyRoleQualifier(2376) = Current(18) and New(19).

Used in messages: ExecutionReport, MultilegOrderCancelReplace, OrderCancelReplaceRequest

OrderPercent

For CIV specifies the approximate order quantity desired. For a CIV Sale it specifies percentage of investor's total holding to be sold. For a CIV switch/exchange it specifies percentage of investor's cash realised from sales to be re-invested. The executing broker, intermediary or fund manager is responsible for converting and calculating OrderQty (38) in shares/units for subsequent messages.

Type: Percentage

Used in components: OrderQtyData

OrderPercentOfTotalVolume

For Percent-of-volume (POV) average pricing this is the target percentage this order quantity represents of the total trading volume of an instrument during the specified time period. This provides the data needed to ensure that the average price is fair based on the total sum of grouped POV trades.

Type: Percentage

Used in components: TradeReportOrderDetail

OrderQty

Quantity ordered. This represents the number of shares for equities or par, face or nominal value for FI instruments.

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in components: OrderQtyData

Used in groups: OrdAllocGrp, OrderAggregationGrp

Used in messages: CrossRequest, CrossRequestAck

OrderQty2

OrderQty (38) of the future part of a F/X swap order.

Type: Qty

Used in groups: ListOrdGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport

OrderQtyData

The OrderQtyData component block contains the fields commonly used for indicating the amount or quantity of an order. Note that when this component block is marked as "required" in a message either one of these three fields must be used to identify the amount: OrderQty, CashOrderQty or OrderPercent (in the case of CIV).

Name
Mult.
Type
Description

OrderQty
[0..1]
Qty
One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified.

CashOrderQty
[0..1]
Qty
One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in tradeable units (e.g. shares) for subsequent messages.

OrderPercent
[0..1]
Percentage
For CIV - Optional. One of CashOrderQty, OrderQty or (for CIV only) OrderPercent is required. Note that unless otherwise specified, only one of CashOrderQty, OrderQty, or OrderPercent should be specified.

RoundingDirection
[0..1]
CodeSet
For CIV - Optional

RoundingModulus
[0..1]
float
For CIV - Optional

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp, OrderEntryAckGrp, OrderEntryGrp, QuotReqGrp, QuotReqRjctGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: DontKnowTrade, ExecutionAck, ExecutionReport, IOI, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, Quote, QuoteResponse, QuoteStatusReport

OrderRelationship

Describes the type of relationship between the order identified by RelatedOrderID(2887) and the order outside of the RelatedOrderGrp component.

Type: int

Allowed values in OrderRelationshipCodeSet:

Code | Name | Description
0 | NotSpecified | Not specified
1 | OrderAggregation | Order aggregation. Order has been subject to a bundling of multiple orders to a single new order identified outside of the component.
2 | OrderSplit | Order split. Order has been created as a child order of the order identified outside of the component.

Used in groups: RelatedOrderGrp

OrderRequestID

Unique message identifier for an order request as assigned by the submitter of the request.

Type: int

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, SecurityDefinition

OrderResponseLevel

The level of response requested from receiver of mass order messages. A default value should be bilaterally agreed.

Type: int

Allowed values in OrderResponseLevelCodeSet:

Code | Name | Description
0 | NoAck | No acknowledgement. Responses are provided through one or more ExecutionReport(35=8) messages.
1 | MinimumAck | Minimum acknowledgement. The minimum is any information to explain why the requested transaction was refused or led to additional events, e.g. immediate execution of an order that was entered or modified.
2 | AckEach | Acknowledge each order. The number of entries in the response is identical to the number of entries in the request.
3 | SummaryAck | Summary acknowledgement. Responses are provided through a single MassOrderAck(35=DK) without entries and one or more ExecutionReport(35=8) messages.

Used in messages: MassOrder, MassOrderAck

OrderRestrictions

Restrictions associated with an order. If more than one restriction is applicable to an order, this field can contain multiple instructions separated by space.

Type: MultipleCharValue

Allowed values in OrderRestrictionsCodeSet:

Code | Name | Description
1 | ProgramTrade | Program Trade
2 | IndexArbitrage | Index Arbitrage
3 | NonIndexArbitrage | Non-Index Arbitrage
4 | CompetingMarketMaker | Competing Market Maker
5 | ActingAsMarketMakerOrSpecialistInSecurity | Acting as Market Maker or Specialist in the security
6 | ActingAsMarketMakerOrSpecialistInUnderlying | Acting as Market Maker or Specialist in the underlying security of a derivative security
7 | ForeignEntity | Foreign Entity (of foreign government or regulatory jurisdiction)
8 | ExternalMarketParticipant | External Market Participant
9 | ExternalInterConnectedMarketLinkage | External Inter-connected Market Linkage
A | RisklessArbitrage | Riskless Arbitrage
B | IssuerHolding | Issuer Holding
C | IssuePriceStabilization | Issue Price Stabilization
D | NonAlgorithmic | Non-algorithmic
E | Algorithmic | Algorithmic
F | Cross | Cross
G | InsiderAccount | Insider Account
H | SignificantShareholder | Significant Shareholder
I | NormalCourseIssuerBid | Normal Course Issuer Bid (NCIB)

Used in components: TradeReportOrderDetail

Used in groups: CpctyConfGrp, ListOrdGrp, QuotEntryAckGrp, QuotEntryGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteRequest, QuoteResponse, QuoteStatusReport

OrdListStatGrp

Name | Mult. | Type | Description
NoOrders | [1..1] | NumInGroup | Number of orders statused in this message, i.e. number of repeating groups to follow.
ClOrdID | [0..1] | String | Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID.
OrderID | [0..1] | String |
SecondaryClOrdID | [0..1] | String |
CumQty | [1..1] | Qty |
OrdStatus | [1..1] | CodeSet |
WorkingIndicator | [0..1] | CodeSet | For optional use with OrdStatus = 0 (New)
LeavesQty | [1..1] | Qty | Quantity open for further execution. LeavesQty = OrderQty - CumQty.
CxlQty | [1..1] | Qty |
AvgPx | [1..1] | Price |
OrdRejReason | [0..1] | CodeSet | Used if the order is rejected
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: ListStatus

OrdRejReason

Code to identify reason for order rejection. Note: Values 3, 4, and 5 will be used when rejecting an order due to pre-allocation information errors.

Type: int

Allowed values in OrdRejReasonCodeSet:

Code | Name | Description
0 | BrokerCredit | Broker / Exchange option
1 | UnknownSymbol | Unknown symbol. In the context of IA FX Reject codes, Trade Request Rejection Category F, order rejected due to the product not being supported, e.g. by the specific venue, tenor restrictions on the market participant(s) involved.
2 | ExchangeClosed | Exchange closed
3 | OrderExceedsLimit | Order exceeds limit
4 | TooLateToEnter | Too late to enter
5 | UnknownOrder | Unknown order
6 | DuplicateOrder | Duplicate Order (e.g. dupe ClOrdID)
7 | DuplicateOfAVerballyCommunicatedOrder | Duplicate of a verbally communicated order
8 | StaleOrder | Stale order
9 | TradeAlongRequired | Trade along required
10 | InvalidInvestorID | Invalid Investor ID
11 | UnsupportedOrderCharacteristic | Unsupported order characteristic
12 | SurveillanceOption | Surveillance option
13 | IncorrectQuantity | Incorrect quantity
14 | IncorrectAllocatedQuantity | Incorrect allocated quantity
15 | UnknownAccount | Unknown account(s). In the context of IA FX Reject codes, Trade Request Rejection Category D, order rejected due to static data when the account/fund is not setup or unknown.
16 | PriceExceedsCurrentPriceBand | Price exceeds current price band
18 | InvalidPriceIncrement | Invalid price increment
19 | ReferencePriceNotAvailable | Reference price not available
20 | NotionalValueExceedsThreshold | Notional value exceeds threshold
21 | AlgorithmRiskThresholdBreached | Algorithm risk threshold breached. A sell-side broker algorithm has detected that a risk limit has been breached which requires further communication with the client. Used in conjunction with Text(58) to convey the details of the specific event.
22 | ShortSellNotPermitted | Short sell not permitted
23 | ShortSellSecurityPreBorrowRestriction | Short sell rejected due to security pre-borrow restriction
24 | ShortSellAccountPreBorrowRestriction | Short sell rejected due to account pre-borrow restriction
25 | InsufficientCreditLimit | Insufficient credit limit. In the context of IA FX Reject codes, Trade Request Rejection Category C, order rejected due to credit limit exceeded or not in place.
26 | ExceededClipSizeLimit | Exceeded clip size limit
27 | ExceededMaxNotionalOrderAmt | Exceeded maximum notional order amount
28 | ExceededDV01PV01Limit | Exceeded DV01/PV01 limit
29 | ExceededCS01Limit | Exceeded CS01 limit
30 | LastLook | Last look. In the context of IA FX Reject codes, Trade Request Rejection Category A-1, order rejected due to a "last look".
31 | LastLookLatency | Last look latency. In the context of IA FX Reject codes, Trade Request Rejection Category A-2, order rejected due to "last look latency", therefore price or liquidity is unavailable.
32 | UnavailablePriceLiquidity | Unavailable price or liquidity. In the context of IA FX Reject codes, Trade Request Rejection Category B, the order was not subjected to last look but rejected due to pricing or liquidity being no longer available for execution.
33 | InvalidMissingEntitlements | Invalid or missing entitlements. In the context of IA FX Reject codes, Trade Request Rejection Category D, order rejected due to static/reference data error where counterparty is not permissioned or entitled.
99 | Other | Other. In the context of IA FX Reject codes, Trade Request Rejection Category E, order rejected due to other exceptions. Further detail may be provided in RejectText(1328) or Text(58), with preference for RejectText(1328) if field is present in the message.

Used in groups: OrdListStatGrp, OrderEntryAckGrp

Used in messages: ExecutionReport

OrdStatus

Identifies current status of order. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)

Type: char

Allowed values in OrdStatusCodeSet:

Code | Name | Description
0 | New | New
1 | PartiallyFilled | Partially filled
2 | Filled | Filled
3 | DoneForDay | Done for day
4 | Canceled | Canceled
5 | Replaced | Replaced (No longer used)
6 | PendingCancel | Pending Cancel (i.e. result of Order Cancel Request)
7 | Stopped | Stopped
8 | Rejected | Rejected
9 | Suspended | Suspended
A | PendingNew | Pending New
B | Calculated | Calculated
C | Expired | Expired
D | AcceptedForBidding | Accepted for Bidding
E | PendingReplace | Pending Replace (i.e. result of Order Cancel/Replace Request)

Used in components: TradeReportOrderDetail

Used in groups: OrdListStatGrp, OrderEntryAckGrp

Used in messages: ExecutionReport, OrderCancelReject

OrdStatusReqID

Can be used to uniquely identify a specific Order Status Request message.

Type: String

Used in messages: ExecutionReport, OrderStatusRequest

OrdType

Order type. *** SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" *** (see Volume : "Glossary" for value definitions)

Type: char

Allowed values in OrdTypeCodeSet:

Code
Name
Description

1
Market
Market

2
Limit
Limit

3
Stop
Stop/Stop Loss. A stop order that is triggered as a result of a trade in the market at which point the stopped order becomes a market order.

4
StopLimit
Stop Limit. A stop limit order that is triggered as a result of a trade in the market at which point the stopped order becomes a limit order.

5
MarketOnClose
Market On Close (No longer used)

6
WithOrWithout
With Or Without

7
LimitOrBetter
Limit Or Better

8
LimitWithOrWithout
Limit With Or Without

9
OnBasis
On Basis

A
OnClose
On Close (No longer used)

B
LimitOnClose
Limit On Close (No longer used)

C
ForexMarket
Forex Market (No longer used)

D
PreviouslyQuoted
Previously Quoted

E
PreviouslyIndicated
Previously Indicated

F
ForexLimit
Forex Limit (No longer used)

G
ForexSwap
Forex Swap

H
ForexPreviouslyQuoted
Forex Previously Quoted (No longer used)

I
Funari
Funari (Limit day order with unexecuted portion handles as Market On Close. E.g. Japan)

J
MarketIfTouched
Market If Touched (MIT)

K
MarketWithLeftOverAsLimit
Market With Left Over as Limit (market order with unexecuted quantity becoming limit order at last price)

L
PreviousFundValuationPoint
Previous Fund Valuation Point (Historic pricing; for CIV)

M
NextFundValuationPoint
Next Fund Valuation Point (Forward pricing; for CIV)

P
Pegged
Pegged

Q
CounterOrderSelection
Counter-order selection

R
StopOnBidOrOffer
Stop on Bid or Offer. A stop order that is triggered by a bid or offer price movement (quote) at which point the stopped order becomes a market order, also known as "stop on quote" in some markets (e.g. US markets). In the US equities market it is common to trigger a stop off the National Best Bid or Offer (NBBO).

S
StopLimitOnBidOrOffer
Stop Limit on Bid or Offer. A stop order that is triggered by a bid or offer price movement (quote) at which point the stopped order becomes a limit order, also known as "stop limit on quote" in some markets (e.g. US markets). In the US equities market it is common to trigger a stop off the National Best Bid or Offer (NBBO).

Used in components: MDStatisticParameters, TradeReportOrderDetail

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, OrdAllocGrp, OrdTypeRules, OrderEntryAckGrp, OrderEntryGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport

OrdTypeRules

Name | Mult. | Type | Description
NoOrdTypeRules | [1..1] | NumInGroup | Number of order types
OrdType | [0..1] | CodeSet | Indicates order types that are valid for the specified market segment.

Used in components: TradingSessionRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

OrigClOrdID

ClOrdID (11) of the previous order (NOT the initial order of the day) as assigned by the institution, used to identify the previous order in cancel and cancel/replace requests.

Type: String

Used in groups: OrderEntryAckGrp, OrderEntryGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest

OrigCrossID

CrossID of the previous cross order (NOT the initial cross order of the day) as assigned by the institution, used to identify the previous cross order in Cross Cancel and Cross Cancel/Replace Requests.

Type: String

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, ExecutionReport

OrigCustOrderCapacity

The customer capacity for this trade at the time of the order/execution.

Primarily used by futures exchanges to indicate the CTICode (customer type indicator) as required by the US CFTC (Commodity Futures Trading Commission).

Type: int

Allowed values in OrigCustOrderCapacityCodeSet:

Code | Name | Description
1 | MemberTradingForTheirOwnAccount | Member trading for their own account
2 | ClearingFirmTradingForItsProprietaryAccount | Clearing Firm trading for its proprietary account
3 | MemberTradingForAnotherMember | Member trading for another member
4 | AllOther | All other

Used in components: TradeReportOrderDetail

OriginalNotionalPercentageOutstanding

Used to reflect the Original value prior to the application of a credit event. See NotionalPercentageOutstanding(1451).

Type: Percentage

Used in components: Instrument

OriginatingDeptID

An identifier representing the department or desk within the firm that originated the order.

Type: String

Used in groups: SideCrossOrdModGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

OrigOrdModTime

The most recent (or current) modification TransactTime (tag 60) reported on an Execution Report for the order. The OrigOrdModTime is provided as an optional field on Order Cancel Request and Order Cancel Replace Requests to identify that the state of the order has not changed since the request was issued. The use of this approach is not recommended.

Type: UTCTimestamp

Used in components: TradeReportOrderDetail

Used in groups: SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: MultilegOrderCancelReplace, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest

OrigPosReqRefID

Reference to the PosReqID (710) of a previous maintenance request that is being replaced or canceled.

Type: String

Used in messages: PositionMaintenanceReport, PositionMaintenanceRequest

OrigSecondaryTradeID

Used to preserve original secondary trade id when original trade is being referenced in a subsequent trade transaction such as a transfer

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

OrigSendingTime

Original time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT") when transmitting orders as the result of a resend request.

Type: UTCTimestamp

Used in components: StandardHeader

OrigStrikePrice

Original exercise price, e.g. after corporate action requiring changes.

Type: Price

Used in components: Instrument

OrigTime

Time of message origination (always expressed in UTC (Universal Time Coordinated, also known as "GMT"))

Type: UTCTimestamp

Used in messages: Email, News

OrigTradeDate

Used to preserve original trade date when original trade is being referenced in a subsequent trade transaction such as a transfer

Type: LocalMktDate

Used in messages: TradeCaptureReport, TradeCaptureReportAck

OrigTradeHandlingInstr

Optionally used with TradeHandlingInstr = 0 to relay the trade handling instruction used when reporting the trade to the marketplace. Same values as TradeHandlingInstr (1123)

Type: char

Allowed values in TradeHandlingInstrCodeSet:

Code | Name | Description
0 | TradeConfirmation | Trade confirmation
1 | TwoPartyReport | Two-party report
2 | OnePartyReportForMatching | One-party report for matching
3 | OnePartyReportForPassThrough | One-party report for pass through. Can be used when one of the parties to the trade submits a report which then has to be approved or confirmed by the other (counter)party.
4 | AutomatedFloorOrderRouting | Automated floor order routing
5 | TwoPartyReportForClaim | Two-party report for claim
6 | OnePartyReport | One-party report
7 | ThirdPtyRptForPassThrough | Third-party report for pass through. Can be used when RootParties component contains a service provider role who submits the trade report and is not necessarily also on one side of the trade.
8 | OnePartyReportAutoMatch | One-party report for auto-match. Indicates that the submission is a transfer trade to a firm or account that is part of the same corporate entity and that once validated the transfer should be automatically accepted without confirmation.

Used in messages: TradeCaptureReport, TradeCaptureReportAck

OrigTradeID

Used to preserve original trade id when original trade is being referenced in a subsequent trade transaction such as a transfer

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

OutMainCntryUIndex

Value of stocks in Currency

Type: Amt

Used in messages: BidRequest

OutsideIndexPct

Used in EFP trades. Represented as a percentage.

Type: Percentage

Used in groups: BidDescReqGrp

OvernightInterestRate

Overnight interest rate.

Type: float

Used in groups: ClearingPriceParametersGrp

OwnershipType

The relationship between Registration parties.

Type: char

Allowed values in OwnershipTypeCodeSet:

Code | Name | Description
J | JointInvestors | Joint Investors
T | TenantsInCommon | Tenants in Common
2 | JointTrustees | Joint Trustees

Used in messages: RegistrationInstructions

OwnerType

Identifies the type of owner.

Type: int

Allowed values in OwnerTypeCodeSet:

Code | Name | Description
1 | IndividualInvestor | Individual investor
2 | PublicCompany | Public company
3 | PrivateCompany | Private company
4 | IndividualTrustee | Individual trustee
5 | CompanyTrustee | Company trustee
6 | PensionPlan | Pension plan
7 | CustodianUnderGiftsToMinorsAct | Custodian under Gifts to Minors Act
8 | Trusts | Trusts
9 | Fiduciaries | Fiduciaries
10 | NetworkingSubAccount | Networking sub-account
11 | NonProfitOrganization | Non-profit organization
12 | CorporateBody | Corporate body
13 | Nominee | Nominee
14 | InstitutionalCustomer | Institutional customer
15 | Combined | Combined. Representing more than one type of beneficial owner account.
16 | MemberFirmEmployee | Member firm employee or associated person
17 | MarketMakingAccount | Market making account
18 | ProprietaryAccount | Proprietary account
19 | NonbrokerDealer | Non-broker-dealer
20 | UnknownBeneficialOwnerType | Unknown beneficial owner type. In the context of US CAT this is a non-broker-dealer foreign affiliate or non-reporting foreign broker-dealer.
21 | FirmsErrorAccount | Error account of firm
22 | FirmAgencyAveragePriceAccount | Firm agency average price account

Used in groups: RgstDtlsGrp, TrdCapRptSideGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderSingle, OrderCancelReplaceRequest, Quote

PackageID

Identifier assigned to a collection of trades so that they can be analyzed as one atomic unit for risk assessment and clearing.

Type: String

Used in messages: TradeCaptureReport

ParentAllocID

Contains the IndividualAllocId (tag 467) value of the allocation that is being offset as a result of a new allocation. This would be an optional field that would only be populated in the case of an allocation of an allocation (as well as any subsequent allocations). This wouldn’t be populated for an initial allocation since an allocation id is not supplied on default (initial) allocations.

Type: String

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

ParentMktSegmID

Reference to a parent Market Segment. See MarketSegmentID(1300)

Type: String

Used in messages: MarketDefinition, MarketDefinitionRequest, MarketDefinitionUpdateReport

ParticipationRate

For a TargetStrategy=Participate order specifies the target particpation rate. For other order types this is a volume limit (i.e. do not be more than this percent of the market volume)

Type: Percentage

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

Parties

The Parties component block is used to identify and convey information on the entities both central and peripheral to the financial transaction represented by the FIX message containing the Parties Block. The Parties block allows many different types of entites to be expressed through use of the PartyRole field and identifies the source of the PartyID through the the PartyIDSource.

Name | Mult. | Type | Description
NoPartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of PartyID, PartyIDSource, and PartyRole
PartyID | [0..1] | String | Required if NoPartyIDs(453) > 0. Identification of the party.
PartyIDSource | [0..1] | CodeSet | Required if NoPartyIDs(453) > 0. Used to identify classification source.
PartyRole | [0..1] | CodeSet | Required if NoPartyIDs(453) > 0. Identifies the type of PartyID(448).
PartyRoleQualifier | [0..1] | CodeSet |
PtysSubGrp | [0..*] | Group | Repeating group of Party sub-identifiers.

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp, SettlInstGrp, SettlObligationInstructions, SideCrossOrdCxlGrp, SideCrossOrdModGrp, StrmAsgnReqGrp, StrmAsgnRptGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AccountSummaryReport, AdjustedPositionReport, AlgoCertificateReport, AlgoCertificateRequest, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationReport, AllocationReportAck, ApplicationMessageRequest, ApplicationMessageRequestAck, AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ContraryIntentionReport, ExecutionReport, IOI, ListCancelRequest, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataRequest, MarketDataRequestReject, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PartyActionReport, PartyActionRequest, PartyDetailsListRequest, PartyEntitlementsRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsRequest, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteAck, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RFQRequest, RegistrationInstructions, RegistrationInstructionsResponse, RequestForPositions, RequestForPositionsAck, SettlementInstructionRequest, SettlementStatusReport, SettlementStatusRequest, TestActionRequest, TestSuiteDefinitionRequest, TradeAggregationRequest, TradeCaptureReportRequest

PartyActionRejectReason

Specifies the reason the PartyActionRequest(35=DH) was rejected.

Type: int

Allowed values in PartyActionRejectReasonCodeSet:

Code | Name | Description
0 | InvalidParty | Invalid party or parties
1 | UnkReqParty | Unknown requesting party
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in messages: PartyActionReport

PartyActionReportID

The unique identifier of the PartyActionReport(35=DI) message as assigned by the message sender.

Type: String

Used in messages: PartyActionReport

PartyActionRequestID

The unique identifier of the PartyActionRequest(35=DH) message.

Type: String

Used in messages: PartyActionReport, PartyActionRequest

PartyActionResponse

Specifies the action taken as a result of the PartyActionType(2239) of the PartyActionRequest(35=DH) message.

Type: int

Allowed values in PartyActionResponseCodeSet:

Code | Name | Description
0 | Accepted | Accepted. The action request is accepted for processing.
1 | Completed | Completed. The processing of the requested action has been successfully completed.
2 | Rejected | Rejected. The action request was rejected. PartyActionRejectReason(2233) should be used to specify the rejection reason

Used in messages: PartyActionReport

PartyActionType

Specifies the type of action to take or was taken for a given party.

Type: int

Allowed values in PartyActionTypeCodeSet:

Code | Name | Description
0 | Suspend | Suspend
1 | HaltTrading | Halt trading
2 | Reinstate | Reinstate

Used in messages: PartyActionReport, PartyActionRequest

PartyDetailAckGrp

The PartyDetailAckGrp component is used in the PartyDetailsDefinitionRequestAck(35=CY) message to provide the status of each action (add, modify or delete) requested by the PartyDetailsDefinitionRequest(35=CX) message. The PartyDetailStatus(1880) field is used to indicate the status. In the case where an add or modify request is accepted with changes, the PartyDetailGrp component is required, with the complete set of party details that have been accepted for the party included.

Name | Mult. | Type | Description
NoPartyUpdates | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | Required if NoPartyUpdates(1676) > 0.
PartyDetailDefinitionStatus | [0..1] | CodeSet | Required if NoPartyUpdates(1676) > 0.
PartyDetailDefinitionResult | [0..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
PartyDetailGrp | [0..*] | Group |

Used in messages: PartyDetailsDefinitionRequestAck

PartyDetailAltID

An alternate party identifier for the party specified in PartyDetailID(1691)

Type: String

Used in groups: PartyDetailAltIDGrp

PartyDetailAltIDGrp

Alternative identifiers for a party.

Name | Mult. | Type | Description
NoPartyDetailAltID | [1..1] | NumInGroup |
PartyDetailAltID | [0..1] | String | Required when NoPartyDetailAltID > 0.
PartyDetailAltIDSource | [0..1] | CodeSet | Required when NoPartyDetailAltID > 0.
PartyDetailAltSubGrp | [0..*] | Group |

Used in groups: PartyDetailGrp

PartyDetailAltIDSource

Identifies the source of the PartyDetailAltID(1517) value.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: PartyDetailAltIDGrp

PartyDetailAltSubGrp

Alternate sub-identifiers for a party.

Name | Mult. | Type | Description
NoPartyDetailAltSubIDs | [1..1] | NumInGroup |
PartyDetailAltSubID | [0..1] | String | Required when NoPartyDetailAltSubIDs > 0.
PartyDetailAltSubIDType | [0..1] | CodeSet | Required when NoPartyDetailAltSubIDs > 0.

Used in groups: PartyDetailAltIDGrp

PartyDetailAltSubID

Sub-identifier for the party specified in PartyDetailAltID(1517).

Type: String

Used in groups: PartyDetailAltSubGrp

PartyDetailAltSubIDType

Type of PartyDetailAltSubID(1520) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: PartyDetailAltSubGrp

PartyDetailDefinitionResult

Result of party detail definition for one party.

Type: int

Allowed values in PartyDetailRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party(-ies)
2 | InvalidRelatedParty | Invalid related party(-ies)
3 | InvalidPartyStatus | Invalid party status(es)
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in groups: PartyDetailAckGrp

PartyDetailDefinitionStatus

Status of party detail definition for one party.

Type: int

Allowed values in PartyDetailDefinitionStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithChanges | Accepted with changes
2 | Rejected | Rejected

Used in groups: PartyDetailAckGrp

PartyDetailGrp

Contains details for a party, including related parties and alternative party identifiers.

Name | Mult. | Type | Description
NoPartyDetails | [1..1] | NumInGroup |
PartyDetailID | [0..1] | String | The identification of the party. Required when NoPartyDetails(1671) > 0.
PartyDetailIDSource | [0..1] | CodeSet | Used to identify source of PartyID value (e.g. BIC). Required when NoPartyDetails(1671) > 0.
PartyDetailRole | [0..1] | CodeSet | Identifies the type of PartyID (e.g. Executing Broker). Required when NoPartyDetails(1671) > 0.
PartyDetailRoleQualifier | [0..1] | CodeSet |
PartyDetailSubGrp | [0..*] | Group |
PartyDetailAltIDGrp | [0..*] | Group | Optionally used to specify alternate IDs to identify the party specified.
RelatedPartyDetailGrp | [0..*] | Group | May not be specified in PartyDetailsListUpdateReport(35=CK) if ListUpdateAction(1324) = D(Delete)
PartyDetailStatus | [0..1] | CodeSet |

Used in groups: PartyDetailAckGrp, PartyDetailsUpdateGrp, PartyEntitlementAckGrp, PartyEntitlementGrp, PartyEntitlementUpdateGrp, PartyRiskLimitsAckGrp, PartyRiskLimitsGrp, PartyRiskLimitsUpdateGrp, TrdCapRptSideGrp

Used in messages: PartyDetailsListReport

PartyDetailID

Party identifier within Parties Reference Data messages.

Type: String

Used in groups: PartyDetailGrp

PartyDetailIDSource

Source of the identifier of the PartyDetailID(1691) specified.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: PartyDetailGrp

PartyDetailRequestResult

Result party detail definition request.

Type: int

Allowed values in PartyDetailRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party(-ies)
2 | InvalidRelatedParty | Invalid related party(-ies)
3 | InvalidPartyStatus | Invalid party status(es)
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in messages: PartyDetailsDefinitionRequestAck

PartyDetailRequestStatus

Status of party details definition request.

Type: int

Allowed values in PartyDetailRequestStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithChanges | Accepted with changes
2 | Rejected | Rejected
3 | AcceptancePending | Acceptance pending

Used in messages: PartyDetailsDefinitionRequestAck

PartyDetailRole

Identifies the type or role of PartyDetailID(1691) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: PartyDetailGrp

PartyDetailRoleQualifier

Qualifies the value of PartyDetailRole(1693).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: PartyDetailGrp

PartyDetailsListReportID

Identifier for the PartyDetailsListReport and the PartyDetailsListUpdateReport.

Type: String

Used in messages: PartyDetailsListReport, PartyDetailsListUpdateReport

PartyDetailsListRequestID

Unique identifier for PartyDetailsListRequest.

Type: String

Used in messages: PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListReport, PartyDetailsListRequest, PartyDetailsListUpdateReport

PartyDetailStatus

Indicates the status of the party identified with PartyDetailID(1691).

Type: int

Allowed values in PartyDetailStatusCodeSet:

Code | Name | Description
0 | Active | Active (default if not specified)
1 | Suspended | Suspended
2 | Halted | Halted

Used in groups: PartyDetailGrp

PartyDetailSubGrp

Additional party sub-identifiers

Name | Mult. | Type | Description
NoPartyDetailSubIDs | [1..1] | NumInGroup |
PartyDetailSubID | [0..1] | String | Required when NoPartyDetailSubIDs > 0.
PartyDetailSubIDType | [0..1] | CodeSet | Required when NoPartyDetailSubIDs > 0.

Used in groups: PartyDetailGrp

PartyDetailSubID

Sub-identifier for the party specified in PartyDetailID(1691).

Type: String

Used in groups: PartyDetailSubGrp

PartyDetailSubIDType

Type of PartyDetailSubID(1695) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: PartyDetailSubGrp

PartyDetailsUpdateGrp

Party details component that includes an update action.

Name | Mult. | Type | Description
NoPartyUpdates | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | Required if NoPartyUpdates > 0.
PartyDetailGrp | [0..*] | Group |

Used in messages: PartyDetailsDefinitionRequest, PartyDetailsListUpdateReport

PartyEntitlementAckGrp

The PartyEntitlementAckGrp component is used in the PartyEntitlementsDefinitionRequestAck(35=DB) message to provide the status of each action (add, modify or delete) requested by the PartyEntitlementsDefinitionRequest(35=DA) message.

Name | Mult. | Type | Description
NoPartyEntitlements | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | Required if NoPartyEntitlements(1772).
EntitlementStatus | [0..1] | CodeSet | Required if NoPartyEntitlements(1772).
EntitlementResult | [0..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length |
EncodedRejectText | [0..1] | data |
PartyDetailGrp | [0..*] | Group | Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
EntitlementGrp | [0..*] | Group | Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
EntitlementRefID | [0..1] | String | Optional when PartyDetailGrp is provided or ListUpdateAction(1324) = A(Add).

Used in messages: PartyEntitlementsDefinitionRequestAck

PartyEntitlementGrp

Conveys a list of parties (optionally including related parties) and the entitlements for each.

Name | Mult. | Type | Description
NoPartyEntitlements | [1..1] | NumInGroup |
PartyDetailGrp | [0..*] | Group | Required if NoPartyEntitlements(1772) > 0.
EntitlementStatus | [0..1] | CodeSet |
EntitlementGrp | [0..*] | Group | Required unless omitted to indicate the removal of entitlements for the party(-ies) specified in the PartyDetailGrp component.

Used in messages: PartyEntitlementsReport

PartyEntitlementUpdateGrp

The PartyEntitlementUpdateGrp component is used to supply incremental entitlement definitions changes for the party(-ies) specified in the PartyDetailGrp component. The update action type is specified using ListUpdateAction(1324).

Name | Mult. | Type | Description
NoPartyEntitlements | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | Required if NoPartyEntitlements(1772).
PartyDetailGrp | [0..*] | Group | Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
EntitlementStatus | [0..1] | CodeSet |
EntitlementGrp | [0..*] | Group | Optional when ListUpdateAction(1324) = M(Modify) or D(Delete) and EntitlementRefID(1885) is provided.
EntitlementRefID | [0..1] | String | Optional when PartyDetailGrp is provided or ListUpdateAction(1324) = A(Add).

Used in messages: PartyEntitlementsDefinitionRequest, PartyEntitlementsUpdateReport

PartyID

Party identifier/code. See PartyIDSource (447) and PartyRole (452).

See "Appendix 6-G - Use of <Parties> Component Block"

Type: String

Used in groups: Parties

PartyIDSource

Identifies class or source of the PartyID (448) value. Required if PartyID is specified. Note: applicable values depend upon PartyRole (452) specified.

See "Appendix 6-G - Use of <Parties> Component Block"

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: Parties

PartyRelationship

Used to specify the type of the party relationship.

Type: int

Allowed values in PartyRelationshipCodeSet:

Code | Name | Description
0 | IsAlso | Is also
1 | ClearsFor | Clears for
2 | ClearsThrough | Clears through
3 | TradesFor | Trades for
4 | TradesThrough | Trades through
5 | Sponsors | Sponsors
6 | SponsoredThrough | Sponsored through
7 | ProvidesGuaranteeFor | Provides guarantee for
8 | IsGuaranteedBy | Is guaranteed by
9 | MemberOf | Member of
10 | HasMembers | Has members
11 | ProvidesMarketplaceFor | Provides marketplace for
12 | ParticipantOfMarketplace | Participant of marketplace
13 | CarriesPositionsFor | Carries positions for
14 | PostsTradesTo | Posts trades to
15 | EntersTradesFor | Enters trades for
16 | EntersTradesThrough | Enters trades through
17 | ProvidesQuotesTo | Provides quotes to
18 | RequestsQuotesFrom | Requests quotes from
19 | InvestsFor | Invests for
20 | InvestsThrough | Invests through
21 | BrokersTradesFor | Brokers trades for
22 | BrokersTradesThrough | Brokers trades through
23 | ProvidesTradingServicesFor | Provides trading services for
24 | UsesTradingServicesOf | Uses trading services of
25 | ApprovesOf | Approves of
26 | ApprovedBy | Approved by
27 | ParentFirmFor | Parent firm for
28 | SubsidiaryOf | Subsidiary of
29 | RegulatoryOwnerOf | Regulatory owner of
30 | OwnedByRegulatory | Owned by (regulatory)
31 | Controls | Controls
32 | IsControlledBy | Is controlled by
33 | LegalOwnerOf | Legal / titled owner of
34 | OwnedByLegal | Owned by (legal / title)
35 | BeneficialOwnerOf | Beneficial owner of
36 | OwnedByBeneficial | Owned by (beneficial)
37 | SettlesFor | Settles for
38 | SettlesThrough | Settles through

Used in groups: PartyRelationshipGrp

PartyRelationshipGrp

Repeating group of party relationships.

Name | Mult. | Type | Description
NoPartyRelationships | [1..1] | NumInGroup |
PartyRelationship | [0..1] | CodeSet | Identifies the type of party relationship requested. Required if NoPartyRelationships > 0.

Used in groups: RelatedPartyDetailGrp

Used in messages: PartyDetailsListRequest

PartyRiskLimitsAckGrp

This new block is a repeating group based on the existing block <PartyRiskLimitsGrp> with an additional field RiskLimitStatus(1763) to accept (with or without changes) or reject individual risk limits. It is only used in PartyRiskLimitDefinitionRequestAck, the response to the request to define risk limits. An approval with changes requires to send <RiskLimitsGrp> with the complete set of risk limits that have been accepted for the party defined.

Name | Mult. | Type | Description
NoPartyRiskLimits | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | Required if NoPartyRiskLimits(1677) > 0.
RiskLimitStatus | [0..1] | CodeSet | Required if NoPartyRiskLimits(1677) > 0.
RiskLimitResult | [0..1] | CodeSet |
PartyDetailGrp | [0..*] | Group | Conditionally required when RiskLimitID(1670) is not provided. Changes to party or related party(-ies) defined in the request are not permitted.
RiskLimitsGrp | [0..*] | Group | Conditionally required when RiskLimitStatus(1763) = 1(Accepted with changes) and must then be complete, i.e. omissions compared to the request represent risk limits that were removed, additional risk limits are possible.
RiskLimitID | [0..1] | String | Conditionally required when PartyDetailGrp component is not provided.
RiskLimitCheckModelType | [0..1] | CodeSet |
RejectText | [0..1] | String |
EncodedRejectTextLen | [0..1] | Length | Must be set if EncodedRejectText(1665) field is specified and must immediately precede it.
EncodedRejectText | [0..1] | data | Encoded (non-ASCII characters) representation of the RejectText(1328) field in the encoded format specified via the MessageEncoding(347) field.
PartyRiskLimitStatus | [0..1] | CodeSet |

Used in messages: PartyRiskLimitsDefinitionRequestAck

PartyRiskLimitsGrp

Repeating group of parties (specified using PartyDetails) and the risk limits for the party.

Name | Mult. | Type | Description
NoPartyRiskLimits | [1..1] | NumInGroup |
PartyDetailGrp | [0..*] | Group | Required if NoPartyRiskLimits(1677) > 0.
RiskLimitsGrp | [0..*] | Group | Required if NoPartyRiskLimits(1677) > 0. Omit to implicitly report removal of risk limits.
RiskLimitID | [0..1] | String |
RiskLimitCheckModelType | [0..1] | CodeSet |
PartyRiskLimitStatus | [0..1] | CodeSet |

Used in messages: PartyRiskLimitsReport

PartyRiskLimitStatus

The status of risk limits for a party.

Type: int

Allowed values in PartyRiskLimitStatusCodeSet:

Code | Name | Description
0 | Disabled | Disabled. Risk limits for party is disabled.
1 | Enabled | Enabled. Risk limits for party is enabled.

Used in groups: PartyRiskLimitsAckGrp, PartyRiskLimitsGrp, PartyRiskLimitsUpdateGrp

PartyRiskLimitsUpdateGrp

This new block is a repeating group based on the existing block <PartyRiskLimitsGrp> with an additional field ListUpdateAction(1324) to support incremental changes of risk limit definitions. The group is part of the definition request as well as part of the update report for risk limits.

Name | Mult. | Type | Description
NoPartyRiskLimits | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | Required if NoPartyRiskLimits(1677) > 0.
PartyDetailGrp | [0..*] | Group | Conditionally required when ListUpdateAction(1324) = A(Add). Conditionally required when ListUpdateAction(1324) = M(Modify) or D(Delete) and RiskLimitID(1670) is not provided.
RiskLimitsGrp | [0..*] | Group | Conditionally required when ListUpdateAction(1324) = A(Add) or M(Modify).
RiskLimitID | [0..1] | String | Conditionally required when PartyDetailGrp component is not provided.
RiskLimitCheckModelType | [0..1] | CodeSet |
PartyRiskLimitStatus | [0..1] | CodeSet |

Used in messages: PartyRiskLimitsDefinitionRequest, PartyRiskLimitsReportAck, PartyRiskLimitsUpdateReport

PartyRole

Identifies the type or role of the PartyID (448) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: Parties

PartyRoleQualifier

Used to further qualify the value of PartyRole(452).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: Parties

PartySubID

Sub-identifier (e.g. Clearing Account for PartyRole (452)=Clearing Firm, Locate ID # for PartyRole=Locate/Lending Firm, etc). Not required when using PartyID (448), PartyIDSource (447), and PartyRole.

Type: String

Used in groups: PtysSubGrp

PartySubIDType

Type of PartySubID(523) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: PtysSubGrp

Password

Password or passphrase.

Type: String

Used in messages: Logon, UserRequest

PayAmount

Amount to be paid by the clearinghouse to the clearing firm.

Type: Amt

Used in groups: PayCollectGrp

PayCollectCurrency

Currency denomination of value in PayAmount(1710) and CollectAmount(1711). If not specified, default to currency specified in SettlementAmountCurrency(1702).

Type: Currency

Used in groups: PayCollectGrp

PayCollectCurrencyCodeSource

Identifies class or source of the PayCollectCurrency(1709) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: PayCollectGrp

PayCollectFXRate

Foreign exchange rate used to compute the PayAmount(1710) or CollectAmount(1711) from the PayCollectCurrency(1709) and the Currency(15).

Type: float

Used in groups: PayCollectGrp

PayCollectFXRateCalc

Specifies whether or not PayCollectFXRate(2094) should be multipled or divided.

Type: char

Allowed values in UnderlyingFXRateCalcCodeSet:

Code | Name | Description
D | Divide | Divide
M | Multiply | Multiply

Used in groups: PayCollectGrp

PayCollectGrp

The Pay Collect Group component block is a repeatable block intended to report individual pay/collect items to be considered when calculating net settlement.

Name | Mult. | Type | Description
NoPayCollects | [1..1] | NumInGroup |
PayCollectType | [0..1] | String | Required if NoPayCollects > 0.
PayCollectCurrency | [0..1] | Currency | Can be used to specify the base settlement currency if Currency(15) is not specified.
PayCollectCurrencyCodeSource | [0..1] | CodeSet |
PayCollectFXRate | [0..1] | float |
PayCollectFXRateCalc | [0..1] | CodeSet |
PayAmount | [0..1] | Amt |
CollectAmount | [0..1] | Amt |
PayCollectMarketSegmentID | [0..1] | String |
PayCollectMarketID | [0..1] | String |

Used in messages: AccountSummaryReport

PayCollectMarketID

Market associated with the pay collect amount.

Type: String

Used in groups: PayCollectGrp

PayCollectMarketSegmentID

Market segment associated with the pay collect amount.

Type: String

Used in groups: PayCollectGrp

PayCollectType

Category describing the reason for funds paid to, or the funds collected from the clearing firm.

Type: String

Used in groups: PayCollectGrp

PayDisputeReason

Used to provide the reason for disputing a request or report.

See https://www.fixtrading.org/packages/PayDisputeReason for the list of applicable values.

Type: int

Used in messages: PayManagementReport, PayManagementReportAck

PaymentAmount

The total payment amount.

Type: Amt

Used in groups: PaymentGrp

PaymentAmountDeterminationMethod

Specifies the method by which a payment amount is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: PaymentGrp

PaymentAmountRelativeTo

Specifies the reference amount when the payment amount is relative to another amount in the message.

See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.

Type: int

Used in groups: PaymentGrp

PaymentBusinessCenter

The business center calendar used to adjust the payment date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentBusinessCenterGrp

PaymentBusinessCenterGrp

PaymentBusinessCenterGrp is a repeating subcomponent within the PaymentGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentBusinessCenters | [1..1] | NumInGroup |
PaymentBusinessCenter | [0..1] | String | Required if NoPaymentBusinessCenters(40944) > 0.

Used in groups: PaymentGrp

PaymentBusinessDayConvention

The business day convention used to adjust the payment date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: PaymentGrp

PaymentCurrency

Specifies the currency in which PaymentAmount(40217) is denominated. Uses ISO 4271 currency codes.

Type: Currency

Used in groups: PaymentGrp

PaymentDate

The date written on a cheque or date payment should be submitted to the relevant clearing system.

Type: LocalMktDate

Used in groups: SettlInstGrp

PaymentDateAdjusted

The adjusted payment date.

Type: LocalMktDate

Used in groups: PaymentGrp

PaymentDateOffsetDayType

Specifies the day type of the relative payment date offset.

Type: int

Allowed values in PaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | Commodity | Commodity business
3 | Currency | Currency business
4 | Exchange | Exchange business
5 | Scheduled | Scheduled trading day

Used in groups: PaymentGrp

PaymentDateOffsetPeriod

Time unit multiplier for the relative payment date offset.

Type: int

Used in groups: PaymentGrp

PaymentDateOffsetUnit

Time unit associated with the relative payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentGrp

PaymentDateRelativeTo

Specifies the anchor date when the payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: PaymentGrp

PaymentDateUnadjusted

The unadjusted payment date.

Type: LocalMktDate

Used in groups: PaymentGrp

PaymentDesc

A short descriptive name given to the payment, e.g. Premium, Upfront, etc. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as reference.

Type: String

Used in groups: PaymentGrp

PaymentDiscountFactor

The value representing the discount factor used to calculate the present value of the cash flow.

Type: float

Used in groups: PaymentGrp

PaymentFixedRate

The rate applicable to the fixed rate payment.

Type: Percentage

Used in groups: PaymentGrp

PaymentFloatingRateIndex

The payment floating rate index. See SpreadOrBenchmarkCurveData(221) for suggested values.

Type: String

Used in groups: PaymentGrp

PaymentFloatingRateIndexCurvePeriod

Time unit multiplier for the floating rate index.

Type: int

Used in groups: PaymentGrp

PaymentFloatingRateIndexCurveUnit

Time unit associated with the floating rate index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentGrp

PaymentFloatingRateSpread

Spread from floating rate index.

Type: PriceOffset

Used in groups: PaymentGrp

PaymentForwardStartType

Forward start premium type.

Type: int

Allowed values in PaymentForwardStartTypeCodeSet:

Code | Name | Description
0 | Prepaid | Prepaid
1 | Postpaid | Post-paid
2 | Variable | Variable
3 | Fixed | Fixed

Used in groups: PaymentGrp

PaymentFrequencyPeriod

Time unit multiplier for the payment frequency.

Type: int

Used in groups: PaymentGrp

PaymentFrequencyUnit

Time unit associated with the payment frequency.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentGrp

PaymentGrp

The PaymentGrp is a repeating component used to report additional payments or bullet payments.

Name | Mult. | Type | Description
NoPayments | [1..1] | NumInGroup |
PaymentType | [0..1] | CodeSet | Required if NoPayments(40212) > 0.
PaymentSubType | [0..1] | CodeSet |
PaymentPaySide | [0..1] | CodeSet |
PaymentReceiveSide | [0..1] | CodeSet |
PaymentDesc | [0..1] | String |
PaymentCurrency | [0..1] | Currency |
PaymentAmount | [0..1] | Amt | Either PaymentAmount(40217), PaymentFixedRate(43097) or PaymentRFloatingRateIndex(43098) must be specified.
PaymentAmountRelativeTo | [0..1] | int |
PaymentAmountDeterminationMethod | [0..1] | String |
PaymentFixedRate | [0..1] | Percentage | Either PaymentAmount(40217), PaymentFixedRate(43097) or PaymentFloatingRateIndex(43098) must be specified.
PaymentFloatingRateIndex | [0..1] | String | Either PaymentAmount(40217), PaymentFixedRate(43097) or PaymentFloatingRateIndex(43098) must be specified.
PaymentFloatingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when PaymentFloatingRateIndexCurvePeriod(43099) is specified.
PaymentFloatingRateIndexCurvePeriod | [0..1] | int | Conditionally required when PaymentFloatingRateIndexCurveUnit(43100) is specified.
PaymentFloatingRateSpread | [0..1] | PriceOffset | Conditionally required when PaymentFloatingRateIndex(43098) is specified and the spread to the index is not "zero". When the spread to the index is "zero" this may be omitted.
PaymentRateResetFrequencyUnit | [0..1] | CodeSet | Conditionally required when PaymentRateResetFrequencyPeriod(43104) is specified.
PaymentRateResetFrequencyPeriod | [0..1] | int | Conditionally required when PaymentRateResetFrequencyUnit(43105) is specified.
PaymentFrequencyUnit | [0..1] | CodeSet | Conditionally required when PaymentFrequencyPeriod(43102) is specified.
PaymentFrequencyPeriod | [0..1] | int | Conditionally required when PaymentFrequencyUnitPeriod(43103) is specified.
PaymentPrice | [0..1] | Price |
PaymentPriceType | [0..1] | CodeSet |
PaymentUnitOfMeasure | [0..1] | CodeSet |
PaymentDateUnadjusted | [0..1] | LocalMktDate |
PaymentBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment information.
PaymentBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment information.
PaymentDateRelativeTo | [0..1] | int |
PaymentDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentDateOffsetUnit(41158) is specified.
PaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentDateOffsetPeriod(41157) is specified.
PaymentDateOffsetDayType | [0..1] | CodeSet |
PaymentDateAdjusted | [0..1] | LocalMktDate |
PaymentForwardStartType | [0..1] | CodeSet |
PaymentDiscountFactor | [0..1] | float |
PaymentPresentValueAmount | [0..1] | Amt |
PaymentPresentValueCurrency | [0..1] | Currency |
PaymentSettlStyle | [0..1] | CodeSet |
PaymentMethod | [0..1] | CodeSet |
PaymentSettlGrp | [0..*] | Group |
PaymentLegRefID | [0..1] | String | Used to link a payment back to its parent InstrumentLeg by using the same value as the parent’s LegID(1788).
PaymentText | [0..1] | String |
EncodedPaymentTextLen | [0..1] | Length | Must be set if EncodedPaymentText(40985) field is specified and must immediately precede it.
EncodedPaymentText | [0..1] | data | Encoded (non-ASCII characters) representation of the PaymentText(40229) field in the encoded format specified via the MessageEncoding(347) field.

Used in messages: ExecutionReport, PositionMaintenanceReport, PositionReport, TradeCaptureReport

PaymentLegRefID

Identifies the instrument leg in which this payment applies to by referencing the leg's LegID(1788).

Type: String

Used in groups: PaymentGrp

PaymentMethod

Identifies the settlement payment method.

Type: int

Allowed values in PaymentMethodCodeSet:

Code | Name | Description
1 | CREST | CREST
2 | NSCC | NSCC
3 | Euroclear | Euroclear
4 | Clearstream | Clearstream
5 | Cheque | Cheque
6 | TelegraphicTransfer | Telegraphic Transfer
7 | FedWire | Fed Wire
8 | DebitCard | Debit Card
9 | DirectDebit | Direct Debit (BECS)
10 | DirectCredit | Direct Credit (BECS)
11 | CreditCard | Credit Card
12 | ACHDebit | ACH Debit
13 | ACHCredit | ACH Credit
14 | BPAY | BPAY
15 | HighValueClearingSystem | High Value Clearing System (HVACS)
16 | CHIPS | CHIPS
17 | SWIFT | S.W.I.F.T.
18 | CHAPS | CHAPS
19 | SIC | SIC
20 | EuroSIC | euroSIC.
999 | Other | Other

Used in groups: PaymentGrp, SettlInstGrp

PaymentPaySide

The side of the party paying the payment.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: PaymentGrp

PaymentPresentValueAmount

The amount representing the present value of the forecast payment.

Type: Amt

Used in groups: PaymentGrp

PaymentPresentValueCurrency

Specifies the currency the PaymentPresentValueAmount(40225) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentGrp

PaymentPrice

The price determining the payment amount expressed in terms specified in PaymentPriceType(40919) and expressed in market format.

Type: Price

Used in groups: PaymentGrp

PaymentPriceType

Specifies the type of price for PaymentPrice(40218).

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in groups: PaymentGrp

PaymentRateResetFrequencyPeriod

Time unit multiplier for the floating rate reset frequency.

Type: int

Used in groups: PaymentGrp

PaymentRateResetFrequencyUnit

Time unit associated with the floating rate reset frequency.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentGrp

PaymentReceiveSide

The side of the party receiving the payment.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: PaymentGrp

PaymentRef

"Settlement Payment Reference" - A free format Payment reference to assist with reconciliation, e.g. a Client and/or Order ID number.

Type: String

Used in groups: SettlInstGrp

PaymentRemitterID

Identifies sender of a payment, e.g. the payment remitter or a customer reference number.

Type: String

Used in groups: SettlInstGrp

PaymentScheduleCurrency

The currency for this step. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentScheduleGrp

PaymentScheduleEndDateUnadjusted

The unadjusted end date of a cash flow payment.

Type: LocalMktDate

Used in groups: PaymentScheduleGrp

PaymentScheduleFixedAmount

The explicit payment amount for this step schedule.

Type: Amt

Used in groups: PaymentScheduleGrp

PaymentScheduleFixedCurrency

The currency of the fixed amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateAdjusted

The adjusted fixing date.

Type: LocalMktDate

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateBusinessCenter

The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentScheduleFixingDateBusinessCenterGrp

PaymentScheduleFixingDateBusinessCenterGrp

PaymentScheduleFixingDateBusinessCenterGrp is a repeating subcomponent within the PaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentScheduleFixingDateBusinessCenters | [1..1] | NumInGroup |
PaymentScheduleFixingDateBusinessCenter | [0..1] | String | Required if NoPaymentScheduleFixingDateBusinessCenters(40944) > 0.

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateBusinessDayConvention

The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateOffsetDayType

Specifies the day type of the relative fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateOffsetPeriod

Time unit multiplier for the relative fixing date offset.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateOffsetUnit

Time unit associated with the relative fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateRelativeTo

Specifies the anchor date when the fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDateUnadjusted

The unadjusted fixing date.

Type: LocalMktDate

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDayCount

The number of days over which fixing should take place.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDayDistribution

The distribution of fixing days.

Type: int

Allowed values in PaymentStreamPricingDayDistributionCodeSet:

Code | Name | Description
0 | All | All
1 | First | First
2 | Last | Last
3 | Penultimate | Penultimate

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDayGrp

The PaymentScheduleFixingDayGrp is a repeating subcomponent of the PaymentScheduleGrp component used to detail periodic fixing days.

Name | Mult. | Type | Description
NoPaymentScheduleFixingDays | [1..1] | NumInGroup |
PaymentScheduleFixingDayOfWeek | [0..1] | CodeSet | Required if NoPaymentScheduleFixingDays(41161) > 0.
PaymentScheduleFixingDayNumber | [0..1] | int |

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingDayNumber

The occurrence of the day of week on which fixing takes place.

Type: int

Used in groups: PaymentScheduleFixingDayGrp

PaymentScheduleFixingDayOfWeek

The day of the week on which fixing will take place.

Type: int

Allowed values in PaymentStreamPricingDayOfWeekCodeSet:

Code | Name | Description
0 | EveryDay | Every day (the default if not specified)
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday

Used in groups: PaymentScheduleFixingDayGrp

PaymentScheduleFixingFirstObservationDateOffsetPeriod

Time unit multiplier for the relative first observation date offset.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingFirstObservationDateOffsetUnit

Time unit associated with the relative first observation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingLagPeriod

Time unit multiplier for the fixing lag duration.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingLagUnit

Time unit associated with the fixing lag duration.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingTime

The fixing time associated with the step schedule.

Type: LocalMktTime

Used in groups: PaymentScheduleGrp

PaymentScheduleFixingTimeBusinessCenter

Business center for determining fixing time.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentScheduleGrp

PaymentScheduleGrp

The PaymentScheduleGrp is a repeating subcomponent of the StreamGrp component used to specify notional and rate steps of the payment stream.

Name | Mult. | Type | Description
NoPaymentSchedules | [1..1] | NumInGroup |
PaymentScheduleType | [0..1] | CodeSet | Required if NoPaymentSchedules(40828) > 0.
PaymentScheduleXID | [0..1] | XID |
PaymentScheduleXIDRef | [0..1] | XIDREF |
PaymentScheduleStubType | [0..1] | CodeSet |
PaymentScheduleStartDateUnadjusted | [0..1] | LocalMktDate |
PaymentScheduleEndDateUnadjusted | [0..1] | LocalMktDate |
PaymentSchedulePaySide | [0..1] | CodeSet |
PaymentScheduleReceiveSide | [0..1] | CodeSet |
PaymentScheduleNotional | [0..1] | Amt |
PaymentScheduleCurrency | [0..1] | Currency |
PaymentScheduleRate | [0..1] | Percentage |
PaymentScheduleRateMultiplier | [0..1] | float |
PaymentScheduleRateSpread | [0..1] | PriceOffset |
PaymentScheduleRateCurrency | [0..1] | Currency |
PaymentScheduleRateUnitOfMeasure | [0..1] | CodeSet |
PaymentScheduleRateConversionFactor | [0..1] | float |
PaymentScheduleRateSpreadType | [0..1] | CodeSet |
PaymentScheduleRateSpreadPositionType | [0..1] | CodeSet |
PaymentScheduleRateTreatment | [0..1] | CodeSet |
PaymentScheduleFixedAmount | [0..1] | Amt |
PaymentScheduleFixedCurrency | [0..1] | Currency |
PaymentScheduleSettlPeriodPrice | [0..1] | Price |
PaymentScheduleSettlPeriodPriceCurrency | [0..1] | Currency |
PaymentScheduleSettlPeriodPriceUnitOfMeasure | [0..1] | CodeSet |
PaymentScheduleStepUnitOfMeasure | [0..1] | CodeSet |
PaymentScheduleStepFrequencyPeriod | [0..1] | int | Conditionally required when PaymentScheduleStepFrequencyUnit(40845) is specified.
PaymentScheduleStepFrequencyUnit | [0..1] | CodeSet | Conditionally required when PaymentScheduleStepFrequencyPeriod(40844) is specified.
PaymentScheduleStepOffsetValue | [0..1] | Amt |
PaymentScheduleStepRate | [0..1] | Percentage |
PaymentScheduleStepOffsetRate | [0..1] | Percentage |
PaymentScheduleStepRelativeTo | [0..1] | CodeSet |
PaymentScheduleRateSourceGrp | [0..*] | Group |
PaymentScheduleFixingDateUnadjusted | [0..1] | LocalMktDate |
PaymentScheduleWeight | [0..1] | float |
PaymentScheduleFixingDateRelativeTo | [0..1] | int |
PaymentScheduleFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment schedule.
PaymentScheduleFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment schedule.
PaymentScheduleFixingDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentScheduleFixingDateOffsetUnit(40856) is specified.
PaymentScheduleFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentScheduleFixingDateOffsetPeriod(40855) is specified.
PaymentScheduleFixingDateOffsetDayType | [0..1] | CodeSet |
PaymentScheduleFixingDayDistribution | [0..1] | CodeSet |
PaymentScheduleFixingDayCount | [0..1] | int |
PaymentScheduleFixingDateAdjusted | [0..1] | LocalMktDate |
PaymentScheduleFixingDayGrp | [0..*] | Group |
PaymentScheduleFixingLagPeriod | [0..1] | int | Conditionally required when PaymentScheduleFixingLagUnit(41177) is specified.
PaymentScheduleFixingLagUnit | [0..1] | CodeSet | Conditionally required when PaymentScheduleFixingLagPeriod(41176) is specified.
PaymentScheduleFixingFirstObservationDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentScheduleFixingFirstObservationDateOffsetUnit(41179) is specified.
PaymentScheduleFixingFirstObservationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentScheduleFixingFirstObservationDateOffsetPeriod(41178) is specified.
PaymentScheduleFixingTime | [0..1] | LocalMktTime |
PaymentScheduleFixingTimeBusinessCenter | [0..1] | String |
PaymentScheduleInterimExchangePaymentDateRelativeTo | [0..1] | int |
PaymentScheduleInterimExchangeDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment schedule.
PaymentScheduleInterimExchangeDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment schedule.
PaymentScheduleInterimExchangeDatesOffsetPeriod | [0..1] | int | Conditionally required when PaymentScheduleInterimExchangeDatesOffsetUnit(40865) is specified.
PaymentScheduleInterimExchangeDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentScheduleInterimExchangeDatesOffsetPeriod(40864) is specified.
PaymentScheduleInterimExchangeDatesOffsetDayType | [0..1] | CodeSet |
PaymentScheduleInterimExchangeDateAdjusted | [0..1] | LocalMktDate |

Used in groups: StreamGrp

PaymentScheduleInterimExchangeDateAdjusted

The adjusted interim exchange date.

Type: LocalMktDate

Used in groups: PaymentScheduleGrp

PaymentScheduleInterimExchangeDateBusinessCenterGrp

PaymentScheduleInterimExchangeDateBusinessCenterGrp is a repeating subcomponent within the PaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentScheduleInterimExchangeDateBusinessCenters | [1..1] | NumInGroup |
PaymentScheduleInterimExchangeDatesBusinessCenter | [0..1] | String | Required if NoPaymentScheduleInterimExchangeDateBusinessCenters(40945) > 0.

Used in groups: PaymentScheduleGrp

PaymentScheduleInterimExchangeDatesBusinessCenter

The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentScheduleInterimExchangeDateBusinessCenterGrp

PaymentScheduleInterimExchangeDatesBusinessDayConvention

The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: PaymentScheduleGrp

PaymentScheduleInterimExchangeDatesOffsetDayType

Specifies the day type of the relative interim exchange date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: PaymentScheduleGrp

PaymentScheduleInterimExchangeDatesOffsetPeriod

Time unit multiplier for the relative interim exchange date offset.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleInterimExchangeDatesOffsetUnit

Time unit associated with the relative interim exchange date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentScheduleGrp

PaymentScheduleInterimExchangePaymentDateRelativeTo

Specifies the anchor date when the interim exchange payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleNotional

The notional value for this step, or amount of a cashflow payment.

Type: Amt

Used in groups: PaymentScheduleGrp

PaymentSchedulePaySide

The side of the party paying the step schedule.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: PaymentScheduleGrp

PaymentScheduleRate

The rate value for this step schedule.

Type: Percentage

Used in groups: PaymentScheduleGrp

PaymentScheduleRateConversionFactor

The number to be multiplied by the derived floating rate of the payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.

Type: float

Used in groups: PaymentScheduleGrp

PaymentScheduleRateCurrency

The currency of the schedule rate. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentScheduleGrp

PaymentScheduleRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: PaymentScheduleGrp

PaymentScheduleRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: PaymentScheduleRateSourceGrp

PaymentScheduleRateSourceGrp

PaymentScheduleRateSourceGrp is a repeating component within the PaymentScheduleGrp component used to identify primary and secondary rate sources.

Name | Mult. | Type | Description
NoPaymentScheduleRateSources | [1..1] | NumInGroup |
PaymentScheduleRateSource | [0..1] | CodeSet | Required if NoPaymentScheduleRateSources(40868) > 0.
PaymentScheduleRateSourceType | [0..1] | CodeSet | Required if NoPaymentScheduleRateSources(40868) > 0.
PaymentScheduleReferencePage | [0..1] | String | Conditionally required when PaymentScheduleRateSource(40869) = 99 (Other)

Used in groups: PaymentScheduleGrp

PaymentScheduleRateSourceType

Rate source type.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: PaymentScheduleRateSourceGrp

PaymentScheduleRateSpread

The spread value for this step schedule.

Type: PriceOffset

Used in groups: PaymentScheduleGrp

PaymentScheduleRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: PaymentScheduleGrp

PaymentScheduleRateSpreadType

Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.

Type: int

Allowed values in PaymentStreamRateSpreadTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in groups: PaymentScheduleGrp

PaymentScheduleRateTreatment

Specifies the yield calculation treatment for the step schedule.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: PaymentScheduleGrp

PaymentScheduleRateUnitOfMeasure

The schedule rate unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: PaymentScheduleGrp

PaymentScheduleReceiveSide

The side of the party receiving the stepf schedule.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: PaymentScheduleGrp

PaymentScheduleReferencePage

Identifies the reference “page” from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in groups: PaymentScheduleRateSourceGrp

PaymentScheduleSettlPeriodPrice

The schedule settlement period price.

Type: Price

Used in groups: PaymentScheduleGrp

PaymentScheduleSettlPeriodPriceCurrency

Specifies the currency of the schedule settlement period price. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentScheduleGrp

PaymentScheduleSettlPeriodPriceUnitOfMeasure

The settlement period price unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: PaymentScheduleGrp

PaymentScheduleStartDateUnadjusted

The date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.

Type: LocalMktDate

Used in groups: PaymentScheduleGrp

PaymentScheduleStepFrequencyPeriod

Time unit multiplier for the step frequency.

Type: int

Used in groups: PaymentScheduleGrp

PaymentScheduleStepFrequencyUnit

Time unit associated with the step frequency.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: PaymentScheduleGrp

PaymentScheduleStepOffsetRate

The explicit amount that the rate changes on each step date. This can be a positive or negative value.

Type: Percentage

Used in groups: PaymentScheduleGrp

PaymentScheduleStepOffsetValue

The explicit amount that the notional changes on each step date. This can be a positive or negative amount.

Type: Amt

Used in groups: PaymentScheduleGrp

PaymentScheduleStepRate

The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in PaymentScheduleStepRelativeTo(40849). The percentage can be either positive or negative.

Type: Percentage

Used in groups: PaymentScheduleGrp

PaymentScheduleStepRelativeTo

Specifies whether the PaymentScheduleStepRate(40847) or PaymentScheduleStepOffsetValue(40846) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.

Type: int

Allowed values in PaymentScheduleStepRelativeToCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Previous | Previous

Used in groups: PaymentScheduleGrp

PaymentScheduleStepUnitOfMeasure

The schedule step unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: PaymentScheduleGrp

PaymentScheduleStubType

Indicates to which stub this schedule applies.

Type: int

Allowed values in PaymentStubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Final | Final
2 | CompoundingInitial | Compounding initial
3 | CompoundingFinal | Compounding final

Used in groups: PaymentScheduleGrp

PaymentScheduleType

Type of schedule.

Type: int

Allowed values in PaymentScheduleTypeCodeSet:

Code | Name | Description
0 | Notional | Notional
1 | CashFlow | Cash flow
2 | FXLinkedNotional | FX linked notional
3 | FixedRate | Fixed rate
4 | FutureValueNotional | Future value notional
5 | KnownAmount | Known amount
6 | FloatingRateMultiplier | Floating rate multiplier
7 | Spread | Spread
8 | CapRate | Cap rate
9 | FloorRate | Floor rate
10 | NonDeliverableSettlPaymentDates | Non-deliverable settlement payment dates
11 | NonDeliverableSettlCalculationDates | Non-deliverable settlement calculation dates
12 | NonDeliverableFXFixingDates | Non-deliverable fixing dates.
13 | SettlPeriodNotnl | Settlement period notional
14 | SettlPeriodPx | Settlement period price
15 | CalcPeriod | Calculation period
16 | DividendAccrualRateMultiplier | Dividend accrual rate multiplier
17 | DividendAccrualRateSpread | Dividend accrual rate spread
18 | DividendAccrualCapRate | Dividend accrual cap rate
19 | DividendAccrualFloorRate | Dividend accrual floor rate
20 | CompoundingRateMultiplier | Compounding rate multiplier
21 | CompoundingRateSpread | Compounding rate spread
22 | CompoundingCapRate | Compounding cap rate
23 | CompoundingFloorRate | Compounding floor rate

Used in groups: PaymentScheduleGrp

PaymentScheduleWeight

Floating rate observation weight for cashflow payment.

Type: float

Used in groups: PaymentScheduleGrp

PaymentScheduleXID

Identifier of this PaymentSchedule for cross referencing elsewhere in the message.

Type: XID

Used in groups: PaymentScheduleGrp

PaymentScheduleXIDRef

Reference to payment schedule elsewhere in the message.

Type: XIDREF

Used in groups: PaymentScheduleGrp

PaymentSettlAmount

The payment settlement amount.

Type: Amt

Used in groups: PaymentSettlGrp

PaymentSettlCurrency

Specifies the currency the PaymentSettlAmount(40231) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentSettlGrp

PaymentSettlGrp

The PaymentSettlGrp is a repeating subcomponent of the PaymentGrp component used to report payment settlement as a single or split payment.

Name | Mult. | Type | Description
NoPaymentSettls | [1..1] | NumInGroup |
PaymentSettlAmount | [0..1] | Amt | Required if NoPaymentSettls(40230) > 0.
PaymentSettlCurrency | [0..1] | Currency |
PaymentSettlParties | [0..*] | Group |

Used in groups: PaymentGrp

PaymentSettlParties

PaymentSettlParties is a repeating subcomponent of the PaymentSettlGrp component used to report payment settlement routing.

Name | Mult. | Type | Description
NoPaymentSettlPartyIDs | [1..1] | NumInGroup |
PaymentSettlPartyID | [0..1] | String | Required if NoPaymentSettlPartyIDs(40233) > 0.
PaymentSettlPartyIDSource | [0..1] | CodeSet | Required if NoPaymentSettlPartyIDs(40233) > 0.
PaymentSettlPartyRole | [0..1] | CodeSet | Required if NoPaymentSettlPartyIDs(40233) > 0.
PaymentSettlPartyRoleQualifier | [0..1] | CodeSet |
PaymentSettlPtysSubGrp | [0..*] | Group |

Used in groups: PaymentSettlGrp

PaymentSettlPartyID

The payment settlement party identifier.

Type: String

Used in groups: PaymentSettlParties

PaymentSettlPartyIDSource

Identifies the class or source of PaymentSettlPartyID(40234) value (e.g. BIC).

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: PaymentSettlParties

PaymentSettlPartyRole

Identifies the role of PaymentSettlPartyID(40234) (e.g. the beneficiary's bank or depository institution).

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: PaymentSettlParties

PaymentSettlPartyRoleQualifier

Qualifies the value of PaymentSettlPartyRole(40236).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: PaymentSettlParties

PaymentSettlPartySubID

Party sub-identifier, if applicable, for PaymentSettlPartyRole(40236).

Type: String

Used in groups: PaymentSettlPtysSubGrp

PaymentSettlPartySubIDType

The type of PaymentSettlPartySubID(40239) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

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OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

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PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

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LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: PaymentSettlPtysSubGrp

PaymentSettlPtysSubGrp

PaymentSettlSubParties is a repeating component within the PaymentSettlParties component used to extend information to be reported for the party.

Name | Mult. | Type | Description
NoPaymentSettlPartySubIDs | [1..1] | NumInGroup |
PaymentSettlPartySubID | [0..1] | String | Required if NoPaymentSettlPartySubIDs(40238) > 0.
PaymentSettlPartySubIDType | [0..1] | CodeSet | Required if NoPaymentSettlPartySubIDs(40238) > 0.

Used in groups: PaymentSettlParties

PaymentSettlStyle

Payment settlement style.

Type: int

Allowed values in PaymentSettlStyleCodeSet:

Code | Name | Description
0 | Standard | Standard
1 | Net | Net
2 | StandardfNet | Standard and net

Used in groups: PaymentGrp

PaymentStreamAccrualDays

The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.

Type: int

Used in components: PaymentStream

PaymentStreamAveragingMethod

When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: PaymentStreamFloatingRate

PaymentStreamBoundsFirstDateUnadjusted

The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in components: PaymentStreamCompoundingDates

PaymentStreamBoundsLastDateUnadjusted

The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in components: PaymentStreamCompoundingDates

PaymentStreamCalculationLagPeriod

Time unit multiplier for the calculation lag duration.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamCalculationLagUnit

Time unit associated with the calculation lag duration.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamFloatingRate

PaymentStreamCapRate

The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: PaymentStreamFloatingRate

PaymentStreamCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamFloatingRate

PaymentStreamCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamFloatingRate

PaymentStreamCashSettlIndicator

Indicates whether cash settlement is applicable.

Type: Boolean

Used in components: PaymentStream

PaymentStream

The PaymentStream component is a subcomponent of the Stream used to detail the attributes of a payment stream in a swap.

Name | Mult. | Type | Description
PaymentStreamType | [0..1] | CodeSet |
PaymentStreamMarketRate | [0..1] | int |
PaymentStreamDelayIndicator | [0..1] | Boolean |
PaymentStreamCashSettlIndicator | [0..1] | Boolean |
PaymentStreamSettlCurrency | [0..1] | Currency |
PaymentStreamDayCount | [0..1] | CodeSet |
PaymentStreamOtherDayCount | [0..1] | String | May be used to specify a count method not listed in PaymentStreamDayCount(40742).
PaymentStreamAccrualDays | [0..1] | int |
PaymentStreamDiscountType | [0..1] | CodeSet |
PaymentStreamDiscountRate | [0..1] | Percentage |
PaymentStreamDiscountRateDayCount | [0..1] | CodeSet |
PaymentStreamCompoundingMethod | [0..1] | CodeSet |
PaymentStreamCompoundingXIDRef | [0..1] | XIDREF | Mutually exclusive with PaymentStreamCompoundingFixedRate(42605) or the PaymentStreamCompoundingFloatingRate component.
PaymentStreamCompoundingSpread | [0..1] | PriceOffset |
PaymentStreamInterpolationMethod | [0..1] | CodeSet |
PaymentStreamInterpolationPeriod | [0..1] | CodeSet |
PaymentStreamInitialPrincipalExchangeIndicator | [0..1] | Boolean |
PaymentStreamInterimPrincipalExchangeIndicator | [0..1] | Boolean |
PaymentStreamFinalPrincipalExchangeIndicator | [0..1] | Boolean |
PaymentStreamFlatRateIndicator | [0..1] | Boolean |
PaymentStreamFlatRateAmount | [0..1] | Amt |
PaymentStreamFlatRateCurrency | [0..1] | Currency |
PaymentStreamMaximumPaymentAmount | [0..1] | Amt |
PaymentStreamMaximumPaymentCurrency | [0..1] | Currency |
PaymentStreamMaximumTransactionAmount | [0..1] | Amt |
PaymentStreamMaximumTransactionCurrency | [0..1] | Currency |
PaymentStreamPaymentDates | [0..1] | Component |
PaymentStreamResetDates | [0..1] | Component |
PaymentStreamFixedRate | [0..1] | Component |
PaymentStreamFloatingRate | [0..1] | Component |
PaymentStreamCompoundingFixedRate | [0..1] | float | Mutually exclusive with PaymentStreamCompoundingXIDRef(42601) or the PaymentStreamCompoundingFloatingRate component.
PaymentStreamCompoundingFloatingRate | [0..1] | Component | Mutually exclusive with PaymentStreamCompoundingFixedRate(42605) or the PaymentStreamCompoundingXIDRef(42601).
PaymentStreamCompoundingDates | [0..1] | Component |
PaymentStreamNonDeliverableSettlTerms | [0..1] | Component |

Used in groups: StreamGrp

PaymentStreamCompoundingAveragingMethod

Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingCapRate

The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".

Type: Percentage

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingCapRateBuySide

Reference to the buyer of the compounding cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingCapRateSellSide

Reference to the seller of the compounding cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingDate

The compounding date. The type of date is specified in PaymentStreamCompoundingDateType(42608).

Type: LocalMktDate

Used in groups: PaymentStreamCompoundingDateGrp

PaymentStreamCompoundingDateGrp

PaymentStreamCompoundingDateGrp is a subcomponent of the PaymentStreamCompoundingDates component used to specify predetermined compounding dates.

Name | Mult. | Type | Description
NoPaymentStreamCompoundingDates | [1..1] | NumInGroup |
PaymentStreamCompoundingDate | [0..1] | LocalMktDate | Required if NoPaymentStreamCompoundingDates(42606) > 0.
PaymentStreamCompoundingDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDatesBusinessCenter

The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamCompoundingDatesBusinessCenterGrp

PaymentStreamCompoundingDatesBusinessCenterGrp

PaymentStreamCompoundingDatesBusinessCenterGrp is a repeating subcomponent within the PaymentStreamCompoundingDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamCompoundingDatesBusinessCenters | [1..1] | NumInGroup |
PaymentStreamCompoundingDatesBusinessCenter | [0..1] | String | Required if NoPaymentStreamCompoundingDatesBusinessCenters(42620) > 0.

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDatesBusinessDayConvention

The compounding dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDates

PaymentStreamCompoundingDates is a subcomponent of the PaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.

Name | Mult. | Type | Description
PaymentStreamCompoundingDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to payment stream compounding dates.
PaymentStreamCompoundingDatesBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to payment stream compounding dates.
PaymentStreamCompoundingDateGrp | [0..*] | Group |
PaymentStreamCompoundingDatesRelativeTo | [0..1] | int |
PaymentStreamCompoundingDatesOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamCompoundingDatesOffsetUnit(42612) is specified.
PaymentStreamCompoundingDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentCompoundingDatesOffsetPeriod(42611) is specified.
PaymentStreamCompoundingDatesOffsetDayType | [0..1] | CodeSet |
PaymentStreamCompoundingPeriodSkip | [0..1] | int |
PaymentStreamCompoundingStartDate | [0..1] | Component |
PaymentStreamCompoundingEndDate | [0..1] | Component |
PaymentStreamCompoundingFrequencyPeriod | [0..1] | int | Conditionally required when PayamentStreamCompoundingFrequencyUnit(42616) is specified.
PaymentStreamCompoundingFrequencyUnit | [0..1] | CodeSet | Conditionally required when PayamentStreamCompoundingFrequencyPeriod(42615) is specified.
PaymentStreamCompoundingRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream compounding dates.
PaymentStreamBoundsFirstDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamBoundsLastDateUnadjusted | [0..1] | LocalMktDate |

Used in components: PaymentStream

PaymentStreamCompoundingDatesOffsetDayType

Specifies the day type of the relative compounding date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDatesOffsetPeriod

Time unit multiplier for the relative compounding date offset.

Type: int

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDatesOffsetUnit

Time unit associated with the relative compounding date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDatesRelativeTo

Specifies the anchor date when the compounding dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingDateType

Specifies the type of payment compounding date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: PaymentStreamCompoundingDateGrp

PaymentStreamCompoundingEndDateAdjusted

The adjusted compounding end date.

Type: LocalMktDate

Used in components: PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDate is a subcomponent of the PaymentStreamCompoundingDates component used to specify the end date for compounding.

Name | Mult. | Type | Description
PaymentStreamCompoundingEndDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamCompoundingEndDateRelativeTo | [0..1] | int |
PaymentStreamCompoundingEndDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamCompoundingEndDateOffsetUnit(42625) is specified.
PaymentStreamCompoundingEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamCompoundingEndDateOffsetPeriod(42624) is specified.
PaymentStreamCompoundingEndDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamCompoundingEndDateAdjusted | [0..1] | LocalMktDate |

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingEndDateOffsetDayType

Specifies the day type of the relative compounding end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDateOffsetPeriod

Time unit multiplier for the relative compounding end date offset.

Type: int

Used in components: PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDateOffsetUnit

Time unit associated with the relative compounding end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDateRelativeTo

Specifies the anchor date when the compounding end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamCompoundingEndDate

PaymentStreamCompoundingEndDateUnadjusted

The unadjusted compounding end date.

Type: LocalMktDate

Used in components: PaymentStreamCompoundingEndDate

PaymentStreamCompoundingFinalRatePrecision

Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFinalRateRoundingDirection

Specifies the rounding direction for the compounding floating rate.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFixedRate

The compounding fixed rate applicable to the payment stream.

Type: float

Used in components: PaymentStream

PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFloatingRate is a subcomponent of the PaymentStream component used to report the parameters for determining the compounding floating rate of the stream.

Name | Mult. | Type | Description
PaymentStreamCompoundingRateIndex | [0..1] | String |
PaymentStreamCompoundingRateIndexCurvePeriod | [0..1] | int | Conditionally required if PaymentStreamCompoundingRateIndexCurveUnit(42630) is specified.
PaymentStreamCompoundingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required if PaymentStreamCompoundingRateIndexCurvePeriod(42629) is specified.
PaymentStreamCompoundingRateMultiplier | [0..1] | float |
PaymentStreamCompoundingRateSpread | [0..1] | PriceOffset |
PaymentStreamCompoundingRateSpreadPositionType | [0..1] | CodeSet |
PaymentStreamCompoundingRateTreatment | [0..1] | CodeSet |
PaymentStreamCompoundingCapRate | [0..1] | Percentage |
PaymentStreamCompoundingCapRateBuySide | [0..1] | CodeSet |
PaymentStreamCompoundingCapRateSellSide | [0..1] | CodeSet |
PaymentStreamCompoundingFloorRate | [0..1] | Percentage |
PaymentStreamCompoundingFloorRateBuySide | [0..1] | CodeSet |
PaymentStreamCompoundingFloorRateSellSide | [0..1] | CodeSet |
PaymentStreamCompoundingInitialRate | [0..1] | Percentage |
PaymentStreamCompoundingFinalRateRoundingDirection | [0..1] | CodeSet |
PaymentStreamCompoundingFinalRatePrecision | [0..1] | int |
PaymentStreamCompoundingAveragingMethod | [0..1] | CodeSet |
PaymentStreamCompoundingNegativeRateTreatment | [0..1] | CodeSet |

Used in components: PaymentStream

PaymentStreamCompoundingFloorRate

The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFloorRateBuySide

Reference to the buyer of the compounding floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingFrequencyPeriod

Time unit multiplier for the frequency at which compounding dates occur.

Type: int

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingFrequencyUnit

Time unit associated with the frequency at which compounding dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingInitialRate

The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingMethod

Compounding method.

Type: int

Allowed values in PaymentStreamCompoundingMethodCodeSet:

Code | Name | Description
0 | None | None
1 | Flat | Flat
2 | Straight | Straight
3 | SpreadExclusive | Spread exclusive

Used in components: PaymentStream

PaymentStreamCompoundingNegativeRateTreatment

Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingPeriodSkip

The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.

Type: int

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingRateIndex

The payment stream's compounding floating rate index.

Type: String

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRateIndexCurvePeriod

Time unit multiplier for the payment stream's compounding floating rate index curve period.

Type: int

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRateIndexCurveUnit

Time unit associated with the payment stream's compounding floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRateMultiplier

A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRateSpread

The basis points spread from the index specified in PaymentStreamCompoundingRateIndex(42628).

Type: PriceOffset

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: PaymentStreamCompoundingFloatingRate

PaymentStreamCompoundingRollConvention

The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingSpread

The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.

Type: PriceOffset

Used in components: PaymentStream

PaymentStreamCompoundingStartDateAdjusted

The adjusted compounding start date.

Type: LocalMktDate

Used in components: PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDate is a subcomponent of the PaymentStreamCompoundingDates component used to specify the start date for compounding.

Name | Mult. | Type | Description
PaymentStreamCompoundingStartDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamCompoundingStartDateRelativeTo | [0..1] | int |
PaymentStreamCompoundingStartDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamCompoundingStartDateOffsetUnit(42649) is specified.
PaymentStreamCompoundingStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamCompoundingStartDateOffsetPeriod(42648) is specified.
PaymentStreamCompoundingStartDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamCompoundingStartDateAdjusted | [0..1] | LocalMktDate |

Used in components: PaymentStreamCompoundingDates

PaymentStreamCompoundingStartDateOffsetDayType

Specifies the day type of the relative compounding start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDateOffsetPeriod

Time unit multiplier for the relative compounding start date offset.

Type: int

Used in components: PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDateOffsetUnit

Time unit associated with the relative compounding start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDateRelativeTo

Specifies the anchor date when the compounding start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamCompoundingStartDate

PaymentStreamCompoundingStartDateUnadjusted

The unadjusted compounding start date.

Type: LocalMktDate

Used in components: PaymentStreamCompoundingStartDate

PaymentStreamCompoundingXIDRef

Reference to the stream which details the compounding fixed or floating rate.

Type: XIDREF

Used in components: PaymentStream

PaymentStreamContractPrice

The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.

Type: Price

Used in components: PaymentStreamFixedRate

PaymentStreamContractPriceCurrency

Specifies the currency of PaymentStreamContractPrice(41190). Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStreamFixedRate

PaymentStreamDayCount

The day count convention used in the payment stream calculations.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: PaymentStream

PaymentStreamDaysAdjustmentIndicator

Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.

Type: Boolean

Used in components: PaymentStreamFloatingRate

PaymentStreamDelayIndicator

Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.

Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.

Commercial mortgage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.

Type: Boolean

Used in components: PaymentStream

PaymentStreamDiscountRate

Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.

Type: Percentage

Used in components: PaymentStream

PaymentStreamDiscountRateDayCount

The day count convention applied to the PaymentStreamDiscountRate(40745).

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: PaymentStream

PaymentStreamDiscountType

The method of calculating discounted payment amounts

Type: int

Allowed values in PaymentStreamDiscountTypeCodeSet:

Code | Name | Description
0 | Standard | Standard
1 | FRA | Forward Rate Agreement (FRA)

Used in components: PaymentStream

PaymentStreamFinalPricePaymentDateAdjusted

The adjusted final price payment date.

Type: LocalMktDate

Used in components: PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDate is a subcomponent of the PaymentStreamPaymentDates component used to specify the final price payment date, e.g. for an equity return swap.

Name | Mult. | Type | Description
PaymentStreamFinalPricePaymentDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamFinalPricePaymentDateRelativeTo | [0..1] | int |
PaymentStreamFinalPricePaymentDateOffsetfPeriod | [0..1] | int | Conditionally required when PaymentStreamFinalPricePaymentDateOffsetUnit(42657) is specified.
PaymentStreamFinalPricePaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamFinalPricePaymentDateOffsetPeriod(42656) is specified.
PaymentStreamFinalPricePaymentDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamFinalPricePaymentDateAdjusted | [0..1] | LocalMktDate |

Used in components: PaymentStreamPaymentDates

PaymentStreamFinalPricePaymentDateOffsetDayType

Specifies the day type of the relative final price payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDateOffsetfPeriod

Time unit multiplier for the relative final price payment date offset.

Type: int

Used in components: PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDateOffsetUnit

Time unit associated with the relative final price payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDateRelativeTo

Specifies the anchor date when the final price payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPricePaymentDateUnadjusted

The unadjusted final price payment date.

Type: LocalMktDate

Used in components: PaymentStreamFinalPricePaymentDate

PaymentStreamFinalPrincipalExchangeIndicator

Indicates whether there is a final exchange of principal on the termination date.

Type: Boolean

Used in components: PaymentStream

PaymentStreamFinalRate

The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: PaymentStreamFloatingRate

PaymentStreamFinalRatePrecision

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamFinalRateRoundingDirection

Specifies the rounding direction.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstObservationDateAdjusted

The adjusted initial price observation date.

Type: LocalMktDate

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstObservationDateOffsetDayType

Specifies the day type of the initial price observation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstObservationDateOffsetPeriod

Time unit multiplier for the relative first observation date offset.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstObservationDateOffsetUnit

Time unit associated with the relative first observation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstObservationDateRelativeTo

Specifies the anchor date when the initial price observation date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstObservationDateUnadjusted

The unadjusted initial price observation date.

Type: LocalMktDate

Used in components: PaymentStreamFloatingRate

PaymentStreamFirstPaymentDateUnadjusted

The unadjusted first payment date.

Type: LocalMktDate

Used in components: PaymentStreamPaymentDates

PaymentStreamFixedAmount

The payment stream's fixed payment amount. In CDS an alternative to PaymentStreamRate(40784).

Type: Amt

Used in components: PaymentStreamFixedRate

PaymentStreamFixedAmountUnitOfMeasure

Specifies the fixed payment amount unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: PaymentStreamFixedRate

PaymentStreamFixedRate

PaymentStreamFixedRate is a subcomponent of the PaymentStream component used to report the fixed rate or fixed payment amount of the stream.

Name | Mult. | Type | Description
PaymentStreamRate | [0..1] | Percentage | Mutually exclusive with PaymentStreamFixedAmount(40785).
PaymentStreamFixedAmount | [0..1] | Amt | Mutually exclusive with PaymentStreamRate(40784).
PaymentStreamRateOrAmountCurrency | [0..1] | Currency |
PaymentStreamFixedAmountUnitOfMeasure | [0..1] | CodeSet |
PaymentStreamTotalFixedAmount | [0..1] | Amt |
PaymentStreamFutureValueNotional | [0..1] | Amt |
PaymentStreamFutureValueDateAdjusted | [0..1] | LocalMktDate |
PaymentStreamWorldScaleRate | [0..1] | float |
PaymentStreamContractPrice | [0..1] | Price |
PaymentStreamContractPriceCurrency | [0..1] | Currency |

Used in components: PaymentStream

PaymentStreamFixingDate

The fixing date. The type of date is specified in PaymentStreamFixingDateType(42662).

Type: LocalMktDate

Used in groups: PaymentStreamFixingDateGrp

PaymentStreamFixingDateAdjusted

The adjusted fixing date.

Type: LocalMktDate

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateBusinessCenter

The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamFixingDateBusinessCenterGrp

PaymentStreamFixingDateBusinessCenterGrp

PaymentStreamFixingDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamFixingDateBusinessCenters | [1..1] | NumInGroup |
PaymentStreamFixingDateBusinessCenter | [0..1] | String | Required if NoPaymentStreamFixingDateBusinessCenters(40950) > 0.

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateBusinessDayConvention

The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateGrp

PaymentStreamFixingDateGrp is a subcomponent of the PaymentStreamResetDates component used to specify predetermined fixing dates.

Name | Mult. | Type | Description
NoPaymentStreamFixingDates | [1..1] | NumInGroup |
PaymentStreamFixingDate | [0..1] | LocalMktDate | Required if NoPaymentStreamFixingDates(42660) > 0.
PaymentStreamFixingDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateOffsetDayType

Specifies the day type of the relative fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateOffsetPeriod

Time unit multiplier for the relative fixing date offset.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateOffsetUnit

Time unit associated with the relative fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateRelativeTo

Specifies the anchor date when the fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamFixingDateType

Specifies the type of fixing date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: PaymentStreamFixingDateGrp

PaymentStreamFlatRateAmount

Specifies the actual monetary value of the flat rate when PaymentStreamFlatRateIndicator(41180) = 'Y'.

Type: Amt

Used in components: PaymentStream

PaymentStreamFlatRateCurrency

Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStream

PaymentStreamFlatRateIndicator

When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction “Fixed”. If 'N' it is taken on each Pricing Date “Floating”.

Type: Boolean

Used in components: PaymentStream

PaymentStreamFloatingRate

PaymentStreamFloatingRate is a subcomponent of the PaymentStream component used to report the floating rate attributes of the stream.

Name | Mult. | Type | Description
PaymentStreamRateIndex | [0..1] | String |
PaymentStreamRateIndexSource | [0..1] | CodeSet |
PaymentStreamRateIndexID | [0..1] | String | Conditionally required when PaymentStreamRateIndexIDSource(43091) is specified.
PaymentStreamRateIndexIDSource | [0..1] | CodeSet | Conditionally required when PaymentStreamRateIndexID(43090) is specified.
PaymentStreamRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamRateIndexCurvePeriod(40792) is specified.
PaymentStreamRateIndexCurvePeriod | [0..1] | int | Conditionally required when PaymentStreamRateIndexCurveUnit(40791) is specified.
PaymentStreamRateIndex2 | [0..1] | String |
PaymentStreamRateIndex2Source | [0..1] | CodeSet |
PaymentStreamRateIndex2ID | [0..1] | String | Conditionally required when PaymentStreamRateIndex2IDSource(43115) is specified.
PaymentStreamRateIndex2IDSource | [0..1] | CodeSet | Conditionally required when PaymentStreamRateIndex2ID(43114) is specified.
PaymentStreamRateIndex2CurvePeriod | [0..1] | int | Conditionally required when PaymentStreamRateIndex2CurveUnit(41195) is specified.
PaymentStreamRateIndex2CurveUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamRateIndex2CurvePeriod(41194) is specified.
PaymentStreamRateIndexLocation | [0..1] | String |
PaymentStreamRateIndexLevel | [0..1] | Qty |
PaymentStreamRateIndexUnitOfMeasure | [0..1] | CodeSet |
PaymentStreamSettlLevel | [0..1] | CodeSet |
PaymentStreamReferenceLevel | [0..1] | Qty |
PaymentStreamReferenceLevelUnitOfMeasure | [0..1] | CodeSet |
PaymentStreamReferenceLevelEqualsZeroIndicator | [0..1] | Boolean |
PaymentStreamRateMultiplier | [0..1] | float |
PaymentStreamRateSpread | [0..1] | PriceOffset |
PaymentStreamRateSpreadCurrency | [0..1] | Currency |
PaymentStreamRateSpreadUnitOfMeasure | [0..1] | CodeSet |
PaymentStreamRateConversionFactor | [0..1] | float |
PaymentStreamRateSpreadType | [0..1] | CodeSet |
PaymentStreamRateSpreadPositionType | [0..1] | CodeSet |
PaymentStreamRateTreatment | [0..1] | CodeSet |
PaymentStreamCapRate | [0..1] | Percentage |
PaymentStreamCapRateBuySide | [0..1] | CodeSet |
PaymentStreamCapRateSellSide | [0..1] | CodeSet |
PaymentStreamFloorRate | [0..1] | Percentage |
PaymentStreamFloorRateBuySide | [0..1] | CodeSet |
PaymentStreamFloorRateSellSide | [0..1] | CodeSet |
PaymentStreamInitialRate | [0..1] | Percentage |
PaymentStreamLastResetRate | [0..1] | Percentage |
PaymentStreamFinalRate | [0..1] | Percentage |
PaymentStreamFinalRateRoundingDirection | [0..1] | CodeSet |
PaymentStreamFinalRatePrecision | [0..1] | int |
PaymentStreamAveragingMethod | [0..1] | CodeSet |
PaymentStreamNegativeRateTreatment | [0..1] | CodeSet |
PaymentStreamCalculationLagPeriod | [0..1] | int | Conditionally required when PaymentStreamCalculationLagUnit(41210) is specified.
PaymentStreamCalculationLagUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamCalculationLagPeriod(41209) is specified.
PaymentStreamFirstObservationDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamFirstObservationDateRelativeTo | [0..1] | int |
PaymentStreamFirstObservationDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamFirstObservationDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamFirstObservationOffsetUnit(41212) is specified.
PaymentStreamFirstObservationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamFirstObservationOffsetPeriod(41211) is specified.
PaymentStreamFirstObservationDateAdjusted | [0..1] | LocalMktDate |
PaymentStreamPricingDayType | [0..1] | CodeSet |
PaymentStreamPricingDayDistribution | [0..1] | CodeSet |
PaymentStreamPricingDayCount | [0..1] | int |
PaymentStreamPricingBusinessCalendar | [0..1] | String |
PaymentStreamPricingBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of pricing dates.
PaymentStreamPricingBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of pricing dates.
PaymentStreamPricingDayGrp | [0..*] | Group |
PaymentStreamPricingDateGrp | [0..*] | Group |
PaymentStreamInflationLagPeriod | [0..1] | int | Conditionally required when PaymentStreamInflationLagUnit(40809) is specified.
PaymentStreamInflationLagUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamInflationLagPeriod(40808) is specified.
PaymentStreamInflationLagDayType | [0..1] | CodeSet |
PaymentStreamInflationInterpolationMethod | [0..1] | CodeSet |
PaymentStreamInflationIndexSource | [0..1] | CodeSet |
PaymentStreamInflationPublicationSource | [0..1] | String |
PaymentStreamInflationInitialIndexLevel | [0..1] | float |
PaymentStreamInflationFallbackBondApplicable | [0..1] | Boolean |
PaymentStreamFRADiscounting | [0..1] | CodeSet |
PaymentStreamUnderlierRefID | [0..1] | String |
PaymentStreamFormula | [0..1] | Component |
DividendConditions | [0..1] | Component |
ReturnRateNotionalReset | [0..1] | Boolean |
ReturnRateGrp | [0..*] | Group |
PaymentStreamLinkInitialLevel | [0..1] | Price |
PaymentStreamLinkClosingLevelIndicator | [0..1] | Boolean |
PaymentStreamLinkExpiringLevelIndicator | [0..1] | Boolean |
PaymentStreamLinkEstimatedTradingDays | [0..1] | int |
PaymentStreamLinkStrikePrice | [0..1] | Price |
PaymentStreamLinkStrikePriceType | [0..1] | CodeSet |
PaymentStreamLinkMaximumBoundary | [0..1] | float |
PaymentStreamLinkMinimumBoundary | [0..1] | float |
PaymentStreamLinkNumberOfDataSeries | [0..1] | int |
PaymentStreamVarianceUnadjustedCap | [0..1] | float |
PaymentStreamRealizedVarianceMethod | [0..1] | CodeSet |
PaymentStreamDaysAdjustmentIndicator | [0..1] | Boolean |
PaymentStreamNearestExchangeContractRefID | [0..1] | String |
PaymentStreamVegaNotionalAmount | [0..1] | float |

Used in components: PaymentStream

PaymentStreamFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: PaymentStreamFloatingRate

PaymentStreamFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamFloatingRate

PaymentStreamFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: PaymentStreamFloatingRate

PaymentStreamFormula

Contains an XML representation of the formula. Defined for flexibility in choice of language (MathML, OpenMath or text).

Type: XMLData

Used in groups: PaymentStreamFormulaMathGrp

PaymentStreamFormula

PaymentStreamFormula is a subcomponent of the PaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.

Name | Mult. | Type | Description
PaymentStreamFormulaCurrency | [0..1] | Currency |
PaymentStreamFormulaCurrencyDeterminationMethod | [0..1] | String |
PaymentStreamFormulaReferenceAmount | [0..1] | int |
PaymentStreamFormulaMathGrp | [0..*] | Group |
PaymentStreamFormulaImage | [0..1] | Component |

Used in components: PaymentStreamFloatingRate

PaymentStreamFormulaCurrency

The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStreamFormula

PaymentStreamFormulaCurrencyDeterminationMethod

Specifies the method according to which the formula amount currency is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: PaymentStreamFormula

PaymentStreamFormulaDesc

A description of the math formula in PaymentStreamFormula(42684).

Type: String

Used in groups: PaymentStreamFormulaMathGrp

PaymentStreamFormulaImage

Image of the formula image when represented through an encoded clip in base64Binary.

Type: data

Used in components: PaymentStreamFormulaImage

PaymentStreamFormulaImage

PaymentStreamFormulaImage is a subcomponent of the PaymentStreamFormula component used to include a base64Binary-encoded image clip of the formula.

Name | Mult. | Type | Description
PaymentStreamFormulaImageLength | [0..1] | Length | Conditionally required when PaymentStreamFormulaImage(42653) is specified.
PaymentStreamFormulaImage | [0..1] | data | Conditionally required when PaymentStreamFormulaImageLength(42652) is specified.

Used in components: PaymentStreamFormula

PaymentStreamFormulaImageLength

Length in bytes of the PaymentStreamFormulaImage(42563) field.

Type: Length

Used in components: PaymentStreamFormulaImage

PaymentStreamFormulaLength

Byte length of encoded (non-ASCII characters) PaymentStreamFormula(42648) field.

Type: Length

Used in groups: PaymentStreamFormulaMathGrp

PaymentStreamFormulaMathGrp

PaymentStreamFormulaMathGrp is a repeating subcomponent within the PaymentStreamFormula component. It is used to specify the set of formulas, sub-formulas and descriptions from which the rate is derived.

Name | Mult. | Type | Description
NoPaymentStreamFormulas | [1..1] | NumInGroup |
PaymentStreamFormulaLength | [0..1] | Length | Required if NoPaymentStreamFormulas(42683) > 0.
PaymentStreamFormula | [0..1] | XMLData | Required if NoPaymentStreamFormulas(42683) > 0.
PaymentStreamFormulaDesc | [0..1] | String |

Used in components: PaymentStreamFormula

PaymentStreamFormulaReferenceAmount

Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.

See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.

Type: int

Used in components: PaymentStreamFormula

PaymentStreamFRADiscounting

The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.

Type: int

Allowed values in PaymentStreamFRADiscountingCodeSet:

Code | Name | Description
0 | None | None
1 | ISDA | International Swaps and Derivatives Association (ISDA)
2 | AFMA | Australian Financial Markets Association (AFMA)

Used in components: PaymentStreamFloatingRate

PaymentStreamFutureValueDateAdjusted

The adjusted value date of the future value amount.

Type: LocalMktDate

Used in components: PaymentStreamFixedRate

PaymentStreamFutureValueNotional

The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.

Type: Amt

Used in components: PaymentStreamFixedRate

PaymentStreamInflationFallbackBondApplicable

Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).

Type: Boolean

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationIndexSource

The inflation index reference source.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationInitialIndexLevel

Initial known index level for the first calculation period.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationInterpolationMethod

The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationLagDayType

The inflation lag period day type.

Type: int

Allowed values in PaymentStreamInflationLagDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationLagPeriod

Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationLagUnit

Time unit associated with the inflation lag period.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamFloatingRate

PaymentStreamInflationPublicationSource

The current main publication source such as relevant web site or a government body.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamInitialFixingDateAdjusted

The adjusted initial fixing date.

Type: LocalMktDate

Used in components: PaymentStreamResetDates

PaymentStreamInitialFixingDateBusinessCenter

The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamInitialFixingDateBusinessCenterGrp

PaymentStreamInitialFixingDateBusinessCenterGrp

PaymentStreamInitialFixingDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamInitialFixingDateBusinessCenters | [1..1] | NumInGroup |
PaymentStreamInitialFixingDateBusinessCenter | [0..1] | String | Required if NoPaymentStreamInitialFixindDateBusinessCenters(40949) > 0.

Used in components: PaymentStreamResetDates

PaymentStreamInitialFixingDateBusinessDayConvention

The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamResetDates

PaymentStreamInitialFixingDateOffsetDayType

Specifies the day type of the relative initial fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamResetDates

PaymentStreamInitialFixingDateOffsetPeriod

Time unit multiplier for the relative initial fixing date offset.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamInitialFixingDateOffsetUnit

Time unit associated with the relative initial fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamResetDates

PaymentStreamInitialFixingDateRelativeTo

Specifies the anchor date when the initial fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamInitialPrincipalExchangeIndicator

Indicates whether there is an initial exchange of principal on the effective date.

Type: Boolean

Used in components: PaymentStream

PaymentStreamInitialRate

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: PaymentStreamFloatingRate

PaymentStreamInterimPrincipalExchangeIndicator

Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.

Type: Boolean

Used in components: PaymentStream

PaymentStreamInterpolationMethod

The method used when calculating the index rate from multiple points on the curve. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: PaymentStream

PaymentStreamInterpolationPeriod

Defines applicable periods for interpolation.

Type: int

Allowed values in PaymentStreamInterpolationPeriodCodeSet:

Code | Name | Description
0 | Initial | Initial. Interpolation is applicable to the initial period only.
1 | InitialAndFinal | Initial and final. Interpolation is applicable to the initial and final periods only.
2 | Final | Final. Interpolation is applicable to the final period only.
3 | AnyPeriod | Any period. Interpolation is applicable to any non-standard period.

Used in components: PaymentStream

PaymentStreamLastRegularPaymentDateUnadjusted

The unadjusted last regular payment date.

Type: LocalMktDate

Used in components: PaymentStreamPaymentDates

PaymentStreamLastResetRate

The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkClosingLevelIndicator

Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.

Type: Boolean

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkEstimatedTradingDays

The expected number of trading days in the variance or correlation swap stream.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkExpiringLevelIndicator

Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.

Type: Boolean

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkInitialLevel

Price level at which the correlation or variance swap contract will strike.

Type: Price

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkMaximumBoundary

Specifies the maximum or upper boundary for variance or strike determination.

For a variation swap stream all observations above this price level will be excluded from the variance calculation.

For a correlation swap stream the maximum boundary is a percentage of the strike price.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkMinimumBoundary

Specifies the minimum or lower boundary for variance or strike determination.

For a variation swap stream all observations below this price level will be excluded from the variance calculation.

For a correlation swap stream the minimum boundary is a percentage of the strike price.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkNumberOfDataSeries

Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkStrikePrice

The strike price of a correlation or variance swap stream.

Type: Price

Used in components: PaymentStreamFloatingRate

PaymentStreamLinkStrikePriceType

For a variance swap specifies how PaymentStreamLinkStrikePrice(42673) is expressed.

Type: int

Allowed values in PaymentStreamLinkStrikePriceTypeCodeSet:

Code | Name | Description
0 | Volatility | Volatility
1 | Variance | Variance

Used in components: PaymentStreamFloatingRate

PaymentStreamMarketRate

Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.

Type: int

Used in components: PaymentStream

PaymentStreamMasterAgreementPaymentDatesIndicator

When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.

Type: Boolean

Used in components: PaymentStreamPaymentDates

PaymentStreamMaximumPaymentAmount

Specifies the limit on the total payment amount.

Type: Amt

Used in components: PaymentStream

PaymentStreamMaximumPaymentCurrency

Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStream

PaymentStreamMaximumTransactionAmount

Specifies the limit on the payment amount that goes out in any particular calculation period.

Type: Amt

Used in components: PaymentStream

PaymentStreamMaximumTransactionCurrency

Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStream

PaymentStreamNearestExchangeContractRefID

References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamNegativeRateTreatment

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: PaymentStreamFloatingRate

PaymentStreamNonDeliverableFixingDateGrp

PaymentStreamNonDeliverableFixingDate is a subcomponent of the PaymentStreamNonDeliverableSettlTerms component used to specify predetermined fixing dates.

Name | Mult. | Type | Description
NoNonDeliverableFixingDates | [1..1] | NumInGroup |
NonDeliverableFixingDate | [0..1] | LocalMktDate | Required if NoNonDeliverableFixingDates(40825) > 0.
NonDeliverableFixingDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableFixingDatesBusinessCenter

The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp is a repeating subcomponent within the PaymentStreamNonDeliverableSettlTerms component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamNonDeliverableFixingDatesBusinessCenters | [1..1] | NumInGroup |
PaymentStreamNonDeliverableFixingDatesBusinessCenter | [0..1] | String | Required if NoPaymentStreamNonDeliverableFixingDatesBusinessCenters(40946) > 0.

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableFixingDatesBusinessDayConvention

The business day convention used to adjust the payment stream's fixing date for the non-deliverable settlement terms. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableFixingDatesOffsetDayType

Specifies the day type of the relative non-deliverable fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableFixingDatesOffsetPeriod

Time unit multiplier for the relative non-deliverable fixing date offset.

Type: int

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableFixingDatesOffsetUnit

Time unit associated with the relative non-deliverable fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableFixingDatesRelativeTo

Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableRefCurrency

The non-deliverable settlement reference currency. Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableSettlRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in components: PaymentStreamNonDeliverableSettlRateSource

PaymentStreamNonDeliverableSettlRateSource

PaymentStreamNonDeliverableSettlRateSource is a subcomponent of the PaymentStreamNonDeliverableSettlTerms component used to specify the rate source in the event of payment non-delivery.

Name | Mult. | Type | Description
PaymentStreamNonDeliverableSettlRateSource | [0..1] | CodeSet |
PaymentStreamNonDeliverableSettlReferencePage | [0..1] | String | Conditionally required when PaymentStreamNonDeliverableSettlRateSource(40371) = 3 (ISDA Settlement Rate Option) or 99 (Other).

Used in components: PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableSettlReferencePage

Identifies the reference "page" from the rate source.

When PaymentStreamNonDeliverableSettlRateSource(40371) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in components: PaymentStreamNonDeliverableSettlRateSource

PaymentStreamNonDeliverableSettlTerms

PaymentStreamNonDeliverableSettlTerms is a subcomponent of the PaymentStream component used to specify the non-deliverable settlement terms of the payment stream.

Name | Mult. | Type | Description
PaymentStreamNonDeliverableRefCurrency | [0..1] | Currency |
PaymentStreamNonDeliverableFixingDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's non-deliverable fixing dates.
PaymentStreamNonDeliverableFixingDatesBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's non-deliverable fixing dates.
PaymentStreamNonDeliverableFixingDatesRelativeTo | [0..1] | int |
PaymentStreamNonDeliverableFixingDatesOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamNonDeliverableFixingDatesOffsetUnit(40822) is specified.
PaymentStreamNonDeliverableFixingDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamNonDeliverableFixingDatesOffsetPeriod(40821) is specified.
PaymentStreamNonDeliverableFixingDatesOffsetDayType | [0..1] | CodeSet |
PaymentStreamNonDeliverableSettlRateSource | [0..1] | Component |
PaymentStreamNonDeliverableFixingDateGrp | [0..*] | Group |
SettlRateDisruptionFallbackGrp | [0..*] | Group |

Used in components: PaymentStream

PaymentStreamOtherDayCount

The industry name of the day count convention not listed in PaymentStreamDayCount(40742).

Type: String

Used in components: PaymentStream

PaymentStreamPaymentDate

The adjusted or unadjusted fixed stream payment date.

Type: LocalMktDate

Used in groups: PaymentStreamPaymentDateGrp

PaymentStreamPaymentDateBusinessCenter

The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamPaymentDateBusinessCenterGrp

PaymentStreamPaymentDateBusinessCenterGrp

PaymentStreamPaymentDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamPaymentDateBusinessCenters | [1..1] | NumInGroup |
PaymentStreamPaymentDateBusinessCenter | [0..1] | String | Required if NoPaymentStreamPaymentDateBusinessCenters(40947) > 0.

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDateBusinessDayConvention

The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDateGrp

The PaymentStreamPaymentDateGrp is a repeating subcomponent of the PaymentStreamPaymentDates component used to detail fixed dates for swap stream payments.

Name | Mult. | Type | Description
NoPaymentStreamPaymentDates | [1..1] | NumInGroup |
PaymentStreamPaymentDate | [0..1] | LocalMktDate | Required if NoPaymentStreamPaymentDates(41220) > 0.
PaymentStreamPaymentDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDateOffsetDayType

Specifies the day type of the relative payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDateOffsetPeriod

Time unit multiplier for the relative payment date offset.

Type: int

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDateOffsetUnit

Time unit multiplier for the relative initial fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDateRelativeTo

Specifies the anchor date when payment dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentDates

PaymentStreamPaymentDates is a subcomponent of the PaymentStream component used to specify the payment dates of the stream.

Name | Mult. | Type | Description
PaymentStreamPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's payment dates.
PaymentStreamPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's payment dates.
PaymentStreamPaymentDateGrp | [0..*] | Group |
PaymentStreamPaymentFrequencyPeriod | [0..1] | int | Conditionally required when PaymentStreamPaymentFrequencyUnit(40754) is specified.
PaymentStreamPaymentFrequencyUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamPaymentFrequencyPeriod(40753) is specified.
PaymentStreamPaymentRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the stream payment dates
PaymentStreamFirstPaymentDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamLastRegularPaymentDateUnadjusted | [0..1] | LocalMktDate |
PaymentStreamPaymentDateRelativeTo | [0..1] | int |
PaymentStreamPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamPaymentDateOffsetUnit(40760) is specified.
PaymentStreamPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamPaymentDateOffsetPeriod(40759) is specified.
PaymentStreamPaymentDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamMasterAgreementPaymentDatesIndicator | [0..1] | Boolean |
PaymentStreamFinalPricePaymentDate | [0..1] | Component |

Used in components: PaymentStream

PaymentStreamPaymentDateType

Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: PaymentStreamPaymentDateGrp

PaymentStreamPaymentFrequencyPeriod

Time unit multiplier for the frequency of payments.

Type: int

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentFrequencyUnit

Time unit associated with the frequency of payments.

Type: String

Allowed values in PaymentStreamPaymentFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
T | Term | Term

Used in components: PaymentStreamPaymentDates

PaymentStreamPaymentRollConvention

The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the DateAdjustment component within the Instrument component.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: PaymentStreamPaymentDates

PaymentStreamPricingBusinessCalendar

Specifies the business calendar to use for pricing.

See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingBusinessCenter

The business center calendar used to adjust the payment stream's pricing dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamPricingBusinessCenterGrp

PaymentStreamPricingBusinessCenterGrp

The PaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamPricingBusinessCenters | [1..1] | NumInGroup |
PaymentStreamPricingBusinessCenter | [0..1] | String | Required if NoPaymentStreamPricingBusinessCenters(41192) > 0.

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingBusinessDayConvention

The business day convention used to adjust the payent stream's pricing dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingDate

The adjusted or unadjusted fixed stream pricing date.

Type: LocalMktDate

Used in groups: PaymentStreamPricingDateGrp

PaymentStreamPricingDateGrp

The PaymentStreamPricingDateGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to detail fixed pricing dates.

Name | Mult. | Type | Description
NoPaymentStreamPricingDates | [1..1] | NumInGroup |
PaymentStreamPricingDate | [0..1] | LocalMktDate | Required if NoPaymentStreamPricingDates(41224) > 0.
PaymentStreamPricingDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingDateType

Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: PaymentStreamPricingDateGrp

PaymentStreamPricingDayCount

The number of days over which pricing should take place.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingDayDistribution

The distribution of pricing days.

Type: int

Allowed values in PaymentStreamPricingDayDistributionCodeSet:

Code | Name | Description
0 | All | All
1 | First | First
2 | Last | Last
3 | Penultimate | Penultimate

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingDayGrp

The PaymentStreamPricingDayGrp is a repeating subcomponent of the PaymentStreamFloatingRate component used to detail periodic pricing days.

Name | Mult. | Type | Description
NoPaymentStreamPricingDays | [1..1] | NumInGroup |
PaymentStreamPricingDayOfWeek | [0..1] | CodeSet | Required if NoPaymentStreamPricingDays(41227) > 0.
PaymentStreamPricingDayNumber | [0..1] | int |

Used in components: PaymentStreamFloatingRate

PaymentStreamPricingDayNumber

The occurrence of the day of week on which pricing takes place.

Type: int

Used in groups: PaymentStreamPricingDayGrp

PaymentStreamPricingDayOfWeek

The day of the week on which pricing takes place.

Type: int

Allowed values in PaymentStreamPricingDayOfWeekCodeSet:

Code | Name | Description
0 | EveryDay | Every day (the default if not specified)
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday

Used in groups: PaymentStreamPricingDayGrp

PaymentStreamPricingDayType

Specifies the commodity pricing day type.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamFloatingRate

PaymentStreamRate

The rate applicable to the fixed rate payment stream.

Type: Percentage

Used in components: PaymentStreamFixedRate

PaymentStreamRateConversionFactor

The number to be multiplied by the derived floating rate of the payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamRateCutoffDateOffsetDayType

Specifies the day type of the relative rate cut-off date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStreamResetDates

PaymentStreamRateCutoffDateOffsetPeriod

Time unit multiplier for the relative rate cut-off date offset.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamRateCutoffDateOffsetUnit

Time unit associated with the relative rate cut-off date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamResetDates

PaymentStreamRateIndex

The payment stream floating rate index.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndex2

The payment stream's second floating rate index.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndex2CurvePeriod

Secondary time unit multiplier for the payment stream's floating rate index curve.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndex2CurveUnit

Secondary time unit associated with the payment stream's floating rate index curve.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndex2ID

Security identifier of the second floating rate index.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndex2IDSource

Source for the second floating rate index identified in PaymentStreamRateIndex2ID(43114).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndex2Source

The source of the payment stream's second floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexCurvePeriod

Time unit multiplier for the floating rate index.

Type: int

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexCurveUnit

Time unit associated with the floating rate index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexID

Security identifier of the floating rate index.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexIDSource

Source for the floating rate index identified in PaymentStreamRateIndexID(43090).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexLevel

This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.

Type: Qty

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexLocation

Specifies the location of the floating rate index.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexSource

The source of the payment stream floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: PaymentStreamFloatingRate

PaymentStreamRateIndexUnitOfMeasure

The unit of measure (UOM) of the rate index level.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: PaymentStreamFloatingRate

PaymentStreamRateMultiplier

A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamRateOrAmountCurrency

Specifies the currency in which PaymentStreamFixedAmount(40785) or PaymentStreamRate(40784) is denominated. Uses ISO 4271 currency codes.

Type: Currency

Used in components: PaymentStreamFixedRate

PaymentStreamRateSpread

Spread from floating rate index.

Type: PriceOffset

Used in components: PaymentStreamFloatingRate

PaymentStreamRateSpreadCurrency

Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStreamFloatingRate

PaymentStreamRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: PaymentStreamFloatingRate

PaymentStreamRateSpreadType

Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.

Type: int

Allowed values in PaymentStreamRateSpreadTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in components: PaymentStreamFloatingRate

PaymentStreamRateSpreadUnitOfMeasure

Species the unit of measure (UOM) of the floating rate spread.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: PaymentStreamFloatingRate

PaymentStreamRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: PaymentStreamFloatingRate

PaymentStreamRealizedVarianceMethod

Indicates which price to use to satisfy the boundary condition.

Type: int

Allowed values in PaymentStreamRealizedVarianceMethodCodeSet:

Code | Name | Description
0 | Previous | Previous. For a return on day T, the observed price on T-1 must be in range.
1 | Last | Last. For a return on day T, the observed price on T must be in range.
2 | Both | Both. For a return on day T, the observed prices on both T and T-1 must be in range.

Used in components: PaymentStreamFloatingRate

PaymentStreamReferenceLevel

This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.

Type: Qty

Used in components: PaymentStreamFloatingRate

PaymentStreamReferenceLevelEqualsZeroIndicator

When set to 'Y', it indicates the weather reference level equals zero.

Type: Boolean

Used in components: PaymentStreamFloatingRate

PaymentStreamReferenceLevelUnitOfMeasure

The unit of measure (UOM) of the rate reference level.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: PaymentStreamFloatingRate

PaymentStreamResetDateBusinessCenter

The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStreamResetDateBusinessCenterGrp

PaymentStreamResetDateBusinessCenterGrp

PaymentStreamResetDateBusinessCenterGrp is a repeating subcomponent within the PaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStreamResetDateBusinessCenters | [1..1] | NumInGroup |
PaymentStreamResetDateBusinessCenter | [0..1] | String | Required if NoPaymentStreamResetDateBusinessCenters(40948) > 0.

Used in components: PaymentStreamResetDates

PaymentStreamResetDateBusinessDayConvention

The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStreamResetDates

PaymentStreamResetDateRelativeTo

Specifies the anchor date when the reset dates are relative to an anchor date.

If the reset frequency is specified as daily this element must not be included.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamResetDates

PaymentStreamResetDates is a subcomponent of the PaymentStream component used to specify the floating rate reset dates of the stream.

Name | Mult. | Type | Description
PaymentStreamResetDateRelativeTo | [0..1] | int |
PaymentStreamResetDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's reset dates.
PaymentStreamResetDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's reset dates.
PaymentStreamResetFrequencyPeriod | [0..1] | int | Conditionally required when PaymentStreamResetFrequencyUnit(40765) is specified.
PaymentStreamResetFrequencyUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamResetFrequencyPeriod(40764) is specified.
PaymentStreamResetWeeklyRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the stream floating rate reset dates.
PaymentStreamInitialFixingDateRelativeTo | [0..1] | int |
PaymentStreamInitialFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's reset dates.
PaymentStreamInitialFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's reset dates.
PaymentStreamInitialFixingDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamInitialFixingDateOffsetUnit(40771) is specified.
PaymentStreamInitialFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamInitialFixingDateOffsetPeriod(40770) is specified.
PaymentStreamInitialFixingDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamInitialFixingDateAdjusted | [0..1] | LocalMktDate |
PaymentStreamFixingDateRelativeTo | [0..1] | int |
PaymentStreamFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the payment stream's reset dates.
PaymentStreamFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream's reset dates.
PaymentStreamFixingDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamFixingDateOffsetUnit(40778) is specified.
PaymentStreamFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamFixingDateOffsetPeriod(40777) is specified.
PaymentStreamFixingDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamFixingDateAdjusted | [0..1] | LocalMktDate |
PaymentStreamRateCutoffDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStreamRateCutoffDateOffsetUnit(40782) is specified.
PaymentStreamRateCutoffDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStreamRateCutoffDateOffsetPeriod(40783) is specified.
PaymentStreamRateCutoffDateOffsetDayType | [0..1] | CodeSet |
PaymentStreamFixingDateGrp | [0..*] | Group |

Used in components: PaymentStream

PaymentStreamResetFrequencyPeriod

Time unit multiplier for the frequency of resets.

Type: int

Used in components: PaymentStreamResetDates

PaymentStreamResetFrequencyUnit

Time unit associated with the frequency of resets.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: PaymentStreamResetDates

PaymentStreamResetWeeklyRollConvention

Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.

Type: String

Allowed values in PaymentStreamResetWeeklyRollConventionCodeSet:

Code | Name | Description
MON | Monday | Monday
TUE | Tuesday | Tuesday
WED | Wednesday | Wednesday
THU | Thursday | Thursday
FRI | Friday | Friday
SAT | Saturday | Saturday
SUN | Sunday | Sunday

Used in components: PaymentStreamResetDates

PaymentStreamSettlCurrency

Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.

Type: Currency

Used in components: PaymentStream

PaymentStreamSettlLevel

Specifies how weather index units are to be calculated.

Type: int

Allowed values in PaymentStreamSettlLevelCodeSet:

Code | Name | Description
0 | Average | Average. The cumulative number of weather index units for each day in the calculation period divided by the number of days in the calculation period.
1 | Maximum | Maximum. The maximum number of weather index units for any day in the calculaiton period.
2 | Minimum | Minimum. The minimum number of weather index units for any day in the calculaiton period.
3 | Cumulative | Cumulative. The cumulative number of weather index units for each day in the calculaiton period.

Used in components: PaymentStreamFloatingRate

PaymentStreamTotalFixedAmount

Specifies the total fixed payment amount.

Type: Amt

Used in components: PaymentStreamFixedRate

PaymentStreamType

Identifies the type of payment stream associated with the swap.

Type: int

Allowed values in PaymentStreamTypeCodeSet:

Code | Name | Description
0 | Periodic | Periodic (default)
1 | Initial | Initial
2 | Single | Single
3 | Dividend | Dividend
4 | Interest | Interest
5 | DividendReturn | Dividend return
6 | PriceReturn | Price return
7 | TotalReturn | Total return
8 | Variance | Variance
9 | Correlation | Correlation

Used in components: PaymentStream

PaymentStreamUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: PaymentStreamFloatingRate

PaymentStreamVarianceUnadjustedCap

Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamVegaNotionalAmount

"Vega Notional" represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.

Type: float

Used in components: PaymentStreamFloatingRate

PaymentStreamWorldScaleRate

The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.

Type: float

Used in components: PaymentStreamFixedRate

PaymentStubEndDateAdjusted

The adjusted stub end date.

Type: LocalMktDate

Used in components: PaymentStubEndDate

PaymentStubEndDateBusinessCenter

The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStubEndDateBusinessCenterGrp

PaymentStubEndDateBusinessCenterGrp

PaymentStubEndDateBusinessCenterGrp is a repeating subcomponent within the PaymentStubEndDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStubEndDateBusinessCenters | [1..1] | NumInGroup |
PaymentStubEndDateBusinessCenter | [0..1] | String | Required if NoPaymentStubEndDateBusinessCenters(42696) > 0.

Used in components: PaymentStubEndDate

PaymentStubEndDateBusinessDayConvention

The stub end date business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStubEndDate

PaymentStubEndDate

PaymentStubEndDate is a subcomponent of the PaymentStubGrp component used to specify the end date of the payment stub.

Name | Mult. | Type | Description
PaymentStubEndDateUnadjusted | [0..1] | LocalMktDate |
PaymentStubEndDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this payment stub instance.
PaymentStubEndDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this payment stub instance.
PaymentStubEndDateRelativeTo | [0..1] | int |
PaymentStubEndDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStubEndDateOffsetUnit(42693) is specified.
PaymentStubEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStubEndDateOffsetPeriod(42692) is specified.
PaymentStubEndDateOffsetDayType | [0..1] | CodeSet |
PaymentStubEndDateAdjusted | [0..1] | LocalMktDate |

Used in groups: PaymentStubGrp

PaymentStubEndDateOffsetDayType

Specifies the day type of the relative stub end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStubEndDate

PaymentStubEndDateOffsetPeriod

Time unit multiplier for the relative stub end date offset.

Type: int

Used in components: PaymentStubEndDate

PaymentStubEndDateOffsetUnit

Time unit associated with the relative stub end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStubEndDate

PaymentStubEndDateRelativeTo

Specifies the anchor date when the stub end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStubEndDate

PaymentStubEndDateUnadjusted

The unadjusted stub end date.

Type: LocalMktDate

Used in components: PaymentStubEndDate

PaymentStubFixedAmount

A fixed payment amount for the stub.

Type: Amt

Used in groups: PaymentStubGrp

PaymentStubFixedCurrency

The currency of the fixed payment amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PaymentStubGrp

PaymentStubGrp

The PaymentStubGrp is a repeating subcomponent of the StreamGrp component used to specify front and back stubs of the payment stream.

Name | Mult. | Type | Description
NoPaymentStubs | [1..1] | NumInGroup |
PaymentStubType | [0..1] | CodeSet | Required if NoPaymentStubs(40872) > 0.
PaymentStubLength | [0..1] | CodeSet |
PaymentStubStartDate | [0..1] | Component |
PaymentStubEndDate | [0..1] | Component |
PaymentStubRate | [0..1] | Percentage |
PaymentStubFixedAmount | [0..1] | Amt |
PaymentStubFixedCurrency | [0..1] | Currency |
PaymentStubIndex | [0..1] | String |
PaymentStubIndexSource | [0..1] | CodeSet |
PaymentStubIndexCurvePeriod | [0..1] | int | Conditionally required when PaymentStubIndexCurveUnit(40881) is specified.
PaymentStubIndexCurveUnit | [0..1] | CodeSet | Conditionally required when PaymentStubIndexCurvePeriod(40880) is specified.
PaymentStubIndexRateMultiplier | [0..1] | float |
PaymentStubIndexRateSpread | [0..1] | PriceOffset |
PaymentStubIndexRateSpreadPositionType | [0..1] | CodeSet |
PaymentStubIndexRateTreatment | [0..1] | CodeSet |
PaymentStubIndexCapRate | [0..1] | Percentage |
PaymentStubIndexCapRateBuySide | [0..1] | CodeSet |
PaymentStubIndexCapRateSellSide | [0..1] | CodeSet |
PaymentStubIndexFloorRate | [0..1] | Percentage |
PaymentStubIndexFloorRateBuySide | [0..1] | CodeSet |
PaymentStubIndexFloorRateSellSide | [0..1] | CodeSet |
PaymentStubIndex2 | [0..1] | String |
PaymentStubIndex2Source | [0..1] | CodeSet |
PaymentStubIndex2CurvePeriod | [0..1] | int | Conditionally required when PaymentStubIndex2CurveUnit(40895) is specified.
PaymentStubIndex2CurveUnit | [0..1] | CodeSet | Conditionally required when PaymentStubIndex2CurvePeriod(40894) is specified.
PaymentStubIndex2RateMultiplier | [0..1] | float |
PaymentStubIndex2RateSpread | [0..1] | PriceOffset |
PaymentStubIndex2RateSpreadPositionType | [0..1] | CodeSet |
PaymentStubIndex2RateTreatment | [0..1] | CodeSet |
PaymentStubIndex2CapRate | [0..1] | Percentage |
PaymentStubIndex2FloorRate | [0..1] | Percentage |

Used in groups: StreamGrp

PaymentStubIndex

The stub floating rate index.

Type: String

Used in groups: PaymentStubGrp

PaymentStubIndex2

The second stub floating rate index.

Type: String

Used in groups: PaymentStubGrp

PaymentStubIndex2CapRate

The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: PaymentStubGrp

PaymentStubIndex2CurvePeriod

Secondary time unit multiplier for the stub floating rate index curve.

Type: int

Used in groups: PaymentStubGrp

PaymentStubIndex2CurveUnit

Secondary time unit associated with the stub floating rate index curve.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentStubGrp

PaymentStubIndex2FloorRate

The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: PaymentStubGrp

PaymentStubIndex2RateMultiplier

A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: PaymentStubGrp

PaymentStubIndex2RateSpread

Spread from the second floating rate index.

Type: PriceOffset

Used in groups: PaymentStubGrp

PaymentStubIndex2RateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: PaymentStubGrp

PaymentStubIndex2RateTreatment

Specifies the yield calculation treatment for the second stub index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: PaymentStubGrp

PaymentStubIndex2Source

The source of the second stub floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in groups: PaymentStubGrp

PaymentStubIndexCapRate

The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: PaymentStubGrp

PaymentStubIndexCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: PaymentStubGrp

PaymentStubIndexCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: PaymentStubGrp

PaymentStubIndexCurvePeriod

Time unit multiplier for the stub floating rate index.

Type: int

Used in groups: PaymentStubGrp

PaymentStubIndexCurveUnit

Time unit associated with the stub floating rate index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: PaymentStubGrp

PaymentStubIndexFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: PaymentStubGrp

PaymentStubIndexFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: PaymentStubGrp

PaymentStubIndexFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: PaymentStubGrp

PaymentStubIndexRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: PaymentStubGrp

PaymentStubIndexRateSpread

Spread from floating rate index.

Type: PriceOffset

Used in groups: PaymentStubGrp

PaymentStubIndexRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: PaymentStubGrp

PaymentStubIndexRateTreatment

Specifies the yield calculation treatment for the payment stub index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: PaymentStubGrp

PaymentStubIndexSource

The source of the stub floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in groups: PaymentStubGrp

PaymentStubLength

Optional indication whether stub is shorter or longer than the regular swap period.

Type: int

Allowed values in PaymentStubLengthCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: PaymentStubGrp

PaymentStubRate

The agreed upon fixed rate for this stub.

Type: Percentage

Used in groups: PaymentStubGrp

PaymentStubStartDateAdjusted

The adjusted stub start date.

Type: LocalMktDate

Used in components: PaymentStubStartDate

PaymentStubStartDateBusinessCenter

The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PaymentStubStartDateBusinessCenterGrp

PaymentStubStartDateBusinessCenterGrp

PaymentStubStartDateBusinessCenterGrp is a repeating subcomponent within the PaymentStubStartDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPaymentStubStartDateBusinessCenters | [1..1] | NumInGroup |
PaymentStubStartDateBusinessCenter | [0..1] | String | Required if NoPaymentStubStartDateBusinessCenters(42705) > 0.

Used in components: PaymentStubStartDate

PaymentStubStartDateBusinessDayConvention

The stub start date business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PaymentStubStartDate

PaymentStubStartDate

PaymentStubStartDate is a subcomponent of the PaymentStubGrp component used to specify the start date of the payment stub.

Name | Mult. | Type | Description
PaymentStubStartDateUnadjusted | [0..1] | LocalMktDate |
PaymentStubStartDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this payment stub instance.
PaymentStubStartDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this payment stub instance.
PaymentStubStartDateRelativeTo | [0..1] | int |
PaymentStubStartDateOffsetPeriod | [0..1] | int | Conditionally required when PaymentStubStartDateOffsetUnit(42702) is specified.
PaymentStubStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when PaymentStubStartDateOffsetPeriod(42701) is specified.
PaymentStubStartDateOffsetDayType | [0..1] | CodeSet |
PaymentStubStartDateAdjusted | [0..1] | LocalMktDate |

Used in groups: PaymentStubGrp

PaymentStubStartDateOffsetDayType

Specifies the day type of the relative stub start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: PaymentStubStartDate

PaymentStubStartDateOffsetPeriod

Time unit multiplier for the relative stub start date offset.

Type: int

Used in components: PaymentStubStartDate

PaymentStubStartDateOffsetUnit

Time unit associated with the relative stub start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: PaymentStubStartDate

PaymentStubStartDateRelativeTo

Specifies the anchor date when the stub start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: PaymentStubStartDate

PaymentStubStartDateUnadjusted

The unadjusted stub start date.

Type: LocalMktDate

Used in components: PaymentStubStartDate

PaymentStubType

Stub type.

Type: int

Allowed values in PaymentStubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Final | Final
2 | CompoundingInitial | Compounding initial
3 | CompoundingFinal | Compounding final

Used in groups: PaymentStubGrp

PaymentSubType

Used to further clarify the value of PaymentType(40213).

Type: int

Allowed values in PaymentSubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial (principal exchange)
1 | Intermediate | Intermediate (principal exchange)
2 | Final | Final (principal exchange)
3 | Prepaid | Prepaid (premium forward)
4 | Postpaid | Postpaid (premium forward)
5 | Variable | Variable (premium forward)
6 | Fixed | Fixed (premium forward)
7 | Swap | Swap (premium). Indicates that the premium is to be paid in the style of payments under an IRS contract.
8 | Conditional | Conditional (principal exchange on exercise)
9 | FixedRate | Fixed rate. Applicable to PaymentType(40213)=14 (Rebate) for which PaymentFixedRate(43097) and its qualifiers supersede PaymentAmount(40217).
10 | FloatingRate | Floating rate. Applicable to PaymentType(40213)=14 (Rebate) for which PaymentFloatingRateIndex(43098) and its qualifiers supersede PaymentAmount(40217).

Used in groups: PaymentGrp

PaymentText

Free form text to specify additional information or enumeration description when a sdtandard value does not apply. Identifies the payment type when PaymentType(40213) = 99 (Other).

Type: String

Used in groups: PaymentGrp

PaymentType

Type of payment.

Type: int

Allowed values in PaymentTypeCodeSet:

Code | Name | Description
0 | Brokerage | Brokerage
1 | UpfrontFee | Upfront fee
2 | IndependentAmountCollateral | Independent amount / collateral
3 | PrincipalExchange | Principal exchange
4 | NovationTermination | Novation / termination
5 | EarlyTerminationProvision | Early termination provision
6 | CancelableProvision | Cancelable provision
7 | ExtendibleProvision | Extendible provision
8 | CapRateProvision | Cap rate provision
9 | FloorRateProvision | Floor rate provision
10 | OptionPremium | Option premium
11 | SettlementPayment | Settlement payment
12 | CashSettl | Cash settlement
13 | SecurityLending | Security lending. Fee that the borrower of the security or commodity pays to the lender. The basis rate is specified in PaymentFixedRate(43097). A security lending fee payment may be periodic, in which case specify PaymentFrequencyPeriod(43102) and PaymentFrequencyUnit(43103).
14 | Rebate | Rebate. For contracts calling for rebate payment(s), e.g. Securities Lending, normally specified as a fixed or floating rate rather than a fixed amount. A rebate payment may be periodic, in which case specify PaymentFrequencyPeriod(43102) and PaymentFrequencyUnit(43103).
99 | Other | Other

Used in groups: PaymentGrp

PaymentUnitOfMeasure

Used to express the unit of measure (UOM) of the payment amount if not in the currency of the trade.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: PaymentGrp

PayReportID

Unique ID of the PayManagementReport(35=EA) message.

Type: String

Used in messages: PayManagementReport, PayManagementReportAck

PayReportRefID

Reference identifier of the PayManagementReport(35=EA). To be used with PayReportTransType(2804)=1 (Replace).

Type: String

Used in messages: PayManagementReport

PayReportStatus

Identifies status of the payment report.

Type: int

Allowed values in PayReportStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected
3 | Disputed | Disputed. Used when there is some type of mismatch that can be resolved.

Used in messages: PayManagementReportAck

PayReportTransType

Identifies the message transaction type.

Type: int

Allowed values in PayReportTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Replace | Replace
2 | Status | Status. An unsolicited message reporting the current progress status of the payment.

Used in messages: PayManagementReport

PayRequestID

Unique ID of the PayManagementRequest(35=DY) message.

Type: String

Used in messages: PayManagementReport, PayManagementRequest, PayManagementRequestAck

PayRequestRefID

Reference identifier of the PayManagementRequest(35=DY). To be used with PayRequestTransType(2811)=1 (Cancel).

Type: String

Used in messages: PayManagementRequest

PayRequestStatus

Identifies status of the request being responded to.

Type: int

Allowed values in PayRequestStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected
3 | Disputed | Disputed. Used when there is some type of mismatch that can be resolved.

Used in messages: PayManagementReport, PayManagementRequestAck

PayRequestTransType

Identifies the message transaction type.

Type: int

Allowed values in PayRequestTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel

Used in messages: PayManagementRequest

PctAtRisk

Percent at risk due to lowest possible call.

Type: Percentage

Used in components: InstrumentExtension

PeggedPrice

The price the order is currently pegged at

Type: Price

Used in messages: ExecutionReport

PeggedRefPrice

The value of the reference price that the order is pegged to. PeggedRefPrice + PegOffsetValue (211) = PeggedPrice (839) unless the limit price (44, Price) is breached. The values may not be exact due to rounding.

Type: Price

Used in messages: ExecutionReport

PegInstructions

The Peg Instructions component block is used to tie the price of a security to a market event such as opening price, mid-price, best price. The Peg Instructions block may also be used to tie the price to the behavior of a related security.

Name | Mult. | Type | Description
PegOffsetValue | [0..1] | float | Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType
PegPriceType | [0..1] | CodeSet | Defines the type of peg.
PegMoveType | [0..1] | CodeSet | Describes whether peg is static/fixed or floats
PegOffsetType | [0..1] | CodeSet | Type of Peg Offset (e.g. price offset, tick offset etc)
PegLimitType | [0..1] | CodeSet | Specifies nature of resulting pegged price (e.g. or better limit, strict limit etc)
PegRoundDirection | [0..1] | CodeSet | If the calculated peg price is not a valid tick price, specifies how to round the price (e.g. be more or less aggressive)
PegScope | [0..1] | CodeSet | The scope of the "related to" price of the peg (e.g. local, global etc)
PegSecurityIDSource | [0..1] | CodeSet | Required if PegSecurityID is specified.
PegSecurityID | [0..1] | String | Requires PegSecurityIDSource if specified.
PegSymbol | [0..1] | String |
PegSecurityDesc | [0..1] | String |

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

PegLimitType

Type of Peg Limit

Type: int

Allowed values in PegLimitTypeCodeSet:

Code | Name | Description
0 | OrBetter | Or better (default) - price improvement allowed
1 | Strict | Strict - limit is a strict limit
2 | OrWorse | Or worse - for a buy the peg limit is a minimum and for a sell the peg limit is a maximum (for use for orders which have a price range)

Used in components: PegInstructions

PegMoveType

Describes whether peg is static or floats

Type: int

Allowed values in PegMoveTypeCodeSet:

Code | Name | Description
0 | Floating | Floating (default)
1 | Fixed | Fixed

Used in components: PegInstructions

PegOffsetType

Type of Peg Offset value

Type: int

Allowed values in PegOffsetTypeCodeSet:

Code | Name | Description
0 | Price | Price (default)
1 | BasisPoints | Basis Points
2 | Ticks | Ticks
3 | PriceTier | Price Tier / Level
4 | Percentage | Percentage

Used in components: PegInstructions

PegOffsetValue

Amount (signed) added to the peg for a pegged order in the context of the PegOffsetType (836)

(Prior to FIX 4.4 this field was of type PriceOffset)

Type: float

Used in components: PegInstructions

PegPriceType

Defines the type of peg.

Type: int

Allowed values in PegPriceTypeCodeSet:

Code | Name | Description
1 | LastPeg | Last peg (last sale)
2 | MidPricePeg | Mid-price peg (midprice of inside quote)
3 | OpeningPeg | Opening peg
4 | MarketPeg | Market peg
5 | PrimaryPeg | Primary peg (primary market - buy at bid or sell at offer)
7 | PegToVWAP | Peg to VWAP
8 | TrailingStopPeg | Trailing Stop Peg
9 | PegToLimitPrice | Peg to Limit Price
10 | ShortSaleMinPricePeg | Short sale minimum price Peg. Short sale minimum price Peg (published price that a short sell order must meet in order to comply with regulatory requirements, e.g. SEC uptick rules).

Used in components: PegInstructions

PegRoundDirection

If the calculated peg price is not a valid tick price, specifies whether to round the price to be more or less aggressive

Type: int

Allowed values in PegRoundDirectionCodeSet:

Code | Name | Description
1 | MoreAggressive | More aggressive - on a buy order round the price up to the nearest tick; on a sell order round down to the nearest tick
2 | MorePassive | More passive - on a buy order round down to the nearest tick; on a sell order round up to the nearest tick

Used in components: PegInstructions

PegScope

The scope of the peg

Type: int

Allowed values in PegScopeCodeSet:

Code | Name | Description
1 | Local | Local (Exchange, ECN, ATS)
2 | National | National
3 | Global | Global
4 | NationalExcludingLocal | National excluding local

Used in components: PegInstructions

PegSecurityDesc

Security description of the security off whose prices the order will Peg.

Type: String

Used in components: PegInstructions

PegSecurityID

Defines the identity of the security off whose prices the order will peg.

Type: String

Used in components: PegInstructions

PegSecurityIDSource

Defines the identity of the security off whose prices the order will peg. Same values as SecurityIDSource (22)

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: PegInstructions

PegSymbol

Defines the common, 'human understood' representation of the security off whose prices the order will Peg.

Type: String

Used in components: PegInstructions

PhysicalSettlBusinessDays

The number of business days used in the determination of physical settlement. Its precise meaning depends on the context in which this element is used.

Type: int

Used in groups: PhysicalSettlTermGrp

PhysicalSettlCurrency

Specifies the currency of physical settlement. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: PhysicalSettlTermGrp

PhysicalSettlDeliverableObligationGrp

The PhysicalSettlDeliverableObligationGrp is a repeating component within the PhysicalSettlTermGrp component used to report CDS physical settlement delivery obligations.

Name | Mult. | Type | Description
NoPhysicalSettlDeliverableObligations | [1..1] | NumInGroup |
PhysicalSettlDeliverableObligationType | [0..1] | String | Required if NoPhysicalSettlDeliverableObligations (40209) > 0.
PhysicalSettlDeliverableObligationValue | [0..1] | String |

Used in groups: PhysicalSettlTermGrp

PhysicalSettlDeliverableObligationType

Specifies the type of deliverable obligation applicable for physical settlement. See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.

Type: String

Used in groups: PhysicalSettlDeliverableObligationGrp

PhysicalSettlDeliverableObligationValue

Physical settlement deliverable obligation value appropriate to PhysicalSettlDeliverableObligationType(40210). See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for applicable obligation type values.

Type: String

Used in groups: PhysicalSettlDeliverableObligationGrp

PhysicalSettlMaximumBusinessDays

A maximum number of business days. Its precise meaning depends on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.

Type: int

Used in groups: PhysicalSettlTermGrp

PhysicalSettlTermGrp

The PhysicalSettlTermGrp is a repeating component within the Instrument component used to report physical settlement terms referenced from UnderlyingInstrument component.

Name | Mult. | Type | Description
NoPhysicalSettlTerms | [1..1] | NumInGroup |
PhysicalSettlDeliverableObligationGrp | [0..*] | Group | Required if NoPhysicalSettlTerms(40204) > 0.
PhysicalSettlCurrency | [0..1] | Currency |
PhysicalSettlBusinessDays | [0..1] | int |
PhysicalSettlMaximumBusinessDays | [0..1] | int |
PhysicalSettlTermXID | [0..1] | XID |

Used in components: Instrument

PhysicalSettlTermXID

A named string value referenced by UnderlyingSettlTermXIDRef(41315).

Type: XID

Used in groups: PhysicalSettlTermGrp

Pool

For Fixed Income, identifies MBS / ABS pool.

Type: String

Used in components: Instrument

PosAmt

Position amount

Type: Amt

Used in groups: PositionAmountData

PosAmtMarketID

Market associated with the position amount.

Type: String

Used in groups: PositionAmountData

PosAmtMarketSegmentID

Market segment associated with the position amount.

Type: String

Used in groups: PositionAmountData

PosAmtPrice

The price used to calculate the PosAmt(708).

Type: Price

Used in groups: PositionAmountData

PosAmtPriceType

Specifies the type of price for PosAmtPrice(2876).

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in groups: PositionAmountData

PosAmtReason

Specifies the reason for an amount type when reported on a position. Useful when multiple instances of the same amount type are reported.

Type: int

Allowed values in PosAmtReasonCodeSet:

Code
Name
Description

0
OptionsSettlement
Options settlement

1
PendingErosionAdjustment
Pending erosion adjustment

2
FinalErosionAdjustment
Final erosion adjustment

3
TearUpCouponAmount
Tear-up coupon amount

4
PriceAlignmentInterest
Price alignment interest. To minimize the impact of daily cash variation margin payments on the pricing of interest rate swaps, the Clearing House will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid in respect of these instruments. This interest element is known as price alignment interest.

5
DeliveryInvoiceCharges
Delivery invoice charges

6
DeliveryStorageCharges
Delivery storage charges

Used in groups: PositionAmountData

PosAmtStreamDesc

Corresponds to the value in StreamDesc(40051) in the StreamGrp component.

Type: String

Used in groups: PositionAmountData

PosAmtType

Type of Position amount

Type: String

Allowed values in PosAmtTypeCodeSet:

Code | Name | Description
CASH | CashAmount | Cash amount (corporate event)
CRES | CashResidualAmount | Cash residual amount
FMTM | FinalMarkToMarketAmount | Final mark-to-market amount
IMTM | IncrementalMarkToMarketAmount | Incremental mark-to-market
PREM | PremiumAmount | Premium amount
SMTM | StartOfDayMarkToMarketAmount | Start of day mark-to-market
TVAR | TradeVariationAmount | Trade variation amount
VADJ | ValueAdjustedAmount | Value adjusted amount
SETL | SettlementValue | Settlement value
ICPN | InitialTradeCouponAmount | Initial trade coupon amount
ACPN | AccruedCouponAmount | Accrued coupon amount
CPN | CouponAmount | Coupon amount
IACPN | IncrementalAccruedCoupon | Incremental accrued coupon
CMTM | CollateralizedMarkToMarket | Collateralized mark-to-market
ICMTM | IncrementalCollateralizedMarkToMarket | Incremental collateralized mark-to-market
DLV | CompensationAmount | Compensation amount
BANK | TotalBankedAmount | Total banked amount
COLAT | TotalCollateralizedAmount | Total collateralized amount
LSNV | LongPairedSwapNotionalValue | Long paired swap or swaption notional value
SSNV | ShortPairedSwapNotionalValue | Short paired swap or swaption notional value
SACPN | StartOfDayAccruedCoupon | Start-of-day accrued coupon
NPV | NetPresentValue | Net present value
SNPV | StartOfDayNetPresentValue | Start-of-day net present value
NCF | NetCashFlow | Net cash flow
PVFEES | PresentValueOfFees | Present value of all fees
PV01 | PresentValueOneBasisPoints | Present value of one basis points. Change in value if yield curve shifts 0.01%.
5YREN | FiveYearEquivalentNotional | The five year equivalent notional amount
UMTM | UndiscountedMarkToMarket | Undiscounted mark-to-market
MTD | MarkToModel | Mark-to-model
VMTM | MarkToMarketVariance | Mark-to-market variance
VMTD | MarkToModelVariance | Mark-to-model variance
UPFRNT | UpfrontPayment | Upfront payment
ENDV | EndVale | End value. Principal amount of a securities financing transaction on maturity date.
MGNLN | OutstandingMarginLoan | Outstanding margin loan. The amount of the outstanding margin loan. In the event that the loan has a short market value, PosAmt(708) would be a negative value.
LNVL | LoanValue | Loan value. The amount of the loan.

Used in groups: PositionAmountData

PositionAmountData

The PositionAmountData component block is used to report netted amounts associated with position quantities. In the listed derivatives market the amount is generally expressing a type of futures variation or option premium. In the equities market this may be the net pay or collect on a given position.

Name | Mult. | Type | Description
NoPosAmt | [1..1] | NumInGroup | Number of Position Amount entries
PosAmtType | [0..1] | CodeSet |
PosAmt | [0..1] | Amt |
PosAmtStreamDesc | [0..1] | String | Used when the PosAmt(708) value corresponds to a specific stream in of a swap.
PositionCurrency | [0..1] | String |
PositionCurrencyCodeSource | [0..1] | CodeSet |
PositionFXRate | [0..1] | float |
PositionFXRateCalc | [0..1] | CodeSet |
PosAmtReason | [0..1] | CodeSet |
PosAmtMarketSegmentID | [0..1] | String |
PosAmtMarketID | [0..1] | String |
PosAmtPrice | [0..1] | Price |
PosAmtPriceType | [0..1] | CodeSet |

Used in messages: AccountSummaryReport, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AssignmentReport, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport, TradeCaptureReport, TradeCaptureReportAck

PositionCapacity

Used to describe the ownership of the position.

Type: int

Allowed values in PositionCapacityCodeSet:

Code | Name | Description
0 | Principal | Principal
1 | Agent | Agent
2 | Customer | Customer
3 | Counterparty | Counterparty

Used in messages: PositionMaintenanceReport, PositionReport

PositionContingentPrice

Risk adjusted price used to calculate variation margin on a position.

Type: Price

Used in messages: AssignmentReport, PositionReport

PositionCurrency

The Currency in which the position Amount is denominated

Type: String

Used in groups: PositionAmountData

PositionCurrencyCodeSource

Identifies class or source of the PositionCurrency(1055) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: PositionAmountData

PositionEffect

Indicates whether the resulting position after a trade should be an opening position or closing position. Used for omnibus accounting - where accounts are held on a gross basis instead of being netted together.

Type: char

Allowed values in PositionEffectCodeSet:

Code | Name | Description
C | Close | Close
F | FIFO | FIFO
O | Open | Open
R | Rolled | Rolled
N | CloseButNotifyOnOpen | Close but notify on open
D | Default | Default

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

PositionFXRate

Foreign exchange rate used to compute the PosAmt(708) from the PositionCurrency(1055) and the Currency (15).

Type: float

Used in groups: PositionAmountData

PositionFXRateCalc

Specifies whether or not PositionFXRate(2097) should be multipled or divided.

Type: char

Allowed values in UnderlyingFXRateCalcCodeSet:

Code | Name | Description
D | Divide | Divide
M | Multiply | Multiply

Used in groups: PositionAmountData

PositionID

Unique identifier for a position entity. Refer to PosMaintRptID(721) for a unique identifier of a position report message.

Type: String

Used in messages: PositionMaintenanceReport, PositionReport

PositionLimit

Position Limit for a given exchange-traded product.

Type: int

Used in components: Instrument

PositionQty

The PositionQty component block specifies the various types of position quantity in the position life-cycle including start-of-day, intraday, trade, adjustments, and end-of-day position quantities. Quantities are expressed in terms of long and short quantities.

Name | Mult. | Type | Description
NoPositions | [1..1] | NumInGroup |
PosType | [0..1] | CodeSet | Required if NoPositions > 1
LongQty | [0..1] | Qty |
ShortQty | [0..1] | Qty |
CoveredQty | [0..1] | Qty | Short quantity that is considered covered, e.g. used for short option position
PosQtyStatus | [0..1] | CodeSet |
QuantityDate | [0..1] | LocalMktDate | Date associated with the quantity being reported
PosQtyUnitOfMeasure | [0..1] | CodeSet |
PosQtyUnitOfMeasureCurrency | [0..1] | Currency |
PosQtyUnitOfMeasureCurrencyCodeSource | [0..1] | CodeSet |
NestedParties | [0..*] | Group | Optional repeating group - used to associate or distribute position to a specific party other than the party that currently owns the position.

Used in messages: AdjustedPositionReport, AssignmentReport, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport

PosMaintAction

Maintenance Action to be performed.

Type: int

Allowed values in PosMaintActionCodeSet:

Code | Name | Description
1 | New | New. Used to increment the overall transaction quantity.
2 | Replace | Replace. Used to override the overall transaction quantity or specific add messages based on the reference ID.
3 | Cancel | Cancel. Used to remove the overall transaction quantity or specific add messages based on the reference ID.
4 | Reverse | Reverse. Used to completelly back-out the transaction such that the transaction never existed.

Used in messages: PositionMaintenanceReport, PositionMaintenanceRequest

PosMaintResult

Result of Position Maintenance Request.

Type: int

Allowed values in PosMaintResultCodeSet:

Code | Name | Description
0 | SuccessfulCompletion | Successful Completion - no warnings or errors
1 | Rejected | Rejected
99 | Other | Other

Used in messages: PositionMaintenanceReport

PosMaintRptID

Unique identifier for this position report

Type: String

Used in messages: AdjustedPositionReport, PositionMaintenanceReport, PositionReport, RequestForPositionsAck

PosMaintRptRefID

Reference to a PosMaintRptID (721) from a previous Position Maintenance Report that is being replaced or canceled.

Type: String

Used in messages: AdjustedPositionReport, PositionMaintenanceReport, PositionMaintenanceRequest

PosMaintStatus

Status of Position Maintenance Request

Type: int

Allowed values in PosMaintStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithWarnings | Accepted With Warnings
2 | Rejected | Rejected
3 | Completed | Completed
4 | CompletedWithWarnings | Completed With Warnings

Used in messages: PositionMaintenanceReport

PosQtyStatus

Status of this position.

Type: int

Allowed values in PosQtyStatusCodeSet:

Code | Name | Description
0 | Submitted | Submitted
1 | Accepted | Accepted
2 | Rejected | Rejected

Used in groups: PositionQty, TradePositionQty

PosQtyUnitOfMeasure

Indicates the unit of measure of the position quantity when not expressed in contracts.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: PositionQty

PosQtyUnitOfMeasureCurrency

Indicates the currency of the unit of measure if position quantity is expressed in valuation rather than contracts. Conditionally required when PosQtyUnitOfMeasure(1836)=Ccy.

Type: Currency

Used in groups: PositionQty

PosQtyUnitOfMeasureCurrencyCodeSource

Identifies class or source of the PosQtyUnitOfMeasureCurrency(1835) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: PositionQty

PosReportAction

Indicates action that triggered the Position Report.

Type: int

Allowed values in PosMaintActionCodeSet:

Code | Name | Description
1 | New | New. Used to increment the overall transaction quantity.
2 | Replace | Replace. Used to override the overall transaction quantity or specific add messages based on the reference ID.
3 | Cancel | Cancel. Used to remove the overall transaction quantity or specific add messages based on the reference ID.
4 | Reverse | Reverse. Used to completelly back-out the transaction such that the transaction never existed.

Used in messages: PositionReport

PosReqID

Unique identifier for the position maintenance request as assigned by the submitter

Type: String

Used in messages: AssignmentReport, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, RequestForPositions, RequestForPositionsAck

PosReqResult

Result of Request for Positions.

Type: int

Allowed values in PosReqResultCodeSet:

Code | Name | Description
0 | ValidRequest | Valid request
1 | InvalidOrUnsupportedRequest | Invalid or unsupported request
2 | NoPositionsFoundThatMatchCriteria | No positions found that match criteria
3 | NotAuthorizedToRequestPositions | Not authorized to request positions
4 | RequestForPositionNotSupported | Request for position not supported
99 | Other | Other. Use Text(58) for further explanation.

Used in messages: PositionReport, RequestForPositionsAck

PosReqStatus

Status of Request for Positions

Type: int

Allowed values in PosReqStatusCodeSet:

Code | Name | Description
0 | Completed | Completed
1 | CompletedWithWarnings | Completed With Warnings
2 | Rejected | Rejected

Used in messages: RequestForPositionsAck

PosReqType

Used to specify the type of position request being made.

Type: int

Allowed values in PosReqTypeCodeSet:

Code | Name | Description
0 | Positions | Positions
1 | Trades | Trades
2 | Exercises | Exercises
3 | Assignments | Assignments
4 | SettlementActivity | Settlement Activity
5 | BackoutMessage | Backout Message
6 | DeltaPositions | Delta Positions
7 | NetPosition | Net Position
8 | LargePositionsReporting | Large Positions Reporting
9 | ExercisePositionReportingSubmission | Exercise Position Reporting Submission
10 | PositionLimitReportingSubmissing | Position Limit Reporting Submission

Used in messages: AdjustedPositionReport, PositionReport, RequestForPositions, RequestForPositionsAck

PossDupFlag

Indicates possible retransmission of message with this sequence number

Type: Boolean

Allowed values in PossDupFlagCodeSet:

Code | Name | Description
N | OriginalTransmission | Original transmission
Y | PossibleDuplicate | Possible duplicate

Used in components: StandardHeader

PossResend

Indicates that message may contain information that has been sent under another sequence number.

Type: Boolean

Allowed values in PossResendCodeSet:

Code | Name | Description
N | OriginalTransmission | Original Transmission
Y | PossibleResend | Possible Resend

Used in components: StandardHeader

PosTransType

Identifies the type of position transaction.

Type: int

Allowed values in PosTransTypeCodeSet:

Code | Name | Description
1 | Exercise | Exercise
2 | DoNotExercise | Do not exercise
3 | PositionAdjustment | Position adjustment
4 | PositionChangeSubmission | Position change submission / margin disposition
5 | Pledge | Pledge
6 | LargeTraderSubmission | Large trader submission
7 | LargePositionsReportingSubmission | Large positions reporting submission
8 | LongHoldings | Long holdings
9 | InternalTransfer | Internal transfer. Changes due to transfer of positions within a firm.
10 | TransferOfFirm | Transfer of firm. Changes due to transfer of all positions of a firm.
11 | ExternalTransfer | External transfer. Changes due to transfer of positions between firms.
12 | CorporateAction | Corporate action
13 | Notification | Notification. Information about a position that has been chosen for assignment.
14 | PositionCreation | Position creation. Changes due to an option exercise causing a new futures position to be created.
15 | Closeout | Close out. Information about a position that has been closed out.
16 | Reopen | Reopen. Information about a position that has been reopened, i.e. reversal of a close out.

Used in messages: PositionMaintenanceReport, PositionMaintenanceRequest

PostTradePaymentAccount

The cash account on the books of the receiver of the request or the sender of the report to be debited or credited.

Type: String

Used in components: PostTradePayment

PostTradePaymentAmount

The payment amount for the specified PostTradePaymentType(2824).

Type: Amt

Used in components: PostTradePayment

PostTradePaymentCalculationDate

The (actual) date the periodic payments calculations are made.

Type: LocalMktDate

Used in components: PostTradePayment

PostTradePayment

This component specifies the details of a payment between the parties involved.

Name | Mult. | Type | Description
PostTradePaymentType | [1..1] | String |
PostTradePaymentAmount | [1..1] | Amt |
PostTradePaymentCurrency | [0..1] | Currency |
PostTradePaymentCurrencyCodeSource | [0..1] | CodeSet |
PostTradePaymentCalculationDate | [1..1] | LocalMktDate | The date payment calculations are made. This may be earlier than the date in ClearingBusinessDate(715). When the report is sent unsolicited, this is the payment calculation date as determined by report sender.
PostTradePaymentValueDate | [1..1] | LocalMktDate | The date the payment is legally confirmed to settle.
PostTradePaymentFinalValueDate | [0..1] | LocalMktDate | The actual payment date in the event it differs from the date specified in PostTradePaymentValueDate(2826).
PostTradePaymentDebitOrCredit | [1..1] | CodeSet |
PostTradePaymentAccount | [1..1] | String |
PostTradePaymentID | [0..1] | String |
PostTradePaymentDesc | [0..1] | String |
EncodedPostTradePaymentDescLen | [0..1] | Length | Must be set if EncodedPostTradePaymentDesc(2814) field is specified and must immediately precede it.
EncodedPostTradePaymentDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the PostTradePaymentDesc(2820) field in the encoded format specified via the MessageEncoding(347) field.
PostTradePaymentLinkID | [0..1] | String |
PostTradePaymentStatus | [0..1] | CodeSet | Used when PayReportTransType(2804)=2 (Status) to report actual payment status from payment service (i.e. after payment or remittance instruction with payment service).

Used in messages: PayManagementReport, PayManagementRequest

PostTradePaymentCurrency

Specifies the currency in which PostTradePaymentAmount(2817) is denominated.

PostTradePaymentCurrencyCodeSource(2956) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in components: PostTradePayment

PostTradePaymentCurrencyCodeSource

Identifies class or source of the PostTradePaymentCurrency(2818) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: PostTradePayment

PostTradePaymentDebitOrCredit

Payment side of this individual payment from the requesting firm's perspective.

Type: int

Allowed values in PostTradePaymentDebitOrCreditCodeSet:

Code | Name | Description
0 | DebitPay | Debit / Pay
1 | CreditReceive | Credit / Receive

Used in components: PostTradePayment

PostTradePaymentDesc

A short descriptive name given to the payment, e.g. Premium, Upfront, etc. The description may be used as reference.

Type: String

Used in components: PostTradePayment

PostTradePaymentFinalValueDate

The actual or final payment date on which the payment was made.

Type: LocalMktDate

Used in components: PostTradePayment

PostTradePaymentID

The identifier for the individual payment.

Type: String

Used in components: PostTradePayment

PostTradePaymentLinkID

Used to link a group of payments together, e.g. cross-currency payments associated with a swap.

Type: String

Used in components: PostTradePayment

PostTradePaymentStatus

Used to indicate the status of a post-trade payment.

Type: int

Allowed values in PostTradePaymentStatusCodeSet:

Code | Name | Description
0 | New | New. Payment is awaiting confirmation from the recipient.
1 | Initiated | Initiated. Payment is confirmed by the recipient and has been scheduled.
2 | Pending | Pending. Payment has been instructed to the payment service but status is unknown.
3 | Confirmed | Confirmed. Payment is complete and confirmed by the payment service.
4 | Rejected | Rejected. Payment was rejected by the payment service.

Used in components: PostTradePayment

PostTradePaymentType

Type of post-trade payment.

See ISITC "Payments Cash Purpose Codes" for list of payment type codes to use available at https://isitc.org/market-practices/reference-data-and-standards-market-practice and select "ISITC Classification Code List".

Type: String

Used in components: PostTradePayment

PostTradePaymentValueDate

The adjusted (for holidays and other non-business days) payment date on which the payment is expected to settle.

Type: LocalMktDate

Used in components: PostTradePayment

PosType

Used to identify the type of quantity that is being returned.

Type: String

Allowed values in PosTypeCodeSet:

Code | Name | Description
ALC | AllocationTradeQty | Allocation Trade Qty
AS | OptionAssignment | Option Assignment
ASF | AsOfTradeQty | As-of Trade Qty
DLV | DeliveryQty | Delivery Qty
ETR | ElectronicTradeQty | Electronic Trade Qty
EX | OptionExerciseQty | Option Exercise Qty
FIN | EndOfDayQty | End-of-Day Qty
IAS | IntraSpreadQty | Intra-spread Qty
IES | InterSpreadQty | Inter-spread Qty
PA | AdjustmentQty | Adjustment Qty
PIT | PitTradeQty | Pit Trade Qty
SOD | StartOfDayQty | Start-of-Day Qty
SPL | IntegralSplit | Integral Split
TA | TransactionFromAssignment | Transaction from Assignment
TOT | TotalTransactionQty | Total Transaction Qty
TQ | TransactionQuantity | Transaction Quantity
TRF | TransferTradeQty | Transfer Trade Qty
TX | TransactionFromExercise | Transaction from Exercise
XM | CrossMarginQty | Cross Margin Qty
RCV | ReceiveQuantity | Receive Quantity
CAA | CorporateActionAdjustment | Corporate Action Adjustment
DN | DeliveryNoticeQty | Delivery Notice Qty
EP | ExchangeForPhysicalQty | Exchange for Physical Qty
PNTN | PrivatelyNegotiatedTradeQty | Privately negotiated Trade Qty (Non-regulated)
CEA | CreditEventAdjustment | Credit Event Adjustment
DLT | NetDeltaQty | Net Delta Qty
SEA | SuccessionEventAdjustment | Succession Event Adjustment
NET | NetQty | Net Qty
GRS | GrossQty | Gross Qty
ITD | IntradayQty | Intraday Qty
NDAS | GrossLongNonDeltaAdjustedSwaptionPosition | Gross non-delta-adjusted swaption position
DAS | LongDeltaAdjustedPairedSwaptionPosition | Delta-adjusted paired swaption position
EXP | ExpiringQuantity | Expiring quantity. The position quantity on expiration day after the application of trade and post trade activity, but prior to the application of exercises and assignments.
UNEX | QuantityNotExercised | Quantity not exercised. The exercise quantity requested that was not allowed, e.g., the exercise quantity requested that exceeded the final long position.
REQ | RequestedExerciseQuantity | Requested exercise quantity. The exercise quantity requested. It may differ from the exercise quantity if it exceeds the final long position.
CFE | CashFuturesEquivalentQuantity | Cash futures equivalent quantity
SECLN | LoanOrBorrowedQuantity | Loan or borrowed quantity. The number of shares, par value of bonds or commodity contracts on loan or borrowed.

Used in groups: PositionQty, TradePositionQty

PosUndInstrmtGrp

Name | Mult. | Type | Description
NoUnderlyings | [1..1] | NumInGroup |
UnderlyingInstrument | [0..1] | Component | Insert here the set of "Underlying Instrument" (underlying symbology) fields defined in "Common Components of Application Messages". Required if NoUnderlyings > 0
UnderlyingSettlPrice | [0..1] | Price |
UnderlyingSettlPriceType | [0..1] | CodeSet | Values = Final, Theoretical
UnderlyingDeliveryAmount | [0..1] | Amt |
UnderlyingAmount | [0..*] | Group | Insert here the set of "Underlying Amount" fields defined in "Common Components of Application Messages"

Used in messages: PositionReport

PreAllocGrp

Name | Mult. | Type | Description
NoAllocs | [1..1] | NumInGroup | Number of repeating groups for pre-trade allocation
AllocAccount | [0..1] | String | Required if NoAllocs > 0. Must be first field in repeating group.
AllocAcctIDSource | [0..1] | CodeSet |
AllocSettlCurrency | [0..1] | Currency |
AllocSettlCurrencyCodeSource | [0..1] | CodeSet |
IndividualAllocID | [0..1] | String |
AllocLegRefID | [0..1] | String | The field may not be used in NewOrderSingle(35=D), OrderCancelReplaceRequest(35=G), NewOrderList(35=E) or any other message where there are no legs.
NestedParties | [0..*] | Group | Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages". Used for NestedPartyRole=Clearing Firm
AllocHandlInst | [0..1] | CodeSet |
AllocQty | [0..1] | Qty |
CustodialLotID | [0..1] | String | Only used for specific lot trades.
VersusPurchaseDate | [0..1] | LocalMktDate | Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
VersusPurchasePrice | [0..1] | Price | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
CurrentCostBasis | [0..1] | Amt | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

PreallocMethod

Indicates the method of preallocation.

Type: char

Allowed values in PreallocMethodCodeSet:

Code | Name | Description
0 | ProRata | Pro rata
1 | DoNotProRata | Do not pro-rata - discuss first

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

PreAllocMlegGrp

Name | Mult. | Type | Description
NoAllocs | [1..1] | NumInGroup | Number of repeating groups for pre-trade allocation
AllocAccount | [0..1] | String | Required if NoAllocs > 0. Must be first field in repeating group.
AllocAcctIDSource | [0..1] | CodeSet |
AllocSettlCurrency | [0..1] | Currency |
AllocSettlCurrencyCodeSource | [0..1] | CodeSet |
IndividualAllocID | [0..1] | String |
AllocLegRefID | [0..1] | String |
NestedParties3 | [0..*] | Group | Insert here the set of "NestedParties3" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages"
AllocQty | [0..1] | Qty |
CustodialLotID | [0..1] | String | Only used for specific lot trades.
VersusPurchaseDate | [0..1] | LocalMktDate | Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
VersusPurchasePrice | [0..1] | Price | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
CurrentCostBasis | [0..1] | Amt | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg

PreTradeAnonymity

Allows trader to explicitly request anonymity or disclosure in pre-trade market data feeds. Anonymity is relevant in markets where counterparties are regularly disclosed in order depth feeds. Disclosure is relevant when counterparties are not normally visible.

Type: Boolean

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp, SideCrossOrdModGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, QuoteRequest, QuoteRequestReject, QuoteResponse

PrevClosePx

Previous closing price of security.

Type: Price

Used in groups: InstrmtStrkPxGrp, ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp

Used in messages: CrossOrderCancelReplaceRequest, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle

PreviousAdjustedOpenInterest

Previous day's adjusted open interest.

Type: Amt

Used in messages: SecurityDefinition, SecurityDefinitionUpdateReport

PreviousAllocGroupID

When reporting a group change by the central counterparty to allocations of trades for the same instrument traded at the same price this identifies the previous group identifier.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationReport

PreviousClearingBusinessDate

The date of the previous clearing business day.

Type: LocalMktDate

Used in messages: PositionMaintenanceReport, PositionReport

PreviouslyReported

Indicates if the transaction was previously reported to the counterparty or market.

Type: Boolean

Allowed values in PreviouslyReportedCodeSet:

Code
Name
Description

N
NotReportedToCounterparty
Not reported to counterparty or market. In the context of RTS 13 Article 16 when a trade is reported to more than one "approved publication arrangement" (APA) the original report can be flagged as "original". This is the ESMA "ORGN" flag.

Y
PreviouslyReportedToCounterparty
Previously reported to counterparty or market. In the context of RTS 13 Article 16 when a trade is reported to more than one "approved publication arrangement" (APA) the additional reports need to be flagged as "duplicative" and this flag needs to be present on any occurrence (even when publishing to the market). This is also used for reporting directly to ESMA when the trade has been previously reported. This is the ESMA "DUPL" flag.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck

PreviousUnadjustedOpenInterest

Previous day's unadjusted open interest.

Type: Amt

Used in messages: SecurityDefinition, SecurityDefinitionUpdateReport

Price

Price per unit of quantity (e.g. per share)

Type: Price

Used in components: TradeReportOrderDetail

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, ListOrdGrp, OrderEntryAckGrp, OrderEntryGrp, QuotReqGrp, QuotReqRjctGrp, SecurityRiskMetricGrp

Used in messages: Advertisement, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, CrossOrderCancelReplaceRequest, ExecutionReport, IOI, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderMassActionReport, OrderMassActionRequest, QuoteResponse, QuoteStatusReport

Price2

Price of the future part of a F/X swap order.

See Price (44) for description.

Type: Price

Used in groups: ListOrdGrp, QuotReqGrp, QuotReqRjctGrp

Used in messages: NewOrderSingle, OrderCancelReplaceRequest

PriceDelta

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.

This value is normally between -1.0 and 1.0.

Type: float

Used in groups: MDFullGrp, MDIncGrp, SecurityRiskMetricGrp

Used in messages: ExecutionReport, PositionReport, TradeCaptureReport

PriceImprovement

Amount of price improvement.

Type: PriceOffset

Used in messages: ExecutionReport

PriceLimits

Name | Mult. | Type | Description
PriceLimitType | [0..1] | CodeSet | Describes the how the price limits are expressed
LowLimitPrice | [0..1] | Price | Allowable low limit price for the trading day. A key parameter in validating order price. Used as the lower band for validating order prices. Orders submitted with prices below the lower limit will be rejected
HighLimitPrice | [0..1] | Price | Allowable high limit price for the trading day. A key parameter in validating order price. Used as the upper band for validating order prices. Orders submitted with prices above the upper limit will be rejected
TradingReferencePrice | [0..1] | Price | Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.

Used in components: BaseTradingRules

Used in groups: MDFullGrp, MDIncGrp

PriceLimitType

Describes the how the price limits are expressed.

Type: int

Allowed values in PriceLimitTypeCodeSet:

Code | Name | Description
0 | Price | Price (default)
1 | Ticks | Ticks
2 | Percentage | Percentage

Used in components: PriceLimits

PriceMarkup

Price offset of the markup denominated in the price type of the trade.

Type: PriceOffset

Used in messages: TradeCaptureReport, TradeCaptureReportAck

PriceMovementGrp

The PriceMovementGrp component is a repeatable block intended to contain theoretical profit and loss data at various price movement points account type(s) for which the price movement may apply to.

Name | Mult. | Type | Description
NoPriceMovements | [1..1] | NumInGroup |
PriceMovementValueGrp | [0..*] | Group | Required if NoPriceMovements(1919) > 0.
ClearingAccountTypeGrp | [0..*] | Group |

Used in groups: SecListGrp

PriceMovementPoint

Price movement point up (positive integer) or down (negative integer) relative to the underlying price of the instrument.

Type: int

Used in groups: PriceMovementValueGrp

PriceMovementType

Describes the format of the PriceMovementValue(1921).

Type: int

Allowed values in PriceMovementTypeCodeSet:

Code | Name | Description
0 | Amount | Amount
1 | Percentage | Percentage

Used in groups: PriceMovementValueGrp

PriceMovementValue

Value at specific price movement point.

Type: float

Used in groups: PriceMovementValueGrp

PriceMovementValueGrp

This PriceMovementValueGrp component is a repeatable block that will be utilized to represent a value relative to a specific price movement point.

Name | Mult. | Type | Description
NoPriceMovementValues | [1..1] | NumInGroup |
PriceMovementValue | [0..1] | float | Required if NoPriceMovementValues(1919) > 0.
PriceMovementPoint | [0..1] | int |
PriceMovementType | [0..1] | CodeSet |

Used in groups: PriceMovementGrp

PricePrecision

Specifies the price decimal precision of the instrument.

Type: int

Used in messages: TradeAggregationRequest, TradeCaptureReport

PriceProtectionScope

Defines the type of price protection the customer requires on their order.

Type: char

Allowed values in PriceProtectionScopeCodeSet:

Code | Name | Description
0 | None | None
1 | Local | Local (Exchange, ECN, ATS)
2 | National | National (Across all national markets)
3 | Global | Global (Across all markets)

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

PriceQualifier

Qualifier for price. May be used when the price needs to be explicitly qualified.

Type: int

Allowed values in PriceQualifierCodeSet:

Code
Name
Description

0
AccruedInterestIsFactored
Accrued interest (if any) is factored into the price. The price is either "dirty" or the security is in default or soon to be defaulted. I.e. on fill there will be no separate accrued interest amount. This is often called a "flat" price.

1
TaxIsFactored
Tax is factored into the price. The security's price includes applicable taxes, e.g. Japanese government bonds.

2
BondAmortizationIsFactored
The effect of bond amortization or the floating rate index offset is factored into the price. The security's price includes the effect of bond amortization or a floating rate index. For example this qualifier would apply to the normal pricing of index-linked UK gilt bonds but not to US or EU index-linked bonds.

Used in groups: PriceQualifierGrp

PriceQualifierGrp

The PriceQualifierGrp component clarifies the composition of the price when standard market practice for the security calls for a price that is atypical when traded in other markets, or when a price can be expressed in more than one way.

Name | Mult. | Type | Description
NoPriceQualifiers | [1..1] | NumInGroup |
PriceQualifier | [0..1] | CodeSet | Required if NoPriceQualifiers(2709) > 0.

Used in groups: MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionAck, ExecutionReport, IOI, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport, TradeCaptureReportAck

PriceQuoteCurrency

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

Type: Currency

Used in components: Instrument

PriceQuoteCurrencyCodeSource

Identifies class or source of the PriceQuoteCurrency(1524) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: Instrument

PriceQuoteMethod

Method for price quotation

Type: String

Allowed values in PriceQuoteMethodCodeSet:

Code | Name | Description
STD | Standard | Standard, money per unit of a physical
INX | Index | Index
INT | InterestRateIndex | Interest rate Index
PCTPAR | PercentOfPar | Percent of Par

Used in components: Instrument

PriceRangePercentage

Maximum range expressed as percentage.

Type: Percentage

Used in groups: PriceRangeRuleGrp

PriceRangeProductComplex

Identifies an entire suite of products in the context of trading rules related to price ranges.

Type: String

Used in groups: PriceRangeRuleGrp

PriceRangeRuleGrp

The PriceRangeRulesGrp component is used to specify the price range rules for a given product group or complex.

Name | Mult. | Type | Description
NoPriceRangeRules | [1..1] | NumInGroup |
StartPriceRange | [0..1] | Price | Required if NoPriceRangeRules(2550) > 0.
EndPriceRange | [0..1] | Price |
PriceRangeValue | [0..1] | Price | Mutually exclusive with PriceRangePercentage(2554).
PriceRangePercentage | [0..1] | Percentage | Mutually exclusive with PriceRangeValue(2553).
PriceRangeRuleID | [0..1] | String | Can be used to provide an identifier so that the rule can be reference via the ID elsewhere.
PriceRangeProductComplex | [0..1] | String | Can be used to limit price range to specific product suite.

Used in components: BaseTradingRules

PriceRangeRuleID

Identifier for a price range rule.

Type: String

Used in groups: PriceRangeRuleGrp

PriceRangeValue

Maximum range expressed as absolute value.

Type: Price

Used in groups: PriceRangeRuleGrp

PriceType

Code to represent the price type.

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in components: BaseTradingRules, SettlTradeDetails

Used in groups: BidCompRspGrp, InstrmtMatchSideGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, ExecutionAck, ExecutionReport, IOI, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PositionReport, PositionTransferInstruction, PositionTransferReport, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport, TradeCaptureReportAck

PriceUnitOfMeasure

Used to express the UOM of the price if different from the contract. In futures, this can be different for cross-rate products in which the price is quoted in units differently from the contract

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: Instrument

PriceUnitOfMeasureCurrency

Indicates the currency of the price unit of measure. Conditionally required when PriceUnitOfMeasure(1191) = Ccy

Type: Currency

Used in components: Instrument

PriceUnitOfMeasureCurrencyCodeSource

Identifies class or source of the PriceUnitOfMeasureCurrency(1717) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: Instrument

PriceUnitOfMeasureQty

Used to express the UOM Quantity of the price if different from the contract. In futures, this can be different for physically delivered products in which price is quoted in a unit size different from the contract, i.e. a Cattle Future contract has a UOMQty of 40,000 and a PriceUOMQty of 100.

Type: Qty

Used in components: Instrument

PricingDateAdjusted

The adjusted pricing or fixing date.

Type: LocalMktDate

Used in components: PricingDateTime

PricingDateBusinessCenter

The business center calendar used to adjust pricing or fixing dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: PricingDateBusinessCenterGrp

PricingDateBusinessCenterGrp

PricingDateBusinessCenterGrp is a repeating subcomponent of the PricingDateTime component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoPricingDateBusinessCenters | [1..1] | NumInGroup |
PricingDateBusinessCenter | [0..1] | String | Required if NoPricingDateBusinessCenters(41230) > 0.

Used in components: PricingDateTime

PricingDateBusinessDayConvention

The business day convention used to adjust pricing or fixing dates. Used only to override the business day convention defined in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: PricingDateTime

PricingDateTime

The PricingDateTime component is a subcomponent of Instrument used to specify an adjusted or unadjusted pricing or fixing date and optionally the time, e.g. for a commodity or FX forward trade.

Name | Mult. | Type | Description
PricingDateUnadjusted | [0..1] | LocalMktDate |
PricingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of pricing dates.
PricingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of pricing dates.
PricingDateAdjusted | [0..1] | LocalMktDate |
PricingTime | [0..1] | LocalMktTime |
PricingTimeBusinessCenter | [0..1] | String |

Used in components: Instrument

PricingDateUnadjusted

The unadjusted pricing or fixing date.

Type: LocalMktDate

Used in components: PricingDateTime

PricingTime

Specifies the local market time of the pricing or fixing.

Type: LocalMktTime

Used in components: PricingDateTime

PricingTimeBusinessCenter

Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: PricingDateTime

PrimaryServiceLocationID

Primary service location identifier.

Type: String

Used in groups: MarketDataFeedTypes

PriorityIndicator

Indicates if a Cancel/Replace has caused an order to lose book priority.

Type: int

Allowed values in PriorityIndicatorCodeSet:

Code | Name | Description
0 | PriorityUnchanged | Priority unchanged
1 | LostPriorityAsResultOfOrderChange | Lost Priority as result of order change

Used in messages: ExecutionReport

PriorSettlPrice

Previous settlement price

Type: Price

Used in messages: AdjustedPositionReport, AssignmentReport, PositionReport, SecurityDefinition, SecurityDefinitionUpdateReport

PriorSpreadIndicator

Indicates if requesting a rollover of prior day's spread submissions.

Type: Boolean

Used in messages: PositionMaintenanceReport, PositionMaintenanceRequest

PrivateQuote

Specifies whether a quote is public, i.e. available to the market, or private, i.e. available to a specified counterparty only.

Type: Boolean

Allowed values in PrivateQuoteCodeSet:

Code | Name | Description
Y | PrivateQuote | Private Quote
N | PublicQuote | Public Quote

Used in messages: Quote, QuoteRequest, QuoteRequestReject, RFQRequest

ProcessCode

Processing code for sub-account. Absence of this field in AllocAccount (79) / AllocPrice (366) /AllocQty (80) / ProcessCode instance indicates regular trade.

Type: char

Allowed values in ProcessCodeCodeSet:

Code | Name | Description
0 | Regular | Regular
1 | SoftDollar | Soft Dollar
2 | StepIn | Step-In
3 | StepOut | Step-Out
4 | SoftDollarStepIn | Soft-dollar Step-In
5 | SoftDollarStepOut | Soft-dollar Step-Out
6 | PlanSponsor | Plan Sponsor

Used in groups: AllocGrp, ListOrdGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, CrossOrderCancelReplaceRequest, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle

Product

Indicates the type of product the security is associated with. See also the CFICode (461) and SecurityType (167) fields.

Type: int

Allowed values in ProductCodeSet:

Code | Name | Description
1 | AGENCY | AGENCY
2 | COMMODITY | COMMODITY
3 | CORPORATE | CORPORATE
4 | CURRENCY | CURRENCY
5 | EQUITY | EQUITY
6 | GOVERNMENT | GOVERNMENT
7 | INDEX | INDEX
8 | LOAN | LOAN
9 | MONEYMARKET | MONEYMARKET
10 | MORTGAGE | MORTGAGE
11 | MUNICIPAL | MUNICIPAL
12 | OTHER | OTHER
13 | FINANCING | FINANCING

Used in components: Instrument

Used in groups: SecTypesGrp, SettlInstGrp

Used in messages: SecurityTypeRequest, SettlementInstructionRequest

ProductComplex

Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc.

Type: String

Used in components: Instrument

ProgPeriodInterval

Time in minutes between each ListStatus report sent by SellSide. Zero means don't send status.

Type: int

Used in messages: BidRequest, NewOrderList

ProgRptReqs

Code to identify the desired frequency of progress reports.

Type: int

Allowed values in ProgRptReqsCodeSet:

Code | Name | Description
1 | BuySideRequests | Buy-side explicitly requests status using Statue Request (default), the sell-side firm can, however, send a DONE status List STatus Response in an unsolicited fashion
2 | SellSideSends | Sell-side periodically sends status using List Status. Period optionally specified in ProgressPeriod.
3 | RealTimeExecutionReports | Real-time execution reports (to be discourage)

Used in messages: BidRequest, NewOrderList

ProtectionTermBuyerNotifies

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

ProtectionTermBuyerNotifies(40185)=Y indicates that the buyer notifies.

Type: Boolean

Used in groups: ProtectionTermGrp

ProtectionTermCurrency

The currency of ProtectionTermNotional(40182). Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ProtectionTermGrp

ProtectionTermEventBusinessCenter

When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProtectionTermGrp

ProtectionTermEventCurrency

Applicable currency if ProtectionTermEventValue(40193) is an amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ProtectionTermEventGrp

ProtectionTermEventDayType

Day type for events that specify a period and unit.

Type: int

Allowed values in ProtectionTermEventDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: ProtectionTermEventGrp

ProtectionTermEventGrp

The ProtectionTermEventGrp is a repeating component within the ProtectionTermGrp component used to report applicable CDS credit events.

Name | Mult. | Type | Description
NoProtectionTermEvents | [1..1] | NumInGroup |
ProtectionTermEventType | [0..1] | String | Required if NoProtectionTermEvents(40191) > 0.
ProtectionTermEventValue | [0..1] | String |
ProtectionTermEventCurrency | [0..1] | Currency |
ProtectionTermEventPeriod | [0..1] | int | Conditionally required when ProtectionTermEventUnit(40196) is specified.
ProtectionTermEventUnit | [0..1] | CodeSet | Conditionally required when ProtectionTermEventPeriod(40195) is specified.
ProtectionTermEventDayType | [0..1] | CodeSet |
ProtectionTermEventRateSource | [0..1] | String |
ProtectionTermEventQualifierGrp | [0..*] | Group |

Used in groups: ProtectionTermGrp

ProtectionTermEventMinimumSources

The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.

Type: int

Used in groups: ProtectionTermGrp

ProtectionTermEventNewsSource

Newspaper or electronic news service or source that may publish relevant information used in the determination of whether or not a credit event has occurred.

Type: String

Used in groups: ProtectionTermEventNewsSourceGrp

ProtectionTermEventNewsSourceGrp

ProtectionTermEventNewsSourceGrp is a repeating subcomponent within the ProtectionTermGrp component. It is used to specify the particular newspapers or electronic news services and sources that may publish relevant information used in the determination of whether or not a credit event has occurred.

Name | Mult. | Type | Description
NoProtectionTermEventNewsSources | [1..1] | NumInGroup |
ProtectionTermEventNewsSource | [0..1] | String | Required if NoProtectionTermEventNewsSources(40951) > 0.

Used in groups: ProtectionTermGrp

ProtectionTermEventPeriod

Time unit multiplier for protection term events.

Type: int

Used in groups: ProtectionTermEventGrp

ProtectionTermEventQualifier

Protection term event qualifier. Used to further qualify ProtectionTermEventType(40192).

Type: char

Allowed values in ProtectionTermEventQualifierCodeSet:

Code
Name
Description

H
RestructuringMultipleHoldingObligations
Retructuring - multiple holding obligations. In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.

E
RestructuringMultipleCreditEventNotices
Restructuring - multiple credit event notices. Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

C
FloatingRateInterestShortfall
Floating rate interest shortfall. Indicates compounding.

Used in groups: ProtectionTermEventQualifierGrp

ProtectionTermEventQualifierGrp

The ProtectionTermEventQualifierGrp is a repeating component within the ProtectionTermEventGrp component used to specify qualifying attributes to the event.

Name | Mult. | Type | Description
NoProtectionTermEventQualifiers | [1..1] | NumInGroup |
ProtectionTermEventQualifier | [0..1] | CodeSet | Required if NoProtectionTermEventQualifiers(40199) > 0.

Used in groups: ProtectionTermEventGrp

ProtectionTermEventRateSource

Rate source for events that specify a rate source, e.g. Floating rate interest shortfall.

Type: String

Used in groups: ProtectionTermEventGrp

ProtectionTermEventType

Specifies the type of credit event applicable to the protection terms.

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.

Type: String

Used in groups: ProtectionTermEventGrp

ProtectionTermEventUnit

Time unit associated with protection term events.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ProtectionTermEventGrp

ProtectionTermEventValue

Protection term event value appropriate to ProtectionTermEvenType(40192).

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.

Type: String

Used in groups: ProtectionTermEventGrp

ProtectionTermGrp

The ProtectionTermGrp is a repeating component within the Instrument component used to report protection term details referenced from UnderlyingInstrument component.

Name | Mult. | Type | Description
NoProtectionTerms | [1..1] | NumInGroup |
ProtectionTermNotional | [0..1] | Amt | Required if NoProtectionTerms(40181) > 0.
ProtectionTermCurrency | [0..1] | Currency |
ProtectionTermSellerNotifies | [0..1] | Boolean |
ProtectionTermBuyerNotifies | [0..1] | Boolean |
ProtectionTermEventBusinessCenter | [0..1] | String |
ProtectionTermStandardSources | [0..1] | Boolean |
ProtectionTermEventMinimumSources | [0..1] | int |
ProtectionTermEventNewsSourceGrp | [0..*] | Group |
ProtectionTermEventGrp | [0..*] | Group |
ProtectionTermObligationGrp | [0..*] | Group |
ProtectionTermXID | [0..1] | XID |

Used in components: Instrument

ProtectionTermNotional

The notional amount of protection coverage.

Type: Amt

Used in groups: ProtectionTermGrp

ProtectionTermObligationGrp

The ProtectionTermObligationGrp is a repeating component within the ProtectionTermGrp component used to report applicable CDS obligations.

Name | Mult. | Type | Description
NoProtectionTermObligations | [1..1] | NumInGroup |
ProtectionTermObligationType | [0..1] | String | Required if NoProtectionTermObligations(40201) > 0.
ProtectionTermObligationValue | [0..1] | String |

Used in groups: ProtectionTermGrp

ProtectionTermObligationType

Specifies the type of obligation applicable to the protection terms.

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.

Type: String

Used in groups: ProtectionTermObligationGrp

ProtectionTermObligationValue

Protection term obligation value appropriate to ProtectionTermObligationType(40202).

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.

Type: String

Used in groups: ProtectionTermObligationGrp

ProtectionTermSellerNotifies

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

ProtectionTermSellerNotifies(40184)=Y indicates that the seller notifies.

Type: Boolean

Used in groups: ProtectionTermGrp

ProtectionTermStandardSources

Indicates whether ISDA defined Standard Public Sources are applicable (ProtectionTermStandardSources(40187)=Y) or not.

Type: Boolean

Used in groups: ProtectionTermGrp

ProtectionTermXID

A named string value referenced by UnderlyingProtectionTermXIDRef(41314).

Type: XID

Used in groups: ProtectionTermGrp

ProvisionBreakFeeElection

Type of fee elected for the break provision.

Type: int

Allowed values in ProvisionBreakFeeElectionCodeSet:

Code | Name | Description
0 | FlatFee | Flat fee
1 | AmortizedFee | Amortized fee
2 | FundingFee | Funding fee
3 | FlatAndFundingFee | Flat fee and funding fee
4 | AmortizedAndFundingFee | Amortized fee and funding fee

Used in groups: ProvisionGrp

ProvisionBreakFeeRate

Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".

Type: Percentage

Used in groups: ProvisionGrp

ProvisionCalculationAgent

Used to identify the calculation agent. The calculation agent may be identified in ProvisionCalculationAgent(40098) or in the ProvisionParties component.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: ProvisionGrp

ProvisionCashSettlCurrency

Specifies the currency of settlement. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ProvisionGrp

ProvisionCashSettlCurrency2

Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ProvisionGrp

ProvisionCashSettlMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).

Type: int

Allowed values in ProvisionCashSettlMethodCodeSet:

Code | Name | Description
0 | CashPrice | Cash price
1 | CashPriceAlternate | Cash price alternate
2 | ParYieldCurveAdjusted | Par yield curve adjusted
3 | ZeroCouponYieldCurveAdjusted | Zero coupon yield curve adjusted
4 | ParYieldCurveUnadjusted | Par yield curve unadjusted
5 | CrossCurrency | Cross currency
6 | CollateralizedPrice | Collateralized price

Used in groups: ProvisionGrp

ProvisionCashSettlPaymentDate

The cash settlement payment date, unadjusted or adjusted depending on ProvisionCashSettlPaymentDateType(40173).

Type: LocalMktDate

Used in groups: ProvisionCashSettlPaymentFixedDateGrp

ProvisionCashSettlPaymentDateBusinessCenter

The business center calendar used to adjust the provisional cash settlement payment's termination or relative termination date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProvisionCashSettlPaymentDateBusinessCenterGrp

ProvisionCashSettlPaymentDateBusinessCenterGrp

ProvisionCashSettlPaymentDateBusinessCenterGrp is a repeating subcomponent within the ProvisionCashSettlPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoProvisionCashSettlPaymentDateBusinessCenters | [1..1] | NumInGroup |
ProvisionCashSettlPaymentDateBusinessCenter | [0..1] | String | Required if NoProvisionCashSettlPaymentDateBusinessCenters(40952) > 0.

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateBusinessDayConvention

The business day convention used to adjust the provisional cash settlement payment's termination or relative termination date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateOffsetDayType

Specifies the day type of the provision's relative cash settlement payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateOffsetPeriod

Time unit multiplier for the relative cash settlement payment date offset.

Type: int

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateOffsetUnit

Time unit associated with the relative cash settlement payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateRangeFirst

First date in range when a settlement date range is provided.

Type: LocalMktDate

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateRangeLast

The last date in range when a settlement date range is provided.

Type: LocalMktDate

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDateRelativeTo

Specifies the anchor date when the cash settlement payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlPaymentDates

The ProvisionCashSettlPaymentDates component is a sub-component within the ProvisionGrp component used to report the cash settlement payment dates defined in the provision.

Name | Mult. | Type | Description
ProvisionCashSettlPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional cash settlement payment dates.
ProvisionCashSettlPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional cash settlement payment dates.
ProvisionCashSettlPaymentDateRelativeTo | [0..1] | int |
ProvisionCashSettlPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when ProvisionCashSettlPaymentDateOffsetUnit(40167) is specified.
ProvisionCashSettlPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ProvisionCashSettlPaymentDateOffsetPeriod(40166) is specified.
ProvisionCashSettlPaymentDateOffsetDayType | [0..1] | CodeSet |
ProvisionCashSettlPaymentDateRangeFirst | [0..1] | LocalMktDate |
ProvisionCashSettlPaymentDateRangeLast | [0..1] | LocalMktDate |
ProvisionCashSettlPaymentFixedDateGrp | [0..*] | Group |

Used in groups: ProvisionGrp

ProvisionCashSettlPaymentDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in ProvisionCashSettlPaymentDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: ProvisionCashSettlPaymentFixedDateGrp

ProvisionCashSettlPaymentFixedDateGrp

The ProvisionCashSettlPaymentFixedDateGrp is a repeating component within the ProvisionCashSettlPaymentDates component used to report fixed cash settlement payment dates defined in the provision.

Name | Mult. | Type | Description
NoProvisionCashSettlPaymentDates | [1..1] | NumInGroup |
ProvisionCashSettlPaymentDate | [0..1] | LocalMktDate | Required if NoProvisionCashSettlPaymentDates (40171) > 0.
ProvisionCashSettlPaymentDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: ProvisionCashSettlPaymentDates

ProvisionCashSettlQuoteReferencePage

Identifies the reference "page" from the quote source.

Type: String

Used in components: ProvisionCashSettlQuoteSource

ProvisionCashSettlQuoteSource

Identifies the source of quote information.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: ProvisionCashSettlQuoteSource

ProvisionCashSettlQuoteSource

The ProvisionCashSettlQuoteSource is a subcomponent of the ProvisionGrp component used to specify the reference source for currency or rate quote for cash settlement purposes.

Name | Mult. | Type | Description
ProvisionCashSettlQuoteSource | [0..1] | CodeSet |
ProvisionCashSettlQuoteReferencePage | [0..1] | String |

Used in groups: ProvisionGrp

ProvisionCashSettlQuoteType

Identifies the type of quote to be used.

Type: int

Allowed values in ProvisionCashSettlQuoteTypeCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer
3 | ExercisingPartyPays | Exercising party pays. See 2000 ISDA Definitions, Section 17.2, Certain Definitions Relating to Cash Settlement, paragraph (j) for definition of "exercising party pays".

Used in groups: ProvisionGrp

ProvisionCashSettlValueDateAdjusted

The adjusted cash settlement value date.

Type: LocalMktDate

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDateBusinessCenter

The business center calendar used to adjust the provision's cash settlement valuation date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProvisionCashSettlValueDateBusinessCenterGrp

ProvisionCashSettlValueDateBusinessCenterGrp

ProvisionCashSettlValueDateBusinessCenterGrp is a repeating subcomponent within the ProvisionCashSettlValueDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoProvisionCashSettlValueDateBusinessCenters | [1..1] | NumInGroup |
ProvisionCashSettlValueDateBusinessCenter | [0..1] | String | Required if NoProvisionCashSettlValueDatBusinessCenters(40953) > 0.

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDateBusinessDayConvention

The cash settlement valuation date adjustment business day convention. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDateOffsetDayType

Specifies the day type of the provision's relative cash settlement value date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDateOffsetPeriod

Time unit multiplier for the relative cash settlement value date offset.

Type: int

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDateOffsetUnit

Time unit associated with the relative cash settlement value date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDateRelativeTo

Specifies the anchor date when the cash settlement value date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values

Type: int

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueDates

The ProvisionCashSettlValueDates component is a subcomponent within the ProvisionGrp component used to report the cash settlement value date and time defined in the provision.

Name | Mult. | Type | Description
ProvisionCashSettlValueTime | [0..1] | LocalMktTime |
ProvisionCashSettlValueTimeBusinessCenter | [0..1] | String |
ProvisionCashSettlValueDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional cash settlement value date.
ProvisionCashSettlValueDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional cash settlement value date.
ProvisionCashSettlValueDateRelativeTo | [0..1] | int |
ProvisionCashSettlValueDateOffsetPeriod | [0..1] | int | Conditionally required when ProvisionCashSettlValueDateOffsetUnit(40120) is specified.
ProvisionCashSettlValueDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ProvisionCashSettlValueDateOffsetPeriod(40119) is specified.
ProvisionCashSettlValueDateOffsetDayType | [0..1] | CodeSet |
ProvisionCashSettlValueDateAdjusted | [0..1] | LocalMktDate |

Used in groups: ProvisionGrp

ProvisionCashSettlValueTime

A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.

Type: LocalMktTime

Used in components: ProvisionCashSettlValueDates

ProvisionCashSettlValueTimeBusinessCenter

Identifies the business center calendar used with the provision's cash settlement valuation time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: ProvisionCashSettlValueDates

ProvisionDateAdjusted

The adjusted date of the provision.

Type: LocalMktDate

Used in groups: ProvisionGrp

ProvisionDateBusinessCenter

The business center calendar used to adjust the instrument's provision's dates, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProvisionDateBusinessCenterGrp

ProvisionDateBusinessCenterGrp

ProvisionDateBusinessCenterGrp is a repeating subcomponent within the ProvisionGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoProvisionDateBusinessCenters | [1..1] | NumInGroup |
ProvisionDateBusinessCenter | [0..1] | String | Required if NoProvisionDateBusinessCenters(40957) > 0.

Used in groups: ProvisionGrp

ProvisionDateBusinessDayConvention

The business day convention used to adjust the instrument's provision's dates. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: ProvisionGrp

ProvisionDateTenorPeriod

Time unit multiplier for the provision's tenor period.

Type: int

Used in groups: ProvisionGrp

ProvisionDateTenorUnit

Time unit associated with the provision's tenor period.

Type: String

Allowed values in ProvisionDateTenorUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ProvisionGrp

ProvisionDateUnadjusted

The unadjusted date of the provision.

Type: LocalMktDate

Used in groups: ProvisionGrp

ProvisionGrp

The ProvisionGrp is a repeating subcomponent of the Instrument component used to detail the additional terms and conditions associated with the instrument.

Name | Mult. | Type | Description
NoProvisions | [1..1] | NumInGroup |
ProvisionType | [0..1] | CodeSet | Required if NoProvisions(40090) > 0.
ProvisionDateUnadjusted | [0..1] | LocalMktDate |
ProvisionDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the instrument provisions.
ProvisionDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the instrument provisions.
ProvisionDateAdjusted | [0..1] | LocalMktDate |
ProvisionDateTenorPeriod | [0..1] | int | Conditionally required when ProvisionDateTenorUnit(40097) is specified.
ProvisionDateTenorUnit | [0..1] | CodeSet | Conditionally required when ProvisionDateTenorPeriod(40096) is specified.
ProvisionBreakFeeElection | [0..1] | CodeSet |
ProvisionBreakFeeRate | [0..1] | Percentage |
ProvisionCalculationAgent | [0..1] | CodeSet |
ProvisionOptionSinglePartyBuyerSide | [0..1] | CodeSet |
ProvisionOptionSinglePartySellerSide | [0..1] | CodeSet |
ProvisionCashSettlValueDates | [0..1] | Component |
ProvisionOptionExerciseDates | [0..1] | Component |
ProvisionOptionExpirationDate | [0..1] | Component |
ProvisionOptionRelevantUnderlyingDate | [0..1] | Component |
ProvisionOptionExerciseStyle | [0..1] | CodeSet |
ProvisionOptionExerciseMultipleNotional | [0..1] | Amt |
ProvisionOptionExerciseMinimumNotional | [0..1] | Amt |
ProvisionOptionExerciseMaximumNotional | [0..1] | Amt |
ProvisionOptionMinimumNumber | [0..1] | int |
ProvisionOptionMaximumNumber | [0..1] | int |
ProvisionOptionExerciseConfirmation | [0..1] | Boolean |
ProvisionCashSettlPaymentDates | [0..1] | Component |
ProvisionCashSettlMethod | [0..1] | CodeSet |
ProvisionCashSettlCurrency | [0..1] | Currency |
ProvisionCashSettlCurrency2 | [0..1] | Currency |
ProvisionCashSettlQuoteType | [0..1] | CodeSet |
ProvisionCashSettlQuoteSource | [0..1] | Component |
ProvisionText | [0..1] | String |
EncodedProvisionTextLen | [0..1] | Length | Must be set if EncodedProvisionText(40987) field is specified and must immediately precede it.
EncodedProvisionText | [0..1] | data | Encoded (non-ASCII characters) representation of the ProvisionText(40113) field in the encoded format specified via the MessageEncoding(347) field.
ProvisionParties | [0..*] | Group |

Used in components: Instrument

ProvisionOptionExerciseBoundsFirstDateUnadjusted

The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.

Type: LocalMktDate

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseBoundsLastDateUnadjusted

The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.

Type: LocalMktDate

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseBusinessCenter

The business center calendar used to adjust the instrument's provision's option exercise date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProvisionOptionExerciseBusinessCenterGrp

ProvisionOptionExerciseBusinessCenterGrp

ProvisionOptionExerciseBusinessCenterGrp is a repeating subcomponent within the ProvisionOptionExerciseDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoProvisionOptionExerciseBusinessCenters | [1..1] | NumInGroup |
ProvisionOptionExerciseBusinessCenter | [0..1] | String | Required if NoProvisionOptionExerciseBusinessCenters(40954) > 0.

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseBusinessDayConvention

The business day convention used to adjust the instrument's provision's option exercise date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseConfirmation

Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.

Type: Boolean

Used in groups: ProvisionGrp

ProvisionOptionExerciseDates

The ProvisionOptionExerciseDates is a subcomponent within the ProvisionGrp component used to report the option exercise dates and times defined in the provision.

Name | Mult. | Type | Description
ProvisionOptionExerciseBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional option exercise dates.
ProvisionOptionExerciseBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional option exercise dates.
ProvisionOptionExerciseFixedDateGrp | [0..*] | Group |
ProvisionOptionExerciseEarliestDateOffsetPeriod | [0..1] | int | Conditionally required when ProvisionOptionExerciseEarliestDateUnit(40126) is specified.
ProvisionOptionExerciseEarliestDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ProvisionOptionExerciseEasrliestDatePeriod(40125) is specified.
ProvisionOptionExerciseFrequencyPeriod | [0..1] | int | Conditionally required when ProvisionOptionExerciseFrequencyUnit(40128) is specified.
ProvisionOptionExerciseFrequencyUnit | [0..1] | CodeSet | Conditionally required when ProvisionOptionExerciseFrequencyPeriod(40127) is specified.
ProvisionOptionExerciseStartDateUnadjusted | [0..1] | LocalMktDate |
ProvisionOptionExerciseStartDateRelativeTo | [0..1] | int |
ProvisionOptionExerciseStartDateOffsetPeriod | [0..1] | int | Conditionally required when ProvisionOptionExerciseStartDateOffsetUnit(40132) is specified.
ProvisionOptionExerciseStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ProvisionOptionExerciseStartDateOffsetPeriod(40131) is specified.
ProvisionOptionExerciseStartDateOffsetDayType | [0..1] | CodeSet |
ProvisionOptionExerciseStartDateAdjusted | [0..1] | LocalMktDate |
ProvisionOptionExercisePeriodSkip | [0..1] | int |
ProvisionOptionExerciseBoundsFirstDateUnadjusted | [0..1] | LocalMktDate |
ProvisionOptionExerciseBoundsLastDateUnadjusted | [0..1] | LocalMktDate |
ProvisionOptionExerciseEarliestTime | [0..1] | LocalMktTime |
ProvisionOptionExerciseEarliestTimeBusinessCenter | [0..1] | String |
ProvisionOptionExerciseLatestTime | [0..1] | LocalMktTime |
ProvisionOptionExerciseLatestTimeBusinessCenter | [0..1] | String |

Used in groups: ProvisionGrp

ProvisionOptionExerciseEarliestDateOffsetPeriod

Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.

Type: int

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseEarliestDateOffsetUnit

Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.

Type: String

Allowed values in ProvisionOptionExerciseEarliestDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseEarliestTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.

Type: LocalMktTime

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseEarliestTimeBusinessCenter

Identifies the business center calendar used with the provision's earliest time for notice of exercise.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseFixedDate

A predetermined option exercise date, unadjusted or adjusted depending on ProvisionOptionExerciseFixedDateType(40144).

Type: LocalMktDate

Used in groups: ProvisionOptionExerciseFixedDateGrp

ProvisionOptionExerciseFixedDateGrp

The ProvisionOptionExerciseFixedDateGrp is a repeating component within the ProvisionOptionExerciseDates component used to report an array of unadjusted or adjusted fixed exercise dates.

Name | Mult. | Type | Description
NoProvisionOptionExerciseFixedDates | [1..1] | NumInGroup |
ProvisionOptionExerciseFixedDate | [0..1] | LocalMktDate | Required if NoProvisionOptionExerciseFixedDates (40142) > 0.
ProvisionOptionExerciseFixedDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseFixedDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in ProvisionOptionExerciseFixedDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: ProvisionOptionExerciseFixedDateGrp

ProvisionOptionExerciseFrequencyPeriod

Time unit multiplier for the frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise period.

Type: int

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseFrequencyUnit

Time unit associated with the frequency of subsequent exercise dates in the exercise period following the earliest exercise date.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseLatestTime

For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.

Type: LocalMktTime

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseLatestTimeBusinessCenter

Identifies the business center calendar used with the provision's latest time for notice of exercise.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseMaximumNotional

The maximum notional amount that can be exercised on a given exercise date.

Type: Amt

Used in groups: ProvisionGrp

ProvisionOptionExerciseMinimumNotional

The minimum notional amount that can be exercised on a given exercise date.

Type: Amt

Used in groups: ProvisionGrp

ProvisionOptionExerciseMultipleNotional

A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.

Type: Amt

Used in groups: ProvisionGrp

ProvisionOptionExercisePeriodSkip

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

Type: int

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStartDateAdjusted

The adjusted first day of the exercise period for an American style option.

Type: LocalMktDate

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStartDateOffsetDayType

Specifies the day type of the provision's relative option exercise start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStartDateOffsetPeriod

Time unit multiplier for the relative option exercise start date offset.

Type: int

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStartDateOffsetUnit

Time unit associated with the relative option exercise start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStartDateRelativeTo

Specifies the anchor date when the option exercise start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStartDateUnadjusted

The unadjusted first day of the exercise period for an American style option.

Type: LocalMktDate

Used in components: ProvisionOptionExerciseDates

ProvisionOptionExerciseStyle

The instrument provision option’s exercise style.

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in groups: ProvisionGrp

ProvisionOptionExpirationDateAdjusted

The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.

Type: LocalMktDate

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDateBusinessCenter

The business center calendar used to adjust the instrument's provision's option expiration date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProvisionOptionExpirationDateBusinessCenterGrp

ProvisionOptionExpirationDateBusinessCenterGrp

ProvisionOptionExpirationDateBusinessCenterGrp is a repeating subcomponent within the ProvisionOptionExpirationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoProvisionOptionExpirationDateBusinessCenters | [1..1] | NumInGroup |
ProvisionOptionExpirationDateBusinessCenter | [0..1] | String | Required if NoProvisionOptionExpirationDateBusinessCenters(40955) > 0.

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDateBusinessDayConvention

The business day convention used to adjust the instrument's provision's option expiration date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDate

The ProvisionOptionExerciseDate is a subcomponent within the ProvisionGrp component used to report the option expiration date and times defined in the provision.

Name | Mult. | Type | Description
ProvisionOptionExpirationDateUnadjusted | [0..1] | LocalMktDate |
ProvisionOptionExpirationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional option expiration date.
ProvisionOptionExpirationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional option expiration date.
ProvisionOptionExpirationDateRelativeTo | [0..1] | int |
ProvisionOptionExpirationDateOffsetPeriod | [0..1] | int | Conditionally required when ProvisionOptionExpirationDateOffsetUnit(40150) is specified.
ProvisionOptionExpirationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ProvisionOptionExpirationDateOffsetPeriod(40149) is specified.
ProvisionOptionExpirationDateOffsetDayType | [0..1] | CodeSet |
ProvisionOptionExpirationDateAdjusted | [0..1] | LocalMktDate |
ProvisionOptionExpirationTime | [0..1] | LocalMktTime |
ProvisionOptionExpirationTimeBusinessCenter | [0..1] | String |

Used in groups: ProvisionGrp

ProvisionOptionExpirationDateOffsetDayType

Specifies the day type of the provision's relative option expiration date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDateOffsetPeriod

Time unit multiplier for the relative option expiration date offset.

Type: int

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDateOffsetUnit

Time unit associated with the relative option expiration date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDateRelativeTo

Specifies the anchor date when the option expiration date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationDateUnadjusted

The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.

Type: LocalMktDate

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationTime

The latest time for exercise on the expiration date.

Type: LocalMktTime

Used in components: ProvisionOptionExpirationDate

ProvisionOptionExpirationTimeBusinessCenter

Identifies the business center calendar used with the provision's latest exercise time on expiration date.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: ProvisionOptionExpirationDate

ProvisionOptionMaximumNumber

The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.

Type: int

Used in groups: ProvisionGrp

ProvisionOptionMinimumNumber

The minimum number of options that can be exercised on a given exercise date.

Type: int

Used in groups: ProvisionGrp

ProvisionOptionRelevantUnderlyingDateAdjusted

The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

Type: LocalMktDate

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateBusinessCenter

The business center calendar used to adjust the instrument's provision's option underlying date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp is a repeating subcomponent within the ProvisionOptionRelevantUnderlyingDate component. It is used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoProvisionOptionRelevantUnderlyingDateBusinessCenters | [1..1] | NumInGroup |
ProvisionOptionRelevantUnderlyingDateBusinessCenter | [0..1] | String | Required if NoProvisionOptionRelevantUnderlyingDateBusinessCenters(40956) > 0.

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateBusinessDayConvention

The business day convention used to adjust the instrument's provision's option underlying date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDate

The ProvisionOptionRelevantUnderlyingDate is a subcomponent within the ProvisionGrp component used to report the option relevant underlying date defined in the provision.

Name | Mult. | Type | Description
ProvisionOptionRelevantUnderlyingDateUnadjusted | [0..1] | LocalMktDate |
ProvisionOptionRelevantUnderlyingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the provisional option relevant underlying date.
ProvisionOptionRelevantUnderlyingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the provisional option relevant underlying date.
ProvisionOptionRelevantUnderlyingDateRelativeTo | [0..1] | int |
ProvisionOptionRelevantUnderlyingDateOffsetPeriod | [0..1] | int | Conditionally required when ProvisionOptionRelevantUnderlyingDateOffsetUnit(40160) is specified.
ProvisionOptionRelevantUnderlyingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ProvisionOptionRelevantUnderlyingDateOffsetPeriod(40159) is specified.
ProvisionOptionRelevantUnderlyingDateOffsetDayType | [0..1] | CodeSet |
ProvisionOptionRelevantUnderlyingDateAdjusted | [0..1] | LocalMktDate |

Used in groups: ProvisionGrp

ProvisionOptionRelevantUnderlyingDateOffsetDayType

Specifies the day type of the provision's relative option relevant underlying date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateOffsetPeriod

Time unit multiplier for the relative option relevant underlying date offset.

Type: int

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateOffsetUnit

Time unit associated with the relative option relevant underlying date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateRelativeTo

Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionRelevantUnderlyingDateUnadjusted

The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

Type: LocalMktDate

Used in components: ProvisionOptionRelevantUnderlyingDate

ProvisionOptionSinglePartyBuyerSide

If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.

Type: int

Allowed values in ProvisionOptionSinglePartyBuyerSideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: ProvisionGrp

ProvisionOptionSinglePartySellerSide

If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.

Type: int

Allowed values in ProvisionOptionSinglePartyBuyerSideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: ProvisionGrp

ProvisionParties

ProvisionParties is a repeating component within the Provision component used to report the parties identified in the contract provision.

Name | Mult. | Type | Description
NoProvisionPartyIDs | [1..1] | NumInGroup |
ProvisionPartyID | [0..1] | String | Required if NoProvisionPartyIDs(40174) > 0.
ProvisionPartyIDSource | [0..1] | CodeSet | Required if NoProvisionPartyIDs(40174) > 0.
ProvisionPartyRole | [0..1] | CodeSet | Required if NoProvisionPartyIDs(40174) > 0.
ProvisionPartyRoleQualifier | [0..1] | CodeSet |
ProvisionPtysSubGrp | [0..*] | Group |

Used in groups: ProvisionGrp

ProvisionPartyID

The party identifier/code for the payment settlement party.

Type: String

Used in groups: ProvisionParties

ProvisionPartyIDSource

Identifies class or source of the ProvisionPartyID(40175) value.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: ProvisionParties

ProvisionPartyRole

Identifies the type or role of ProvisionPartyID(40175) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: ProvisionParties

ProvisionPartyRoleQualifier

Used to further qualify the value of ProvisionPartyRole(40177).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: ProvisionParties

ProvisionPartySubID

Party sub-identifier, if applicable, for ProvisionPartyID(40175).

Type: String

Used in groups: ProvisionPtysSubGrp

ProvisionPartySubIDType

The type of ProvisionPartySubID(40179).

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: ProvisionPtysSubGrp

ProvisionPtysSubGrp

ProvisionPtysSubGrp is a repeating component within the ProvisionParties component used to extend information to be reported for the party.

Name | Mult. | Type | Description
NoProvisionPartySubIDs | [1..1] | NumInGroup |
ProvisionPartySubID | [0..1] | String | Required if NoProvisionPartySubIDs(40178) > 0.
ProvisionPartySubIDType | [0..1] | CodeSet | Required if NoProvisionPartySubIDs(40178) > 0.

Used in groups: ProvisionParties

ProvisionText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: ProvisionGrp

ProvisionType

Type of provisions.

Type: int

Allowed values in ProvisionTypeCodeSet:

Code | Name | Description
0 | MandatoryEarlyTermination | Mandatory early termination
1 | OptionalEarlyTermination | Optional early termination
2 | Cancelable | Cancelable
3 | Extendable | Extendable. The contract can be extended by either party usually with a specific time notice prior to the expiry date. In the context of EU SFTR reporting this corresponds to "termination optionality" code "ETSB".
4 | MutualEarlyTermination | Mutual early termination
5 | Evergreen | Evergreen. The contract automatically renews after the expiry date until one party gives the other notice to terminate. In the context of EU SFTR reporting this corresponds to "termination optionality" code "EGRN".
6 | Callable | Callable. Contract is callable.
7 | Puttable | Puttable. Contract is puttable.

Used in groups: ProvisionGrp

PtysSubGrp

Name | Mult. | Type | Description
NoPartySubIDs | [1..1] | NumInGroup |
PartySubID | [0..1] | String |
PartySubIDType | [0..1] | CodeSet |

Used in groups: Parties

PublishTrdIndicator

Indicates if a trade should be reported via a market reporting service.

Type: Boolean

Allowed values in PublishTrdIndicatorCodeSet:

Code | Name | Description
N | DoNotReportTrade | Do Not Report Trade
Y | ReportTrade | Report Trade

Used in messages: TradeCaptureReport, TradeCaptureReportAck

PutOrCall

Indicates whether an option contract is a put, call, chooser or undetermined.

Type: int

Allowed values in PutOrCallCodeSet:

Code | Name | Description
0 | Put | Put. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate receiver or into a CDS contract as a seller of protection or for the case of a Floor.
1 | Call | Call. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate payer or into a CDS contract as a buyer of protection or for the case of a Cap.
2 | Other | Other. In the context of ESMA RTS 22 reporting, this value may be used when, at the time of execution, the option right cannot be determined.
3 | Chooser | Chooser. Indicates that the option buyer may choose to buy or sell the underlying security on exercise or if a Swaption to pay or receive the underlying IRS cash flow stream or to buy or sell CDS protection.

Used in components: Instrument

QtyType

Type of quantity specified in quantity field. ContractMultiplier (tag 231) is required when QtyType = 1 (Contracts). UnitOfMeasure (tag 996) and TimeUnit (tag 997) are required when QtyType = 2 (Units of Measure per Time Unit).

Type: int

Allowed values in QtyTypeCodeSet:

Code | Name | Description
0 | Units | Units (shares, par, currency)
1 | Contracts | Contracts
2 | UnitsOfMeasurePerTimeUnit | Unit of Measure per Time Unit

Used in components: SettlTradeDetails

Used in groups: InstrmtMatchSideGrp, ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, SideCrossOrdModGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport, IOI, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, TradeCaptureReport, TradeCaptureReportAck

Quantity

Overall/total quantity (e.g. number of shares)

(Prior to FIX 4.2 this field was of type int)

Type: Qty

Used in groups: InstrmtMatchSideGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AllocationReportAck, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse

QuantityDate

Date associated to the quantity that is being reported for the position.

Type: LocalMktDate

Used in groups: PositionQty, TradePositionQty

QuotCxlEntriesGrp

Name | Mult. | Type | Description
NoQuoteEntries | [1..1] | NumInGroup | The number of securities (instruments) whose quotes are to be canceled. Not required when cancelling all quotes.
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |

Used in messages: QuoteCancel

QuoteAckStatus

Acknowledgement status of a Quote(35=S) or QuoteCancel(35=Z) message submission.

Type: int

Allowed values in QuoteAckStatusCodeSet:

Code | Name | Description
0 | ReceivedNotYetProcessed | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected

Used in messages: QuoteAck

QuoteAttributeGrp

The QuoteAttributeGrp component provides additional attributes about the quote. Attributes included in this component are primarily "indicators" that may be associated with regulatory requirements and are typically not part of normal trading activities.

Name | Mult. | Type | Description
NoQuoteAttributes | [1..1] | NumInGroup |
QuoteAttributeType | [0..1] | CodeSet | Required if NoQuoteAttributes(2706) > 0.
QuoteAttributeValue | [0..1] | String | Required if NoQuoteAttributes(2706) > 0.

Used in messages: Quote, QuoteAck, QuoteStatusReport

QuoteAttributeType

The type of attribute for the quote.

Type: int

Allowed values in QuoteAttributeTypeCodeSet:

Code
Name
Description

0
QuoteAboveStandardMarketSize
Quote is above standard market size. In the context of ESMA pre-trade transparency under MiFIR to make prices public, the quote size is above standard market size, therefore the price is not made public. Applicable for cash equities instruments.

1
QuoteAboveSpecificInstrumentSize
Quote is above size specific to the instrument. In the context of ESMA pre-trade transparency under MiFID to make public prices, the quote size is above the size specific to the instrument, therefore the price is not or will not be made public. Applicable for non-cash equities instruments.

2
QuoteApplicableForLiquidtyProvisionActivity
Quote applicable for liquidity provision activity. In the context of ESMA RTS 24 Article 3, when QuoteAttributeValue(2708)=Y, it signifies that the quote was submitted "as part of a market making strategy pursuant to Articles 17 and 18 of Directive 2014/65/EU, or is submitted as part of another activity in accordance with Article 3" (of RTS 24).

3
QuoteIssuerStatus
Quote issuer status. Indicate whether quote issuer is available or not. Can be used in the context of US CAT to indicate if a market maker’s quote is open (O) or closed (C) whenever the quote is sent to an inter-dealer quotation system.

4
BidOrAskRequest
Bid or ask request. Indicate explicitly whether a request for a quote is a request for a bid or an ask.

Used in groups: QuoteAttributeGrp

QuoteAttributeValue

The value associated with the quote attribute type specified in QuoteAttributeType(2707).

Type: String

Used in groups: QuoteAttributeGrp

QuoteCancelType

Identifies the type of quote cancel.

Type: int

Allowed values in QuoteCancelTypeCodeSet:

Code | Name | Description
1 | CancelForOneOrMoreSecurities | Cancel quotes for one or more securities
2 | CancelForSecurityType | Cancel quotes for security type(s)
3 | CancelForUnderlyingSecurity | Cancel quotes for underlying security
4 | CancelAllQuotes | Cancel all quotes
5 | CancelSpecifiedSingleQuote | Cancel specified single quote. Cancel single quote specified in QuoteID(117) or SecondaryQuoteID(1751)
6 | CancelByTypeOfQuote | Cancel by type of quote. Cancel quotes by type of quote specified in QuoteType(537)
7 | CancelForSecurityIssuer | Cancel quotes for an issuer
8 | CancelForIssuerOfUnderlyingSecurity | Cancel quotes for an issuer of underlying security

Used in messages: MassQuoteAck, QuoteAck, QuoteCancel, QuoteStatusReport

QuoteCondition

Space-delimited list of conditions describing a quote.

Type: MultipleStringValue

Allowed values in QuoteConditionCodeSet:

Code | Name | Description
A | Open | Open/Active
B | Closed | Closed/Inactive
C | ExchangeBest | Exchange Best
D | ConsolidatedBest | Consolidated Best
E | Locked | Locked
F | Crossed | Crossed
G | Depth | Depth
H | FastTrading | Fast Trading
I | NonFirm | Non-Firm
L | Manual | Manual/Slow Quote
J | OutrightPrice | Outright Price
K | ImpliedPrice | Implied Price
M | DepthOnOffer | Depth on Offer
N | DepthOnBid | Depth on Bid
O | Closing | Closing
P | NewsDissemination | News Dissemination
Q | TradingRange | Trading Range
R | OrderInflux | Order Influx
S | DueToRelated | Due to Related
T | NewsPending | News Pending
U | AdditionalInfo | Additional Info
V | AdditionalInfoDueToRelated | Additional Info due to related
W | Resume | Resume
X | ViewOfCommon | View of Common
Y | VolumeAlert | Volume Alert
Z | OrderImbalance | Order Imbalance
a | EquipmentChangeover | Equipment Changeover
b | NoOpen | No Open / No Resume
c | RegularETH | Regular ETH
d | AutomaticExecution | Automatic Execution
e | AutomaticExecutionETH | Automatic Execution ETH
f | FastMarketETH | Fast Market ETH
g | InactiveETH | Inactive ETH
h | Rotation | Rotation
i | RotationETH | Rotation ETH
j | Halt | Halt
k | HaltETH | Halt ETH
l | DueToNewsDissemination | Due to News Dissemination
m | DueToNewsPending | Due to News Pending
n | TradingResume | Trading Resume
o | OutOfSequence | Out of Sequence
p | BidSpecialist | Bid Specialist
q | OfferSpecialist | Offer Specialist
r | BidOfferSpecialist | Bid Offer Specialist
s | EndOfDaySAM | End of Day SAM
t | ForbiddenSAM | Forbidden SAM
u | FrozenSAM | Frozen SAM
v | PreOpeningSAM | PreOpening SAM
w | OpeningSAM | Opening SAM
x | OpenSAM | Open SAM
y | SurveillanceSAM | Surveillance SAM
z | SuspendedSAM | Suspended SAM
0 | ReservedSAM | Reserved SAM
1 | NoActiveSAM | No Active SAM
2 | Restricted | Restricted
3 | RestOfBookVWAP | Rest of Book VWAP
4 | BetterPricesInConditionalOrders | Better Prices in Conditional Orders
5 | MedianPrice | Median Price
6 | FullCurve | Full Curve
7 | FlatCurve | Flat Curve

Used in components: MDStatisticParameters

Used in groups: MDFullGrp, MDIncGrp

QuoteDisplayTime

Time by which the quote will be displayed.

Type: UTCTimestamp

Used in groups: QuotReqGrp

QuoteEntryID

Unique identifier for a quote. The QuoteEntryID stays with the quote as a static identifier even if the quote is updated.

Type: String

Used in groups: MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp

QuoteEntryRejectReason

Reason Quote Entry was rejected:

Type: int

Allowed values in QuoteRejectReasonCodeSet:

Code | Name | Description
1 | UnknownSymbol | Unknown symbol (security). In the context of IA FX Reject codes, Trade Request Rejection Category F, this may be used with QuoteStatus(297)=5 (Rejected) to indicate product is not supported, e.g. by the specific venue, tenor restrictions on the market participant(s) involved.
2 | Exchange | Exchange (security) closed
3 | QuoteRequestExceedsLimit | Quote Request exceeds limit
4 | TooLateToEnter | Too late to enter
5 | UnknownQuote | Unknown quote
6 | DuplicateQuote | Duplicate quote
7 | InvalidBid | Invalid bid/ask spread
8 | InvalidPrice | Invalid price. In the context of IA FX Reject codes, Trade Request Rejection Category A-2, this may be used with QuoteStatus(297)=5 (Rejected) to indicate price is not valid due to "last look latency".
9 | NotAuthorizedToQuoteSecurity | Not authorized to quote security
10 | PriceExceedsCurrentPriceBand | Price exceeds current price band
11 | QuoteLocked | Quote locked - unable to update/cancel
12 | InvalidOrUnknownSecurityIssuer | Invalid or unknown security issuer
13 | InvalidOrUnknownIssuerOfUnderlyingSecurity | Invalid or unknown issuer of underlying security
14 | NotionalValueExceedsThreshold | Notional value exceeds threshold
15 | PriceExceedsCurrentPriceBandDepr | Price exceeds current price band
16 | ReferencePriceNotAvailable | Reference price not available
17 | InsufficientCreditLimit | Insufficient credit limit. In the context of IA FX Reject codes, Trade Request Rejection Category C, this may be used with QuoteStatus(297)=5 (Rejected) to indicate credit limit is exceeded or not in place.
18 | ExceededClipSizeLimit | Exceeded clip size limit
19 | ExceededMaxNotionalOrderAmt | Exceeded maximum notional order amount
20 | ExceededDV01PV01Limit | Exceeded DV01/PV01 limit
21 | ExceededCS01Limit | Exceeded CS01 limit
22 | UnavailablePriceLiquidity | Unavailable price or liquidity. In the context of IA FX Reject codes, Trade Request Rejection Category B, this may be used with QuoteStatus(297)=5 (Rejected) to indicate the "Hit/lift" was not subjected to last look but pricing or liquidity is no longer available for execution.
23 | InvalidMissingEntitlements | Invalid or missing entitlements. In the context of IA FX Reject codes, Trade Request Rejection Category D, this may be used with QuoteStatus(297)=5 (Rejected) to indicate the counterparty is not authorized or has missing entitlements.
24 | UnknownAccounts | Unknown account(s). In the context of IA FX Reject codes, Trade Request Rejection Category D, this may be used with QuoteStatus(297)=5 (Rejected) to indicate the account/fund is unknown or not setup.
99 | Other | Other. In the context of IA FX Reject codes, Trade Request Rejection Category E, order rejected due to other exceptions. Further detail may be provided in RejectText(1328)or Text(58), with preference for RejectText(1328) if field is present in the message.

Used in groups: QuotEntryAckGrp

QuoteEntryStatus

Identifies the status of an individual quote. See also QuoteStatus(297) which is used for single Quotes.

Type: int

Allowed values in QuoteEntryStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
5 | Rejected | Rejected
6 | RemovedFromMarket | Removed from Market
7 | Expired | Expired
12 | LockedMarketWarning | Locked Market Warning
13 | CrossMarketWarning | Cross Market Warning
14 | CanceledDueToLockMarket | Canceled due to Lock Market
15 | CanceledDueToCrossMarket | Canceled due to Cross Market
16 | Active | Active

Used in groups: QuotEntryAckGrp

QuoteID

Unique identifier for quote

Type: String

Used in groups: ListOrdGrp, QuotReqGrp

Used in messages: CrossOrderCancelReplaceRequest, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, Quote, QuoteAck, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest

QuoteModelType

Quote model type

Type: int

Allowed values in QuoteModelTypeCodeSet:

Code | Name | Description
1 | QuoteEntry | Quote entry. New quote is entered or previously submitted quote is updated in full without regard to amount executed when a subsequent quote (e.g. with the same QuoteID reference) is received by the Recipient of the quote message.
2 | QuoteModification | Quote modification. Previously submitted quote must be present and is updated, taking into consideration the amount already executed when a subsequent quote (e.g. with the same QuoteID reference) is received by the Recipient of the quote message.

Used in messages: MassQuote, Quote

QuoteMsgID

Unique identifier for a quote message.

Type: String

Used in messages: ExecutionReport, Quote, QuoteAck, QuoteCancel, QuoteResponse, QuoteStatusReport

QuotEntryAckGrp

Name | Mult. | Type | Description
NoQuoteEntries | [1..1] | NumInGroup | The number of quotes for this Symbol (QuoteSet) that follow in this message.
QuoteEntryID | [0..1] | String | Uniquely identifies the quote across the complete set of all quotes for a given quote provider. First field in repeating group. Required if NoQuoteEntries > 0.
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrmtLegGrp | [0..*] | Group |
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
BidSize | [0..1] | Qty |
OfferSize | [0..1] | Qty |
ValidUntilTime | [0..1] | UTCTimestamp |
BidSpotRate | [0..1] | Price | May be applicable for F/X quotes
OfferSpotRate | [0..1] | Price | May be applicable for F/X quotes
BidForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
OfferForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
MidPx | [0..1] | Price |
BidYield | [0..1] | Percentage |
MidYield | [0..1] | Percentage |
OfferYield | [0..1] | Percentage |
TransactTime | [0..1] | UTCTimestamp |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date"
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
BidForwardPoints2 | [0..1] | PriceOffset | Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
OfferForwardPoints2 | [0..1] | PriceOffset | Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.
CurrencyCodeSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
QuoteEntryStatus | [0..1] | CodeSet |
QuoteEntryRejectReason | [0..1] | CodeSet | Reason Quote Entry was rejected.

Used in groups: QuotSetAckGrp

QuotEntryGrp

Name | Mult. | Type | Description
NoQuoteEntries | [1..1] | NumInGroup | The number of quotes for this Symbol (instrument) (QuoteSet) that follow in this message.
QuoteEntryID | [1..1] | String | Uniquely identifies the quote across the complete set of all quotes for a given quote provider.
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
InstrmtLegGrp | [0..*] | Group |
BidPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
OfferPx | [0..1] | Price | If F/X quote, should be the "all-in" rate (spot rate adjusted for forward points). Note that either BidPx, OfferPx or both must be specified.
TotalBidSize | [0..1] | Qty |
TotalOfferSize | [0..1] | Qty |
BidSize | [0..1] | Qty |
OfferSize | [0..1] | Qty |
ValidUntilTime | [0..1] | UTCTimestamp |
BidSpotRate | [0..1] | Price | May be applicable for F/X quotes
OfferSpotRate | [0..1] | Price | May be applicable for F/X quotes
BidForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
OfferForwardPoints | [0..1] | PriceOffset | May be applicable for F/X quotes
MidPx | [0..1] | Price |
BidYield | [0..1] | Percentage |
MidYield | [0..1] | Percentage |
OfferYield | [0..1] | Percentage |
TransactTime | [0..1] | UTCTimestamp |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Can be used with forex quotes to specify a specific "value date"
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote is for
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
BidForwardPoints2 | [0..1] | PriceOffset | Bid F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
OfferForwardPoints2 | [0..1] | PriceOffset | Offer F/X forward points of the future portion of a F/X swap quote added to spot rate. May be a negative value
Currency | [0..1] | Currency | Can be used to specify the currency of the quoted price.
CurrencyCodeSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |

Used in groups: QuotSetGrp

QuotePriceType

Code to represent price type requested in Quote.

If the Quote Request is for a Swap, values 1-8 apply to all legs.

Type: int

Allowed values in QuotePriceTypeCodeSet:

Code
Name
Description

1
Percent
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerShare
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed Amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points relative to benchmark). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
YieldSpread
Yield Spread (swaps)

10
Yield
Yield

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example: the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools.

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based

23
UpFrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageOfNotional
Percentage of notional

Used in groups: QuotReqGrp, QuotReqRjctGrp

QuoteQualifier

Code to qualify Quote use and other aspects of price negotiation.

Type: char

Allowed values in IOIQualifierCodeSet:

Code
Name
Description

A
AllOrNone
All or None (AON)

B
MarketOnClose
Market On Close (MOC) (held to close)

C
AtTheClose
At the close (around/not held to close)

D
VWAP
VWAP (Volume Weighted Average Price)

E
Axe
Axe. Indicates that a quote is an Axe, without specifying a side preference. Mutually exclusive with F(Axe on bid) and G(Axe on offer).

F
AxeOnBid
Axe on bid. Indicates that a quote is an Axe, with a preference to execute on the bid side. Mutually exclusive with E(Axe) and G (Axe on offer)

G
AxeOnOffer
Axe on offer. Indicates that a quote is an Axe, with a preference to execute on the offer side. Mutually exclusive with E(Axe) and F (Axe on bid)

H
ClientNaturalWorking
Client natural working. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type C2 – Client Natural (Working). A client should be able to seek verification (from IOI publisher’s management/compliance) that, for any C2 IOIs received, there was a corresponding live client order for at least the advertised size prior to the IOI being generated. Resulting trades are expected to be of a riskless nature.

I
InTouchWith
In touch with. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type P1 - Potential. Post-execution, a client should be able to seek verification (from IOI publisher’s management/ compliance) that, for any P1 IOIs received and executed against, there was by time of the execution, an opposing specific client order. Resulting trades are expected to be of a riskless nature. If the anticipated client order does not materialise, and the broker elects to commit capital, this must be disclosed prior to execution.

J
PositionWanted
Position wanted. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H2 – Position Wanted. Brokers will be likely be sourcing liquidity and therefore may advertise the size of IOI they wish; however, clients can expect the broker to honour the size of IOI shown. The presumption is that there is no intent to immediately unwind the position without notification, however, brokers may provide additional granularity to the category and may offer bilateral post trade commitments. Brokers will also offer clients a feedback mechanism.

K
MarketMaking
Market making. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H3 – Market Making, no enforcement is required.

L
Limit
Limit

M
MoreBehind
More Behind

N
ClientNaturalBlock
Client natural block. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type C1 - Client Natural (Block). A client should be able to seek verification (from IOI publisher’s management/compliance) that, for any C1 IOIs received, there was a corresponding live client order for at least the advertised size prior to the IOI being generated. Resulting trades are expected to be of a riskless nature.

O
AtTheOpen
At the Open

P
TakingAPosition
Taking a Position

Q
AtTheMarket
At the Market (previously called Current Quote)

R
ReadyToTrade
Ready to Trade

S
PortfolioShown
Inventory or Portfolio Shown

T
ThroughTheDay
Through the Day

U
Unwind
Unwind. With reference to the AFME/IA Framework for Indications of Interest, this is to be used to denote IOIs of type H1 - Unwind. Brokers will be responsible for ensuring that the size of the IOI reflects the actual house position in the relevant business unit and should not inflate the size of the IOI. The presumption is that there is no intent to immediately replace the position without notification, however, brokers may provide additional granularity to the category and may offer bilateral post trade commitments. Brokers will also offer clients a feedback mechanism.

V
Versus
Versus

W
Indication
Indication - Working Away

X
CrossingOpportunity
Crossing Opportunity

Y
AtTheMidpoint
At the Midpoint

Z
PreOpen
Pre-open

1
QuantityNegotiable
Quantity is negotiable. When specified, the dealer may counter with a reduced quantity in its Quotes in response to QuoteRequest(35=R). All-or-none if omitted.

2
AllowLateBids
Allow late bids. When specified in QuoteRequest(35=R) the dealer may submit quotes after curtain time has elapsed.

3
ImmediateOrCounter
Immediate or counter. When specified, the buy-side customer is permitted to counter a firm quote during wiretime.

4
AutoTrade
Auto trade. Trade is in an auto-trading mode whereby the best quote that satisfies user criteria as determined by the trading platform will be accepted automatically.

a
AutomaticSpot
Automatic spot. At completion of price negotiation based on spread the trading platform will propose a benchmark spot price which may be filled immediately by the dealer or countered.

b
PlatformCalculatedSpot
Platform calculated spot. At completion of price negotiation based on spread the trading platform will supply a benchmark spot price and immediately complete the trade reporting fill. There is no dealer last look.

c
OutsideSpread
Outside spread. The IOI is identifiable outside the current bid/offer.

d
DeferredSpot
Deferred spot. At a future time after completion of price negotiation based on spread and reported in StrikeTime(443) the trading platform will propose a benchmark spot price which may be filled immediately by the dealer or countered.

n
NegotiatedSpot
Negotiated spot. Once price negotiation based on spread is completed negotiation of the benchmark spot price proceeds immediately.

Used in groups: QuotQualGrp

QuoteRejectReason

Reason quote was rejected.

Type: int

Allowed values in QuoteRejectReasonCodeSet:

Code | Name | Description
1 | UnknownSymbol | Unknown symbol (security). In the context of IA FX Reject codes, Trade Request Rejection Category F, this may be used with QuoteStatus(297)=5 (Rejected) to indicate product is not supported, e.g. by the specific venue, tenor restrictions on the market participant(s) involved.
2 | Exchange | Exchange (security) closed
3 | QuoteRequestExceedsLimit | Quote Request exceeds limit
4 | TooLateToEnter | Too late to enter
5 | UnknownQuote | Unknown quote
6 | DuplicateQuote | Duplicate quote
7 | InvalidBid | Invalid bid/ask spread
8 | InvalidPrice | Invalid price. In the context of IA FX Reject codes, Trade Request Rejection Category A-2, this may be used with QuoteStatus(297)=5 (Rejected) to indicate price is not valid due to "last look latency".
9 | NotAuthorizedToQuoteSecurity | Not authorized to quote security
10 | PriceExceedsCurrentPriceBand | Price exceeds current price band
11 | QuoteLocked | Quote locked - unable to update/cancel
12 | InvalidOrUnknownSecurityIssuer | Invalid or unknown security issuer
13 | InvalidOrUnknownIssuerOfUnderlyingSecurity | Invalid or unknown issuer of underlying security
14 | NotionalValueExceedsThreshold | Notional value exceeds threshold
15 | PriceExceedsCurrentPriceBandDepr | Price exceeds current price band
16 | ReferencePriceNotAvailable | Reference price not available
17 | InsufficientCreditLimit | Insufficient credit limit. In the context of IA FX Reject codes, Trade Request Rejection Category C, this may be used with QuoteStatus(297)=5 (Rejected) to indicate credit limit is exceeded or not in place.
18 | ExceededClipSizeLimit | Exceeded clip size limit
19 | ExceededMaxNotionalOrderAmt | Exceeded maximum notional order amount
20 | ExceededDV01PV01Limit | Exceeded DV01/PV01 limit
21 | ExceededCS01Limit | Exceeded CS01 limit
22 | UnavailablePriceLiquidity | Unavailable price or liquidity. In the context of IA FX Reject codes, Trade Request Rejection Category B, this may be used with QuoteStatus(297)=5 (Rejected) to indicate the "Hit/lift" was not subjected to last look but pricing or liquidity is no longer available for execution.
23 | InvalidMissingEntitlements | Invalid or missing entitlements. In the context of IA FX Reject codes, Trade Request Rejection Category D, this may be used with QuoteStatus(297)=5 (Rejected) to indicate the counterparty is not authorized or has missing entitlements.
24 | UnknownAccounts | Unknown account(s). In the context of IA FX Reject codes, Trade Request Rejection Category D, this may be used with QuoteStatus(297)=5 (Rejected) to indicate the account/fund is unknown or not setup.
99 | Other | Other. In the context of IA FX Reject codes, Trade Request Rejection Category E, order rejected due to other exceptions. Further detail may be provided in RejectText(1328)or Text(58), with preference for RejectText(1328) if field is present in the message.

Used in messages: MassQuoteAck, QuoteAck, QuoteStatusReport

QuoteReqID

Unique identifier for a QuoteRequest(35=R).

Type: String

Used in messages: MassQuote, MassQuoteAck, Quote, QuoteAck, QuoteCancel, QuoteRequest, QuoteRequestReject, QuoteResponse, QuoteStatusReport

QuoteRequestRejectReason

Reason quote request was rejected.

Type: int

Allowed values in QuoteRequestRejectReasonCodeSet:

Code | Name | Description
1 | UnknownSymbol | Unknown Symbol (Security). In the context of IA FX Reject codes, Quote Rejection Category F, the RFQ is rejected due to unknown or unsupported product, e.g. by the specific venue, tenor restrictions on the market participant(s) involved.
2 | Exchange | Exchange (Security) Closed
3 | QuoteRequestExceedsLimit | Quote Request Exceeds Limit. In the context of IA FX Reject codes, Quote Rejection Category D, the RFQ is rejected due to risk limit exceeded or not in place.
4 | TooLateToEnter | Too Late to enter
5 | InvalidPrice | Invalid Price
6 | NotAuthorizedToRequestQuote | Not Authorized To Request Quote
7 | NoMatchForInquiry | No Match For Inquiry
8 | NoMarketForInstrument | No Market For Instrument. In the context of IA FX Reject codes, Quote Rejection Category F, the RFQ is rejected due to unknown or unsupported product.
9 | NoInventory | No Inventory
10 | Pass | Pass
11 | InsufficientCredit | Insufficient credit. In the context of IA FX Reject codes, Quote Rejection Category A, the RFQ is rejected due to credit limit exceeded or not in place.
12 | ExceededClipSizeLimit | Exceeded clip size limit
13 | ExceededMaxNotionalOrderAmt | Exceeded maximum notional order amount
14 | ExceededDV01PV01Limit | Exceeded DV01/PV01 limit
15 | ExceededCS01Limit | Exceeded CS01 limit
16 | UnavailablePriceLiquidity | Unavailable price or liquidity. In the context of IA FX Reject codes, Quote Rejection Category A, the RFQ is rejected due to unavailable price information.
17 | UnmetRegulatoryRequirement | Unmet regulatory requirement. In the context of IA FX Reject codes, Quote Rejection Category B, the RFQ is rejected due to regulatory requirements not being met. For example, a RFQ is submitted into a SEF by a non-SEF participant, or an NDF was submitted into the trading platform.
18 | UnknownAccounts | Unknown account(s). In the context of IA FX Reject codes, Quote Rejection Category F, the RFQ is rejected due to static data when the account/fund is not setup or unknown.
19 | InvalidMissingEntitlements | Invalid or missing entitlements. In the context of IA FX Reject codes, Quote Rejection Category F, the RFQ is rejected due to static data when the counterparty is not authorized or has missing entitlements.
99 | Other | Other. In the context of IA FX Reject codes, Quote Rejection Category E, the RFQ is rejected due to other exceptions. Further detail may be provided in RejectText(1328) or Text(58), with preference for RejectText(1328) if field is present in the message.

Used in messages: QuoteRequestReject

QuoteRequestType

Indicates the type of Quote Request being generated

Type: int

Allowed values in QuoteRequestTypeCodeSet:

Code | Name | Description
1 | Manual | Manual
2 | Automatic | Automatic
3 | ConfirmQuote | Confirm quote

Used in groups: QuotReqGrp, QuotReqRjctGrp, RFQReqGrp

QuoteRespID

Message reference for Quote Response

Type: String

Used in messages: ExecutionReport, Quote, QuoteResponse, QuoteStatusReport

QuoteResponseLevel

Level of Response requested from receiver of quote messages. A default value should be bilaterally agreed.

Type: int

Allowed values in QuoteResponseLevelCodeSet:

Code | Name | Description
0 | NoAcknowledgement | No Acknowledgement
1 | AcknowledgeOnlyNegativeOrErroneousQuotes | Acknowledge only negative or erroneous quotes
2 | AcknowledgeEachQuoteMessage | Acknowledge each quote message
3 | SummaryAcknowledgement | Summary Acknowledgement

Used in messages: MassQuote, MassQuoteAck, Quote, QuoteCancel

QuoteRespType

Identifies the type of Quote Response.

Type: int

Allowed values in QuoteRespTypeCodeSet:

Code | Name | Description
1 | Hit | Hit/Lift
2 | Counter | Counter
3 | Expired | Expired
4 | Cover | Cover. Trade was done with another quote provider. Quote provider's original quoted price was the best price not traded (i.e. the cover price).
5 | DoneAway | Done away. Trade was done with another quote provider.
6 | Pass | Pass
7 | EndTrade | End trade. Indicates an end to the trade negotiation.
8 | TimedOut | Timed out
9 | Tied | Tied. Trade was done with another quote provider. Quote provider's original quoted price was the same as the traded price.
10 | TiedCover | Tied cover. Trade was done with another quote provider. Quote provider's original quoted price was the best price not traded. There were other quote provider(s) at the same price.
11 | Accept | Accept. Used in a response to acknowledge an action communicated by the counterparty.
12 | TerminateContract | Terminate contract. Used to communicate the termination of an existing contract.

Used in messages: QuoteResponse

QuoteSetID

Unique id for the Quote Set.

Type: String

Used in groups: QuotSetAckGrp, QuotSetGrp

QuoteSetValidUntilTime

Indicates expiration time of this particular QuoteSet (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: QuotSetAckGrp, QuotSetGrp

QuoteSideIndicator

Indicates whether single sided quotes are allowed.

Type: Boolean

Allowed values in QuoteSideIndicatorCodeSet:

Code | Name | Description
N | No | Single sided quotes are not allowed.
Y | Yes | Single sided quotes are allowed.

Used in components: BaseTradingRules

QuoteSizeRuleGrp

Rules for minimum bid and offer sizes of quotes.

Name | Mult. | Type | Description
NoQuoteSizeRules | [1..1] | NumInGroup | Number of quote size rules.
MinBidSize | [0..1] | Qty | Required if NoQuoteSizeRules(2558) > 0.
MinOfferSize | [0..1] | Qty | Required if NoQuoteSizeRules(2558) > 0.
FastMarketIndicator | [0..1] | Boolean | Used to define the sizes applicable for fast market conditions.

Used in components: BaseTradingRules

QuoteStatus

Identifies the status of the quote acknowledgement.

Type: int

Allowed values in QuoteStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | CancelForSymbol | Canceled for specific securities
2 | CanceledForSecurityType | Canceled for specific SecurityTypes(167)
3 | CanceledForUnderlying | Canceled for underlying
4 | CanceledAll | Canceled all
5 | Rejected | Rejected
6 | RemovedFromMarket | Removed from market
7 | Expired | Expired. In the context of IA FX Reject codes, Trade Request Rejection Category A-2, this may be used to indicate price or liquidity is unavailable due to "last look latency".
8 | Query | Query
9 | QuoteNotFound | Quote not found
10 | Pending | Pending
11 | Pass | Pass. In the context of IA FX Reject codes, Trade Request Rejection Category A-1, this is used by price maker to pass due to a "last look".
12 | LockedMarketWarning | Locked market warning
13 | CrossMarketWarning | Crossed market warning
14 | CanceledDueToLockMarket | Canceled due to locked market
15 | CanceledDueToCrossMarket | Canceled due to crossed market
16 | Active | Active
17 | Canceled | Canceled
18 | UnsolicitedQuoteReplenishment | Unsolicited quote replenishment
19 | PendingEndTrade | Pending end trade
20 | TooLateToEnd | Too late to end
21 | Traded | Traded
22 | TradedAndRemoved | Traded and removed
23 | ContractTerminates | Contract terminated. Indicates a contract has been or is being terminated.

Used in messages: MassQuoteAck, QuoteStatusReport

QuoteStatusReqID

Unique identifier for Quote Status Request.

Type: String

Used in messages: QuoteStatusReport, QuoteStatusRequest

QuoteType

Identifies the type of quote.

An indicative quote is used to inform a counterparty of a market. An indicative quote does not result directly in a trade.

A tradeable quote is submitted to a market and will result directly in a trade against other orders and quotes in a market.

A restricted tradeable quote is submitted to a market and within a certain restriction (possibly based upon price or quantity) will automatically trade against orders. Order that do not comply with restrictions are sent to the quote issuer who can choose to accept or decline the order.

A counter quote is used in the negotiation model. See Volume 7 - Product: Fixed Income for example usage.

Type: int

Allowed values in QuoteTypeCodeSet:

Code | Name | Description
0 | Indicative | Indicative
1 | Tradeable | Tradeable
2 | RestrictedTradeable | Restricted tradeable
3 | Counter | Counter (tradeable)
4 | InitiallyTradeable | Initially tradeable

Used in groups: InstrmtMDReqGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp

Used in messages: MassQuote, MassQuoteAck, Quote, QuoteAck, QuoteCancel, QuoteResponse, QuoteStatusReport

QuotQualGrp

Name | Mult. | Type | Description
NoQuoteQualifiers | [1..1] | NumInGroup |
QuoteQualifier | [0..1] | CodeSet | Required if NoQuoteQualifiers > 1

Used in groups: QuotReqGrp, QuotReqRjctGrp

Used in messages: Quote, QuoteResponse, QuoteStatusReport

QuotReqGrp

Name
Mult.
Type
Description

NoRelatedSym
[1..1]
NumInGroup
Number of related symbols (instruments) in Request

Instrument
[1..1]
Component
Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"

FinancingDetails
[0..1]
Component
Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"

UndInstrmtGrp
[0..*]
Group

PrevClosePx
[0..1]
Price
Useful for verifying security identification

QuoteRequestType
[0..1]
CodeSet
Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.

QuoteID
[0..1]
String
Can be used when QuoteRequestType(303) = 3(Confirm Quote).

SecondaryQuoteID
[0..1]
String
Can be used when QuoteRequestType(303) = 3(Confirm Quote).

QuoteType
[0..1]
CodeSet
Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable). Valid values used by FX in the request: 0 = Indicative, 1 = Tradeable; Absence implies a request for an indicative quote.

TradingSessionID
[0..1]
String

TradingSessionSubID
[0..1]
CodeSet

TradeOriginationDate
[0..1]
LocalMktDate

NumOfCompetitors
[0..1]
int

Side
[0..1]
CodeSet
If OrdType = "Forex - Swap", should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested. For single instrument use. FX values, 1 = Buy, 2 = Sell; This is from the perspective of the Initiator. If absent then a two-sided quote is being requested for spot or forward.

QtyType
[0..1]
CodeSet
Type of quantity specified in a quantity field. For FX, if used, should be "0".

OrderQtyData
[0..1]
Component
Conditionally required for single instrument quoting when applicable for the type of instrument.

MinQty
[0..1]
Qty

SettlType
[0..1]
CodeSet
For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.

SettlDate
[0..1]
LocalMktDate
Can be used (e.g. with forex quotes) to specify the desired "value date". For NDFs either SettlType (specifying the tenor) or SettlDate must be specified.

SettlDate2
[0..1]
LocalMktDate
Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.

OrderQty2
[0..1]
Qty
Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.

Currency
[0..1]
Currency
Can be used to specify the desired currency of the quoted price. May differ from the 'normal' trading currency of the instrument being quote requested.

CurrencyCodeSource
[0..1]
CodeSet

SettlCurrency
[0..1]
Currency
Required for NDFs to specify the settlement currency (fixing currency).

SettlCurrencyCodeSource
[0..1]
CodeSet

RateSource
[0..*]
Group

Stipulations
[0..*]
Group
Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"

Account
[0..1]
String

AcctIDSource
[0..1]
CodeSet

AccountType
[0..1]
CodeSet

QuotReqLegsGrp
[0..*]
Group

QuotQualGrp
[0..*]
Group

TrdType
[0..1]
CodeSet
May be used by SEFs (Swap Execution Facilities) to indicate a block swap transaction.

RegulatoryTransactionType
[0..1]
CodeSet

RegulatoryTradeIDGrp
[0..*]
Group

NegotiationMethod
[0..1]
CodeSet

QuotePriceType
[0..1]
CodeSet
Initiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.

PriceQualifierGrp
[0..*]
Group

OrdType
[0..1]
CodeSet
Can be used to specify the type of order the quote request is for

ValidUntilTime
[0..1]
UTCTimestamp
Used by the quote initiator to indicate the period of time the resulting Quote must be valid until

ExpireTime
[0..1]
UTCTimestamp
The time when the request for quote or negotiation dialog will expire.

ResponseTime
[0..1]
UTCTimestamp

QuoteDisplayTime
[0..1]
UTCTimestamp

ExposureDuration
[0..1]
int
The (minimum or suggested) period of time a quote price is tradable before it becomes indicative (i.e. off-the-wire).

ExposureDurationUnit
[0..1]
CodeSet

TransactTime
[0..1]
UTCTimestamp
Time transaction was entered

SpreadOrBenchmarkCurveData
[0..1]
Component
Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"

PriceType
[0..1]
CodeSet

Price
[0..1]
Price
Quoted or target price

MidPx
[0..1]
Price
For OTC swaps, may be used to provide the estimated mid-market-mark.

Price2
[0..1]
Price
Can be used with OrdType = "Forex - Swap" to specify the Quoted or target price for the future portion of a F/X swap.

YieldData
[0..1]
Component
Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"

Parties
[0..*]
Group

TradeContinuation
[0..1]
CodeSet
Maybe used to indicate quote/negotiation is for the specified post-execution trade continuation or lifecycle event.

TradeContinuationText
[0..1]
String

EncodedTradeContinuationTextLen
[0..1]
Length
Must be set if EncodedTradeContinuationText(2371) field is specified and must immediately precede it.

EncodedTradeContinuationText
[0..1]
data
Encoded (non-ASCII characters) representation of the TradeContinuationText(2374) field in the encoded format specified via the MessageEncoding(347) field.

StrikeTime
[0..1]
UTCTimestamp
Conditionally required when QuoteQual(695) = d (Deferred spot) is specified.

Used in messages: QuoteRequest

QuotReqLegsGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup |
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegOrderQty | [0..1] | Qty |
LegQty | [0..1] | Qty | The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
LegMidPx | [0..1] | Price | For OTC swaps, may be used to provide the estimated mid-market mark.
LegSwapType | [0..1] | CodeSet |
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate |
LegStipulations | [0..*] | Group |
NestedParties | [0..*] | Group |
LegBenchmarkCurveData | [0..1] | Component |
LegRefID | [0..1] | String | Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.

Used in groups: QuotReqGrp, QuotReqRjctGrp

QuotReqRjctGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Number of related symbols (instruments) in Request
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group |
PrevClosePx | [0..1] | Price | Useful for verifying security identification
QuoteRequestType | [0..1] | CodeSet | Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
QuoteType | [0..1] | CodeSet | Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
TradeOriginationDate | [0..1] | LocalMktDate |
Side | [0..1] | CodeSet | If OrdType = "Forex - Swap", should be the side of the future portion of a F/X swap. The absence of a side implies that a two-sided quote is being requested. Required if specified in Quote Request message.
QtyType | [0..1] | CodeSet |
OrderQtyData | [0..1] | Component | Insert here the set of "OrderQytData" fields defined in "Common Components of Application Messages". Required if component is specified in Quote Request message.
SettlType | [0..1] | CodeSet |
SettlDate | [0..1] | LocalMktDate | Can be used (e.g. with forex quotes) to specify the desired "value date"
SettlDate2 | [0..1] | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
OrderQty2 | [0..1] | Qty | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
Currency | [0..1] | Currency | Can be used to specify the desired currency of the quoted price. May differ from the 'normal' trading currency of the instrument being quote requested.
CurrencyCodeSource | [0..1] | CodeSet |
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
QuotReqLegsGrp | [0..*] | Group |
QuotQualGrp | [0..*] | Group |
NegotiationMethod | [0..1] | CodeSet |
QuotePriceType | [0..1] | CodeSet | Initiator can specify the price type the quote needs to be quoted at. If not specified, the Respondent has option to specify how quote is quoted.
PriceQualifierGrp | [0..*] | Group |
OrdType | [0..1] | CodeSet | Can be used to specify the type of order the quote request is for
ExpireTime | [0..1] | UTCTimestamp | The time when Quote Request will expire.
TransactTime | [0..1] | UTCTimestamp | Time transaction was entered
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
PriceType | [0..1] | CodeSet |
Price | [0..1] | Price | Quoted or target price
Price2 | [0..1] | Price | Can be used with OrdType = "Forex - Swap" to specify the Quoted or target price for the future portion of a F/X swap.
YieldData | [0..1] | Component | Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
StrikeTime | [0..1] | UTCTimestamp | Conditionally required when QuoteQual(695) = d (Deferred spot) is specified.

Used in messages: QuoteRequestReject

QuotSetAckGrp

Name | Mult. | Type | Description
NoQuoteSets | [1..1] | NumInGroup | The number of sets of quotes in the message
QuoteSetID | [0..1] | String | First field in repeating group. Required if NoQuoteSets > 0
UnderlyingInstrument | [0..1] | Component | Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages". Required if NoQuoteSets > 0
QuoteSetValidUntilTime | [0..1] | UTCTimestamp |
TotNoQuoteEntries | [0..1] | int | Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set. Required if NoQuoteEntries > 0
TotNoCxldQuotes | [0..1] | int | Total number of quotes canceled for the quote set across all messages.
TotNoAccQuotes | [0..1] | int | Total number of quotes accepted for the quote set across all messages.
TotNoRejQuotes | [0..1] | int | Total number of quotes rejected for the quote set across all messages.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
QuotEntryAckGrp | [0..*] | Group |

Used in messages: MassQuoteAck

QuotSetGrp

Name | Mult. | Type | Description
NoQuoteSets | [1..1] | NumInGroup | The number of sets of quotes in the message
QuoteSetID | [1..1] | String | Sequential number for the Quote Set. For a given QuoteID - assumed to start at 1. Must be the first field in the repeating group.
UnderlyingInstrument | [0..1] | Component | Insert here the set of "UnderlyingInstrument" (underlying symbology) fields defined in "Common Components of Application Messages"
QuoteSetValidUntilTime | [0..1] | UTCTimestamp |
TotNoQuoteEntries | [1..1] | int | Total number of quotes for the quote set across all messages. Should be the sum of all NoQuoteEntries in each message that has repeating quotes that are part of the same quote set.
LastFragment | [0..1] | CodeSet | Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
QuotEntryGrp | [1..*] | Group |

Used in messages: MassQuote

RateSource

Identifies the source of rate information.

For FX, the reference source to be used for the FX spot rate.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: RateSource

RateSource

The RateSource component is used to identify the source for the rate information as required by the trade for pricing reasons.

Name | Mult. | Type | Description
NoRateSources | [1..1] | NumInGroup |
RateSource | [0..1] | CodeSet | Required if NoRateSource(1445) > 0
RateSourceType | [0..1] | CodeSet | Required if NoRateSources(1445) > 0
ReferencePage | [0..1] | String | May be used when RateSource(1446)=99 (Other)
RateSourceReferencePageHeading | [0..1] | String |
FXBenchmarkRateFix | [0..1] | String |
RateSourceSymbol | [0..1] | String |
FXBenchmark | [0..1] | CodeSet |
FXBenchmarkDate | [0..1] | LocalMktDate | Conditionally required when FXBenchmarkTime(3075) or FXBenchmarkBusinessCenter(3076) is specified.
FXBenchmarkTime | [0..1] | LocalMktTime | Conditionally required when FXBenchmarkDate(3074) or FXBenchmarkBusinessCenter(3076) is specified.
FXBenchmarkBusinessCenter | [0..1] | String | Conditionally required when FXBenchmarkDate(3074) or FXBenchmarkTime(3075) is specified.

Used in groups: MDFullGrp, MDIncGrp, QuotReqGrp

Used in messages: AllocationInstruction, AllocationReport, ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest, Quote, TradeCaptureReport

RateSourceReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in groups: RateSource

RateSourceSymbol

Identifies the currency pair/symbol that the instance of the rate source information is applicable for the fixing.

Type: String

Used in groups: RateSource

RateSourceType

Indicates whether the rate source specified is a primary or secondary source.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: RateSource

RawData

Unformatted raw data, can include bitmaps, word processor documents, etc.

Type: data

Used in messages: Email, Logon, News, UserRequest

RawDataLength

Number of bytes in raw data field.

Type: Length

Used in messages: Email, Logon, News, UserRequest

RealizedVariance

Actual or realized variance of an instrument used to calculate settlement prices, e.g. for variance futures.

Type: float

Used in groups: ClearingPriceParametersGrp

ReceivedDeptID

Identifies the broker-dealer department that first took the order.

Type: String

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

ReceivingDeptID

An identifier representing the department or desk within the firm that received the order.

Type: String

Used in groups: SideCrossOrdModGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

RedemptionDate

Return of investor's principal in a security. Bond redemption can occur before maturity date.(Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: Instrument

RefAllocID

Reference identifier to be used with AllocTransType (71) = Replace or Cancel.

(Prior to FIX 4.1 this field was of type int)

Type: String

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

RefApplExtID

The extension pack number associated with an application message.

Type: int

Used in groups: MsgTypeGrp

Used in messages: BusinessMessageReject, Reject

RefApplID

Reference to the unique application identifier which corresponds to ApplID(1180) from the Application Sequence Group component

Type: String

Used in groups: ApplIDReportGrp, ApplIDRequestAckGrp, ApplIDRequestGrp

RefApplLastSeqNum

Application sequence number of last message in transmission.

Type: SeqNum

Used in groups: ApplIDReportGrp, ApplIDRequestAckGrp

RefApplReqID

Used to reference a previously submitted ApplReqID (1346) from within a subsequent ApplicationMessageRequest(MsgType=BW)

Type: String

Used in groups: ApplIDRequestAckGrp, ApplIDRequestGrp

RefApplVerID

Specifies the service pack release being applied to a message at the session level. Enumerated field with values assigned at time of service pack release. Uses same values as ApplVerID

Type: String

Allowed values in ApplVerIDCodeSet:

Code | Name | Description
0 | FIX27 | FIX27
1 | FIX30 | FIX30
2 | FIX40 | FIX40
3 | FIX41 | FIX41
4 | FIX42 | FIX42
5 | FIX43 | FIX43
6 | FIX44 | FIX44
7 | FIX50 | FIX50
8 | FIX50SP1 | FIX50SP1
9 | FIX50SP2 | FIX50SP2
10 | FIXLatest | FIXLatest

Used in groups: MsgTypeGrp

Used in messages: BusinessMessageReject, Reject

RefClOrdID

Used to reference an order via ClOrdID(11).

Type: String

Used in messages: ExecutionReport, NewOrderMultileg, NewOrderSingle

RefCompID

Assigned value used to identify a firm.

Type: String

Used in groups: CompIDReqGrp, CompIDStatGrp

RefCstmApplVerID

Specifies a custom extension to a message being applied at the session level.

Type: String

Used in groups: MsgTypeGrp

Used in messages: BusinessMessageReject, Reject

ReferenceDataDate

Reference data entry's date-time of the type specified in ReferenceDataDateType(2748).

Type: UTCTimestamp

Used in groups: ReferenceDataDateGrp

ReferenceDataDateGrp

Used to carry the different date-time stamps related to the reference data entry.

Name | Mult. | Type | Description
NoReferenceDataDates | [1..1] | NumInGroup |
ReferenceDataDate | [0..1] | UTCTimestamp | Required if NoReferenceDataDates(2746) > 0.
ReferenceDataDateType | [0..1] | CodeSet |

Used in components: InstrumentExtension

ReferenceDataDateType

Reference data entry's date-time type.

Type: int

Allowed values in ReferenceDataDateTypeCodeSet:

Code
Name
Description

0
AdmitToTradeRequestDate
Date of request for admission to trading. In the context of MiFID II ESMA RTS 23 this is defined as "Date and time the issuer has approved admission to trading or trading in its financial instruments on a trading venue." (Reference: Annex I Table 3 Field 9)

1
AdmitToTradeApprovalDate
Date of approval of admission to trading. In the context of MiFID II ESMA RTS 23 this is defined as "Date and time of the request for admission to trading on the trading venue." (Reference: Annex I Table 3 Field 10)

2
AdmitToTradeOrFirstTradeDate
Date of admission to trading or date of first trade. In the context of MiFID II ESMA RTS 23 this is defined as "Date and time of the admission to trading on the trading venue or the date and time when the instrument was first traded or an order or quote was first received by the trading venue." (Reference: Annex I Table 3 Field 11)

3
TerminationDate
Termination date. In the context of MiFID II ESMA RTS 23 this is defined as "Where available, the date and time when the financial instrument ceases to be traded or to be admitted to trading on the trading venue." (Reference: Annex I Table 3 Field 12)

Used in groups: ReferenceDataDateGrp

ReferenceEntityType

Specifies the type of reference entity for first-to-default CDS basket contracts.

Type: int

Allowed values in ReferenceEntityTypeCodeSet:

Code | Name | Description
1 | Asian | Asian
2 | AustralianNewZealand | Australian and New Zealand
3 | EuropeanEmergingMarkets | European emerging markets
4 | Japanese | Japanese
5 | NorthAmericanHighYield | North American high yield
6 | NorthAmericanInsurance | North American insurance
7 | NorthAmericanInvestmentGrade | North American investment grade
8 | Singaporean | Singaporean
9 | WesternEuropean | Western European
10 | WesternEuropeanInsurance | Western European insurance

Used in components: Instrument

ReferencePage

Identifies the reference "page" from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in groups: RateSource

RefMsgType

The MsgType (35) of the FIX message being referenced.

Type: String

Allowed values in MsgTypeCodeSet:

Code
Name
Description

0
Heartbeat
Heartbeat. The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

1
TestRequest
TestRequest. The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.

2
ResendRequest
ResendRequest. The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

3
Reject
Reject. The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.

4
SequenceReset
SequenceReset. The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

5
Logout
Logout. The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.

6
IOI
IOI. Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade. Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.

7
Advertisement
Advertisement. Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.

8
ExecutionReport
ExecutionReport. The execution report message is used to:. 1. confirm the receipt of an order. 2. confirm changes to an existing order (i.e. accept cancel and replace requests). 3. relay order status information. 4. relay fill information on working orders. 5. relay fill information on tradeable or restricted tradeable quotes. 6. reject orders. 7. report post-trade fees calculations associated with a trade

9
OrderCancelReject
OrderCancelReject. The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

A
Logon
Logon. The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.

B
News
News. The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

C
Email
Email. The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.

D
NewOrderSingle
NewOrderSingle. The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution. The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.

E
NewOrderList
NewOrderList. The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

F
OrderCancelRequest
OrderCancelRequest. The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).

G
OrderCancelReplaceRequest
OrderCancelReplaceRequest. The order cancel/replace request is used to change the parameters of an existing order. Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.

H
OrderStatusRequest
OrderStatusRequest. The order status request message is used by the institution to generate an order status message back from the broker.

J
AllocationInstruction
AllocationInstruction. The AllocationInstruction(35=J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

K
ListCancelRequest
ListCancelRequest. The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

L
ListExecute
ListExecute. The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

M
ListStatusRequest
ListStatusRequest. The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

N
ListStatus
ListStatus. The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the List Cancel Request.

P
AllocationInstructionAck
AllocationInstructionAck. In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message. The Allocation Instruction Ack message is used to acknowledge the receipt of and provide status for an Allocation Instruction message.

Q
DontKnowTrade
DontKnowTrade. The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

R
QuoteRequest
QuoteRequest. In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

S
Quote
Quote. The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.

T
SettlementInstructions
SettlementInstructions. The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.

V
MarketDataRequest
MarketDataRequest. Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.

W
MarketDataSnapshotFullRefresh
MarketDataSnapshotFullRefresh. The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

X
MarketDataIncrementalRefresh
MarketDataIncrementalRefresh. The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

Y
MarketDataRequestReject
MarketDataRequestReject. The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

Z
QuoteCancel
QuoteCancel. The Quote Cancel message is used by an originator of quotes to cancel quotes. The Quote Cancel message supports cancellation of:. • All quotes. • Quotes for a specific symbol or security ID. • All quotes for a security type. • All quotes for an underlying

a
QuoteStatusRequest
QuoteStatusRequest. The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:. • For the issuer of a quote in a market to query the status of that quote (using the QuoteID to specify the target quote). • To subscribe and unsubscribe for Quote Status Report messages for one or more securities.

b
MassQuoteAck
MassQuoteAck. Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.

c
SecurityDefinitionRequest
SecurityDefinitionRequest. The SecurityDefinitionRequest(35=c) message is used for the following:. 1. Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs. 2. Request a set of individual securities for a single market segment. 3. Request all securities, independent of market segment.

d
SecurityDefinition
SecurityDefinition. The SecurityDefinition(35=d) message is used for the following:. 1. Accept the security defined in a SecurityDefinition(35=d) message. 2. Accept the security defined in a SecurityDefinition(35=d) message with changes to the definition and/or identity of the security. 3. Reject the security requested in a SecurityDefinition(35=d) message. 4. Respond to a request for securities within a specified market segment. 5. Convey comprehensive security definition for all market segments that the security participates in. 6. Convey the security's trading rules that differ from default rules for the market segment.

e
SecurityStatusRequest
SecurityStatusRequest. The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.

f
SecurityStatus
SecurityStatus. The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

g
TradingSessionStatusRequest
TradingSessionStatusRequest. The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

h
TradingSessionStatus
TradingSessionStatus. The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

i
MassQuote
MassQuote. The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

j
BusinessMessageReject
BusinessMessageReject. The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.

k
BidRequest
BidRequest. The BidRequest Message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention (e.g. US/European model) the BidRequest message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example. In the "Disclosed" convention (e.g. Japanese model) the BidRequest message can be used to request bids based on the ListOrderDetail messages sent in advance of BidRequest message. In the "Disclosed" convention the list repeating group is used to define which ListOrderDetail messages a bid is being sort for and the directions of the required bids.

l
BidResponse
BidResponse. The Bid Response message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example. In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

m
ListStrikePrice
ListStrikePrice. The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

n
XMLnonFIX
XMLnonFIX.

o
RegistrationInstructions
RegistrationInstructions. The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

p
RegistrationInstructionsResponse
RegistrationInstructionsResponse. The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.

q
OrderMassCancelRequest
OrderMassCancelRequest. The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

r
OrderMassCancelReport
OrderMassCancelReport. The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.

s
NewOrderCross
NewOrderCross. Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

t
CrossOrderCancelReplaceRequest
CrossOrderCancelReplaceRequest. Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.

u
CrossOrderCancelRequest
CrossOrderCancelRequest. Used to fully cancel the remaining open quantity of a cross order.

v
SecurityTypeRequest
SecurityTypeRequest. The Security Type Request message is used to return a list of security types available from a counterparty or market.

w
SecurityTypes
SecurityTypes. The Security Type Request message is used to return a list of security types available from a counterparty or market.

x
SecurityListRequest
SecurityListRequest. The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

y
SecurityList
SecurityList. The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.

z
DerivativeSecurityListRequest
DerivativeSecurityListRequest. The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

AA
DerivativeSecurityList
DerivativeSecurityList. The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

AB
NewOrderMultileg
NewOrderMultileg. The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

AC
MultilegOrderCancelReplace
MultilegOrderCancelReplace. Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.

AD
TradeCaptureReportRequest
TradeCaptureReportRequest. The Trade Capture Report Request can be used to:. • Request one or more trade capture reports based upon selection criteria provided on the trade capture report request. • Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

AE
TradeCaptureReport
TradeCaptureReport. The Trade Capture Report message can be:. - Used to report trades between counterparties. - Used to report trades to a trade matching system. - Sent unsolicited between counterparties. - Sent as a reply to a Trade Capture Report Request. - Used to report unmatched and matched trades.

AF
OrderMassStatusRequest
OrderMassStatusRequest. The order mass status request message requests the status for orders matching criteria specified within the request.

AG
QuoteRequestReject
QuoteRequestReject. The Quote Request Reject message is used to reject Quote Request messages for all quoting models.

AH
RFQRequest
RFQRequest. In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

AI
QuoteStatusReport
QuoteStatusReport. The quote status report message is used:. • as the response to a Quote Status Request message. • as a response to a Quote Cancel message. • as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)

AJ
QuoteResponse
QuoteResponse. The QuoteResponse(35=AJ) message is used for the following purposes:. 1. Respond to an IOI(35=6) message. 2. Respond to a Quote(35=S) message. 3. Counter a Quote. 4. End a negotiation dialog. 5. Follow-up or end a QuoteRequest(35=R) dialog that did not receive a response.

AK
Confirmation
Confirmation. The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

AL
PositionMaintenanceRequest
PositionMaintenanceRequest. The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.

AM
PositionMaintenanceReport
PositionMaintenanceReport. The Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

AN
RequestForPositions
RequestForPositions. The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

AO
RequestForPositionsAck
RequestForPositionsAck. The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.

AP
PositionReport
PositionReport. The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

AQ
TradeCaptureReportRequestAck
TradeCaptureReportRequestAck. The Trade Capture Request Ack message is used to:. - Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod. - Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments. - Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request or the Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

AR
TradeCaptureReportAck
TradeCaptureReportAck. The Trade Capture Report Ack message can be:. - Used to acknowledge trade capture reports received from a counterparty. - Used to reject a trade capture report received from a counterparty.

AS
AllocationReport
AllocationReport. Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport(35=AS) message (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase.

AT
AllocationReportAck
AllocationReportAck. The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

AU
ConfirmationAck
ConfirmationAck. The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.

AV
SettlementInstructionRequest
SettlementInstructionRequest. The Settlement Instruction Request message is used to request standing settlement instructions from another party.

AW
AssignmentReport
AssignmentReport. Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

AX
CollateralRequest
CollateralRequest. An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

AY
CollateralAssignment
CollateralAssignment. Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.

AZ
CollateralResponse
CollateralResponse. Used to respond to a Collateral Assignment message.

BA
CollateralReport
CollateralReport. Used to report collateral status when responding to a Collateral Inquiry message.

BB
CollateralInquiry
CollateralInquiry. Used to inquire for collateral status.

BC
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusRequest. This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.

BD
NetworkCounterpartySystemStatusResponse
NetworkCounterpartySystemStatusResponse. This message is sent in response to a Network (Counterparty System) Status Request Message.

BE
UserRequest
UserRequest. This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.

BF
UserResponse
UserResponse. This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.

BG
CollateralInquiryAck
CollateralInquiryAck. Used to respond to a Collateral Inquiry in the following situations:. • When the CollateralInquiry will result in an out of band response (such as a file transfer). • When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message. • When the Collateral Inquiry is invalid based upon the business rules of the counterparty.

BH
ConfirmationRequest
ConfirmationRequest. The Confirmation Request message is used to request a Confirmation message.

BO
ContraryIntentionReport
ContraryIntentionReport. The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

BP
SecurityDefinitionUpdateReport
SecurityDefinitionUpdateReport. This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

BK
SecurityListUpdateReport
SecurityListUpdateReport. The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

BL
AdjustedPositionReport
AdjustedPositionReport. Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

BM
AllocationInstructionAlert
AllocationInstructionAlert. This message is used in a 3-party allocation model (buy-side and sell-side using a central clearing entity) where notification of group creation and group updates to counterparties is needed. The message will also carry trade information that comprised the group to the counterparties.

BN
ExecutionAck
ExecutionAck. The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).

BJ
TradingSessionList
TradingSessionList. The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.

BI
TradingSessionListRequest
TradingSessionListRequest. The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.

BQ
SettlementObligationReport
SettlementObligationReport. The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

BR
DerivativeSecurityListUpdateReport
DerivativeSecurityListUpdateReport. The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

BS
TradingSessionListUpdateReport
TradingSessionListUpdateReport. The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

BT
MarketDefinitionRequest
MarketDefinitionRequest. The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.

BU
MarketDefinition
MarketDefinition. The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).

BV
MarketDefinitionUpdateReport
MarketDefinitionUpdateReport. In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.

BW
ApplicationMessageRequest
ApplicationMessageRequest. This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).

BX
ApplicationMessageRequestAck
ApplicationMessageRequestAck. This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

BY
ApplicationMessageReport
ApplicationMessageReport. This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.

BZ
OrderMassActionReport
OrderMassActionReport. The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

CA
OrderMassActionRequest
OrderMassActionRequest. The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.

CB
UserNotification
UserNotification. The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

CC
StreamAssignmentRequest
StreamAssignmentRequest. In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.

CD
StreamAssignmentReport
StreamAssignmentReport. The StreamAssignmentReport(35=CD) message is in response to the StreamAssignmentRequest(35=CC) message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.

CE
StreamAssignmentReportACK
StreamAssignmentReportACK. This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.

CF
PartyDetailsListRequest
PartyDetailsListRequest. The PartyDetailsListRequest is used to request party detail information.

CG
PartyDetailsListReport
PartyDetailsListReport. The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.

CH
MarginRequirementInquiry
MarginRequirementInquiry. The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages. If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.

CI
MarginRequirementInquiryAck
MarginRequirementInquiryAck. Used to respond to a Margin Requirement Inquiry.

CJ
MarginRequirementReport
MarginRequirementReport. The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.

CK
PartyDetailsListUpdateReport
PartyDetailsListUpdateReport. The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.

CL
PartyRiskLimitsRequest
PartyRiskLimitsRequest. The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.

CM
PartyRiskLimitsReport
PartyRiskLimitsReport. The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.

CN
SecurityMassStatusRequest
SecurityMassStatusRequest.

CO
SecurityMassStatus
SecurityMassStatus.

CQ
AccountSummaryReport
AccountSummaryReport. The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component. In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations). Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).

CR
PartyRiskLimitsUpdateReport
PartyRiskLimitsUpdateReport. The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.

CS
PartyRiskLimitsDefinitionRequest
PartyRiskLimitsDefinitionRequest. PartyRiskLimitDefinitionRequest is used for defining new risk limits.

CT
PartyRiskLimitsDefinitionRequestAck
PartyRiskLimitsDefinitionRequestAck. PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.

CU
PartyEntitlementsRequest
PartyEntitlementsRequest. The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).

CV
PartyEntitlementsReport
PartyEntitlementsReport. The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).

CW
QuoteAck
QuoteAck. The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.

CX
PartyDetailsDefinitionRequest
PartyDetailsDefinitionRequest. The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties. The recipient of the message responds with a PartyDetailsDefinitionRequestAck(35=CY) to indicate whether the request was accepted or rejected.

CY
PartyDetailsDefinitionRequestAck
PartyDetailsDefinitionRequestAck. The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.

CZ
PartyEntitlementsUpdateReport
PartyEntitlementsUpdateReport. The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).

DA
PartyEntitlementsDefinitionRequest
PartyEntitlementsDefinitionRequest. The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).

DB
PartyEntitlementsDefinitionRequestAck
PartyEntitlementsDefinitionRequestAck. The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.

DC
TradeMatchReport
TradeMatchReport. The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.

DD
TradeMatchReportAck
TradeMatchReportAck. The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

DE
PartyRiskLimitsReportAck
PartyRiskLimitsReportAck. PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.

DF
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequest. PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.

DG
PartyRiskLimitCheckRequestAck
PartyRiskLimitCheckRequestAck. PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.

DH
PartyActionRequest
PartyActionRequest. The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.

DI
PartyActionReport
PartyActionReport. Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.

DJ
MassOrder
MassOrder. The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.

DK
MassOrderAck
MassOrderAck. The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.

DL
PositionTransferInstruction
PositionTransferInstruction. The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.

DM
PositionTransferInstructionAck
PositionTransferInstructionAck. The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.

DN
PositionTransferReport
PositionTransferReport. The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.

DO
MarketDataStatisticsRequest
MarketDataStatisticsRequest. The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.

DP
MarketDataStatisticsReport
MarketDataStatisticsReport. The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

DQ
CollateralReportAck
CollateralReportAck. CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).

DR
MarketDataReport
MarketDataReport. The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.

DS
CrossRequest
CrossRequest. The CrossRequest(35=DS) message is used to indicate the submission of orders or quotes that may result in a crossed trade.

DT
CrossRequestAck
CrossRequestAck. The CrossRequestAck(35=DT) message is used to confirm the receipt of a CrossRequest(35=DS) message.

DU
AllocationInstructionAlertRequest
AllocationInstructionAlertRequest. This message is used in a clearinghouse 3-party allocation model to request for AllocationInstructionAlert(35=BM) from the clearinghouse. The request may be used to obtain a one-time notification of the status of an allocation group.

DV
AllocationInstructionAlertRequestAck
AllocationInstructionAlertRequestAck. This message is used in a clearinghouse 3-party allocation model to acknowledge a AllocationInstructionAlertRequest(35=DU) message for an AllocationInstructionAlert(35=BM) message from the clearinghouse.

DW
TradeAggregationRequest
TradeAggregationRequest. TradeAggregationRequest(35=DW) is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

DX
TradeAggregationReport
TradeAggregationReport. TradeAggregationReport(35=DX) is used to respond to the TradeAggregationRequest(35=DW) message. It provides the status of the request (e.g. accepted or rejected) and may also provide additional information supplied by the respondent.

EA
PayManagementReport
PayManagementReport. PayManagementReport(35=EA) may be used to respond to the PayManagementRequest(35=DY) message. It provides the status of the request (e.g. accepted, disputed) and may provide additional information related to the request. PayManagementReport(35=EA) may also be sent unsolicited by the broker to a client. In which case the client may acknowledge and resolve disputes out-of-band or with a simple PayManagementReportAck(35=EB). PayManagementReport(35=EA) may also be sent unsolicited to report the progress status of the payment itself with PayReportTransType(2804)=2 (Status).

EB
PayManagementReportAck
PayManagementReportAck. PayManagementReportAck(35=EB) is used as a response to the PayManagementReport(35=EA) message. It may be used to accept, reject or dispute the details of the PayManagementReport(35=EA) depending on the business rules of the receiver. This message may also be used to acknowledge the receipt of a PayManagementReport(35=EA) message.

DY
PayManagementRequest
PayManagementRequest. PayManagementRequest(35=DY) message is used to communicate a future or expected payment to be made or received related to a trade or contract after its settlement.

DZ
PayManagementRequestAck
PayManagementRequestAck. PayManagementRequestAck(35=DZ) is used to acknowledge the receipt of the PayManagementRequest(35=DY) message (i.e. a technical acknowledgement of receipt). Acceptance or rejection of the request is reported in the corresponding PayManagementReport(35=EA).

EC
SettlementStatusRequest
SettlementStatusRequest. SettlementStatusRequest(35=EC) is used to request for the settlement status of a trade.

ED
SettlementStatusRequestAck
SettlementStatusRequestAck. SettlementStatusRequestAck(35=ED) is used to respond to the SettlementStatusRequest(35=EC) to acknowledge the request and provide status for the request message.

EE
SettlementStatusReport
SettlementStatusReport. SettlementStatusReport(35=EE) is a response to the SettlementStatusRequest(35=EC) to provide settlement status for the requested trade. It may also be sent unsolicited without an explicit request message by the party able to provide the settlement status for the trade identified in the report message.

EF
SettlementStatusReportAck
SettlementStatusReportAck. SettlementStatusReportAck(35=EF) is used to respond to the SettlementStatusReport(35=EE) to acknowledge or reject the report.

EG
SecurityRiskMetricsReport
SecurityRiskMetricsReport. SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.

EH
AlgoCertificateRequest
AlgoCertificateRequest. AlgoCertificateRequest(35=EH) is used to request algo testing certificate information for one or more algorithms.

EI
AlgoCertificateRequestAck
AlgoCertificateRequestAck. AlgoCertificateRequestAck(35=EI) is used to respond to the AlgoCertificateRequest(35=EH) to acknowledge the request and provide status for the request message.

EJ
AlgoCertificateReport
AlgoCertificateReport. AlgoCertificateReport(35=EJ) is a response to the AlgoCertificateRequest(35=EH) to certify an algo. It may also be sent unsolicited without an explicit request message by the party able to provide certificate information for the algo identified in the report message.

EK
AlgoCertificateReportAck
AlgoCertificateReportAck. AlgoCertificateReportAck(35=EK) is used to respond to the AlgoCertificateReport(35=EJ) to acknowledge or reject the report message.

EL
TestSuiteDefinitionRequest
TestSuiteDefinitionRequest. TestSuiteDefinitionRequest(35=EL) is used to convey to the test system the suite of test scenarios to perform.

EM
TestSuiteDefinitionRequestAck
TestSuiteDefinitionRequestAck. TestSuiteDefinitionRequestAck(35=EM) is used to respond to the TestSuiteDefinitionRequest(35= EL) to acknowledge the request and provide status for the request message.

EN
TestActionRequest
TestActionRequest. TestActionRequest(35=EN) is used to manage test executions or request for testing activity state of the identified test suite.

EO
TestActionRequestAck
TestActionRequestAck. TestActionRequestAck(35=EO) is used to respond to the TestActionRequest(35=EN) to acknowledge the request and provide status for the request message.

EP
TestActionReport
TestActionReport. TestActionReport(35=EP) is used to report the testing results of the identified test suite that has been executed with TestActionRequest(35=EN). In the context of algorithmic trading, the results may be used to create a certificate for the algorithm upon meeting the success criteria.

Used in groups: MsgTypeGrp

Used in messages: BusinessMessageReject, Reject

RefOrderID

The ID reference to the order being hit or taken.

For pre-trade credit/risk limit check process, this is the reference to the placed order, quote request or quote for the credit/risk limit check.

Type: String

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, NewOrderMultileg, NewOrderSingle, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, Quote

RefOrderIDSource

Used to specify the source for the identifier in RefOrderID(1080). This can be an identifier provided in order depth market data when hitting (taking) a specific order or to identify what type of order or quote reference is being provided when seeking credit limit check. In the context of US CAT this can be used to identify related orders and quotes which are parent, previous, or manual orders or quotes. Previous relates to orders changing their unique system assigned order identifier.

Type: char

Allowed values in RefOrderIDSourceCodeSet:

Code | Name | Description
0 | SecondaryOrderID | Secondary order ID. Can be used to refer to an additional order identifier assigned by the party accepting an order, e.g. SecondaryOrderID(198).
1 | OrderID | Order ID. Can be used to refer to an order identifier assigned by the party accepting an order, e.g. OrderID(37).
2 | MDEntryID | Market data entry ID. Can be used to refer to a market data entry identifier provided with market data, e.g. MDEntryID(278).
3 | QuoteEntryID | Quote entry ID. Can be used to refer to a quote identifier provided with market data or quote, e.g. QuoteEntryID(299).
4 | OriginalOrderID | Original order ID. Can be used to refer to an initial order identifier assigned by the party accepting an order, e.g. OrderID(37) that changed.
5 | QuoteID | Quote ID. Can be used to refer to a quote identifier assigned by the party issuing the quote, e.g. QuoteID(117).
6 | QuoteReqID | Quote request ID. Can be used to refer to a quote identifier or quote request identifier assigned by the party issuing the request, e.g. QuoteReqID(131).
7 | PreviousOrderIdentifier | Previous order identifier. Can be used when previously assigned (unique) system order identifier has changed.
8 | PreviousQuoteIdentifier | Previous quote identifier. Can be used when previously assigned (unique) quote identifier has changed.
9 | ParentOrderIdentifier | Parent order identifier. Can be used where orders are split into child orders and need to refer back to their parent order.
A | ManualOrderIdentifier | Manual order identifier. Can be used to refer to a manually received order that is being replaced by an electronically received order.

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, NewOrderMultileg, NewOrderSingle, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, Quote

RefOrdIDReason

The reason for updating the RefOrdID

Type: int

Allowed values in RefOrdIDReasonCodeSet:

Code | Name | Description
0 | GTCFromPreviousDay | GTC from previous day
1 | PartialFillRemaining | Partial Fill Remaining
2 | OrderChanged | Order Changed

Used in components: TradeReportOrderDetail

RefreshIndicator

Set by the sender to tell the receiver to perform an immediate refresh of the book due to disruptions in the accompanying real-time feed

'Y' - Mandatory refresh by all participants

'N' - Process as required

Type: Boolean

Used in messages: MarketDataSnapshotFullRefresh

RefreshQty

Defines the quantity used to refresh DisplayQty.

Type: Qty

Used in components: DisplayInstruction

RefRiskLimitCheckID

The reference identifier of the PartyRiskLimitCheckRequest(35=DF) message, or a similar out of band message, that contained the approval for the risk/credit limit check request.

Type: String

Used in groups: TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationReport, ExecutionReport

RefRiskLimitCheckIDType

Specifies which type of identifier is specified in RefRiskLimitCheckID(2334) field.

Type: int

Allowed values in RefRiskLimitCheckIDTypeCodeSet:

Code | Name | Description
0 | RiskLimitRequestID | RiskLimitRequestID(1666)
1 | RiskLimitCheckID | RiskLimitCheckID(2319)
3 | OutOfBandID | Out of band identifier

Used in groups: TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationReport, ExecutionReport

RefSeqNum

Reference message sequence number

Type: SeqNum

Used in messages: BusinessMessageReject, Reject

RefSubID

Assigned value used to identify specific elements within a firm.

Type: String

Used in groups: CompIDReqGrp, CompIDStatGrp

RefTagID

The tag number of the FIX field being referenced.

Type: int

Used in messages: Reject

RefTickTableID

Spread table code referred by the security or symbol.

Type: int

Used in components: Instrument

RegistAcctType

For CIV - a fund manager-defined code identifying which of the fund manager's account types is required.

Type: String

Used in messages: RegistrationInstructions

RegistDtls

Set of Registration name and address details, possibly including phone, fax etc.

Type: String

Used in groups: RgstDtlsGrp

RegistEmail

Email address relating to Registration name and address details

Type: String

Used in groups: RgstDtlsGrp

RegistID

Unique identifier of the registration details as assigned by institution or intermediary.

Type: String

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, RegistrationInstructions, RegistrationInstructionsResponse

RegistRefID

Reference identifier for the RegistID(513) with Cancel and Replace RegistTransType(514) transaction types.

Type: String

Used in messages: RegistrationInstructions, RegistrationInstructionsResponse

RegistRejReasonCode

Reason(s) why Registration Instructions has been rejected.

The reason may be further amplified in the RegistRejReasonCode field.

Possible values of reason code include:

Type: int

Allowed values in RegistRejReasonCodeCodeSet:

Code | Name | Description
1 | InvalidAccountType | Invalid/unacceptable Account Type
2 | InvalidTaxExemptType | Invalid/unacceptable Tax Exempt Type
3 | InvalidOwnershipType | Invalid/unacceptable Ownership Type
4 | NoRegDetails | Invalid/unacceptable No Reg Details
5 | InvalidRegSeqNo | Invalid/unacceptable Reg Seq No
6 | InvalidRegDetails | Invalid/unacceptable Reg Details
7 | InvalidMailingDetails | Invalid/unacceptable Mailing Details
8 | InvalidMailingInstructions | Invalid/unacceptable Mailing Instructions
9 | InvalidInvestorID | Invalid/unacceptable Investor ID
10 | InvalidInvestorIDSource | Invalid/unaceeptable Investor ID Source
11 | InvalidDateOfBirth | Invalid/unacceptable Date Of Birth
12 | InvalidCountry | Invalid/unacceptable Investor Country Of Residence
13 | InvalidDistribInstns | Invalid/unacceptable No Distrib Instns
14 | InvalidPercentage | Invalid/unacceptable Distrib Percentage
15 | InvalidPaymentMethod | Invalid/unacceptable Distrib Payment Method
16 | InvalidAccountName | Invalid/unacceptable Cash Distrib Agent Acct Name
17 | InvalidAgentCode | Invalid/unacceptable Cash Distrib Agent Code
18 | InvalidAccountNum | Invalid/unacceptable Cash Distrib Agent Acct Num
99 | Other | Other

Used in messages: RegistrationInstructionsResponse

RegistRejReasonText

Text indicating reason(s) why a Registration Instruction has been rejected.

Type: String

Used in messages: RegistrationInstructionsResponse

RegistStatus

Registration status as returned by the broker or (for CIV) the fund manager:

Type: char

Allowed values in RegistStatusCodeSet:

Code | Name | Description
A | Accepted | Accepted
R | Rejected | Rejected
H | Held | Held
N | Reminder | Reminder - i.e. Registration Instructions are still outstanding

Used in messages: PositionReport, RegistrationInstructionsResponse

RegistTransType

Identifies Registration Instructions transaction type

Type: char

Allowed values in RegistTransTypeCodeSet:

Code | Name | Description
0 | New | New
2 | Cancel | Cancel
1 | Replace | Replace

Used in messages: RegistrationInstructions, RegistrationInstructionsResponse

RegulatoryLegRefID

Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).

Type: String

Used in groups: RegulatoryTradeIDGrp

RegulatoryReportType

Type of regulatory report.

Type: int

Allowed values in RegulatoryReportTypeCodeSet:

Code
Name
Description

0
RT
Real-time (RT). Report of data relating to a regulated transaction including price and volume that is to be disseminated publically. If dissemination is to be suppressed due to an end user exception or to local regulatory rules that allow suppression of certain types of transactions use TradePublishIndicator(1390)=0.

1
PET
Primary economic terms (PET). Report to regulators of the full terms of a regulated transaction included in the legal confirmation.

2
Snapshot
Snapshot. Periodic report of full primary economic terms data throughout the life cycle of a regulated transaction.

3
Confirmation
Confirmation. Report from a clearing organization of a cleared regulated transaction.

4
RTPET
Combination of RT and PET. A single report combining the requirements of both real-time and full primary economy terms of a regulated transaction.

5
PETConfirmation
Combination of PET and confirmation. A single report combining the requirements of both full primary economic terms of a regulated transaction report and confirmation.

6
RTPETConfirmation
Combination of RT, PET and confirmation. A single report combining the requirements of real-time and full primary economic terms of a regulated transaction report, and confirmation.

7
PostTrade
Post-trade valuation. Periodic report of the ongoing mark-to-market value of a regulated transaction.

8
Verification
Verification. Used by the trading counterparty to report its full primary economic terms of a regulated transaction separately to the repository.

9
PstTrdEvnt
Post-trade event. Report of a regulated transaction continuation event that does not fall within the requirements for real-time reporting.

10
PstTrdEvntRTReportable
Post trade event RT reportable. Report of a regulated transaction continuation event that falls within the requirements for real-time reporting and public dissemination. If dissemination is to be suppressed due to an end user exception or to local regulatory rules that allow suppression of certain types of transactions, use TradePublishIndicator(1390) = 0 (Do not publish trade).

11
LMTF
Limited Details Trade. Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(a)(i) for immediate publication of all details except the quantity. This is ESMA RTS 2 deferral flag "LMTF".

12
DATF
Daily Aggregated Trade. Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(a)(ii) for aggregated publication of at least 5 transactions before 9:00 a.m. local time next day. This is ESMA RTS 2 deferral flag "DATF".

13
VOLO
Volume Omission Trade. Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(b) for immediate publication of all details except the quantity. This is ESMA RTS 2 deferral flag "VOLO".

14
FWAF
Four Weeks Aggregation Trade. Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(c) (non-sovereign debt only) for aggregated publication of transactions executed over the course of one calendar week before 9:00 a.m. local time following Tuesday. This is ESMA RTS 2 deferral flag "FWAF".

15
IDAF
Indefinite Aggregation Trade. Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(d) (sovereign debt only) for aggregated publication of transactions executed over the course of one calendar week before 9:00 a.m. local time following Tuesday. This is ESMA RTS 2 deferral flag "IDAF".

16
VOLW
Volume Omission Trade Eligible for Subsequent Aggregated Enrichment. Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(b) and (d) consecutively (sovereign debt only) for immediate publication of all details except the quantity. This is ESMA RTS 2 deferral flag "VOLW".

17
FULF
Full Details Trade of "Limited Details Trade". Full details of a previously reported "limited details trade (LMTF)". Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(a)(i) which is a follow-up publication of all details before 7pm local time on the second day after initial publication. This is ESMA RTS deferral flag "FULF".

18
FULA
Full Details of "Daily Aggregated Trade". Full details of a previously reported "daily aggregated trade (DATF)". Designates a trade in instruments specified in RTS 2 Article 11 (1)(a)(ii) which is a follow-up publication of the individual transaction with full details before 7pm local time on the second day after initial publication. This is ESMA RTS 2 deferral flag "FULA".

19
FULV
Full Details of "Volume Omission Trade". Full details of a previously reported "volume omission trade (VOLO)". Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(b) which is a follow-up publication of all details before 9 am local time four weeks after initial publication. This is ESMA RTS 2 deferral flag "FULV".

20
FULJ
Full Details of "Four Weeks Aggregation Trade". Full details of a previously reported "four weeks aggregation trade (FWAF)". Designates a trade in instruments specified in ESMA RTS 2 Article 11 (1)(c) (non-sovereign debt only) which is a follow-up publication of the individual transaction with full details before 9 am local time four weeks after initial publication. This is ESMA RTS 2 deferral flag "FULJ".

21
COAF
Full Details in Aggregated Form of "Volume Omission Trade Eligible for Subsequent Aggregated Enrichment". Full details of a previously reported "volume omission trade eligible for subsequent aggregated enrichment (VOLW)". Designates a trade report in instruments specified in ESMA RTS 2 Article 11(1)(b) and (d) consecutively which is an aggregated publication of transactions executed over the course of one calendar week before 9:00 a.m. CET local time the following Tuesday four weeks after initial publication. This is ESMA RTS 2 deferral flag "COAF".

22
Order
Order. Report for order handling events to enter, change or delete orders. In the context of US CAT this is used for the event types MENO, MEOM, MEOJ, and MEOC.

23
ChildOrder
Child order. Report for child order handling events to enter, change or delete child orders. Child orders are created when a (parent) order is split into multiple (child) orders. In the context of US CAT this is used for the event types MECO, MECOM, and MECOC.

24
OrderRoute
Order route. Reported when an order is routed between market participants and/or execution venues such as an exchange. In the context of US CAT this is used for the event types MEOR, MEOA and MEIR.

25
Trade
Trade. Report for trade handling events to enter, change or delete trades. In the context of US CAT this is used for the event types MEOT, MEOF and MEFA.

26
Quote
Quote. Report for quote handling events to enter, change or delete quotes. In the context of US CAT this is used for the event types MENQ, MEQR, and MEQC.

27
Supplement
Supplement. Reported when an order, quote or trade report is split across multiple messages. The recipient must be able to create the full report by combining the initial and supplement reports. In the context of US CAT this is used for the event types MENOS, MEOMS and MEOTS.

28
NewTransaction
New transaction. In the context of EU SFTR reporting this corresponds to "action type" "NEWT".

29
TransactionCorrection
Transaction correction. In the context of EU SFTR reporting this corresponds to "action type" "CORR".

30
TransactionModification
Transaction modification. In the context of EU SFTR reporting this corresponds to "action type" "MODI".

31
CollateralUpdate
Collateral update. In the context of EU SFTR reporting this corresponds to "action type" "COLU" if CollStatus(910)=3 (Assigned (Accepted)), or "REUU" if CollStatus(910)=5 (Reused).

32
MarginUpdate
Margin update. In the context of EU SFTR reporting this corresponds to "action type" "MARU".

33
TransactionReportedInError
Transaction reported in error. In the context of EU SFTR reporting this corresponds to "action type" "EROR".

34
TerminationEarlyTermination
Termination / Early termination. In the context of EU SFTR reporting this corresponds to "action type" "ETRM".

Used in groups: MDFullGrp, MDIncGrp

Used in messages: CollateralReport, ExecutionReport, MarginRequirementReport, NewOrderSingle, PositionReport, Quote, QuoteStatusReport, TradeCaptureReport

RegulatoryReportTypeBusinessDate

The business date on which the event identified in RegulatoryReportType(1934) took place.

Type: LocalMktDate

Used in messages: CollateralReport, MarginRequirementReport, PositionReport, TradeCaptureReport

RegulatoryTradeID

Trade identifier required by government regulators or other regulatory organizations for regulatory reporting purposes. For example, unique swap identifer (USI) as required by the U.S. Commodity Futures Trading Commission.

Type: String

Used in groups: RegulatoryTradeIDGrp

RegulatoryTradeIDEvent

Identifies the event which caused origination of the identifier in RegulatoryTradeID(1903). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2 (Clearing).

Type: int

Allowed values in RegulatoryTradeIDEventCodeSet:

Code | Name | Description
0 | InitialBlockTrade | Initial block trade.
1 | Allocation | Allocation. Determination that the block trade will not be further allocated.
2 | Clearing | Clearing
3 | Compression | Compression
4 | Novation | Novation
5 | Termination | Termination
6 | PostTrdVal | Post-trade valuation

Used in groups: RegulatoryTradeIDGrp

RegulatoryTradeIDGrp

The RegulatoryTradeIDGrp is a repeating component within the TradeCaptureReport message used to report the source, value and relationship of multiple identifiers for the same trade or position.

This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) in the US or the Unique Trade Identifier (UTI) in Europe and Canada are required to be reported, showing the chaining of these identifiers as needed.

Name | Mult. | Type | Description
NoRegulatoryTradeIDs | [1..1] | NumInGroup |
RegulatoryTradeID | [0..1] | String | Required if NoRegulatoryTradeIDs(1907) > 0.
RegulatoryTradeIDSource | [0..1] | CodeSet |
RegulatoryTradeIDEvent | [0..1] | CodeSet |
RegulatoryTradeIDType | [0..1] | CodeSet |
RegulatoryLegRefID | [0..1] | String | This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
RegulatoryTradeIDScope | [0..1] | CodeSet |

Used in groups: QuotReqGrp

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationReport, AllocationReportAck, CollateralReport, Confirmation, ConfirmationAck, ExecutionAck, ExecutionReport, PositionMaintenanceReport, PositionReport, SettlementStatusReport, SettlementStatusRequest, TradeCaptureReport

RegulatoryTradeIDScope

Specifies the scope to which the RegulatoryTradeID(1903) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.

Type: int

Allowed values in RegulatoryTradeIDScopeCodeSet:

Code | Name | Description
1 | ClearingMember | Clearing member
2 | Client | Client

Used in groups: RegulatoryTradeIDGrp

RegulatoryTradeIDSource

Identifies the reporting entity that originated the value in RegulatoryTradeID(1903). The reporting entity identifier may be assigned by a regulator or from a supported standard identifier source scheme.

Type: String

Allowed values in RegulatoryTradeIDSourceCodeSet:

Code | Name | Description
1 | UniqueTransactionIdentifier | Unique Transaction Identifier (ISO 23897)

Used in groups: RegulatoryTradeIDGrp

RegulatoryTradeIDType

Specifies the type of trade identifier provided in RegulatoryTradeID(1903).

Contextual hierarchy of events for the same trade or transaction maybe captured through use of the different RegulatoryTradeIDType(1906) values using multiple instances of the repeating group as needed for regulatory reporting.

Type: int

Allowed values in RegulatoryTradeIDTypeCodeSet:

Code
Name
Description

0
Current
Current. The default if not specified.

1
Previous
Previous. The previous trade's identifier when reporting a cleared trade or novation of a previous trade.

2
Block
Block. The block trade's identifier when reporting an allocated subtrade.

3
Related
Related. The related trade identifier when reporting a mixed swap.

4
ClearedBlockTrade
Cleared block trade. Assigned by the CCP to a bunched order/trade when it needs to be cleared with the standby clearing firm prior to post-trade allocation.

5
TradingVenueTransactionIdentifier
Trading venue transaction identifier. Assigned by the trading venue to a transaction. In the context of ESMA RTS 22 and RTS 24, this is an unique transaction identification "number generated by trading venues and disseminated to both the buying and selling parties in accordance with Article 12 of [RTS 24 on the maintenance of relevant data relating to orders in financial instruments under Article 25 of Regulation 600/2014 EU]." (quoted text from RTS 22). "Uniqueness" may be defined per relevant regulations.

6
ReportTrackingNumber
Report tracking number. In the context of EMIR Refit this is a "unique code assigned to the execution of an order and common for a group of reports related to the same execution" (see Q28 in https://www.esma.europa.eu/sites/default/files/library/esma74-362-2281_final_report_guidelines_emir_refit.pdf). Also referred to as the RTN.

Used in groups: RegulatoryTradeIDGrp

RegulatoryTransactionType

Specifies the regulatory mandate or rule that the transaction complies with.

Type: int

Allowed values in RegulatoryTransactionTypeCodeSet:

Code | Name | Description
0 | None | None (default if not specified). The transaction does not fall under any special regulatory rule or mandate.
1 | SEFRequiredTransaction | Swap Execution Facility (SEF) required transaction. The transaction is a "Required" transaction under Dodd-Frank Act SEF Rules. "Required" transactions are subject to the trade execution mandate under section 2(h)(8) of the CEA and are not block trades.
2 | SEFPermittedTransaction | Swap Execution Facility (SEF) permitted transaction. The transaction is a "Permitted" transaction under Dodd-Frank Act SEF Rules. "Permitted" transactions are not subject to the clearing and trade execution mandates, illiquid or bespoke swaps, or block trades.

Used in groups: QuotReqGrp

Used in messages: ExecutionReport, QuoteResponse, TradeCaptureReport

RejectText

Identifies the reason for rejection.

Type: String

Used in groups: PartyDetailAckGrp, PartyEntitlementAckGrp, PartyRiskLimitsAckGrp

Used in messages: AlgoCertificateReportAck, AlgoCertificateRequestAck, AllocationInstructionAck, AllocationInstructionAlertRequestAck, AllocationReportAck, CollateralReportAck, CollateralResponse, ExecutionReport, MassOrderAck, OrderCancelReject, PartyActionReport, PartyDetailsListReport, PartyEntitlementsReport, PartyRiskLimitCheckRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PayManagementReport, PayManagementReportAck, PositionMaintenanceReport, PositionTransferInstructionAck, PositionTransferReport, QuoteAck, QuoteStatusReport, SettlementStatusReportAck, SettlementStatusRequestAck, TestActionRequestAck, TestSuiteDefinitionRequestAck, TradeAggregationReport, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReportAck

RelatedClosePrice

Closing price of the underlying required to calculate the RealizedVariance(2587).

Type: Price

Used in groups: ClearingPriceParametersGrp

RelatedHighPrice

Upper boundary for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order.

Type: Price

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg

RelatedInstrumentGrp

The RelatedInstrumentGrp is a repeating component at the same hierarchical level as the Instrument component, describing relationships and linkages between the Instrument, UnderlyingInstrument and InstrumentLeg entries. If all instances of the UnderlyingInstrument in the message are true underliers of the Instrument then the RelatedInstrumentGrp component is not needed. If any instance of the UnderlyingInstrument has a different relationship, e.g. underlier of an InstrumentLeg, stream, equity equivalent or nearest exchange-traded contract or there are multiple instances of InstrumentLeg, then an entry for every relationship should be included in this component. When the RelatedInstrumentGrp appears within a repeating group, each entry only apply to the Instrument component at the same hierarchical level.

In messages, such as Email(35=C) and News(35=B), where Instrument and the InstrumentLeg are within their repeating groups, the RelatedInstrumentGrp component may be used to link legs and underliers to their appropriate base Instrument.

Name
Mult.
Type
Description

NoRelatedInstruments
[1..1]
NumInGroup

RelatedInstrumentType
[0..1]
CodeSet
Conditionally required when NoRelatedInstruments > 0

RelatedSymbol
[0..1]
String
Either RelatedSymbol(1649) or RelatedSecurityID(1650) must be specified. For RelatedInstrumentType(1648)=1 ("hedges for" instrument) this would be the instrument being used to offset the option Instrument. If one of the "related to" fields is specified, this is the UnderlyingSymbol(311) of an underlying instrument defining the related security in the current message.

RelatedSecurityID
[0..1]
String
Either RelatedSymbol(1649) or RelatedSecurityID(1650) must be specified. If one of the "related to" fields is specified, this is the UnderlyingSecurityID(309) of an underlying instrument defining the related security in the current message.

RelatedSecurityIDSource
[0..1]
CodeSet
Conditionally required when RelatedSecurityID(1650) is specified.

RelatedSecurityType
[0..1]
CodeSet
May be omitted if RelatedSecurityID(1650) or RelatedSymbol(1649) refers to an underlying instrument in the current message.

RelatedMaturityMonthYear
[0..1]
MonthYear
May be omitted if RelatedSecurityID(1650) or RelatedSymbol(1649) refers to an underlying instrument in the current message.

RelatedToSecurityID
[0..1]
String
Mutually exclusive with RelatedToStreamXIDRef(2415) and RelatedToDividendPeriodXIDRef(2417). If correlation is with the security in Instrument component then all "related to" fields may be omitted.

RelatedToSecurityIDSource
[0..1]
CodeSet
Conditionally required when RelatedToSecurityID(2413) is specified.

RelatedToStreamXIDRef
[0..1]
XIDREF
Mutually exclusive with RelatedToSecurityID(2413) and RelatedToDividendPeriodXIDRef(2417). If correlation is with the security in Instrument component then all "related to" fields may be omitted.

RelatedToDividendPeriodXIDRef
[0..1]
XIDREF
Mutually exclusive with RelatedToSecurityID(2413) and RelatedToStreamXIDRef(2415). If correlation is with the security in Instrument component then all "related to" fields may be omitted.

Used in groups: InstrmtGrp, InstrmtMDReqGrp, MDIncGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp

Used in messages: Advertisement, IOI, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeCaptureReport

RelatedInstrumentType

The type of instrument relationship

Type: int

Allowed values in RelatedInstrumentTypeCodeSet:

Code | Name | Description
1 | HedgesForInstrument | "hedges for" instrument
2 | Underlier | Underlier
3 | EquityEquivalent | Equity equivalent
4 | NearestExchangeTradedContract | Nearest exchange traded contract
5 | RetailEquivalent | Retail equivalent of wholesale instrument.
6 | Leg | Leg. Used to associate or link InstrumentLeg to Instrument in messages where there can be multiple instruments, such as in Email(35=C) and News(35=B) messages.

Used in groups: RelatedInstrumentGrp

RelatedLowPrice

Lower boundary for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order.

Type: Price

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg

RelatedMarketSegmentGrp

This component is used to identify market segments that are related to each other for a business purpose. This component should not be used in lieu of available explicit FIX fields that denote specific relationships (e.g. ParentMktSegmID(1325) for parent market segments), but rather should be used when no such fields exist.

Name | Mult. | Type | Description
NoRelatedMarketSegments | [1..1] | NumInGroup | Number of market segments.
RelatedMarketSegmentID | [0..1] | String | Required if NoRelatedMarketSegments (2545) > 0.
MarketSegmentRelationship | [0..1] | CodeSet |

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

RelatedMarketSegmentID

Identifies a related market segment.

Type: String

Used in groups: RelatedMarketSegmentGrp

RelatedMaturityMonthYear

Expiration date for the related instrument contract.

Type: MonthYear

Used in groups: RelatedInstrumentGrp

RelatedOrderGrp

This component is used to identify orders that are related to the order identified outside of this component for a business purpose. For example, the bundling of multiple orders into a single order. This component should not be used in lieu of explicit FIX fields that denote specific semantic relationships, but rather should be used when no such fields exist.

Name | Mult. | Type | Description
NoOrders | [1..1] | NumInGroup |
RelatedOrderID | [0..1] | String | Required if NoOrders(73) > 0.
RelatedOrderIDSource | [0..1] | CodeSet | The same value must be used for all orders having the same OrderRelationship(2890) value.
RelatedOrderTime | [0..1] | UTCTimestamp |
RelatedOrderQty | [0..1] | Qty |
OrderRelationship | [0..1] | CodeSet | May be used to explicitly express the type of relationship or to provide orders having different relationships.
OrderOriginationFirmID | [0..1] | String | May be used when aggregating orders that were originally submitted by different firms, e.g. due to a merger or acquisition.

Used in components: TradeReportOrderDetail

Used in messages: ExecutionReport

RelatedOrderID

Identifier of a related order.

Type: String

Used in groups: RelatedOrderGrp

RelatedOrderIDSource

Describes the source of the identifier that RelatedOrderID(2887) represents.

Type: int

Allowed values in RelatedOrderIDSourceCodeSet:

Code | Name | Description
0 | NonFIXSource | Non-FIX Source
1 | SystemOrderIdentifier | Order identifier. Can be used to refer to an order identifier assigned by the party accepting the order, e.g. OrderID(37).
2 | ClientOrderIdentifier | Client order identifier. Can be used to refer to an order identifier assigned by the party initiating the order, e.g. ClOrdID(11).
3 | SecondaryOrderIdentifier | Secondary order identifier. Can be used to refer to an additional order identifier assigned by the party accepting the order, e.g. SecondaryOrderID(198).
4 | SecondaryClientOrderIdentifier | Secondary client order identifier. Can be used to refer to an additional order identifier assigned by the party initiating the order, e.g. SecondaryClOrdID(526).

Used in groups: RelatedOrderGrp

RelatedOrderQty

Quantity of the related order which can be less than its total quantity. For example, when only parts of an order contribute to an aggregated order.

Type: Qty

Used in groups: RelatedOrderGrp

RelatedOrderTime

Timestamp for the assignment of a (unique) identifier to an order.

Type: UTCTimestamp

Used in groups: RelatedOrderGrp

RelatedPartyDetailAltID

An alternate party identifier for the party specified in RelatedPartyID(1563).

Type: String

Used in groups: RelatedPartyDetailAltIDGrp

RelatedPartyDetailAltIDGrp

Alternative identifiers for parties related to the party specified in the PartyDetailGrp.

Name | Mult. | Type | Description
NoRelatedPartyDetailAltID | [1..1] | NumInGroup |
RelatedPartyDetailAltID | [0..1] | String | Required when NoRelatedPartyDetailAltID > 0.
RelatedPartyDetailAltIDSource | [0..1] | CodeSet | Required when NoRelatedPartyDetailAltID > 0.
RelatedPartyDetailAltSubGrp | [0..*] | Group |

Used in groups: RelatedPartyDetailGrp

RelatedPartyDetailAltIDSource

Identifies the source of the RelatedPartyDetailAltID(1570) value.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: RelatedPartyDetailAltIDGrp

RelatedPartyDetailAltSubGrp

Sub identifiers for related parties alternate identifiers.

Name | Mult. | Type | Description
NoRelatedPartyDetailAltSubIDs | [1..1] | NumInGroup |
RelatedPartyDetailAltSubID | [0..1] | String | Required when NoRelatedPartyDetailAltSubIDs > 0.
RelatedPartyDetailAltSubIDType | [0..1] | CodeSet | Required when NoRelatedPartyDetailAltSubIDs > 0.

Used in groups: RelatedPartyDetailAltIDGrp

RelatedPartyDetailAltSubID

Sub-identifier for the party specified in RelatedPartyDetailAltID(1570).

Type: String

Used in groups: RelatedPartyDetailAltSubGrp

RelatedPartyDetailAltSubIDType

Type of RelatedPartyDetailAltSubID(1573) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: RelatedPartyDetailAltSubGrp

RelatedPartyDetailGrp

Party details for parties related to the Party specified in the PartyDetailGrp.

Name | Mult. | Type | Description
NoRelatedPartyDetailID | [1..1] | NumInGroup |
RelatedPartyDetailID | [0..1] | String | Required if NoRelatedPartyDetails > 0.
RelatedPartyDetailIDSource | [0..1] | CodeSet | Required if NoRelatedPartyDetails > 0.
RelatedPartyDetailRole | [0..1] | CodeSet | Required if NoRelatedPartyDetails > 0.
RelatedPartyDetailRoleQualifier | [0..1] | CodeSet |
RelatedPartyDetailSubGrp | [0..*] | Group |
RelatedPartyDetailAltIDGrp | [0..*] | Group |
PartyRelationshipGrp | [0..*] | Group |

Used in groups: PartyDetailGrp

Used in messages: PartyActionReport, PartyActionRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RelatedPartyDetailID

Party identifier for the party related to the party specified in PartyDetailID(1691).

Type: String

Used in groups: RelatedPartyDetailGrp

RelatedPartyDetailIDSource

Identifies the source of the RelatedPartyDetailID(1563).

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: RelatedPartyDetailGrp

RelatedPartyDetailRole

Identifies the type or role of the RelatedPartyDetailID(1563) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: RelatedPartyDetailGrp

RelatedPartyDetailRoleQualifier

Qualifies the value of RelatedPartyRole(1565)

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: RelatedPartyDetailGrp

RelatedPartyDetailSubGrp

PartySubGrp for related parties.

Name | Mult. | Type | Description
NoRelatedPartyDetailSubIDs | [1..1] | NumInGroup |
RelatedPartyDetailSubID | [0..1] | String | Required when NoRelatedPartyDetailSubIDs > 0.
RelatedPartyDetailSubIDType | [0..1] | CodeSet | Required when NoRelatedPartyDetailSubIDs > 0.

Used in groups: RelatedPartyDetailGrp

RelatedPartyDetailSubID

Sub-identifier for the party specified in RelatedPartyID(1563).

Type: String

Used in groups: RelatedPartyDetailSubGrp

RelatedPartyDetailSubIDType

Type of RelatedPartyDetailSubID(1567) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: RelatedPartyDetailSubGrp

RelatedPositionDate

Used to help identify the position when RelatedPositionID(1862) is not unique across multiple days. This date is generally the creation date of the identifier.

Type: LocalMktDate

Used in groups: RelatedPositionGrp

RelatedPositionGrp

This component is used to identify positions that are related to each other or to other trades. This should not be used in lieu of explicit FIX fields that denote specific semantic relationships, but rather should be used when no such fields exist.

Name | Mult. | Type | Description
NoRelatedPositions | [1..1] | NumInGroup |
RelatedPositionID | [0..1] | String | Required if NoRelatedPositions(1861) > 0.
RelatedPositionIDSource | [0..1] | CodeSet |
RelatedPositionDate | [0..1] | LocalMktDate |

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

RelatedPositionID

Identifier of a related position.

Type: String

Used in groups: RelatedPositionGrp

RelatedPositionIDSource

Describes the source of the identifier that RelatedPositionID(1862) represents.

Type: int

Allowed values in RelatedPositionIDSourceCodeSet:

Code | Name | Description
1 | PosMaintRptID | Position maintenance report ID - PosMaintRptID(721)
2 | TransferID | Position transfer ID - TransferID(2437)
3 | PositionEntityID | Position entity ID - PositionID(2618)

Used in groups: RelatedPositionGrp

RelatedPriceSource

Source for the price of a related entity, e.g. price of the underlying instrument in an Underlying Price Contingency (UPC) order. Can be used together with RelatedHighPrice (1819) and/or RelatedLowPrice (1820).

Type: int

Allowed values in RelatedPriceSourceCodeSet:

Code | Name | Description
1 | NBBid | NBB (National Best Bid)
2 | NBOffer | NBO (National Best Offer)

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg

RelatedRegulatoryTradeIDSource

Specifies the identifier of the reporting entity as assigned by regulatory agency.

Type: String

Used in groups: RelatedTradeGrp

RelatedSecurityID

Related security identifier value of RelatedSecurityIDSource(1651) type.

Type: String

Used in groups: RelatedInstrumentGrp

RelatedSecurityIDSource

Identifies class or source of the RelatedSecurityID (1650) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: RelatedInstrumentGrp

RelatedSecurityType

Security type of the related instrument.

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
ABS | AssetBackedSecurities | Asset-backed Securities
AN | OtherAnticipationNotes | Other Anticipation Notes (BAN, GAN, etc.)
BA | BankersAcceptance | Bankers Acceptance
BRADY | BradyBond | Brady Bond
CORP | CorporateBond | Corporate Bond
CS | CommonStock | Common Stock
EUSUPRA | EuroSupranationalCoupons | Euro Supranational Coupons. Identify the issuer name in Issuer(106).
FOR | ForeignExchangeContract | Foreign Exchange Contract
MF | MutualFund | Mutual Fund
REPO | Repurchase | Repurchase
TERM | TermLoan | Term Loan
BDN | BankDepositoryNote | Bank Depository Note
CAN | CanadianTreasuryNotes | Canadian Treasury Notes
CAP | Cap | Cap. In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
CMB | CanadianMortgageBonds | Canadian Mortgage Bonds
COFO | CertificateOfObligation | Certificate Of Obligation
CPP | CorporatePrivatePlacement | Corporate Private Placement
FAC | FederalAgencyCoupon | Federal Agency Coupon
FORWARD | Forward | Forward
FXNDF | NonDeliverableForward | Non-deliverable forward
MLEG | MultilegInstrument | Multileg Instrument
PS | PreferredStock | Preferred Stock
RVLV | RevolverLoan | Revolver Loan
BN | BankNotes | Bank Notes
BUYSELL | BuySellback | Buy Sellback
CB | ConvertibleBond | Convertible Bond
CDS | CreditDefaultSwap | Credit Default Swap
CMBS | Corp | Corp. Mortgage-backed Securities
COFP | CertificateOfParticipation | Certificate Of Participation
CTB | CanadianTreasuryBills | Canadian Treasury Bills
DR | DepositoryReceipts | Depository Receipts
FADN | FederalAgencyDiscountNote | Federal Agency Discount Note
FXSPOT | FXSpot | FX Spot
NONE | NoSecurityType | No Security Type
RVLVTRM | Revolver | Revolver/Term Loan
BOX | BillOfExchanges | Bill Of Exchanges
BRIDGE | BridgeLoan | Bridge Loan
CLLR | Collar | Collar. In an interest rate collar, this is a combination of a cap and a floor.
CMO | CollateralizedMortgageObligation | Collateralized Mortgage Obligation
DUAL | DualCurrency | Dual Currency
EUSOV | EuroSovereigns | Euro Sovereigns. Identify the issuer name in Issuer(106).
FXFWD | FXForward | FX Forward
GO | GeneralObligationBonds | General Obligation Bonds
PEF | PrivateExportFunding | Private Export Funding. Identify the issuer name in Issuer(106).
SECLOAN | SecuritiesLoan | Securities Loan
UST | USTreasuryNoteOld | US Treasury Note (Deprecated Value Use TNOTE)
CAMM | CanadianMoneyMarkets | Canadian Money Markets
CMDTYSWAP | CommoditySwap | Commodity swap
EUCORP | EuroCorporateBond | Euro Corporate Bond
FXSWAP | FXSwap | FX Swap
IET | IOETTEMortgage | IOETTE Mortgage
LOFC | LetterOfCredit | Letter Of Credit
MT | MandatoryTender | Mandatory Tender
PROV | CanadianProvincialBonds | Canadian Provincial Bonds
SECPLEDGE | SecuritiesPledge | Securities Pledge
SUPRA | USDSupranationalCoupons | USD Supranational Coupons. Identify the issuer name in Issuer(106).
USTB | USTreasuryBillOld | US Treasury Bill (Deprecated Value Use TBILL)
? | Wildcard | Wildcard entry for use on Security Definition Request
CD | CertificateOfDeposit | Certificate Of Deposit
DVPLDG | DeliveryVersusPledge | Delivery versus pledge
EUFRN | EuroCorporateFloatingRateNotes | Euro Corporate Floating Rate Notes
EXOTIC | Exotic | Exotic
FXNDS | NonDeliverableSwap | Non-deliverable Swap
MBS | MortgageBackedSecurities | Mortgage-backed Securities
RAN | RevenueAnticipationNote | Revenue Anticipation Note
SWING | SwingLineFacility | Swing Line Facility
TB | TreasuryBill | Treasury Bill - non US
CASH | Cash | Cash
CL | CallLoans | Call Loans
COLLBSKT | CollateralBasket | Collateral basket. A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
DINP | DebtorInPossession | Debtor In Possession
FLR | Floor | Floor. In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
FRN | USCorporateFloatingRateNotes | US Corporate Floating Rate Notes
FXBN | FXBankNote | FX Bank Note
MIO | MortgageInterestOnly | Mortgage Interest Only
OOC | OptionsOnCombo | Options on Combo
REV | RevenueBonds | Revenue Bonds
TBOND | USTreasuryBond | US Treasury Bond
CP | CommercialPaper | Commercial Paper
DEFLTED | Defaulted | Defaulted
FRA | FRA | Forward Rate Agreement
FXDN | ForeignCurrencyDiscountNote | Foreign Currency Discount Note. Discount notes issued in foreign currency by Fannie Mae.
MPO | MortgagePrincipalOnly | Mortgage Principal Only
Other | Other | Other
SFP | StructuredFinanceProduct | Structured finance product
SPCLA | SpecialAssessment | Special Assessment
TINT | InterestStripFromAnyBondOrNote | Interest Strip From Any Bond Or Note
XLINKD | IndexedLinked | Indexed Linked
DN | DepositNotes | Deposit Notes
ETN | ExchangeTradedNote | Exchange traded note
FUT | Future | Future
MPP | MortgagePrivatePlacement | Mortgage Private Placement
SPCLO | SpecialObligation | Special Obligation
STRUCT | StructuredNotes | Structured Notes
TBILL | USTreasuryBill | US Treasury Bill
TIPS | TreasuryInflationProtectedSecurities | Treasury Inflation Protected Securities
WITHDRN | Withdrawn | Withdrawn
EUCD | EuroCertificateOfDeposit | Euro Certificate Of Deposit
FWD | DerivativeForward | Derivative forward
MPT | MiscellaneousPassThrough | Miscellaneous Pass-through
MRGNLOAN | MarginLoan | Margin loan
REPLACD | Replaced | Replaced
SPCLT | SpecialTax | Special Tax
TCAL | PrincipalStripOfACallableBondOrNote | Principal Strip Of A Callable Bond Or Note
YANK | YankeeCorporateBond | Yankee Corporate Bond
DIMSUMCORP | OffshoreIssuedChineseYuanCorporateBond | Offshore issued Chinese Yuan (CNY) denominated corporate bond
EUCP | EuroCommercialPaper | Euro Commercial Paper
IRS | InterestRateSwap | Interest Rate Swap
MATURED | Matured | Matured
PFAND | Pfandbrief | Pfandbrief. Identify the issuer name in Issuer(106).
SECDERIV | SecuritizedDerivative | Securitized derivative
TAN | TaxAnticipationNote | Tax Anticipation Note
TPRN | PrincipalStripFromANonCallableBondOrNote | Principal Strip From A Non-Callable Bond Or Note
TRS | TotalReturnSwap | Total return swap
AMENDED | Amended | Amended and restated
ETF | ExchangeTradedFund | Exchange Traded Fund
LOANLEASE | LoanLease | Loan/lease
LQN | LiquidityNote | Liquidity Note
PRCORP | PreferredCorporateBond | Preferred Corporate Bond
TAXA | TaxAllocation | Tax Allocation
TBA | ToBeAnnounced | To Be Announced
TNOTE | USTreasuryNote | US Treasury Note
DIGITAL | DigitalAsset | Digital Asset. Asset that exists only in digital form or which is the digital representation of another asset (Source: ISO 24165 - Terms and Definitions).
DIMSUMSOV | OffshoreIssuedChineseYuanSovereignBond | Offshore issued Chinese Yuan (CNY) denominated sovereign bond
MTN | MediumTermNotes | Medium Term Notes
RETIRED | Retired | Retired
TECP | TaxExemptCommercialPaper | Tax Exempt Commercial Paper
ONITE | Overnight | Overnight
OOF | OptionsOnFutures | Options on Futures
SOV | SovereignBond | Sovereign Bond. Sovereign or government bond other than Euro and US issuer. Specify sovereign issuer in Issuer(106).
TMCP | TaxableMunicipalCP | Taxable Municipal CP
OOP | OptionsOnPhysical | Options on Physical - use not recommended
PN | PromissoryNote | Promissory Note
STN | ShortTermLoanNote | Short Term Loan Note
TFRN | USTreasuryFloatingRateNote | US Treasury Floating Rate Note
TRAN | TaxRevenueAnticipationNote | Tax Revenue Anticipation Note
OPT | Option | Option
PZFJ | PlazosFijos | Plazos Fijos
VRDN | VariableRateDemandNote | Variable Rate Demand Note
SLQN | SecuredLiquidityNote | Secured Liquidity Note
SPOTFWD | SpotForward | Spot forward
WAR | Warrant | Warrant
MCPIB | MunicipalInterestBearingCommercialPaper | Municipal Interest Bearing Commercial Paper
SWAPTION | SwapOption | Swap option
TD | TimeDeposit | Time Deposit
TMB | TaxableMunicipalBond | Taxable Municipal Bond
XMISSION | Transmission | Transmission
INDEX | Index | General type for a contract based on an established index
TLQN | TermLiquidityNote | Term Liquidity Note
VRDO | VariableRateDemandObligation | Variable Rate Demand Obligation
BDBSKT | BondBasket | Bond basket
XCN | ExtendedCommNote | Extended Comm Note
CFD | ContractForDifference | Contract for difference
YCD | YankeeCertificateOfDeposit | Yankee Certificate Of Deposit
BAB | BankAcceptedBill | Bank Accepted Bill. Also known as Bank Bill.
CRLTNSWAP | CorrelationSwap | Correlation swap
BNST | ShortTermBankNote | Short Term Bank Note
DVDNDSWAP | DiviendSwap | Dividend swap
CLCP | CallableCommercialPaper | Callable Commercial Paper
EQBSKT | EquityBasket | Equity basket
CN | CommercialNote | Commercial Note
EQFWD | EquityForward | Equity forward
CPIB | InterestBearingCommercialPaper | Interest Bearing Commercial Paper
RTRNSWAP | ReturnSwap | Return swap
EUMTN | EuroMediumTermNote | Euro Medium Term Note
VARSWAP | VarianceSwap | Variance swap
EUNCP | EuroNegotiableCommercialPaper | Euro Negotiable Commercial Paper
PRTFLIOSWAP | PortfolioSwaps | Portfolio swap
EUSTLQN | EuroStructuredLiquidityNote | Euro Structured Liquidity Note
FUTSWAP | FuturesOnASwap | Futures on a Swap
EUTD | EuroTimeDeposit | Euro Time Deposit
FWDSWAP | ForwardsOnASwap | Forwards on a Swap
FWDFRTAGMT | ForwardFreightAgreement | Forward Freight Agreement
JCD | JumboCertificateOfDeposit | Jumbo Certificate of Deposit
MMF | MoneyMarketFund | Money Market Fund
SPREADBET | SpreadBetting | Spread Betting
ETC | ExchangeTradedCommodity | Exchange traded commodity
MN | MasterNote | Master Note. Short term notes issued by Federal Farm Credit Banks Funding Corporation to provide loans and funding under Federal Farm Credit System (FFCS).
NCD | NegotiableCertificateOfDeposit | Negotiable Certificate of Deposit
NCP | NegotiableCommercialPaper | Negotiable Commercial Paper
RCD | RetailCertificateOfDeposit | Retail Certificate of Deposit
TDR | TermDepositReceipt | Term Deposit Receipt

Used in groups: RelatedInstrumentGrp

RelatedSymbol

Ticker symbol of the related security. Common "human understood" representation of the security.

Type: String

Used in groups: RelatedInstrumentGrp

RelatedToDividendPeriodXIDRef

The DividendPeriodXID(42293) of the stream dividend period with which the related instrument has correlation.

Type: XIDREF

Used in groups: RelatedInstrumentGrp

RelatedToSecurityID

The security identifier of the instrument, instrument leg or underlying instrument with which the related instrument has correlation.

Type: String

Used in groups: RelatedInstrumentGrp

RelatedToSecurityIDSource

Identifies class or source of the RelatedToSecurityID(2413) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: RelatedInstrumentGrp

RelatedToStreamXIDRef

StreamXID(41303), LegStreamXID(41700) or UnderlyingStreamXID(42016) of the stream with which the related instrument has correlation.

Type: XIDREF

Used in groups: RelatedInstrumentGrp

RelatedTradeDate

Date of a related trade.

Type: LocalMktDate

Used in groups: RelatedTradeGrp

RelatedTradeGrp

This component is used to identify trades that are related to each other for a business purpose, such as netting of forwards. This component should not be used in lieu of explicit FIX fields that denote specific semantic relationships, but rather should be used when no such fields exist.

Name | Mult. | Type | Description
NoRelatedTrades | [1..1] | NumInGroup |
RelatedTradeID | [0..1] | String | Required if NoRelatedTrades(1855) > 0.
RelatedTradeIDSource | [0..1] | CodeSet |
RelatedRegulatoryTradeIDSource | [0..1] | String | Optionally used for RelatedTradeIDSource(1857)=6(Regulatory trade ID) when RelatedTradeID(1856) is not unique across multiple reporting entities.
RelatedTradeDate | [0..1] | LocalMktDate | Optionally used to help identify the trade when RelatedTradeID(1856) is not unique across multiple days.
RelatedTradeMarketID | [0..1] | Exchange | Optionally used to help identify the trade when RelatedTradeID(1856) is not unique across multiple markets.
RelatedTradeQuantity | [0..1] | Qty |

Used in groups: MDFullGrp, MDIncGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionReport

RelatedTradeID

Identifier of a related trade.

Type: String

Used in groups: RelatedTradeGrp

RelatedTradeIDSource

Describes the source of the identifier that RelatedTradeID(1856) represents.

Type: int

Allowed values in RelatedTradeIDSourceCodeSet:

Code | Name | Description
0 | NonFIXSource | Non-FIX source
1 | TradeID | Trade ID
2 | SecondaryTradeID | Secondary trade ID
3 | TradeReportID | Trade report ID
4 | FirmTradeID | Firm trade ID
5 | SecondaryFirmTradeID | Secondary firm Trade ID
6 | RegulatoryTradeID | Regulatory trade ID

Used in groups: RelatedTradeGrp

RelatedTradeMarketID

Market of execution of related trade.

Type: Exchange

Used in groups: RelatedTradeGrp

RelatedTradeQuantity

Quantity of the related trade which can be less than or equal to the actual quantity of the related trade. For example, when one trade offsets another across asset classes.

Type: Qty

Used in groups: RelatedTradeGrp

RelativeValue

The valuation of an instrument relative to a base measurement specified in RelativeValueType(2530). This value can be negative.

Type: float

Used in groups: RelativeValueGrp

RelativeValueGrp

The RelativeValueGrp component is used to convey relative valuation metrics or analytics for a given instrument.

Name | Mult. | Type | Description
NoRelativeValues | [1..1] | NumInGroup |
RelativeValueType | [0..1] | CodeSet | Required if NoRelativeValues(2529) > 0.
RelativeValue | [0..1] | float | Required if NoRelativeValues(2529) > 0.
RelativeValueSide | [0..1] | CodeSet |
RelativeValueTimestamp | [0..1] | UTCTimestamp |

Used in groups: SecurityRiskMetricGrp

Used in messages: ExecutionReport, IOI, Quote

RelativeValueSide

Specifies the side of the relative value.

Type: int

Allowed values in RelativeValueSideCodeSet:

Code | Name | Description
1 | Bid | Bid
2 | Mid | Mid
3 | Offer | Offer

Used in groups: RelativeValueGrp

RelativeValueTimestamp

Timestamp at which the relative valuation metric or analytic is calculated or captured.

Type: UTCTimestamp

Used in groups: RelativeValueGrp

RelativeValueType

Indicates the type of relative value measurement being specified.

Type: int

Allowed values in RelativeValueTypeCodeSet:

Code
Name
Description

1
ASWSpread
Asset Swap Spread. ASW Spread. The asset swap spread is the difference in the bond's yield (yield to maturity) and a floating interest rate (usually LIBOR), expressed in basis points.

2
OIS
Overnight Indexed Swap Spread. OIS Spread. The overnight indexed swap spread is the spread, expressed in basis points, between the bond yield (the fixed rate) and an overnight indexed rate (e.g. Fed Funds rate, EONIA, SONIA, etc.) (the floating rate).

3
ZSpread
Zero Volatility Spread. Z-Spread. The zero coupon spread is the constant spread added to the reference zero coupon yield curve (usually Treasury spot rate curve), expressed in basis points, to derive the adjusted yield curve used to determine the present value of the cash flows so that it equals the dirty price of the bond (i.e. accrued interested factored in).

4
DiscountMargin
Discount Margin. The DM is the spread, expressed in basis points, added to the bond's reference rate that will equate the bond's cash flows to its current price.

5
ISpread
Interpolated Spread. I-Spread or I-Curve spread. The spread, expressed in basis points, added to an interpolated point on the reference yield curve.

6
OAS
Option Adjusted Spread. OAS or OA-spread. Used to evaluate bonds with embedded (callable or put-able) options. The option adjusted spread is a constant spread, expressed in basis points, applied to each point on the spot rate curve (usually Treasury spot rate curve) where the bond's cash flow is received, such that the price of the bond is the same as the present value of its cash flows.

7
GSpread
G-Spread. The spread difference between the bond's yield and the interpolated yield from the government reference yield curve, expressed in basis points. It represents the curve adjusted value of the bond by accounting for the difference between the bond's benchmark yield and the interpolated government reference yield at the same point on the curve that matches the bond's remaining life.

8
CDSBasis
CDS Basis. Also referred to as CDS Bond Basis. The CDS basis is the spread difference between the CDS spread or premium for the obligor and the Z-Spread or the ASW spread of the same reference or obligor bond, expressed in basis points.

9
CDSInterpolatedBasis
CDS Interpolated Basis. Also referred to as CDS Bond Interpolated Basis. The CDS interpolated basis is the difference between the reference or obligor bond's Z Spread or ASW spread and an interpolated point on CDS curve that matches the maturity of the reference bond, expressed in basis points.

10
DV01
DV01. The currency value change in response to a move of one basis point in the yield of the instrument. Typically used as a measure of interest rate risk of a single bond. Also known as "basis point value" or BPV.

11
PV01
PV01. The present value change in response to a move of one basis point all along the yield curve used for the instrument. In certain cases the DV01 and PV01 values may be the same.

12
CS01
CS01. Credit spread sensitivity. Represents the change in value of a (CDS) transaction for a one basis point change in the credit spread.

Used in groups: RelativeValueGrp

ReleaseInstruction

Instruction to define conditions under which to release a locked order or parts of it.

Type: int

Allowed values in ReleaseInstructionCodeSet:

Code | Name | Description
1 | ISO | Intermarket Sweep Order (ISO)
2 | NoAwayMarketBetterCheck | No Away Market Better check

Used in messages: ExecutionReport, OrderCancelReplaceRequest

ReleaseQty

Quantity to be made available, i.e. released from a lock.

Type: Qty

Used in messages: ExecutionReport, OrderCancelReplaceRequest

RelSymDerivSecGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Specifies the number of repeating symbols (instruments) specified
Instrument | [0..1] | Component |
SecondaryPriceLimits | [0..1] | Component | Secondary price limit rules
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet | Identifies the type of Corporate Action
InstrumentExtension | [0..1] | Component |
InstrmtLegGrp | [0..*] | Group |
RelSymTransactTime | [0..1] | UTCTimestamp |
NumOfSimpleInstruments | [0..1] | int | Number of simple instruments.
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: DerivativeSecurityList

RelSymDerivSecUpdGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup |
ListUpdateAction | [0..1] | CodeSet | If provided, then Instrument occurrence has explicitly changed
CorporateAction | [0..1] | CodeSet |
Instrument | [0..1] | Component |
InstrumentExtension | [0..1] | Component |
SecondaryPriceLimits | [0..1] | Component | Secondary price limit rules
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
InstrmtLegGrp | [0..*] | Group |
RelSymTransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: DerivativeSecurityListUpdateReport

RelSymTransactTime

See TransactTime(60)

Type: UTCTimestamp

Used in groups: RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp

RemunerationIndicator

Indicates whether the trade price was adjusted for compensation (i.e. includes a mark-up, mark-down or commission) in the price paid.

Type: int

Allowed values in RemunerationIndicatorCodeSet:

Code | Name | Description
0 | NoRemunerationPaid | No remuneration paid
1 | RemunerationPaid | Remuneration paid

Used in groups: TrdCapRptSideGrp

ReplaceText

Identifies the reason for amendment.

Type: String

Used in messages: PayManagementReport

RepoCollateralSecurityType

Identifies the collateral used in the transaction.

Valid values: see SecurityType (167) field (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: Instrument

ReportedPx

Reported price (used to differentiate from AvgPx on a confirmation of a marked-up or marked-down principal trade)

Type: Price

Used in messages: Confirmation

ReportedPxDiff

Indicates that the reported price that is different from the market price. The price difference should be stated by using field 828 TrdType and, if required, field 829 TrdSubType

Type: Boolean

Used in messages: TradeCaptureReport

ReportingPx

Represents the reportable price on fill when an instance of the Parties component with PartyRole(452) = 73 (Execution Venue) is present to prevent having to compute running totals.

Type: Price

Used in messages: ExecutionReport

ReportingQty

Represents the reportable quantity on fill when an instance of the Parties component with PartyRole(452) = 73 (Execution Venue) is present to prevent having to compute running totals.

Type: Qty

Used in messages: ExecutionReport

ReportToExch

Identifies party of trade responsible for exchange reporting.

Type: Boolean

Allowed values in ReportToExchCodeSet:

Code | Name | Description
N | SenderReports | Indicates the party sending message will report trade
Y | ReceiverReports | Indicates the party receiving message must report trade

Used in messages: ExecutionReport

RepurchaseRate

Percent of par at which a Repo will be repaid. Represented as a percent, e.g. .9525 represents 95-/4 percent of par. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Percentage

Used in components: Instrument

RepurchaseTerm

Number of business days before repurchase of a repo. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: int

Used in components: Instrument

RequestedPartyRole

Identifies the type or role of party that has been requested.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: RequestedPartyRoleGrp

RequestedPartyRoleGrp

Used to specify one or more PartyRoles as part of a request.

Name | Mult. | Type | Description
NoRequestedPartyRoles | [1..1] | NumInGroup |
RequestedPartyRole | [0..1] | CodeSet | Identifies the type of party role requested. Required if NoRequestedPartyRoles > 0.
RequestedPartyRoleQualifier | [0..1] | CodeSet |

Used in messages: PartyDetailsListRequest, PartyEntitlementsRequest, PartyRiskLimitsRequest

RequestedPartyRoleQualifier

Used to further qualify the value of RequestedPartyRole(1509).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: RequestedPartyRoleGrp

RequestedRiskLimitTypesGrp

List of risk limit types being requested.

Name | Mult. | Type | Description
NoRequestedRiskLimitType | [1..1] | NumInGroup |
RiskLimitType | [0..1] | CodeSet | Required if NoRequestedRiskLimitType > 0.

Used in messages: PartyRiskLimitsRequest

RequestingPartyGrp

Identifies the party making the request.

Name | Mult. | Type | Description
NoRequestingPartyIDs | [1..1] | NumInGroup |
RequestingPartyID | [0..1] | String | Required when NoRequestingPartyIDs > 0.
RequestingPartyIDSource | [0..1] | CodeSet | Required when NoRequestingPartyIDs > 0.
RequestingPartyRole | [0..1] | CodeSet | Required when NoRequestingPartyIDs > 0.
RequestingPartyRoleQualifier | [0..1] | CodeSet |
RequestingPartySubGrp | [0..*] | Group |

Used in messages: PartyActionReport, PartyActionRequest, PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListRequest, PartyDetailsListUpdateReport, PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsRequest, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport

RequestingPartyID

Party identifier for the requesting party.

Type: String

Used in groups: RequestingPartyGrp

RequestingPartyIDSource

Identifies the source of the RequestingPartyID(1658) value.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: RequestingPartyGrp

RequestingPartyRole

Identifies the type or role of the RequestingPartyID(1658) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: RequestingPartyGrp

RequestingPartyRoleQualifier

Qualifies the value of RequestingPartyRole(1660).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: RequestingPartyGrp

RequestingPartySubGrp

Sub identifiers for the requesting party.

Name | Mult. | Type | Description
NoRequestingPartySubIDs | [1..1] | NumInGroup |
RequestingPartySubID | [0..1] | String | Required when NoRequestingPartySubIDs > 0.
RequestingPartySubIDType | [0..1] | CodeSet | Required when NoRequestingPartySubIDs > 0.

Used in groups: RequestingPartyGrp

RequestingPartySubID

Sub-identifier for the party specified in RequestingPartyID(1658).

Type: String

Used in groups: RequestingPartySubGrp

RequestingPartySubIDType

Type of RequestingPartySubID(1662) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: RequestingPartySubGrp

RequestResult

Result of a request as identified by the appropriate request ID field

Type: int

Allowed values in RequestResultCodeSet:

Code | Name | Description
0 | ValidRequest | Valid request
1 | InvalidOrUnsupportedRequest | Invalid or unsupported request
2 | NoDataFound | No data found that match selection criteria
3 | NotAuthorized | Not authorized to retrieve data
4 | DataTemporarilyUnavailable | Data temporarily unavailable
5 | RequestForDataNotSupported | Request for data not supported
99 | Other | Other (further information in RejectText (1328) field)

Used in messages: PartyDetailsListReport, PartyEntitlementsReport, PartyRiskLimitsReport

ResetSeqNumFlag

Indicates that both sides of the FIX session should reset sequence numbers.

Type: Boolean

Allowed values in ResetSeqNumFlagCodeSet:

Code | Name | Description
N | No | No
Y | Yes | Yes, reset sequence numbers

Used in messages: Logon

RespondentType

Specifies the type of respondents requested.

Type: int

Allowed values in RespondentTypeCodeSet:

Code | Name | Description
1 | AllMarketParticipants | All market participants
2 | SpecifiedMarketParticipants | Specified market participants
3 | AllMarketMakers | All Market Makers
4 | PrimaryMarketMaker | Primary Market Maker(s)

Used in messages: QuoteRequest, QuoteRequestReject

ResponseDestination

URI (Uniform Resource Identifier) for details or other pre-arranged value. Used in conjunction with ResponseTransportType (725) value of Out-of-Band to identify the out-of-band destination.

See Appendix 6-B FIX Fields Based Upon Other Standards

Type: String

Used in messages: CollateralInquiry, CollateralInquiryAck, MarginRequirementInquiry, MarginRequirementInquiryAck, RequestForPositions, RequestForPositionsAck, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

ResponseTime

The time by which a meaningful response should arrive back (always expressed in UTC (Universal Time Coordinated, also known as "GMT").

Type: UTCTimestamp

Used in groups: QuotReqGrp

ResponseTransportType

Identifies how the response to the request should be transmitted.

Type: int

Allowed values in ResponseTransportTypeCodeSet:

Code | Name | Description
0 | Inband | In-band (default). Transport of the request was sent over in-band.
1 | OutOfBand | Out of band. Pre-arranged out-of-band delivery mechanism (e.g. FTP, HTTP, NDM, etc.) between counterparties. Details specified via ResponseDestination(726).

Used in messages: CollateralInquiry, CollateralInquiryAck, MarginRequirementInquiry, MarginRequirementInquiryAck, RequestForPositions, RequestForPositionsAck, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

RestructuringType

A category of CDS credit event in which the underlying bond experiences a restructuring.

Used to define a CDS instrument.

Type: String

Allowed values in RestructuringTypeCodeSet:

Code | Name | Description
FR | FullRestructuring | Full Restructuring
MR | ModifiedRestructuring | Modified Restructuring
MM | ModifiedModRestructuring | Modified Mod Restructuring
XR | NoRestructuringSpecified | No Restructuring specified

Used in components: Instrument

ReturnRateAmountRelativeTo

Specifies the reference amount when the return rate amount is relative to another amount in the trade.

See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.

Type: int

Used in groups: ReturnRateGrp

ReturnRateCashFlowType

Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.

See http://www.fpml.org/coding-scheme/cashflow-type for values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateCommissionAmount

The commission amount.

Type: Amt

Used in groups: ReturnRateGrp

ReturnRateCommissionBasis

Specifies the basis or unit used to calculate the commission.

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | Amount per unit. Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
2 | Percent | Percent
3 | Absolute | Absolute. Total monetary amount.
4 | PercentageWaivedCashDiscount | Percentage waived, cash discount basis. For use with CIV buy orders.
5 | PercentageWaivedEnhancedUnits | Percentage waived, enhanced units basis. For use with CIV buy orders.
6 | PointsPerBondOrContract | Points per bond or contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
7 | BasisPoints | Basis points. The commission is expressed in basis points in reference to the gross price of the reference asset.
8 | AmountPerContract | Amount per contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.

Used in groups: ReturnRateGrp

ReturnRateCommissionCurrency

Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ReturnRateGrp

ReturnRateDateGrp

ReturnRateDateGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRateDates | [1..1] | NumInGroup |
ReturnRateDateMode | [0..1] | CodeSet | Required if NoReturnRateDates(42709) > 0.
ReturnRateValuationDateGrp | [0..*] | Group |
ReturnRateValuationDateRelativeTo | [0..1] | int |
ReturnRateValuationDateOffsetPeriod | [0..1] | int | Conditionally required when ReturnRateValuationDateOffsetUnit(42713) is specified.
ReturnRateValuationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ReturnRateValuationDateOffsetPeriod(42712) is specified.
ReturnRateValuationDateOffsetDayType | [0..1] | CodeSet |
ReturnRateValuationStartDateUnadjusted | [0..1] | LocalMktDate |
ReturnRateValuationStartDateRelativeTo | [0..1] | int |
ReturnRateValuationStartDateOffsetPeriod | [0..1] | int | Conditionally required when ReturnRateValuationStartDateOffsetUnit(42718) is specified.
ReturnRateValuationStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ReturnRateValuationStartDateOffsetPeriod(42717) is specified.
ReturnRateValuationStartDateOffsetDayType | [0..1] | CodeSet |
ReturnRateValuationStartDateAdjusted | [0..1] | LocalMktDate |
ReturnRateValuationEndDateUnadjusted | [0..1] | LocalMktDate |
ReturnRateValuationEndDateRelativeTo | [0..1] | int |
ReturnRateValuationEndDateOffsetPeriod | [0..1] | int | Conditionally required when ReturnRateValuationEndDateOffsetUnit(42724) is specified.
ReturnRateValuationEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when ReturnRateValuationEndDateOffsetPeriod(42723) is specified.
ReturnRateValuationEndDateOffsetDayType | [0..1] | CodeSet |
ReturnRateValuationEndDateAdjusted | [0..1] | LocalMktDate |
ReturnRateValuationFrequencyPeriod | [0..1] | int | Conditionally required when ReturnRateValuationFrequencyUnit(42728) is specified.
ReturnRateValuationFrequencyUnit | [0..1] | CodeSet | Conditionally required when ReturnRateValuationFrequencyPeriod(42727) is specified.
ReturnRateValuationFrequencyRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the payment stream return rate valuation dates.
ReturnRateValuationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to payment stream return rate valuation dates.
ReturnRateValuationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified values would be specific to payment stream return rate valuation dates.

Used in groups: ReturnRateGrp

ReturnRateDateMode

Specifies the valuation type applicable to the return rate date.

Type: int

Allowed values in ReturnRateDateModeCodeSet:

Code | Name | Description
0 | PriceValuation | Price valuation
1 | DividendValuation | Dividend valuation

Used in groups: ReturnRateDateGrp

ReturnRateDeterminationMethod

Specifies the method by which the underlier prices are determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateFinalPriceFallback

Specifies the fallback provision for the hedging party in the determination of the final price.

Type: int

Allowed values in ComplexEventPVFinalPriceElectionFallbackCodeSet:

Code | Name | Description
0 | Close | Close. In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
1 | HedgeElection | Hedge election. In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.

Used in groups: ReturnRateGrp

ReturnRateFXConversionGrp

ReturnRateFXConversionGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRateFXConversions | [1..1] | NumInGroup |
ReturnRateFXCurrencySymbol | [0..1] | String | Required if NoReturnRateFXConversions(42731) > 0.
ReturnRateFXRate | [0..1] | float | Required if NoReturnRateFXConversions(42731) > 0.
ReturnRateFXRateCalc | [0..1] | CodeSet |

Used in groups: ReturnRateGrp

ReturnRateFXCurrencySymbol

Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.

Type: String

Used in groups: ReturnRateFXConversionGrp

ReturnRateFXRate

The rate of exchange between the two currencies specified in ReturnRateFXCurrencySymbol(42732).

Type: float

Used in groups: ReturnRateFXConversionGrp

ReturnRateFXRateCalc

Specifies whether ReturnRateFXRate(42733) should be multiplied or divided.

Type: char

Allowed values in SettlCurrFxRateCalcCodeSet:

Code | Name | Description
M | Multiply | Multiply
D | Divide | Divide

Used in groups: ReturnRateFXConversionGrp

ReturnRateGrp

ReturnRateGrp is a repeating subcomponent within the PaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRates | [1..1] | NumInGroup |
ReturnRatePriceSequence | [0..1] | CodeSet | Required if NoReturnRates(42735) > 0.
ReturnRateCommissionBasis | [0..1] | CodeSet |
ReturnRateCommissionAmount | [0..1] | Amt |
ReturnRateCommissionCurrency | [0..1] | Currency | If not specified, this is defaulted to the reporting currency.
ReturnRateTotalCommissionPerTrade | [0..1] | Amt |
ReturnRateDeterminationMethod | [0..1] | String |
ReturnRatePriceGrp | [0..*] | Group |
ReturnRateFXConversionGrp | [0..*] | Group |
ReturnRateAmountRelativeTo | [0..1] | int |
ReturnRateQuoteMeasureType | [0..1] | String |
ReturnRateQuoteUnits | [0..1] | String |
ReturnRateQuoteMethod | [0..1] | CodeSet |
ReturnRateQuoteCurrency | [0..1] | Currency |
ReturnRateQuoteCurrencyType | [0..1] | String |
ReturnRateQuoteTimeType | [0..1] | CodeSet | Mutually exclusive with ReturnRateQuoteTime(42749).
ReturnRateQuoteTime | [0..1] | LocalMktTime | Mutually exclusive with ReturnRateQuoteTimeType(42748).
ReturnRateQuoteDate | [0..1] | LocalMktDate |
ReturnRateQuoteExpirationTime | [0..1] | LocalMktTime |
ReturnRateQuoteBusinessCenter | [0..1] | String |
ReturnRateQuoteExchange | [0..1] | Exchange |
ReturnRateInformationSourceGrp | [0..*] | Group |
ReturnRateQuotePricingModel | [0..1] | String |
ReturnRateCashFlowType | [0..1] | String |
ReturnRateDateGrp | [0..*] | Group |
ReturnRateValuationTimeType | [0..1] | CodeSet | Mutually exclusive with ReturnRateValuationTime(42757).
ReturnRateValuationTime | [0..1] | LocalMktTime | Mutually exclusive with ReturnRateValuationTimeType(42756).
ReturnRateValuationTimeBusinessCenter | [0..1] | String |
ReturnRateValuationPriceOption | [0..1] | CodeSet |
ReturnRateFinalPriceFallback | [0..1] | CodeSet |

Used in components: PaymentStreamFloatingRate

ReturnRateInformationSource

Identifies the source of rate information. For FX the references source to be used for the FX spot rate.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: ReturnRateInformationSourceGrp

ReturnRateInformationSourceGrp

ReturnRateInformationSourceGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRateInformationSources | [1..1] | NumInGroup |
ReturnRateInformationSource | [0..1] | CodeSet | Required if NoReturnRateInformationSources(42761) > 0.
ReturnRateReferencePage | [0..1] | String |
ReturnRateReferencePageHeading | [0..1] | String |

Used in groups: ReturnRateGrp

ReturnRateNotionalReset

Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.

Type: Boolean

Used in components: PaymentStreamFloatingRate

ReturnRatePrice

Specifies the price of the underlying swap asset.

Type: Price

Used in groups: ReturnRatePriceGrp

ReturnRatePriceBasis

The basis of the return price.

Type: int

Allowed values in ReturnRatePriceBasisCodeSet:

Code | Name | Description
0 | Gross | Gross.
1 | Net | Net
2 | Accrued | Accrued
3 | CleanNet | Clean net

Used in groups: ReturnRatePriceGrp

ReturnRatePriceCurrency

Specifies the currency of the price of the underlying swap asset. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: ReturnRatePriceGrp

ReturnRatePriceGrp

ReturnRatePriceGrp is a repeating subcomponent within the ReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRatePrices | [1..1] | NumInGroup |
ReturnRatePriceBasis | [0..1] | CodeSet | Required if NoReturnRatePrices(42765) > 0.
ReturnRatePrice | [0..1] | Price |
ReturnRatePriceCurrency | [0..1] | Currency |
ReturnRatePriceType | [0..1] | CodeSet |

Used in groups: ReturnRateGrp

ReturnRatePriceSequence

Specifies the type of price sequence of the return rate.

Type: int

Allowed values in ReturnRatePriceSequenceCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Interim | Interim
2 | Final | Final

Used in groups: ReturnRateGrp

ReturnRatePriceType

Specifies whether the ReturnRatePrice(42767) is expressed in absolute or relative terms.

Type: int

Allowed values in ReturnRatePriceTypeCodeSet:

Code | Name | Description
0 | AbsoluteTerms | Absolute terms
1 | PercentageOfNotional | Percentage of notional

Used in groups: ReturnRatePriceGrp

ReturnRateQuoteBusinessCenter

The business center calendar used for adjustments associated with ReturnRateQuoteTimeType(42748) or ReturnRateQuoteTime(42749) and ReturnRateQuoteDate(42750), e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateQuoteCurrency

Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: ReturnRateGrp

ReturnRateQuoteCurrencyType

Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.

See http://www.fpml.org/coding-scheme/reporting-currency-type for values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateQuoteDate

The date when the quote is to be generated.

Type: LocalMktDate

Used in groups: ReturnRateGrp

ReturnRateQuoteExchange

Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.

Type: Exchange

Used in groups: ReturnRateGrp

ReturnRateQuoteExpirationTime

The time when the quote ceases to be valid.

Type: LocalMktTime

Used in groups: ReturnRateGrp

ReturnRateQuoteMeasureType

Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.

See http://www.fpml.org/coding-scheme/asset-measure for values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateQuoteMethod

Specifies the type of quote used to determine the return rate of the swap.

Type: int

Allowed values in CashSettlQuoteMethodCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer

Used in groups: ReturnRateGrp

ReturnRateQuotePricingModel

Specifies the pricing model used to evaluate the underlying asset price.

See http://www.fpml.org/coding-scheme/pricing-model for values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateQuoteTime

The time when the quote is to be generated.

Type: LocalMktTime

Used in groups: ReturnRateGrp

ReturnRateQuoteTimeType

Specifies how or the timing when the quote is to be obtained.

Type: int

Allowed values in ReturnRateQuoteTimeTypeCodeSet:

Code | Name | Description
0 | Open | Open. The official opening time of the exchange on valuation date.
1 | OfficialSettlPx | Official settlement price time. The time at which the official settlement price is determined.
2 | Xetra | XETRA. The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
3 | Close | Close. The official closing time of the exchange on valuation date.
4 | DerivativesClose | Derivatives close. The official closing time for derivative trading of the exchange on valuation date.
5 | High | High. The high price for the day.
6 | Low | Low. The low price for the day.
7 | AsSpecifiedInMasterConfirmation | As specified in the master confirmation

Used in groups: ReturnRateGrp

ReturnRateQuoteUnits

Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.

See http://www.fpml.org/coding-scheme/price-quote-units for values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateReferencePage

Identifies the reference "page" from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When ReturnRateInformationSource(42762) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.

See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in groups: ReturnRateInformationSourceGrp

ReturnRateReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in groups: ReturnRateInformationSourceGrp

ReturnRateTotalCommissionPerTrade

The total commission per trade.

Type: Amt

Used in groups: ReturnRateGrp

ReturnRateValuationDate

The return rate valuation date. Type of date is specified in ReturnRateValuationDateType(42774).

Type: LocalMktDate

Used in groups: ReturnRateValuationDateGrp

ReturnRateValuationDateBusinessCenter

The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ReturnRateValuationDateBusinessCenterGrp

ReturnRateValuationDateBusinessCenterGrp

ReturnRateValuationDateBusinessCenterGrp is a repeating subcomponent within the ReturnRateValuationDateGrp component. It is used to specify the valuation date business center adjustments for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRateValuationDateBusinessCenters | [1..1] | NumInGroup |
ReturnRateValuationDateBusinessCenter | [0..1] | String | Required if NoReturnRateValuationDateBusinessCenters(42770) > 0.

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateBusinessDayConvention

The return rate valuation dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateGrp

ReturnRateValuationDateGrp is a repeating subcomponent within the ReturnRateDateGrp component. It is used to specify the fixed valuation dates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoReturnRateValuationDates | [1..1] | NumInGroup |
ReturnRateValuationDate | [0..1] | LocalMktDate | Required if NoReturnRateValuationDates(42772) > 0.
ReturnRateValuationDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateOffsetDayType

Specifies the day type of the relative return rate valuation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateOffsetPeriod

Time unit multiplier for the relative return rate valuation date offset.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateOffsetUnit

Time unit associated with the relative return rate valuation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateRelativeTo

Specifies the anchor date when the return rate valuation dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationDateType

Specifies the type of return rate valuation date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: ReturnRateValuationDateGrp

ReturnRateValuationEndDateAdjusted

The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: ReturnRateDateGrp

ReturnRateValuationEndDateOffsetDayType

Specifies the day type of the relative return rate valuation end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: ReturnRateDateGrp

ReturnRateValuationEndDateOffsetPeriod

Time unit multiplier for the relative return rate valuation end date offset.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationEndDateOffsetUnit

Time unit associated with the relative return rate valuation end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ReturnRateDateGrp

ReturnRateValuationEndDateRelativeTo

Specifies the anchor date when the return rate valuation end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationEndDateUnadjusted

The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: ReturnRateDateGrp

ReturnRateValuationFrequencyPeriod

Time unit multiplier for the frequency at which return rate valuation dates occur.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationFrequencyRollConvention

The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in groups: ReturnRateDateGrp

ReturnRateValuationFrequencyUnit

Time unit associated with the frequency at which return rate valuation dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: ReturnRateDateGrp

ReturnRateValuationPriceOption

Indicates whether an ISDA price option applies, and if applicable which type of price.

Type: int

Allowed values in ReturnRateValuationPriceOptionCodeSet:

Code | Name | Description
0 | None | None (the default)
1 | FuturesPrice | Futures price. The official settlement price as announced by the related futures exchange is applicable.
2 | OptionsPrice | Options price. The official settlement price as announced by the related options exchange is applicable.

Used in groups: ReturnRateGrp

ReturnRateValuationStartDateAdjusted

The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: ReturnRateDateGrp

ReturnRateValuationStartDateOffsetDayType

Specifies the day type of the relative return rate valuation start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: ReturnRateDateGrp

ReturnRateValuationStartDateOffsetPeriod

Time unit multiplier for the relative return rate valuation start date offset.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationStartDateOffsetUnit

Time unit associated with the relative return rate valuation start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: ReturnRateDateGrp

ReturnRateValuationStartDateRelativeTo

Specifies the anchor date when the return rate valuation start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: ReturnRateDateGrp

ReturnRateValuationStartDateUnadjusted

The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: ReturnRateDateGrp

ReturnRateValuationTime

The time at which the calculation agent values the underlying asset.

Type: LocalMktTime

Used in groups: ReturnRateGrp

ReturnRateValuationTimeBusinessCenter

The business center calendar used for adjustments associated with ReturnRateValuationTimeType(42756) or ReturnRateValuationTime(42757), e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: ReturnRateGrp

ReturnRateValuationTimeType

Specifies the timing at which the calculation agent values the underlying.

Type: int

Allowed values in ReturnRateQuoteTimeTypeCodeSet:

Code | Name | Description
0 | Open | Open. The official opening time of the exchange on valuation date.
1 | OfficialSettlPx | Official settlement price time. The time at which the official settlement price is determined.
2 | Xetra | XETRA. The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
3 | Close | Close. The official closing time of the exchange on valuation date.
4 | DerivativesClose | Derivatives close. The official closing time for derivative trading of the exchange on valuation date.
5 | High | High. The high price for the day.
6 | Low | Low. The low price for the day.
7 | AsSpecifiedInMasterConfirmation | As specified in the master confirmation

Used in groups: ReturnRateGrp

ReturnTrigger

Indicates the type of return or payout trigger for the swap or forward.

Type: int

Allowed values in ReturnTriggerCodeSet:

Code | Name | Description
1 | Dividend | Dividend
2 | Variance | Variance
3 | Volatility | Volatility
4 | TotalReturn | Total return
5 | ContractForDifference | Contract for difference
6 | CreditDefault | Credit default
7 | SpreadBet | Spread bet
8 | Price | Price
9 | ForwardPriceUnderlyingInstrument | Forward price of underlying instrument
99 | Other | Other

Used in components: Instrument

ReversalIndicator

Indicates a trade that reverses a previous trade.

Type: Boolean

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

RFQReqGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Number of related symbols (instruments) in Request
Instrument | [1..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
PrevClosePx | [0..1] | Price | Useful for verifying security identification
QuoteRequestType | [0..1] | CodeSet | Indicates the type of Quote Request (e.g. Manual vs. Automatic) being generated.
QuoteType | [0..1] | CodeSet | Type of quote being requested from counterparty or market (e.g. Indicative, Firm, or Restricted Tradeable)
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |

Used in messages: RFQRequest

RFQReqID

RFQ Request ID - used to identify an RFQ Request.

Type: String

Used in messages: QuoteRequest, QuoteRequestReject, RFQRequest

RgstDistInstGrp

Name | Mult. | Type | Description
NoDistribInsts | [1..1] | NumInGroup | Number of Distribution instructions in this message (number of repeating groups to follow)
DistribPaymentMethod | [0..1] | CodeSet | Must be first field in the repeating group if NoDistribInsts > 0.
DistribPercentage | [0..1] | Percentage |
CashDistribCurr | [0..1] | Currency |
CashDistribAgentName | [0..1] | String |
CashDistribAgentCode | [0..1] | String |
CashDistribAgentAcctNumber | [0..1] | String |
CashDistribPayRef | [0..1] | String |
CashDistribAgentAcctName | [0..1] | String |

Used in messages: RegistrationInstructions

RgstDtlsGrp

Name | Mult. | Type | Description
NoRegistDtls | [1..1] | NumInGroup | Number of registration details in this message (number of repeating groups to follow)
RegistDtls | [0..1] | String | Must be first field in the repeating group
RegistEmail | [0..1] | String |
MailingDtls | [0..1] | String |
MailingInst | [0..1] | String |
NestedParties | [0..*] | Group | Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "Common Components of Application Messages". Used for NestedPartyRole=InvestorID
OwnerType | [0..1] | CodeSet |
DateOfBirth | [0..1] | LocalMktDate |
InvestorCountryOfResidence | [0..1] | Country |

Used in messages: RegistrationInstructions

Rho

The security's value rate of change in response to a 1% change in (risk-free) interest rate. Measures the security's sensitivity to interest rate change.

Type: float

Used in groups: SecurityRiskMetricGrp

RiskFreeRate

Interest rate. Usually some form of short term rate.

Type: float

Used in groups: ClearingPriceParametersGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, SecurityRiskMetricsReport, TradeCaptureReport

RiskInstrumentMultiplier

Multiplier applied to the transaction amount for comparison with risk limits. Default if not specified is 1.0.

Type: float

Used in groups: RiskInstrumentScopeGrp

RiskInstrumentScopeGrp

Repeating group of InstrumentScope Components. Used to specify the instruments to which a request applies.

Name | Mult. | Type | Description
NoRiskInstrumentScopes | [1..1] | NumInGroup |
InstrumentScopeOperator | [0..1] | CodeSet | Required when NoRiskInstrumentScopes > 0.
InstrumentScope | [0..1] | Component |
RiskInstrumentMultiplier | [0..1] | float |

Used in groups: RiskLimitsGrp

Used in messages: PartyRiskLimitsRequest

RiskLimitAction

Identifies the action to take or risk model to assume should risk limit be exceeded or breached for the specified party.

Type: int

Allowed values in RiskLimitActionCodeSet:

Code | Name | Description
0 | QueueInbound | Queue inbound
1 | QueueOutbound | Queue outbound
2 | Reject | Reject
3 | Disconnect | Disconnect
4 | Warning | Warning
5 | PingCreditCheckWithRevalidation | Ping credit check model with revalidation. Each subsequent order, quote request or quote submission by the Credit. User must obtain pre-approval. Any open orders, quote requests or quotes are to be cancelled.
6 | PingCreditCheckNoRevalidation | Ping credit check model without revalidation. Each subsequent order, quote request or quote submission by the Credit. User must obtain pre-approval. Any open orders, quote requests or quotes will remain active.
7 | PushCreditCheckWithRevalidation | Push credit check model with revalidation. Each subsequent order, quote request or quote subnmission by the Credit. User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes are. to be cancelled.
8 | PushCreditCheckNoRevalidation | Push credit check model without revalidation. Each subsequent order, quote request or quote subnmission by the Credit. User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes will. remain active.
9 | Suspend | Suspend. Suspend the Credit User from trading once limit(s) is breached. This is. considered a "soft" stop.
10 | HaltTrading | Halt trading. Halt or stop the Credit User from trading once limit(s) is breached. This is considered a "hard" stop and may require more involved actions to reinstate the Credit User's ability. to trade.

Used in groups: RiskLimitTypesGrp

RiskLimitAmount

Specifies the risk limit amount.

Type: Amt

Used in groups: RiskLimitTypesGrp

RiskLimitApprovedAmount

The credit/risk limit amount approved.

Type: Amt

Used in messages: PartyRiskLimitCheckRequestAck

RiskLimitCheckAmount

Specifies the amount being requested for approval.

Type: Amt

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitCheckID

The unique and static identifier, at the business entity level, of a risk limit check request.

Type: String

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitCheckModelType

Specifies the type of credit limit check model workflow to apply for the specified party

Type: int

Allowed values in RiskLimitCheckModelTypeCodeSet:

Code | Name | Description
0 | None | None (default if not specified). No specified limit check model is defined. Limit checks for the party will be based on parameters defined.
1 | PlusOneModel | PlusOne model. A pre-trade credit limit check model which allows trades to occur until it is determined by the clearinghouse or other designated limit checker that the party's limit(s) was breached by the most recent trade executed.
2 | PingModel | Ping model. A pre-trade credit limit check model which requires the execution venue to obtain limit approval from the Credit Provider for every transaction about to be conducted by the Credit User.
3 | PushModel | Push model. A pre-trade credit limit check model in which the Credit Provider "pushes" to the execution venue the credit limit information allocated to each of the Credit Provider's counterparty or customer.

Used in groups: PartyRiskLimitsAckGrp, PartyRiskLimitsGrp, PartyRiskLimitsUpdateGrp

RiskLimitCheckRequestID

The unique identifier of the PartyRiskLimitCheckRequest(35=DF) message.

Type: String

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitCheckRequestRefID

Specifies the message reference identifier of the risk limit check request message.

Type: int

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitCheckRequestResult

Result of the credit limit check request.

Type: int

Allowed values in RiskLimitCheckRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party
2 | ReqExceedsCreditLimit | Requested amount exceeds credit limit
3 | ReqExceedsClipSizeLimit | Requested amount exceeds clip size limit
4 | ReqExceedsMaxNotional | Request exceeds maximum notional order amount
99 | Other | Other

Used in messages: PartyRiskLimitCheckRequestAck

RiskLimitCheckRequestStatus

Indicates the status of the risk limit check request.

Type: int

Allowed values in RiskLimitCheckRequestStatusCodeSet:

Code | Name | Description
0 | Approved | Approved. Request has been accepted and processed. The credit amount requested has been reserved for the transaction.
1 | PartiallyApproved | Partially approved. Only a partial amount of the credit amount requested has been approved and has been reserved for the transaction.
2 | Rejected | Rejected
3 | ApprovalPending | Approval pending
4 | Cancelled | Cancelled

Used in messages: PartyRiskLimitCheckRequestAck

RiskLimitCheckRequestType

Specifies the type of limit amount check being requested.

Type: int

Allowed values in RiskLimitCheckRequestTypeCodeSet:

Code | Name | Description
0 | AllOrNone | All or none (default if not specified). The limit check request is for the full amount requested or none at all. Request can only be responded to with a full approval of the amount requested or a rejection of the request.
1 | Partial | Partial. The requester will accept a partial approval of the requested credit limit amount.

Used in messages: PartyRiskLimitCheckRequest

RiskLimitCheckStatus

Indicates the status of the risk limit check performed on a trade.

Type: int

Allowed values in RiskLimitCheckStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted. For use when none of the more specific status enumerations apply.
1 | Rejected | Rejected. For use when none of the more specific status enumerations apply.
2 | ClaimRequired | Claim required. Indicates that the clearing firm is required to accept or decline the trade.
3 | PreDefinedLimitCheckSucceeded | Pre-defined limit check succeeded. Indicates a check enforced automatically by the clearing house.
4 | PreDefinedLimitCheckFailed | Pre-defined limit check failed. Indicates a check enforced automatically by the clearing house.
5 | PreDefinedAutoAcceptRuleInvoked | Pre-defined auto-accept rule invoked. Indicates that the clearing firm is required to accept or decline the trade because no limit or rule applies.
6 | PreDefinedAutoRejectRuleInvoked | Pre-defined auto-reject rule invoked. Indicates a check enforced automatically by the clearing house. Note that clearing house rules of engagement may still require a clearing firm accept or reject the trade.
7 | AcceptedByClearingFirm | Accepted by clearing firm. Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for accepting the trade.
8 | RejectedByClearingFirm | Rejected by clearing firm. Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for rejecting the trade.
9 | Pending | Pending. Indicates that one or more side level risk checks are in progress.
10 | AcceptedByCreditHub | Accepted by credit hub. Indicates that a credit hub accepted the trade. An identifier assigned by the credit hub may appear in the appropriate RefRiskLimitCheckID(2334) field.
11 | RejectedByCreditHub | Rejected by credit hub. Indicates that a credit hub rejected the trade.
12 | PendingCreditHubCheck | Pending credit hub check. Indicates that a check is pending at a credit hub.
13 | AcceptedByExecVenue | Accepted by execution venue. Indicates acceptance by an execution venue, such as a SEF.
14 | RejectedByExecVenue | Rejected by execution venue. Indicates that the trade was rejected by an execution venue, such as a SEF.

Used in messages: AllocationInstruction, AllocationReport, TradeCaptureReport, TradeCaptureReportAck

RiskLimitCheckTransType

Specifies the transaction type of the risk limit check request.

Type: int

Allowed values in RiskLimitCheckTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel
2 | Replace | Replace

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitCheckType

Specifies the type of limit check message.

Type: int

Allowed values in RiskLimitCheckTypeCodeSet:

Code | Name | Description
0 | Submit | Submit. Indicates a submission for a limit check. The RiskLimitCheckTransType(2320) indicates whether the submission is a new request, a cancel or replace/amend of a prior submission.
1 | LimitConsumed | Limit consumed. Indicates that the limit reserved by a prior request has been used or consumed by a transaction that occurred.

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitCurrency

Used to specify the currency of the risk limit amount.

Type: Currency

Used in groups: RiskLimitTypesGrp

RiskLimitCurrencyCodeSource

Identifies class or source of the RiskLimitCurrency(1532) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: RiskLimitTypesGrp

RiskLimitID

Unique reference identifier for a specific risk limit defined for the specified party.

Type: String

Used in groups: PartyRiskLimitsAckGrp, PartyRiskLimitsGrp, PartyRiskLimitsUpdateGrp

Used in messages: PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck

RiskLimitPlatform

The area to which risk limit is applicable. This can be a trading platform or an offering.

Type: String

Used in groups: RiskLimitTypesGrp

Used in messages: PartyRiskLimitsRequest

RiskLimitReportID

Identifier for the PartyRiskLimitsReport

Type: String

Used in messages: PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsUpdateReport

RiskLimitReportRejectReason

The reason for rejecting the PartyRiskLimitsReport(35=CM) or PartyRiskLimitsUpdateReport(35=CR).

Type: int

Allowed values in RiskLimitReportRejectReasonCodeSet:

Code | Name | Description
0 | UnkRiskLmtRprtID | Unknown RiskLimitReportID(1667)
1 | UnkPty | Unknown party
99 | Other | Other

Used in messages: PartyRiskLimitsReportAck

RiskLimitReportStatus

Status of risk limit report.

Type: int

Allowed values in RiskLimitReportStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | Rejected | Rejected

Used in messages: PartyRiskLimitsReportAck

RiskLimitRequestID

Unique identifier for the PartyRiskLimitsRequest

Type: String

Used in messages: PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport

RiskLimitRequestResult

Result of risk limit definition request.

Type: int

Allowed values in RiskLimitRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party(-ies)
2 | InvalidRelatedParty | Invalid related party(-ies)
3 | InvalidRiskLimitType | Invalid risk limit type(s)
4 | InvalidRiskLimitID | Invalid risk limit ID(s)
5 | InvalidRiskLimitAmount | Invalid risk limit amount(s)
6 | InvalidRiskWarningLevelAction | Invalid risk/warning level action(s)
7 | InvalidRiskInstrumentScope | Invalid risk instrument scope(s)
8 | RiskLimitActionsNotSupported | Risk limit actions not supported
9 | WarningLevelsNotSupported | Warning levels not supported
10 | WarningLevelActionsNotSupported | Warning level actions not supported
11 | RiskInstrumentScopeNotSupported | Risk instrument scope not supported
12 | RiskLimitNotApprovedForParty | Risk limit not approved for party(-ies)
13 | RiskLimitAlreadyDefinedForParty | Risk limit already defined for party(-ies)
14 | InstrumentNotApprovedForParty | Instrument not approved for party(-ies)
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in messages: PartyRiskLimitsDefinitionRequestAck

RiskLimitRequestStatus

Status of risk limit definition request.

Type: int

Allowed values in PartyDetailRequestStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithChanges | Accepted with changes
2 | Rejected | Rejected
3 | AcceptancePending | Acceptance pending

Used in messages: PartyRiskLimitsDefinitionRequestAck

RiskLimitRequestType

Type of risk limit information.

Type: int

Allowed values in RiskLimitRequestTypeCodeSet:

Code | Name | Description
1 | Definitions | Definitions(Default)
2 | Utilization | Utilization
3 | DefinitionsAndUtilizations | Definitions and utilization

Used in messages: PartyRiskLimitsReport, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport

RiskLimitResult

Result of risk limit definition for one party.

Type: int

Allowed values in RiskLimitRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidParty | Invalid party(-ies)
2 | InvalidRelatedParty | Invalid related party(-ies)
3 | InvalidRiskLimitType | Invalid risk limit type(s)
4 | InvalidRiskLimitID | Invalid risk limit ID(s)
5 | InvalidRiskLimitAmount | Invalid risk limit amount(s)
6 | InvalidRiskWarningLevelAction | Invalid risk/warning level action(s)
7 | InvalidRiskInstrumentScope | Invalid risk instrument scope(s)
8 | RiskLimitActionsNotSupported | Risk limit actions not supported
9 | WarningLevelsNotSupported | Warning levels not supported
10 | WarningLevelActionsNotSupported | Warning level actions not supported
11 | RiskInstrumentScopeNotSupported | Risk instrument scope not supported
12 | RiskLimitNotApprovedForParty | Risk limit not approved for party(-ies)
13 | RiskLimitAlreadyDefinedForParty | Risk limit already defined for party(-ies)
14 | InstrumentNotApprovedForParty | Instrument not approved for party(-ies)
98 | NotAuthorized | Not authorized
99 | Other | Other

Used in groups: PartyRiskLimitsAckGrp

RiskLimitsGrp

Repeating group of risk limits.

Name | Mult. | Type | Description
NoRiskLimits | [1..1] | NumInGroup |
RiskLimitTypesGrp | [0..*] | Group | Required if NoRiskLimits(1669) > 0.
RiskInstrumentScopeGrp | [0..*] | Group |

Used in groups: PartyRiskLimitsAckGrp, PartyRiskLimitsGrp, PartyRiskLimitsUpdateGrp

RiskLimitStatus

Status of risk limit definition for one party.

Type: int

Allowed values in PartyDetailDefinitionStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | AcceptedWithChanges | Accepted with changes
2 | Rejected | Rejected

Used in groups: PartyRiskLimitsAckGrp

RiskLimitType

Used to specify the type of risk limit amount or position limit quantity or margin requirement amounts.

Type: int

Allowed values in RiskLimitTypeCodeSet:

Code
Name
Description

0
CreditLimit
Credit limit. The credit limit provided by one party to another for trading.

1
GrossLimit
Gross limit

2
NetLimit
Net limit

3
Exposure
Exposure

4
LongLimit
Long limit

5
ShortLimit
Short limit

6
CashMargin
Cash margin

7
AdditionalMargin
Additional margin

8
TotalMargin
Total margin

9
LimitConsumed
Limit consumed. The limit used in the recent transaction.

10
ClipSize
Clip size/notional limit per time period. The total notional amount limit allowed to be executed within a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).

11
MaxNotionalOrderSize
Maximum notional order size

12
DV01PV01Limit
DV01/PV01 limit. The maximum dollar value change resulting from a move of 1 basis point in the yield curve. This limits the interest rate risk exposure. Also known as "basis point value" or BPV.

13
CS01Limit
CS01 limit. Credit spread sensitivity. Represents the change in market value of a CDS for a one basis point change in the credit spread. This limits the credit risk exposure of a CDS. Also known as "risky-DV01".

14
VolumeLimitPerTimePeriod
Volume limit per time period. The total number of shares, bonds or contracts allowed to be executed within a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).

15
VolFilledPctOrdVolTmPeriod
Volume filled as percent of ordered volume per time period. The total number of shares, bonds or contracts executed as a percentage of the total ordered shares, contracts or notional amount for a specified security, instrument, symbol, or underlying, over a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).

16
NotlFilledPctNotlTmPeriod
Notional filled as percent of notional per time period. The total notional amount executed as a percentage of the total ordered shares, contracts or notional amount for a specified security, instrument, symbol, or underlying, over a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).

17
TransactionExecutionLimitPerTimePeriod
Transaction/execution limit per time period. The total number of transactions or execution fills allowed within a defined period of time or velocity. The defined period of time may be specified by the RiskLimitVelocityPeriod(2336) and RiskLimitVelocityUnit(2337).

Used in groups: RequestedRiskLimitTypesGrp, RiskLimitTypesGrp

RiskLimitTypesGrp

Repeating group of risk limit types and values.

Name | Mult. | Type | Description
NoRiskLimitTypes | [1..1] | NumInGroup |
RiskLimitType | [0..1] | CodeSet | Required if NoRiskLimitTypes(1529) > 0.
RiskLimitAmount | [0..1] | Amt |
RiskLimitAction | [0..1] | CodeSet |
RiskLimitUtilizationAmount | [0..1] | Amt | Not applicable in a request.
RiskLimitUtilizationPercent | [0..1] | Percentage | Not applicable in a request.
RiskLimitCurrency | [0..1] | Currency |
RiskLimitCurrencyCodeSource | [0..1] | CodeSet |
RiskLimitPlatform | [0..1] | String |
RiskLimitVelocityPeriod | [0..1] | int | Conditionally required when RiskLimitType(1530) = 10 (Clip size)
RiskLimitVelocityUnit | [0..1] | CodeSet |
RiskWarningLevelGrp | [0..*] | Group |

Used in groups: RiskLimitsGrp

RiskLimitUtilizationAmount

Absolute amount of utilization of a party's set risk limit.

Type: Amt

Used in groups: RiskLimitTypesGrp

RiskLimitUtilizationPercent

Percentage of utilization of a party's set risk limit.

Type: Percentage

Used in groups: RiskLimitTypesGrp

RiskLimitVelocityPeriod

The time interval for which the clip size limit applies. The velocity time unit is expressed in RiskLimitVelocityUnit(2337).

Type: int

Used in groups: RiskLimitTypesGrp

RiskLimitVelocityUnit

Unit of time in which RiskLimitVelocityPeriod(2336) is expressed.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in groups: RiskLimitTypesGrp

RiskMetricsSecurityGroup

Describes a group of related instruments for which risk metrics are provided.

Type: String

Used in messages: SecurityRiskMetricsReport

RiskMetricsSecuritySubGroup

Describes a sub-group of a group identified by RiskMetricsSecurityGroup(2989).

Type: String

Used in messages: SecurityRiskMetricsReport

RiskWarningLevelAction

Action to take should warning level be exceeded.

Type: int

Allowed values in RiskLimitActionCodeSet:

Code | Name | Description
0 | QueueInbound | Queue inbound
1 | QueueOutbound | Queue outbound
2 | Reject | Reject
3 | Disconnect | Disconnect
4 | Warning | Warning
5 | PingCreditCheckWithRevalidation | Ping credit check model with revalidation. Each subsequent order, quote request or quote submission by the Credit. User must obtain pre-approval. Any open orders, quote requests or quotes are to be cancelled.
6 | PingCreditCheckNoRevalidation | Ping credit check model without revalidation. Each subsequent order, quote request or quote submission by the Credit. User must obtain pre-approval. Any open orders, quote requests or quotes will remain active.
7 | PushCreditCheckWithRevalidation | Push credit check model with revalidation. Each subsequent order, quote request or quote subnmission by the Credit. User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes are. to be cancelled.
8 | PushCreditCheckNoRevalidation | Push credit check model without revalidation. Each subsequent order, quote request or quote subnmission by the Credit. User must be checked against the limit amounts pushed to the trading platform. Any open orders, quote requests or quotes will. remain active.
9 | Suspend | Suspend. Suspend the Credit User from trading once limit(s) is breached. This is. considered a "soft" stop.
10 | HaltTrading | Halt trading. Halt or stop the Credit User from trading once limit(s) is breached. This is considered a "hard" stop and may require more involved actions to reinstate the Credit User's ability. to trade.

Used in groups: RiskWarningLevelGrp

RiskWarningLevelAmount

Amount at which a warning is issued.

Type: int

Used in groups: RiskWarningLevelGrp

RiskWarningLevelGrp

Risk warning levels.

Name | Mult. | Type | Description
NoRiskWarningLevels | [1..1] | NumInGroup |
RiskWarningLevelAction | [0..1] | CodeSet | Required if NoRiskWarningLevels(1559) > 0.
RiskWarningLevelPercent | [0..1] | Percentage | Conditionally required when RiskWarningLevelAmount(1768) is not provided.
RiskWarningLevelAmount | [0..1] | int | Conditionally required when RiskWarningLevelPercent(1560) is not provided.
RiskWarningLevelName | [0..1] | String |

Used in groups: RiskLimitTypesGrp

RiskWarningLevelName

Name or error message associated with the risk warning level.

Type: String

Used in groups: RiskWarningLevelGrp

RiskWarningLevelPercent

Percent of risk limit at which a warning is issued.

Type: Percentage

Used in groups: RiskWarningLevelGrp

RndPx

Specifies average price rounded to quoted precision.

Type: Price

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, TradeCaptureReport, TradeCaptureReportAck

RootParties

The RootParties component block is a version of the Parties component block used to provide root information regarding the owning and entering parties of a transaction.

Name | Mult. | Type | Description
NoRootPartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of RootPartyID, RootPartyIDSource, and RootPartyRole
RootPartyID | [0..1] | String | Required if NoRootPartyIDs(1116) > 0. Identification of the party.
RootPartyIDSource | [0..1] | CodeSet | Required if NoRootPartyIDs(1116) > 0. Used to identify class source of the RootPartyID(1117) value (e.g. BIC).
RootPartyRole | [0..1] | CodeSet | Required if NoRootPartyIDs(1116) > 0. Identifies the role of the RootPartyID(1117) (e.g. Executing Broker).
RootPartyRoleQualifier | [0..1] | CodeSet |
RootSubParties | [0..*] | Group | Repeating group of RootParty sub-identifiers.

Used in messages: CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, NewOrderCross, NewOrderList, QuoteRequest, QuoteRequestReject, TradeCaptureReport, TradeCaptureReportAck

RootPartyID

PartyID value within a root parties component. Same values as PartyID (448)

Type: String

Used in groups: RootParties

RootPartyIDSource

PartyIDSource value within a root parties component. Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: RootParties

RootPartyRole

PartyRole value within a root parties component. Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: RootParties

RootPartyRoleQualifier

Used to further qualify the value of RootPartyRole(1119).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: RootParties

RootPartySubID

PartySubID value within a root parties component. Same values as PartySubID (523)

Type: String

Used in groups: RootSubParties

RootPartySubIDType

Type of RootPartySubID (1121) value. Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: RootSubParties

RootSubParties

Name | Mult. | Type | Description
NoRootPartySubIDs | [1..1] | NumInGroup | Repeating group of RootParty sub-identifiers.
RootPartySubID | [0..1] | String | Sub-identifier (e.g. Clearing Acct for PartyID=Clearing Firm) if applicable. Required if. NoRootPartySubIDs > 0.
RootPartySubIDType | [0..1] | CodeSet | Type of Sub-identifier. Required if NoRootPartySubIDs > 0.

Used in groups: RootParties

RoundingDirection

Specifies which direction to round For CIV - indicates whether or not the quantity of shares/units is to be rounded and in which direction where CashOrdQty (152) or (for CIV only) OrderPercent (516) are specified on an order.

The default is for rounding to be at the discretion of the executing broker or fund manager.

e.g. for an order specifying CashOrdQty or OrderPercent if the calculated number of shares/units was 325.76 and RoundingModulus (469) was 0 - "round down" would give 320 units, 1 - "round up" would give 330 units and "round to nearest" would give 320 units.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: OrderQtyData

RoundingModulus

For CIV - a float value indicating the value to which rounding is required.

i.e. 0 means round to a multiple of 0 units/shares; 0.5 means round to a multiple of 0.5 units/shares.

The default, if RoundingDirection (468) is specified without RoundingModulus, is to round to a whole unit/share.

Type: float

Used in components: OrderQtyData

RoundLot

The trading lot size of a security

Type: Qty

Used in components: BaseTradingRules

RoutingArrangementIndicator

Indicates whether a routing arrangement is in place, e.g. between two brokers. May be used together with OrderOrigination(1724) to further describe the origin of an order.

Type: int

Allowed values in RoutingArrangementIndicatorCodeSet:

Code | Name | Description
0 | NoRoutingArrangementInPlace | No routing arrangement in place
1 | RoutingArrangementInPlace | Routing arrangement in place

Used in groups: SideCrossOrdModGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

RoutingGrp

The RoutingGrp is used to allow the application message sender to instruct the intermediary distributing the message who to further send the application message to. The original sender may also instruct who is not allowed to receive the message. When provided, the routing instructions provided in this component are effective on a message by message basis.

Name | Mult. | Type | Description
NoRoutingIDs | [1..1] | NumInGroup |
RoutingType | [0..1] | CodeSet | Indicates type of RoutingID. Required if NoRoutingIDs is > 0.
RoutingID | [0..1] | String | Identifies routing destination. Required if NoRoutingIDs is > 0.

Used in messages: Advertisement, Email, IOI, MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh, News, Quote

RoutingID

Assigned value used to identify a specific routing destination.

Type: String

Used in groups: RoutingGrp

RoutingType

Indicates the type of RoutingID (217) specified.

Type: int

Allowed values in RoutingTypeCodeSet:

Code | Name | Description
1 | TargetFirm | Target Firm
2 | TargetList | Target List
3 | BlockFirm | Block Firm
4 | BlockList | Block List
5 | TargetPerson | Target Person
6 | BlockPerson | Block Person

Used in groups: RoutingGrp

RptSeq

Sequence number of message within report series. Used to carry reporting sequence number of the fill as represented on the Trade Report Side.

Type: int

Used in groups: MDFullGrp, MDIncGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: ListStatus

RptSys

Indicates the system or medium on which the report has been published

Type: String

Used in messages: TradeCaptureReportAck

Scope

Specifies the market scope of the market data.

Type: MultipleCharValue

Allowed values in ScopeCodeSet:

Code | Name | Description
1 | LocalMarket | Local Market (Exchange, ECN, ATS)
2 | National | National
3 | Global | Global

Used in groups: MDFullGrp, MDIncGrp

Used in messages: MarketDataRequest

SecAltIDGrp

Name | Mult. | Type | Description
NoSecurityAltID | [1..1] | NumInGroup |
SecurityAltID | [0..1] | String |
SecurityAltIDSource | [0..1] | CodeSet |
SymbolPositionNumber | [0..1] | int |

Used in components: Instrument

SecListGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Specifies the number of repeating symbols (instruments) specified
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". of the requested Security
InstrumentExtension | [0..1] | Component | Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages"
SecurityClassificationGrp | [0..*] | Group | Used to specify forms of product classifications
FinancingDetails | [0..1] | Component | Insert here the set of "FinancingDetails" fields defined in "Common Components of Application Messages"
SecurityTradingRules | [0..1] | Component | Used to provide listing rules
StrikeRules | [0..*] | Group | Used to provide listing rules
UndInstrmtGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Stipulations | [0..*] | Group | Insert here the set of "Stipulations" fields defined in "Common Components of Application Messages"
InstrmtLegSecListGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of "SpreadOrBenchmarkCurveData" fields defined in "Common Components of Application Messages"
YieldData | [0..1] | Component | Insert here the set of "YieldData" fields defined in "Common Components of Application Messages"
PriceMovementGrp | [0..*] | Group |
RelSymTransactTime | [0..1] | UTCTimestamp |
NumOfSimpleInstruments | [0..1] | int | Number of simple instruments.
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: SecurityList

SecLstUpdRelSymGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Specifies the number of repeating symbols (instruments) specified
ListUpdateAction | [0..1] | CodeSet |
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "common components of application messages" of the requested Security
InstrumentExtension | [0..1] | Component | Insert here the set of " InstrumentExtension " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
FinancingDetails | [0..1] | Component | Insert here the set of " FinancingDetails " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
SecurityTradingRules | [0..1] | Component |
StrikeRules | [0..*] | Group |
UndInstrmtGrp | [0..*] | Group |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
Stipulations | [0..*] | Group |
SecLstUpdRelSymsLegGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
SpreadOrBenchmarkCurveData | [0..1] | Component | Insert here the set of " SpreadOrBenchmarkCurveData " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
YieldData | [0..1] | Component | Insert here the set of " YieldData " fields defined in " COMMON COMPONENTS OF APPLICATION MESSAGES "
RelSymTransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: SecurityListUpdateReport

SecLstUpdRelSymsLegGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup | Number of legs that make up the Security
InstrumentLeg | [0..1] | Component | Insert here the set of "Instrument Legs" (leg symbology) fields defined in "common components of application messages" Required if NoLegs > 0
LegSwapType | [0..1] | CodeSet |
LegSettlType | [0..1] | CodeSet |
LegStipulations | [0..*] | Group | Insert here the set of "LegStipulations" (leg symbology) fields defined in "common components of application messages" Required if NoLegs > 0
LegBenchmarkCurveData | [0..1] | Component | Insert here the set of "LegBenchmarkCurveData" (leg symbology) fields defined in "common components of application messages" Required if NoLegs > 0

Used in groups: SecLstUpdRelSymGrp

SecMassStatGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup | Number of exceptions with a trading status different from SecurityMassTradingStatus (1679).
Instrument | [0..1] | Component | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages". Conditionally required if NoRelatedSym > 0.
InstrumentExtension | [0..1] | Component | Insert here the set of "InstrumentExtension" fields defined in "Common Components of Application Messages".
FinancingDetails | [0..1] | Component |
UndInstrmtGrp | [0..*] | Group |
InstrmtLegGrp | [0..*] | Group |
RelatedInstrumentGrp | [0..*] | Group |
SecurityTradingStatus | [0..1] | CodeSet | Conditionally required if NoRelatedSym > 0.
SecurityTradingEvent | [0..1] | CodeSet |
HaltReason | [0..1] | CodeSet |
FinancialStatus | [0..1] | CodeSet |
CorporateAction | [0..1] | CodeSet |
Text | [0..1] | String | Comment, instructions, or other identifying information.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: SecurityMassStatus

SecondaryAllocID

Secondary allocation identifier. Unlike the AllocID (70), this can be shared across a number of allocation instruction or allocation report messages, thereby making it possible to pass an identifier for an original allocation message on multiple messages (e.g. from one party to a second to a third, across cancel and replace messages etc.).

Type: String

Used in components: SettlTradeDetails

Used in messages: AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, Confirmation, ConfirmationRequest

SecondaryAssetClass

The broad asset category for assessing risk exposure for a multi-asset trade.

Type: int

Allowed values in AssetClassCodeSet:

Code | Name | Description
1 | InterestRate | Interest rate
2 | Currency | Currency
3 | Credit | Credit
4 | Equity | Equity
5 | Commodity | Commodity
6 | Other | Other
7 | Cash | Cash
8 | Debt | Debt
9 | Fund | Fund. Such as mutual fund, collective investment vehicle, investment program, specialized account program.
10 | LoanFacility | Loan facility
11 | Index | Index. A main index identified as a security type, for example under EU SFTR reporting.

Used in groups: SecondaryAssetGrp

SecondaryAssetGrp

SecondaryAssetGrp is a repeating subcomponent of the Instrument component used to specify secondary assets of a multi-asset swap.

Name | Mult. | Type | Description
NoSecondaryAssetClasses | [1..1] | NumInGroup |
SecondaryAssetClass | [0..1] | CodeSet | Required if NoSecondaryAssetClasses(1976) > 0.
SecondaryAssetSubClass | [0..1] | CodeSet | Required if SecondaryAssetType(1979) is specified.
SecondaryAssetType | [0..1] | String | Required if SecondaryAssetSubType(2741) is specified.
SecondaryAssetSubType | [0..1] | String |

Used in components: Instrument

SecondaryAssetSubClass

An indication of the general description of the asset class.

Type: int

Allowed values in AssetSubClassCodeSet:

Code
Name
Description

1
SingleCurrency
Single currency

2
CrossCurrency
Cross currency

3
Basket
Basket [for multi-currency]

4
SingleName
Single name

5
CreditIndex
Credit index

6
IndexTranche
Index tranche

7
CreditBasket
Credit basket

8
Exotic
Exotic

9
Common
Common

10
Preferred
Preferred

11
EquityIndex
Equity index

12
EquityBasket
Equity basket

13
Metals
Metals

14
Bullion
Bullion

15
Energy
Energy

16
CommodityIndex
Commodity index

17
Agricultural
Agricultural

18
Environmental
Environmental

19
Freight
Freight

20
Government
Government

21
Agency
Agency

22
Corporate
Corporate

23
Financing
Financing

24
MoneyMarket
Money market

25
Mortgage
Mortgage

26
Municipal
Municipal

27
MutualFund
Mutual fund

28
CollectiveInvestmentVehicle
Collective investment vehicle

29
InvestmentProgram
Investment program. A generalized fund for major investors.

30
SpecializedAccountProgram
Specialized account program. A specialized fund setup for a particular account or group of accounts.

31
TermLoan
Term loan

32
BridgeLoan
Bridge loan

33
LetterOfCredit
Letter of credit

34
DividendIndex
Dividend index

35
StockDividend
Stock dividend

36
ExchangeTradedFund
Exchange traded fund

37
VolatilityIndex
Volatility index

38
FXCrossRates
FX cross rates

39
FXEmergingMarkets
FX emerging markets

40
FXMajors
FX Majors

41
Fertilizer
Fertilizer

42
IndustrialProduct
Industrial product

43
Inflation
Inflation

44
Paper
Paper

45
Polypropylene
Polypropylene

46
OfficialEconomicStatistics
Official economic statistics

47
OtherC10
Other C10. Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".

48
Other
Other. May be used with any AssetClass(1938) values.

Used in groups: SecondaryAssetGrp

SecondaryAssetSubType

Used to provide a more specific description of the asset specified in SecondaryAssetType(1979).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

Type: String

Used in groups: SecondaryAssetGrp

SecondaryAssetType

Used to provide more specific description of the asset specified in SecondaryAssetSubClass(1978).

See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed.

Other values may be used by mutual agreement of the counterparties.

Type: String

Used in groups: SecondaryAssetGrp

SecondaryClOrdID

Assigned by the party which originates the order. Can be used to provide the ClOrdID (11) used by an exchange or executing system.

Type: String

Used in components: TradeReportOrderDetail

Used in groups: InstrmtStrkPxGrp, ListOrdGrp, OrdAllocGrp, OrdListStatGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderStatusRequest

SecondaryDisplayQty

Used for reserve orders when DisplayQty applies to the primary execution market (e.g.an ECN) and another quantity is to be shown at other markets (e.g. the exchange). On orders specifies the qty to be displayed, on execution reports the currently displayed quantity.

Type: Qty

Used in components: DisplayInstruction

SecondaryExecID

Assigned by the party which accepts the order. Can be used to provide the ExecID (17) used by an exchange or executing system.

Type: String

Used in groups: ExecAllocGrp

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

SecondaryFirmTradeID

Used to carry an internal firm assigned ID which may or may not be reported to the exchange or central counterpary

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

SecondaryHighLimitPrice

Refer to definition of HighLimitPrice(1149)

Type: Price

Used in components: SecondaryPriceLimits

SecondaryIndividualAllocID

Will allow the intermediary to specify an allocation ID generated by their system.

Type: String

Used in groups: AllocAckGrp, AllocGrp, TrdAllocGrp

SecondaryLockedQty

Locked order quantity in addition to LockedQty (1808), e.g. to distinguish total locked quantity from currently locked quantity.

Type: Qty

Used in messages: ExecutionReport

SecondaryLowLimitPrice

Refer to definition of LowLimitPrice(1148)

Type: Price

Used in components: SecondaryPriceLimits

SecondaryOrderID

Assigned by the party which accepts the order. Can be used to provide the OrderID (37) used by an exchange or executing system.

Type: String

Used in components: TradeReportOrderDetail

Used in groups: MDFullGrp, MDIncGrp, OrdAllocGrp

Used in messages: CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, DontKnowTrade, ExecutionAck, ExecutionReport, OrderCancelReject, OrderMassCancelReport

SecondaryPriceLimits

Name | Mult. | Type | Description
SecondaryPriceLimitType | [0..1] | CodeSet |
SecondaryLowLimitPrice | [0..1] | Price |
SecondaryHighLimitPrice | [0..1] | Price |
SecondaryTradingReferencePrice | [0..1] | Price |

Used in groups: RelSymDerivSecGrp, RelSymDerivSecUpdGrp

SecondaryPriceLimitType

Describes the how the price limits are expressed

Type: int

Allowed values in PriceLimitTypeCodeSet:

Code | Name | Description
0 | Price | Price (default)
1 | Ticks | Ticks
2 | Percentage | Percentage

Used in components: SecondaryPriceLimits

SecondaryQuoteID

Assigned by the party which accepts the quote. Can be used to provide the quote identifier assigned by an exchange, marketplace or executing system.

Type: String

Used in groups: QuotReqGrp

Used in messages: Quote, QuoteAck, QuoteCancel, QuoteStatusReport

SecondaryServiceLocationID

Secondary or alternate service location identifier.

Type: String

Used in groups: MarketDataFeedTypes

SecondaryTradeID

Used to carry an internal trade entity ID which may or may not be reported to the firm

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

SecondaryTradeReportID

Secondary trade report identifier - can be used to associate an additional identifier with a trade.

Type: String

Used in groups: TrdCollGrp

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

SecondaryTradeReportRefID

Used to refer to a previous SecondaryTradeReportRefID when amending the transaction (cancel, replace, release, or reversal).

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

SecondaryTradingReferencePrice

Refer to definition for TradingReferencePrice(1150)

Type: Price

Used in components: SecondaryPriceLimits

SecondaryTrdType

Type of trade assigned to a trade. Used in addition to TrdType(828). Must not be used when only one trade type needs to be assigned.

Type: int

Allowed values in TrdTypeCodeSet:

Code
Name
Description

0
RegularTrade
Regular trade

1
BlockTrade
Block trade

2
EFP
Exchange for physical (EFP)

3
Transfer
Transfer

4
LateTrade
Late trade

5
TTrade
T trade

6
WeightedAveragePriceTrade
Weighted average price trade

7
BunchedTrade
Bunched trade

8
LateBunchedTrade
Late bunched trade

9
PriorReferencePriceTrade
Prior reference price trade

10
AfterHoursTrade
After hours trade

11
ExchangeForRisk
Exchange for risk (EFR)

12
ExchangeForSwap
Exchange for swap (EFS)

13
ExchangeOfFuturesFor
Exchange of futures for in market futures (EFM). For example full sized for mini.

14
ExchangeOfOptionsForOptions
Exchange of options for options (EOO)

15
TradingAtSettlement
Trading at settlement

16
AllOrNone
All or none

17
FuturesLargeOrderExecution
Futures large order execution

18
ExchangeOfFuturesForFutures
Exchange of futures for external market futures (EFF)

19
OptionInterimTrade
Option interim trade

20
OptionCabinetTrade
Option cabinet trade

22
PrivatelyNegotiatedTrades
Privately negotiated trade

23
SubstitutionOfFuturesForForwards
Substitution of futures for forwards

24
ErrorTrade
Error trade

25
SpecialCumDividend
Special cum dividend (CD)

26
SpecialExDividend
Special ex dividend (XD)

27
SpecialCumCoupon
Special cum coupon (CC)

28
SpecialExCoupon
Special ex coupon (XC)

29
CashSettlement
Cash settlement (CS)

30
SpecialPrice
Special price (SP). Usually net or all-in price.

31
GuaranteedDelivery
Guaranteed delivery (GD)

32
SpecialCumRights
Special cum rights (CR)

33
SpecialExRights
Special ex rights (XR)

34
SpecialCumCapitalRepayments
Special cum capital repayments (CP)

35
SpecialExCapitalRepayments
Special ex capital repayments (XP)

36
SpecialCumBonus
Special cum bonus (CB)

37
SpecialExBonus
Special ex bonus (XB)

38
LargeTrade
Block trade. The same as large trade.

39
WorkedPrincipalTrade
Worked principal trade

40
BlockTrades
Block trades

41
NameChange
Name change

42
PortfolioTransfer
Portfolio transfer

43
ProrogationBuy
Prorogation buy. Used by Euronext Paris only. Is used to defer settlement under French SRD (deferred settlement system). Trades must be reported as crosses at zero price.

44
ProrogationSell
Prorogation sell. See prorogation buy.

45
OptionExercise
Option exercise

46
DeltaNeutralTransaction
Delta neutral transaction

47
FinancingTransaction
Financing transaction

48
NonStandardSettlement
Non-standard settlement

49
DerivativeRelatedTransaction
Derivative related transaction

50
PortfolioTrade
Portfolio trade. Identifies a collection/basket of trades. In the context of bonds (e.g. corporate bonds) these are transacted as a single trade at an aggregate price for the entire portfolio and may be traded all-or-none or most-or-none depending on bilateral agreement. In the context of ESMA RTS 1 Article 2(b), may be used to refer to portfolio trades to distinguish between addressable and non-addressable volume. In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

51
VolumeWeightedAverageTrade
Volume weighted average trade

52
ExchangeGrantedTrade
Exchange granted trade

53
RepurchaseAgreement
Repurchase agreement

54
OTC
OTC. Trade executed off-market. In the context of CFTC regulatory reporting for swaps, it is a large notional off-facility swap. In the context of MiFID transparency reporting rules this is used to report, into an exchange, deals made outside exchange rules.

55
ExchangeBasisFacility
Exchange basis facility (EBF)

56
OpeningTrade
Opening trade. Identifies a trade that resulted from the opening of a market. In the context of IIROC, this indicates a trade that occurred at the opening or the first trade of the day for a security.

57
NettedTrade
Netted trade

58
BlockSwapTrade
Block swap trade. Block trade executed off-market or on a registered market. In the context of CFTC regulatory reporting for swaps, it is a swap executed according to SEF or DCM rules.

59
CreditEventTrade
Credit event trade

60
SuccessionEventTrade
Succession event trade

61
GiveUpGiveInTrade
Give-up Give-in trade

62
DarkTrade
Dark trade. In the context of Market Model Typology (MMT), a dark trade might also come from a lit/hybrid book (e.g. when an aggressive lit order hits a resting dark order). The use of this value applies to TrdType(828), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

63
TechnicalTrade
Technical trade

64
Benchmark
Benchmark. In the context of ESMA RTS 1 Article 2(a), may be used to refer to benchmark trades. In the context of Market Model Typology (MMT), the "benchmark" price depends on a benchmark which has no current price but was derived from a time series such as a VWAP. The use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

65
PackageTrade
Package trade. May be used to identify the pseudo-trade of a stream or collection of trades to be transacted, cleared and be reported as an atomic unit. In the context of MiFIR RTS 1, this is the "CONT" flag. In the context of MiFIR RTS 2 Article 1(1)(b), may be used to refer to package transactions (excluding exchange for physicals). In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

66
RollTrade
Roll trade. Trade is a roll from one contract that is about to expire to a new contract.

67
ClosingPriceTrade
Closing price trade. Identifies a trade that uses the closing price of a market without resulting from the closing of this market. In the context of FCA policy statement PS23/4, this indicates a benchmark transaction executed using the market closing price and is the "CLSE" flag.

68
InterFundTransferTrade
Inter-fund transfer trade. Administrative trade (non price-forming) related to the transfer of ownership between funds.

69
NetAssetValueCalculatedTrade
Net asset value calculated trade. Trade of a fund priced at the net asset value of its constituents. In the context of MiFIR RTS 1, this may be used for ETFs when the NAV price becomes available.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

SecSizesGrp

Name | Mult. | Type | Description
NoOfSecSizes | [1..1] | NumInGroup | Number of entries following. Conditionally required when MDUpdateAction = New(0) and MDEntryType = Bid(0) or Offer(1).
MDSecSizeType | [0..1] | CodeSet | Defines the type of secondary size specified in MDSecSize(1179). Must be first field in this repeating group
MDSecSize | [0..1] | Qty |

Used in groups: MDFullGrp, MDIncGrp

SecTypesGrp

Name | Mult. | Type | Description
NoSecurityTypes | [1..1] | NumInGroup |
SecurityType | [0..1] | CodeSet | Required if NoSecurityTypes > 0
SecuritySubType | [0..1] | String |
Product | [0..1] | CodeSet |
CFICode | [0..1] | String |
UPICode | [0..1] | String |
TransactTime | [0..1] | UTCTimestamp |

Used in messages: SecurityTypes

SecureData

Actual encrypted data stream

Type: data

Used in components: StandardHeader

SecureDataLen

Length of encrypted message

Type: Length

Used in components: StandardHeader

SecurityAltID

Alternate Security identifier value for this security of SecurityAltIDSource (456) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityAltIDSource.

Type: String

Used in groups: SecAltIDGrp

SecurityAltIDSource

Identifies class or source of the SecurityAltID(455) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: SecAltIDGrp

SecurityClassificationGrp

Name | Mult. | Type | Description
NoSecurityClassifications | [1..1] | NumInGroup |
SecurityClassificationReason | [0..1] | CodeSet | Conditionally required if NoSecurityClassifications > 0.
SecurityClassificationValue | [0..1] | String |

Used in components: DerivativeSecurityDefinition

Used in groups: SecListGrp

Used in messages: SecurityDefinition

SecurityClassificationReason

Allows classification of instruments according to a set of high level reasons. Classification reasons describe the classes in which the instrument participates.

Type: int

Allowed values in SecurityClassificationReasonCodeSet:

Code | Name | Description
0 | Fee | Fee
1 | CreditControls | Credit Controls
2 | Margin | Margin
3 | EntitlementOrEligibility | Entitlement / Eligibility
4 | MarketData | Market Data
5 | AccountSelection | Account Selection
6 | DeliveryProcess | Delivery Process
7 | Sector | Sector

Used in groups: SecurityClassificationGrp

SecurityClassificationValue

Specifies the product classification value which further details the manner in which the instrument participates in the class.

Type: String

Used in groups: SecurityClassificationGrp

SecurityDesc

Can be used by the venue or one of the trading parties to provide a non-normative textual description for the financial instrument.

Type: String

Used in components: Instrument

SecurityExchange

Market used to help identify a security.

Valid values:

See "Appendix 6-C"

Type: Exchange

Used in components: Instrument

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionListRequest, TradingSessionStatusRequest

SecurityGroup

An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

Type: String

Used in components: Instrument

SecurityID

Security identifier value of SecurityIDSource (22) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires SecurityIDSource.

Type: String

Used in components: Instrument

SecurityIDSource

Identifies class or source of the SecurityID(48) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: Instrument

SecurityListDesc

Specifies a description or name of a Security List.

Type: String

Used in messages: SecurityList, SecurityListUpdateReport

SecurityListID

Specifies an identifier for a Security List

Type: String

Used in messages: MarketDataStatisticsReport, MarketDataStatisticsRequest, SecurityList, SecurityListRequest, SecurityListUpdateReport, SecurityMassStatus, SecurityMassStatusRequest

SecurityListRefID

Specifies a reference from one Security List to another. Used to support a hierarchy of Security Lists.

Type: String

Used in messages: SecurityList, SecurityListUpdateReport

SecurityListRequestType

Identifies the type/criteria of Security List Request

Type: int

Allowed values in SecurityListRequestTypeCodeSet:

Code | Name | Description
0 | Symbol | Symbol
1 | SecurityTypeAnd | SecurityType and/or CFICode
2 | Product | Product
3 | TradingSessionID | TradingSessionID
4 | AllSecurities | All Securities
5 | MarketIDOrMarketID | MarketID or MarketID + MarketSegmentID

Used in messages: DerivativeSecurityListRequest, SecurityListRequest

SecurityListType

Specifies a type of Security List.

Type: int

Allowed values in SecurityListTypeCodeSet:

Code | Name | Description
1 | IndustryClassification | Industry Classification
2 | TradingList | Trading List
3 | Market | Market / Market Segment List
4 | NewspaperList | Newspaper List

Used in messages: SecurityList, SecurityListRequest, SecurityListUpdateReport

SecurityListTypeSource

Specifies a specific source for a SecurityListType. Relevant when a certain type can be provided from various sources.

Type: int

Allowed values in SecurityListTypeSourceCodeSet:

Code | Name | Description
1 | ICB | ICB (Industry Classification Benchmark) published by Dow Jones and FTSE - www.icbenchmark.com
2 | NAICS | NAICS (North American Industry Classification System). Replaced SIC (Standard Industry Classification) www.census.gov/naics or www.naics.com.
3 | GICS | GICS (Global Industry Classification Standard) published by Standards & Poor

Used in messages: SecurityList, SecurityListRequest, SecurityListUpdateReport

SecurityMassTradingEvent

Identifies an event related to the mass trading status.

Type: int

Allowed values in SecurityTradingEventCodeSet:

Code | Name | Description
1 | OrderImbalance | Order imbalance, auction is extended
2 | TradingResumes | Trading resumes (after Halt)
3 | PriceVolatilityInterruption | Price Volatility Interruption
4 | ChangeOfTradingSession | Change of Trading Session
5 | ChangeOfTradingSubsession | Change of Trading Subsession
6 | ChangeOfSecurityTradingStatus | Change of Security Trading Status
7 | ChangeOfBookType | Change of Book Type
8 | ChangeOfMarketDepth | Change of Market Depth
9 | CorporateAction | Corporate action

Used in messages: SecurityMassStatus

SecurityMassTradingStatus

Identifies the trading status applicable to a group of instruments.

Type: int

Allowed values in SecurityTradingStatusCodeSet:

Code | Name | Description
1 | OpeningDelay | Opening delay
2 | TradingHalt | Trading halt
3 | Resume | Resume
4 | NoOpen | No Open / No Resume
5 | PriceIndication | Price indication
6 | TradingRangeIndication | Trading Range Indication
7 | MarketImbalanceBuy | Market Imbalance Buy
8 | MarketImbalanceSell | Market Imbalance Sell
9 | MarketOnCloseImbalanceBuy | Market on Close Imbalance Buy
10 | MarketOnCloseImbalanceSell | Market on Close Imbalance Sell
12 | NoMarketImbalance | No Market Imbalance
13 | NoMarketOnCloseImbalance | No Market on Close Imbalance
14 | ITSPreOpening | ITS Pre-opening
15 | NewPriceIndication | New Price Indication
16 | TradeDisseminationTime | Trade Dissemination Time
17 | ReadyToTrade | Ready to trade (start of session)
18 | NotAvailableForTrading | Not available for trading (end of session)
19 | NotTradedOnThisMarket | Not traded on this market
20 | UnknownOrInvalid | Unknown or Invalid
21 | PreOpen | Pre-open
22 | OpeningRotation | Opening Rotation
23 | FastMarket | Fast Market
24 | PreCross | Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
25 | Cross | Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
26 | PostClose | Post-close
27 | NoCancel | No-cancel

Used in messages: SecurityMassStatus

SecurityReferenceDataSupplement

May be used to generically assist in disambiguating an instrument where the security identifier and core reference data attributes are not sufficient to uniquely identify the instrument. The values used are bilaterally agreed.

Type: String

Used in components: Instrument

SecurityRejectReason

Identifies the reason a security definition request is being rejected.

Type: int

Allowed values in SecurityRejectReasonCodeSet:

Code | Name | Description
1 | InvalidInstrumentRequested | Invalid instrument requested
2 | InstrumentAlreadyExists | Instrument already exists
3 | RequestTypeNotSupported | Request type not supported
4 | SystemUnavailableForInstrumentCreation | System unavailable for instrument creation
5 | IneligibleInstrumentGroup | Ineligible instrument group
6 | InstrumentIDUnavailable | Instrument ID unavailable
7 | InvalidOrMissingDataOnOptionLeg | Invalid or missing data on option leg
8 | InvalidOrMissingDataOnFutureLeg | Invalid or missing data on future leg
10 | InvalidOrMissingDataOnFXLeg | Invalid or missing data on FX leg
11 | InvalidLegPriceSpecified | Invalid leg price specified
12 | InvalidInstrumentStructureSpecified | Invalid instrument structure specified

Used in messages: DerivativeSecurityList, SecurityDefinition, SecurityList

SecurityReportID

Identifies a Security List message.

Type: int

Used in messages: DerivativeSecurityList, SecurityDefinition, SecurityDefinitionUpdateReport, SecurityList, SecurityListUpdateReport

SecurityReqID

Unique ID of a Security Definition Request.

Type: String

Used in messages: DerivativeSecurityList, DerivativeSecurityListRequest, DerivativeSecurityListUpdateReport, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityList, SecurityListRequest, SecurityListUpdateReport, SecurityTypeRequest, SecurityTypes

SecurityRequestResult

The results returned to a Security Request message

Type: int

Allowed values in SecurityRequestResultCodeSet:

Code | Name | Description
0 | ValidRequest | Valid request
1 | InvalidOrUnsupportedRequest | Invalid or unsupported request
2 | NoInstrumentsFound | No instruments found that match selection criteria
3 | NotAuthorizedToRetrieveInstrumentData | Not authorized to retrieve instrument data
4 | InstrumentDataTemporarilyUnavailable | Instrument data temporarily unavailable
5 | RequestForInstrumentDataNotSupported | Request for instrument data not supported

Used in messages: DerivativeSecurityList, DerivativeSecurityListUpdateReport, SecurityDefinition, SecurityList, SecurityListUpdateReport

SecurityRequestType

Type of Security Definition Request.

Type: int

Allowed values in SecurityRequestTypeCodeSet:

Code | Name | Description
0 | RequestSecurityIdentityAndSpecifications | Request Security identity and specifications
1 | RequestSecurityIdentityForSpecifications | Request Security identity for the specifications provided (name of the security is not supplied)
2 | RequestListSecurityTypes | Request List Security Types
3 | RequestListSecurities | Request List Securities (can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange. If provided then only list Securities for the specific type.)
4 | Symbol | Symbol
5 | SecurityTypeAndOrCFICode | SecurityType and or CFICode
6 | Product | Product
7 | TradingSessionID | TradingSessionID
8 | AllSecurities | All Securities
9 | MarketIDOrMarketID | MarketID or MarketID + MarketSegmentID

Used in messages: SecurityDefinitionRequest

SecurityResponseID

Unique ID of a Security Definition message.

Type: String

Used in messages: DerivativeSecurityList, DerivativeSecurityListUpdateReport, SecurityDefinition, SecurityDefinitionUpdateReport, SecurityList, SecurityListUpdateReport, SecurityTypes

SecurityResponseType

Type of Security Definition message response.

Type: int

Allowed values in SecurityResponseTypeCodeSet:

Code | Name | Description
1 | AcceptAsIs | Accept security proposal as-is
2 | AcceptWithRevisions | Accept security proposal with revisions as indicated in the message
5 | RejectSecurityProposal | Reject security proposal
6 | CannotMatchSelectionCriteria | Cannot match selection criteria

Used in messages: SecurityDefinition, SecurityDefinitionUpdateReport, SecurityTypes

SecurityRiskMetricGrp

List of option securities on an underlying with related calculations (e.g. theoretical valuations, implied volatilities, and other hedge statistics).

Name | Mult. | Type | Description
NoSecurityRiskMetrics | [1..1] | NumInGroup |
Instrument | [0..1] | Component | Required when NoSecurityRiskMetrics(2995) > 0.
PriceDelta | [0..1] | float |
Gamma | [0..1] | float |
Rho | [0..1] | float |
Theta | [0..1] | float |
Vega | [0..1] | float |
Price | [0..1] | Price | May be used for the theoretical (e.g. option) price of the security.
BidPx | [0..1] | Price | May be used to specify the security's top of book bid price, if available, used in the metric calculation.
OfferPx | [0..1] | Price | May be used to specify the security's top of book offer price, if available, used in the metric calculation.
VolatilityTime | [0..1] | UTCTimestamp |
Volatility | [0..1] | float |
BidVolatility | [0..1] | float |
OfferVolatility | [0..1] | float |
MidVolatility | [0..1] | float |
RelativeValueGrp | [0..*] | Group | May be used for other types of valuation metrics or analytics.

Used in messages: SecurityRiskMetricsReport

SecurityRiskMetricsReportID

Unique identifier for the SecurityRiskMetricsReport(35=EG) message.

Type: String

Used in messages: SecurityRiskMetricsReport

SecurityStatus

Indicates the current state of the instrument.

Type: String

Allowed values in SecurityStatusCodeSet:

Code
Name
Description

1
Active
Active. Instrument is active, i.e. trading is possible.

2
Inactive
Inactive. Instrument has previously been active and is now no longer traded but has not expired yet. The instrument may become active again.

3
ActiveClosingOrdersOnly
Active, closing orders only. Instrument is active but only orders closing positions (reducing risk) are allowed.

4
Expired
Expired. Instrument has expired. E.g. An instrument may expire due to reaching maturity or expired based on contract definitions or exchange rules.

5
Delisted
Delisted. Instrument has been removed from securities reference data. Delisting rules varies from exchange to exchange, which may include non-compliance of capitalization, revenue, consecutive minimum closing price. The instrument may become listed again once the instrument is back in compliance. A delisted instrument would not trade on the exchange but it may still be traded over-the-counter (e.g. OTCBB) or on Pink Sheets, or other similar trading service.

6
KnockedOut
Knocked-out. Instrument has breached a pre-defined price threshold.

7
KnockOutRevoked
Knock-out revoked. Instrument reinstated, i.e. threshold has not been breached.

8
PendingExpiry
Pending Expiry. Instrument is currently still active but will expire after the current business day. For example, a contract that expires intra-day (e.g. at noon time) and is no longer tradeable but will still show up in the current day's order book with related statistics.

9
Suspended
Suspended. Instrument has been temporarily disabled for trading (i.e. halted).

10
Published
Published. Instrument information is provided prior to its first activation.

11
PendingDeletion
Pending Deletion. Instrument is awaiting deletion from security reference data.

Used in components: Instrument

SecurityStatusReqID

Unique ID of a Security Status Request or a Security Mass Status Request message.

Type: String

Used in messages: SecurityMassStatus, SecurityMassStatusRequest, SecurityStatus, SecurityStatusRequest

SecuritySubType

Sub-type qualification/identification of the SecurityType. As an example for SecurityType(167)="REPO", the SecuritySubType="General Collateral" can be used to further specify the type of REPO.

If SecuritySubType is used, then SecurityType is required.

For SecurityType="MLEG" a name of the option or futures strategy name can be specified, such as "Calendar", "Vertical", "Butterfly".

For SecurityType(167)="OPT" the subclassification can be specified, such as "Asian".

For SecurityType(167)="SWAPTION" a value of "Straddle" is used to identify a straddle swaption.

In the context of EU SFTR reporting use the appropriate 4-character code noted in the regulations - "GENE" for general collateral or "SPEC" for specific collateral (without quote marks).

Type: String

Used in components: Instrument

Used in groups: SecTypesGrp

Used in messages: DerivativeSecurityListRequest, SecurityTypeRequest

SecurityTradingEvent

Identifies an event related to a SecurityTradingStatus(326). An event occurs and is gone, it is not a state that applies for a period of time.

Type: int

Allowed values in SecurityTradingEventCodeSet:

Code | Name | Description
1 | OrderImbalance | Order imbalance, auction is extended
2 | TradingResumes | Trading resumes (after Halt)
3 | PriceVolatilityInterruption | Price Volatility Interruption
4 | ChangeOfTradingSession | Change of Trading Session
5 | ChangeOfTradingSubsession | Change of Trading Subsession
6 | ChangeOfSecurityTradingStatus | Change of Security Trading Status
7 | ChangeOfBookType | Change of Book Type
8 | ChangeOfMarketDepth | Change of Market Depth
9 | CorporateAction | Corporate action

Used in groups: SecMassStatGrp

Used in messages: SecurityStatus

SecurityTradingRules

Ths SecurityTradingRules component block is used as part of security definition to specify the specific security's standard trading parameters such as trading session eligibility and other attributes of the security.

Name | Mult. | Type | Description
BaseTradingRules | [0..1] | Component | This block contains the base trading rules
TradingSessionRulesGrp | [0..*] | Group | This block contains the trading rules specific to a trading session
NestedInstrumentAttribute | [0..*] | Group |

Used in groups: MarketSegmentGrp, SecListGrp, SecLstUpdRelSymGrp

SecurityTradingStatus

Identifies the trading status applicable to the transaction.

Type: int

Allowed values in SecurityTradingStatusCodeSet:

Code | Name | Description
1 | OpeningDelay | Opening delay
2 | TradingHalt | Trading halt
3 | Resume | Resume
4 | NoOpen | No Open / No Resume
5 | PriceIndication | Price indication
6 | TradingRangeIndication | Trading Range Indication
7 | MarketImbalanceBuy | Market Imbalance Buy
8 | MarketImbalanceSell | Market Imbalance Sell
9 | MarketOnCloseImbalanceBuy | Market on Close Imbalance Buy
10 | MarketOnCloseImbalanceSell | Market on Close Imbalance Sell
12 | NoMarketImbalance | No Market Imbalance
13 | NoMarketOnCloseImbalance | No Market on Close Imbalance
14 | ITSPreOpening | ITS Pre-opening
15 | NewPriceIndication | New Price Indication
16 | TradeDisseminationTime | Trade Dissemination Time
17 | ReadyToTrade | Ready to trade (start of session)
18 | NotAvailableForTrading | Not available for trading (end of session)
19 | NotTradedOnThisMarket | Not traded on this market
20 | UnknownOrInvalid | Unknown or Invalid
21 | PreOpen | Pre-open
22 | OpeningRotation | Opening Rotation
23 | FastMarket | Fast Market
24 | PreCross | Pre-Cross - system is in a pre-cross state allowing market to respond to either side of cross
25 | Cross | Cross - system has crossed a percentage of the orders and allows market to respond prior to crossing remaining portion
26 | PostClose | Post-close
27 | NoCancel | No-cancel

Used in groups: MDFullGrp, MDIncGrp, SecMassStatGrp

Used in messages: SecurityStatus

SecurityType

Indicates type of security. Security type enumerations are grouped by Product(460) field value. NOTE: Additional values may be used by mutual agreement of the counterparties.

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
ABS | AssetBackedSecurities | Asset-backed Securities
AN | OtherAnticipationNotes | Other Anticipation Notes (BAN, GAN, etc.)
BA | BankersAcceptance | Bankers Acceptance
BRADY | BradyBond | Brady Bond
CORP | CorporateBond | Corporate Bond
CS | CommonStock | Common Stock
EUSUPRA | EuroSupranationalCoupons | Euro Supranational Coupons. Identify the issuer name in Issuer(106).
FOR | ForeignExchangeContract | Foreign Exchange Contract
MF | MutualFund | Mutual Fund
REPO | Repurchase | Repurchase
TERM | TermLoan | Term Loan
BDN | BankDepositoryNote | Bank Depository Note
CAN | CanadianTreasuryNotes | Canadian Treasury Notes
CAP | Cap | Cap. In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
CMB | CanadianMortgageBonds | Canadian Mortgage Bonds
COFO | CertificateOfObligation | Certificate Of Obligation
CPP | CorporatePrivatePlacement | Corporate Private Placement
FAC | FederalAgencyCoupon | Federal Agency Coupon
FORWARD | Forward | Forward
FXNDF | NonDeliverableForward | Non-deliverable forward
MLEG | MultilegInstrument | Multileg Instrument
PS | PreferredStock | Preferred Stock
RVLV | RevolverLoan | Revolver Loan
BN | BankNotes | Bank Notes
BUYSELL | BuySellback | Buy Sellback
CB | ConvertibleBond | Convertible Bond
CDS | CreditDefaultSwap | Credit Default Swap
CMBS | Corp | Corp. Mortgage-backed Securities
COFP | CertificateOfParticipation | Certificate Of Participation
CTB | CanadianTreasuryBills | Canadian Treasury Bills
DR | DepositoryReceipts | Depository Receipts
FADN | FederalAgencyDiscountNote | Federal Agency Discount Note
FXSPOT | FXSpot | FX Spot
NONE | NoSecurityType | No Security Type
RVLVTRM | Revolver | Revolver/Term Loan
BOX | BillOfExchanges | Bill Of Exchanges
BRIDGE | BridgeLoan | Bridge Loan
CLLR | Collar | Collar. In an interest rate collar, this is a combination of a cap and a floor.
CMO | CollateralizedMortgageObligation | Collateralized Mortgage Obligation
DUAL | DualCurrency | Dual Currency
EUSOV | EuroSovereigns | Euro Sovereigns. Identify the issuer name in Issuer(106).
FXFWD | FXForward | FX Forward
GO | GeneralObligationBonds | General Obligation Bonds
PEF | PrivateExportFunding | Private Export Funding. Identify the issuer name in Issuer(106).
SECLOAN | SecuritiesLoan | Securities Loan
UST | USTreasuryNoteOld | US Treasury Note (Deprecated Value Use TNOTE)
CAMM | CanadianMoneyMarkets | Canadian Money Markets
CMDTYSWAP | CommoditySwap | Commodity swap
EUCORP | EuroCorporateBond | Euro Corporate Bond
FXSWAP | FXSwap | FX Swap
IET | IOETTEMortgage | IOETTE Mortgage
LOFC | LetterOfCredit | Letter Of Credit
MT | MandatoryTender | Mandatory Tender
PROV | CanadianProvincialBonds | Canadian Provincial Bonds
SECPLEDGE | SecuritiesPledge | Securities Pledge
SUPRA | USDSupranationalCoupons | USD Supranational Coupons. Identify the issuer name in Issuer(106).
USTB | USTreasuryBillOld | US Treasury Bill (Deprecated Value Use TBILL)
? | Wildcard | Wildcard entry for use on Security Definition Request
CD | CertificateOfDeposit | Certificate Of Deposit
DVPLDG | DeliveryVersusPledge | Delivery versus pledge
EUFRN | EuroCorporateFloatingRateNotes | Euro Corporate Floating Rate Notes
EXOTIC | Exotic | Exotic
FXNDS | NonDeliverableSwap | Non-deliverable Swap
MBS | MortgageBackedSecurities | Mortgage-backed Securities
RAN | RevenueAnticipationNote | Revenue Anticipation Note
SWING | SwingLineFacility | Swing Line Facility
TB | TreasuryBill | Treasury Bill - non US
CASH | Cash | Cash
CL | CallLoans | Call Loans
COLLBSKT | CollateralBasket | Collateral basket. A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
DINP | DebtorInPossession | Debtor In Possession
FLR | Floor | Floor. In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
FRN | USCorporateFloatingRateNotes | US Corporate Floating Rate Notes
FXBN | FXBankNote | FX Bank Note
MIO | MortgageInterestOnly | Mortgage Interest Only
OOC | OptionsOnCombo | Options on Combo
REV | RevenueBonds | Revenue Bonds
TBOND | USTreasuryBond | US Treasury Bond
CP | CommercialPaper | Commercial Paper
DEFLTED | Defaulted | Defaulted
FRA | FRA | Forward Rate Agreement
FXDN | ForeignCurrencyDiscountNote | Foreign Currency Discount Note. Discount notes issued in foreign currency by Fannie Mae.
MPO | MortgagePrincipalOnly | Mortgage Principal Only
Other | Other | Other
SFP | StructuredFinanceProduct | Structured finance product
SPCLA | SpecialAssessment | Special Assessment
TINT | InterestStripFromAnyBondOrNote | Interest Strip From Any Bond Or Note
XLINKD | IndexedLinked | Indexed Linked
DN | DepositNotes | Deposit Notes
ETN | ExchangeTradedNote | Exchange traded note
FUT | Future | Future
MPP | MortgagePrivatePlacement | Mortgage Private Placement
SPCLO | SpecialObligation | Special Obligation
STRUCT | StructuredNotes | Structured Notes
TBILL | USTreasuryBill | US Treasury Bill
TIPS | TreasuryInflationProtectedSecurities | Treasury Inflation Protected Securities
WITHDRN | Withdrawn | Withdrawn
EUCD | EuroCertificateOfDeposit | Euro Certificate Of Deposit
FWD | DerivativeForward | Derivative forward
MPT | MiscellaneousPassThrough | Miscellaneous Pass-through
MRGNLOAN | MarginLoan | Margin loan
REPLACD | Replaced | Replaced
SPCLT | SpecialTax | Special Tax
TCAL | PrincipalStripOfACallableBondOrNote | Principal Strip Of A Callable Bond Or Note
YANK | YankeeCorporateBond | Yankee Corporate Bond
DIMSUMCORP | OffshoreIssuedChineseYuanCorporateBond | Offshore issued Chinese Yuan (CNY) denominated corporate bond
EUCP | EuroCommercialPaper | Euro Commercial Paper
IRS | InterestRateSwap | Interest Rate Swap
MATURED | Matured | Matured
PFAND | Pfandbrief | Pfandbrief. Identify the issuer name in Issuer(106).
SECDERIV | SecuritizedDerivative | Securitized derivative
TAN | TaxAnticipationNote | Tax Anticipation Note
TPRN | PrincipalStripFromANonCallableBondOrNote | Principal Strip From A Non-Callable Bond Or Note
TRS | TotalReturnSwap | Total return swap
AMENDED | Amended | Amended and restated
ETF | ExchangeTradedFund | Exchange Traded Fund
LOANLEASE | LoanLease | Loan/lease
LQN | LiquidityNote | Liquidity Note
PRCORP | PreferredCorporateBond | Preferred Corporate Bond
TAXA | TaxAllocation | Tax Allocation
TBA | ToBeAnnounced | To Be Announced
TNOTE | USTreasuryNote | US Treasury Note
DIGITAL | DigitalAsset | Digital Asset. Asset that exists only in digital form or which is the digital representation of another asset (Source: ISO 24165 - Terms and Definitions).
DIMSUMSOV | OffshoreIssuedChineseYuanSovereignBond | Offshore issued Chinese Yuan (CNY) denominated sovereign bond
MTN | MediumTermNotes | Medium Term Notes
RETIRED | Retired | Retired
TECP | TaxExemptCommercialPaper | Tax Exempt Commercial Paper
ONITE | Overnight | Overnight
OOF | OptionsOnFutures | Options on Futures
SOV | SovereignBond | Sovereign Bond. Sovereign or government bond other than Euro and US issuer. Specify sovereign issuer in Issuer(106).
TMCP | TaxableMunicipalCP | Taxable Municipal CP
OOP | OptionsOnPhysical | Options on Physical - use not recommended
PN | PromissoryNote | Promissory Note
STN | ShortTermLoanNote | Short Term Loan Note
TFRN | USTreasuryFloatingRateNote | US Treasury Floating Rate Note
TRAN | TaxRevenueAnticipationNote | Tax Revenue Anticipation Note
OPT | Option | Option
PZFJ | PlazosFijos | Plazos Fijos
VRDN | VariableRateDemandNote | Variable Rate Demand Note
SLQN | SecuredLiquidityNote | Secured Liquidity Note
SPOTFWD | SpotForward | Spot forward
WAR | Warrant | Warrant
MCPIB | MunicipalInterestBearingCommercialPaper | Municipal Interest Bearing Commercial Paper
SWAPTION | SwapOption | Swap option
TD | TimeDeposit | Time Deposit
TMB | TaxableMunicipalBond | Taxable Municipal Bond
XMISSION | Transmission | Transmission
INDEX | Index | General type for a contract based on an established index
TLQN | TermLiquidityNote | Term Liquidity Note
VRDO | VariableRateDemandObligation | Variable Rate Demand Obligation
BDBSKT | BondBasket | Bond basket
XCN | ExtendedCommNote | Extended Comm Note
CFD | ContractForDifference | Contract for difference
YCD | YankeeCertificateOfDeposit | Yankee Certificate Of Deposit
BAB | BankAcceptedBill | Bank Accepted Bill. Also known as Bank Bill.
CRLTNSWAP | CorrelationSwap | Correlation swap
BNST | ShortTermBankNote | Short Term Bank Note
DVDNDSWAP | DiviendSwap | Dividend swap
CLCP | CallableCommercialPaper | Callable Commercial Paper
EQBSKT | EquityBasket | Equity basket
CN | CommercialNote | Commercial Note
EQFWD | EquityForward | Equity forward
CPIB | InterestBearingCommercialPaper | Interest Bearing Commercial Paper
RTRNSWAP | ReturnSwap | Return swap
EUMTN | EuroMediumTermNote | Euro Medium Term Note
VARSWAP | VarianceSwap | Variance swap
EUNCP | EuroNegotiableCommercialPaper | Euro Negotiable Commercial Paper
PRTFLIOSWAP | PortfolioSwaps | Portfolio swap
EUSTLQN | EuroStructuredLiquidityNote | Euro Structured Liquidity Note
FUTSWAP | FuturesOnASwap | Futures on a Swap
EUTD | EuroTimeDeposit | Euro Time Deposit
FWDSWAP | ForwardsOnASwap | Forwards on a Swap
FWDFRTAGMT | ForwardFreightAgreement | Forward Freight Agreement
JCD | JumboCertificateOfDeposit | Jumbo Certificate of Deposit
MMF | MoneyMarketFund | Money Market Fund
SPREADBET | SpreadBetting | Spread Betting
ETC | ExchangeTradedCommodity | Exchange traded commodity
MN | MasterNote | Master Note. Short term notes issued by Federal Farm Credit Banks Funding Corporation to provide loans and funding under Federal Farm Credit System (FFCS).
NCD | NegotiableCertificateOfDeposit | Negotiable Certificate of Deposit
NCP | NegotiableCommercialPaper | Negotiable Commercial Paper
RCD | RetailCertificateOfDeposit | Retail Certificate of Deposit
TDR | TermDepositReceipt | Term Deposit Receipt

Used in components: Instrument

Used in groups: SecTypesGrp, SettlInstGrp

Used in messages: SecurityTypeRequest, SettlementInstructionRequest

SecurityUpdateAction

Specifies the action taken or to be taken for the specified instrument or list of instruments.

Type: char

Allowed values in SecurityUpdateActionCodeSet:

Code | Name | Description
A | Add | Add
D | Delete | Delete
M | Modify | Modify

Used in messages: DerivativeSecurityListUpdateReport, SecurityDefinitionUpdateReport, SecurityListUpdateReport

SecurityXML

XML definition for the security.

Type: XMLData

Used in components: SecurityXML

SecurityXML

The SecurityXML component is used to provide a definition in an XML format for the instrument.

Name | Mult. | Type | Description
SecurityXMLLen | [0..1] | Length | Must be provided if SecurityXML(1185) field is specified and must immediately precede it.
SecurityXML | [0..1] | XMLData |
SecurityXMLSchema | [0..1] | String |

Used in components: Instrument

SecurityXMLLen

The length of the SecurityXML(1185) data block.

Type: Length

Used in components: SecurityXML

SecurityXMLSchema

The schema used to validate the contents of SecurityXML(1185).

Type: String

Used in components: SecurityXML

SelfMatchPreventionID

Identifies an order or trade that should not be matched to an opposite order or trade if both buy and sell orders for the same asset contain the same SelfMatchPreventionID(2362) and submitted by the same firm.

Type: String

Used in components: TradeReportOrderDetail

Used in messages: ExecutionReport, MassQuote, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

SelfMatchPreventionInstruction

Indicate the instruction for self-match prevention when the incoming (aggressive) order has the same SelfMatchPreventionID(2362) as a resting (passive) order.

Type: int

Allowed values in SelfMatchPreventionInstructionCodeSet:

Code | Name | Description
1 | CancelAggressive | Cancel aggressive. Cancel incoming order.
2 | CancelPassive | Cancel passive. Cancel resting order with the same SelfMatchPreventionID(2362).
3 | CancelAggressivePassive | Cancel aggressive and passive. Cancel both incoming and resting order with the same SelfMatchPreventionID(2362).

Used in components: TradeReportOrderDetail

Used in messages: ExecutionReport, MassQuote, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

SellerDays

Specifies the number of days that may elapse before delivery of the security

Type: int

Used in groups: MDFullGrp, MDIncGrp

SellVolume

Quantity sold.

Type: Qty

Used in messages: SecurityStatus

SenderCompID

Assigned value used to identify firm sending message.

Type: String

Used in components: StandardHeader

SenderLocationID

Assigned value used to identify specific message originator's location (i.e. geographic location and/or desk, trader)

Type: String

Used in components: StandardHeader

SenderSubID

Assigned value used to identify specific message originator (desk, trader, etc.)

Type: String

Used in components: StandardHeader

SendingTime

Time of message transmission (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in components: StandardHeader

Seniority

Specifies which issue (underlying bond) will receive payment priority in the event of a default.

Used to define a CDS instrument.

Type: String

Allowed values in SeniorityCodeSet:

Code | Name | Description
SD | SeniorSecured | Senior Secured
SR | Senior | Senior
SB | Subordinated | Subordinated
JR | Junior | Junior. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
MZ | Mezzanine | Mezzanine. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
SN | SeniorNonPreferred | Senior Non-Preferred. For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).

Used in components: Instrument

SessionRejectReason

Code to identify reason for a session-level Reject message.

Type: int

Allowed values in SessionRejectReasonCodeSet:

Code | Name | Description
0 | InvalidTagNumber | Invalid Tag Number
1 | RequiredTagMissing | Required Tag Missing
2 | TagNotDefinedForThisMessageType | Tag not defined for this message type
3 | UndefinedTag | Undefined tag
4 | TagSpecifiedWithoutAValue | Tag specified without a value
5 | ValueIsIncorrect | Value is incorrect (out of range) for this tag
6 | IncorrectDataFormatForValue | Incorrect data format for value
7 | DecryptionProblem | Decryption problem
8 | SignatureProblem | Signature problem
9 | CompIDProblem | CompID problem
10 | SendingTimeAccuracyProblem | SendingTime Accuracy Problem
11 | InvalidMsgType | Invalid MsgType
12 | XMLValidationError | XML Validation Error
13 | TagAppearsMoreThanOnce | Tag appears more than once
14 | TagSpecifiedOutOfRequiredOrder | Tag specified out of required order
15 | RepeatingGroupFieldsOutOfOrder | Repeating group fields out of order
16 | IncorrectNumInGroupCountForRepeatingGroup | Incorrect NumInGroup count for repeating group
17 | NonDataValueIncludesFieldDelimiter | Non "Data" value includes field delimiter (<SOH> character)
18 | InvalidUnsupportedApplVer | Invalid/Unsupported Application Version
99 | Other | Other

Used in messages: Reject

SessionStatus

Status of a FIX session

Type: int

Allowed values in SessionStatusCodeSet:

Code | Name | Description
0 | SessionActive | Session active
1 | SessionPasswordChanged | Session password changed
2 | SessionPasswordDueToExpire | Session password due to expire
3 | NewSessionPasswordDoesNotComplyWithPolicy | New session password does not comply with policy
4 | SessionLogoutComplete | Session logout complete
5 | InvalidUsernameOrPassword | Invalid username or password
6 | AccountLocked | Account locked
7 | LogonsAreNotAllowedAtThisTime | Logons are not allowed at this time
8 | PasswordExpired | Password expired
9 | ReceivedMsgSeqNumTooLow | Received MsgSeqNum(34) is too low.
10 | ReceivedNextExpectedMsgSeqNumTooHigh | Received NextExpectedMsgSeqNum(789) is too high.

Used in messages: Logon, Logout

SettlCurrAmt

Total amount due expressed in settlement currency (includes the effect of the forex transaction)

Type: Amt

Used in components: SettlTradeDetails

Used in groups: AllocGrp, SettlObligationInstructions, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, ExecutionReport

SettlCurrBidFxRate

Foreign exchange rate used to compute the bid "SettlCurrAmt" (119) from Currency (15) to SettlCurrency (120)

Type: float

Used in messages: Quote, QuoteResponse, QuoteStatusReport

SettlCurrency

Currency code of settlement denomination.

Type: Currency

Used in components: SettlTradeDetails

Used in groups: AllocGrp, InstrmtMatchSideGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, SettlInstGrp, SettlObligationInstructions, SideCrossOrdModGrp

Used in messages: Confirmation, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, Quote, RequestForPositions, RequestForPositionsAck, SettlementInstructionRequest, TradeCaptureReport, TradeCaptureReportAck

SettlCurrencyCodeSource

Identifies class or source of the SettlCurrency(120) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: SettlTradeDetails

Used in groups: InstrmtMatchSideGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, SettlInstGrp, SettlObligationInstructions, SideCrossOrdModGrp

Used in messages: Confirmation, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, Quote, RequestForPositions, RequestForPositionsAck, SettlementInstructionRequest, TradeCaptureReport, TradeCaptureReportAck

SettlCurrFxRate

Foreign exchange rate used to compute SettlCurrAmt(119) from Currency(15) to SettlCurrency(120).

Type: float

Used in groups: AllocGrp, SettlObligationInstructions, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, ExecutionReport

SettlCurrFxRateCalc

Specifies whether or not SettlCurrFxRate (155) should be multiplied or divided.

Type: char

Allowed values in SettlCurrFxRateCalcCodeSet:

Code | Name | Description
M | Multiply | Multiply
D | Divide | Divide

Used in groups: AllocGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: Confirmation, ExecutionReport, Quote, QuoteResponse, QuoteStatusReport

SettlCurrOfferFxRate

Foreign exchange rate used to compute the offer "SettlCurrAmt" (119) from Currency (15) to SettlCurrency (120)

Type: float

Used in messages: Quote, QuoteResponse, QuoteStatusReport

SettlDate

Specific date of trade settlement (SettlementDate) in YYYYMMDD format.

If present, this field overrides SettlType (63). This field is required if the value of SettlType (63) is 6 (Future) or 8 (Sellers Option). This field must be omitted if the value of SettlType (63) is 7 (When and If Issued)

(expressed in local time at place of settlement)

Type: LocalMktDate

Used in components: SettlTradeDetails

Used in groups: BidCompReqGrp, BidCompRspGrp, InstrmtMDReqGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, SettlObligationInstructions

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, Quote, QuoteResponse, QuoteStatusReport, RequestForPositions, TradeAggregationReport, TradeCaptureReport, TradeCaptureReportAck

SettlDate2

SettDate (64) of the future part of a F/X swap order.

Type: LocalMktDate

Used in groups: ListOrdGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport

SettlDeliveryType

Identifies type of settlement

Type: int

Allowed values in SettlDeliveryTypeCodeSet:

Code | Name | Description
0 | Versus | "Versus. Payment": Deliver (if Sell) or Receive (if Buy) vs. (Against) Payment
1 | Free | "Free": Deliver (if Sell) or Receive (if Buy) Free
2 | TriParty | Tri-Party
3 | HoldInCustody | Hold In Custody

Used in components: SettlInstructionsData

SettlDetails

Name | Mult. | Type | Description
NoSettlDetails | [1..1] | NumInGroup | Number of settlement parties
SettlObligSource | [0..1] | CodeSet | Indicates the Source of the Settlement Instructions
StandInstDbType | [0..1] | CodeSet |
StandInstDbName | [0..1] | String |
StandInstDbID | [0..1] | String |
SettlParties | [0..*] | Group | Carries settlement account information

Used in groups: SettlObligationInstructions, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: PayManagementReport, PayManagementRequest

SettlDisruptionProvision

Specifies the consequences of bullion settlement disruption events.

Type: int

Allowed values in SettlDisruptionProvisionCodeSet:

Code | Name | Description
1 | Negotiation | Negotiation
2 | Cancellation | Cancellation and payment

Used in components: Instrument

SettledEntityMatrixPublicationDate

The publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Type: LocalMktDate

Used in components: Instrument

SettledEntityMatrixSource

Relevant settled entity matrix source.

Type: String

Used in components: Instrument

SettlementAmount

The amount of settlement.

Type: Amt

Used in groups: SettlementAmountGrp

SettlementAmountCurrency

The currency of the reported settlement amount.

Type: Currency

Used in groups: SettlementAmountGrp

SettlementAmountCurrencyCodeSource

Identifies class or source of the SettlementAmountCurrency(1702) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: SettlementAmountGrp

SettlementAmountGrp

The Settlement Amount Group component block is a repeating group of settlement amounts for an account

Name | Mult. | Type | Description
NoSettlementAmounts | [1..1] | NumInGroup |
SettlementAmount | [0..1] | Amt | Required if NoSettlementAmounts > 0.
SettlementAmountCurrency | [0..1] | Currency |
SettlementAmountCurrencyCodeSource | [0..1] | CodeSet |

Used in messages: AccountSummaryReport

SettlementCycleNo

Settlement cycle in which the settlement obligation was generated

Type: int

Used in messages: SettlementObligationReport

SettleOnOpenFlag

Indicator to determine if instrument is settle on open

Type: String

Used in components: Instrument

SettlForwardPoints

FX forward points added to SettlPrice(730). The value is expressed in decimal form and may be a negative.

Type: PriceOffset

Used in messages: PositionReport

SettlInstGrp

Name | Mult. | Type | Description
NoSettlInst | [1..1] | NumInGroup | Required except where SettlInstMode is 5=Reject SSI request
SettlInstID | [0..1] | String | Unique ID for this settlement instruction. Required except where SettlInstMode is 5=Reject SSI request
SettlInstTransType | [0..1] | CodeSet | New, Replace, Cancel or Restate. Required except where SettlInstMode is 5=Reject SSI request
SettlInstRefID | [0..1] | String | Required where SettlInstTransType is Cancel or Replace
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages". Used here for settlement location. Also used for executing broker for CIV settlement instructions
Side | [0..1] | CodeSet | Can be used for SettleInstMode 1 if SSIs are being provided for a particular side.
Product | [0..1] | CodeSet | Can be used for SettleInstMode 1 if SSIs are being provided for a particular product.
SecurityType | [0..1] | CodeSet | Can be used for SettleInstMode 1 if SSIs are being provided for a particular security type (as alternative to CFICode).
CFICode | [0..1] | String | Can be used for SettleInstMode 1 if SSIs are being provided for a particular CFI (as identified by CFI code).
UPICode | [0..1] | String | Can be used for SettleInstMode 1 if SSIs are being provided for a particular UPI (as identified by UPI code).
SettlCurrency | [0..1] | Currency | Can be used for SettleInstMode 1 if SSIs are being provided for a particular settlement currency
SettlCurrencyCodeSource | [0..1] | CodeSet |
EffectiveTime | [0..1] | UTCTimestamp | Effective (start) date/time for this settlement instruction. Required except where SettlInstMode is 5=Reject SSI request
ExpireTime | [0..1] | UTCTimestamp | Termination date/time for this settlement instruction.
LastUpdateTime | [0..1] | UTCTimestamp | Date/time this settlement instruction was last updated (or created if not updated since creation). Required except where SettlInstMode is 5=Reject SSI request
SettlInstructionsData | [0..1] | Component | Insert here the set of "SettlInstructionsData" fields defined in "Common Components of Application Messages"
PaymentMethod | [0..1] | CodeSet | For use with CIV settlement instructions
PaymentRef | [0..1] | String | For use with CIV settlement instructions
CardHolderName | [0..1] | String | For use with CIV settlement instructions
CardNumber | [0..1] | String | For use with CIV settlement instructions
CardStartDate | [0..1] | LocalMktDate | For use with CIV settlement instructions
CardExpDate | [0..1] | LocalMktDate | For use with CIV settlement instructions
CardIssNum | [0..1] | String | For use with CIV settlement instructions
PaymentDate | [0..1] | LocalMktDate | For use with CIV settlement instructions
PaymentRemitterID | [0..1] | String | For use with CIV settlement instructions

Used in messages: SettlementInstructions

SettlInstID

Unique identifier for Settlement Instruction.

Type: String

Used in groups: SettlInstGrp

SettlInstMode

Indicates mode used for Settlement Instructions message. *** SOME VALUES HAVE BEEN REPLACED - See "Replaced Features and Supported Approach" ***

Type: char

Allowed values in SettlInstModeCodeSet:

Code | Name | Description
0 | Default | Default (Replaced)
1 | StandingInstructionsProvided | Standing Instructions Provided
2 | SpecificAllocationAccountOverriding | Specific Allocation Account Overriding (Replaced)
3 | SpecificAllocationAccountStanding | Specific Allocation Account Standing (Replaced)
4 | SpecificOrderForASingleAccount | Specific Order for a single account (for CIV)
5 | RequestReject | Request reject

Used in groups: ListOrdGrp

Used in messages: SettlementInstructions

SettlInstMsgID

Unique identifier for Settlement Instruction message.

Type: String

Used in messages: SettlementInstructions

SettlInstRefID

Reference identifier for the SettlInstID (162) with Cancel and Replace SettlInstTransType (163) transaction types.

Type: String

Used in groups: SettlInstGrp

SettlInstReqID

Unique ID of settlement instruction request message

Type: String

Used in messages: SettlementInstructionRequest, SettlementInstructions

SettlInstReqRejCode

Identifies reason for rejection (of a settlement instruction request message).

Type: int

Allowed values in SettlInstReqRejCodeCodeSet:

Code | Name | Description
0 | UnableToProcessRequest | Unable to process request
1 | UnknownAccount | Unknown account
2 | NoMatchingSettlementInstructionsFound | No matching settlement instructions found
99 | Other | Other

Used in messages: SettlementInstructions

SettlInstructionsData

The SettlInstructionsData component block is used to convey key information regarding standing settlement and delivery instructions. It also provides a reference to standing settlement details regarding the source, delivery instructions, and settlement parties

Name | Mult. | Type | Description
SettlDeliveryType | [0..1] | CodeSet | Required if AllocSettlInstType = 1 or 2
StandInstDbType | [0..1] | CodeSet | Required if AllocSettlInstType = 3 (should not be populated otherwise)
StandInstDbName | [0..1] | String | Required if AllocSettlInstType = 3 (should not be populated otherwise)
StandInstDbID | [0..1] | String | Identifier used within the StandInstDbType. Required if AllocSettlInstType = 3 (should not be populated otherwise)
DlvyInstGrp | [0..*] | Group | Required (and must be > 0) if AllocSettlInstType = 2 (should not be populated otherwise)

Used in components: SettlTradeDetails

Used in groups: AllocGrp, SettlInstGrp

Used in messages: CollateralAssignment, CollateralInquiry, CollateralReport, Confirmation

SettlInstSource

Indicates source of Settlement Instructions

Type: char

Allowed values in SettlInstSourceCodeSet:

Code | Name | Description
1 | BrokerCredit | Broker's Instructions
2 | Institution | Institution's Instructions
3 | Investor | Investor (e.g. CIV use)

Used in groups: DlvyInstGrp

SettlInstTransType

Settlement Instructions message transaction type

Type: char

Allowed values in SettlInstTransTypeCodeSet:

Code | Name | Description
N | New | New
C | Cancel | Cancel
R | Replace | Replace
T | Restate | Restate

Used in groups: SettlInstGrp

SettlMethod

Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.

Type: String

Allowed values in SettlMethodCodeSet:

Code | Name | Description
C | CashSettlementRequired | Cash settlement required
P | PhysicalSettlementRequired | Physical settlement required
E | Election | Election at exercise. The settlement method will be elected at the time of contract exercise.

Used in components: Instrument

SettlMethodElectingPartySide

Side value of the party electing the settlement method.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in components: OptionExercise

SettlMethodElectionDateAdjusted

The adjusted settlement method election date.

Type: LocalMktDate

Used in components: SettlMethodElectionDate

SettlMethodElectionDateBusinessCenter

The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: SettlMethodElectionDateBusinessCenterGrp

SettlMethodElectionDateBusinessCenterGrp

SettlMethodElectionDateBusinessCenterGrp is a repeating subcomponent within the SettlMethodElectionDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoSettlMethodElectionDateBusinessCenters | [1..1] | NumInGroup |
SettlMethodElectionDateBusinessCenter | [0..1] | String | Required if NoSettlMethodElectionDateBusinessCenters(42775) > 0.

Used in components: SettlMethodElectionDate

SettlMethodElectionDateBusinessDayConvention

The settlement method election date adjustment business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: SettlMethodElectionDate

SettlMethodElectionDate

The SettlMethodElectionDate component is a subcomponent within the OptionExercise component used to report the settlement method election date.

Name | Mult. | Type | Description
SettlMethodElectionDateUnadjusted | [0..1] | LocalMktDate |
SettlMethodElectionDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to OptionExercise.
SettlMethodElectionDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to OptionExercise.
SettlMethodElectionDateRelativeTo | [0..1] | int |
SettlMethodElectionDateOffsetPeriod | [0..1] | int | Conditionally required when SettlMethodElectionDateOffsetUnit(42781) is specified.
SettlMethodElectionDateOffsetUnit | [0..1] | CodeSet | Conditionally required when SettlMethodElectionDateOffsetPeriod(42780) is specified.
SettlMethodElectionDateOffsetDayType | [0..1] | CodeSet |
SettlMethodElectionDateAdjusted | [0..1] | LocalMktDate |

Used in components: OptionExercise

SettlMethodElectionDateOffsetDayType

Specifies the day type of the relative settlement method election date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: SettlMethodElectionDate

SettlMethodElectionDateOffsetPeriod

Time unit multiplier for the relative settlement method election date offset.

Type: int

Used in components: SettlMethodElectionDate

SettlMethodElectionDateOffsetUnit

Time unit associated with the relative settlement method election date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: SettlMethodElectionDate

SettlMethodElectionDateRelativeTo

Specifies the anchor date when the settlement method election date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: SettlMethodElectionDate

SettlMethodElectionDateUnadjusted

The unadjusted settlement method election date.

Type: LocalMktDate

Used in components: SettlMethodElectionDate

SettlObligationInstructions

Name | Mult. | Type | Description
NoSettlOblig | [1..1] | NumInGroup | Number of Settlement Obligations
NetGrossInd | [0..1] | CodeSet |
SettlObligID | [0..1] | String | Unique ID for this settlement instruction
SettlObligTransType | [0..1] | CodeSet | New, Replace, Cancel, or Restate
SettlObligRefID | [0..1] | String | Required where SettlObligTransType(1162) is Cancel or Replace. The SettlObligID(1161) of the settlement obligation being canceled or replaced.
CcyAmt | [0..1] | Amt | Net flow of currency 1
SettlCurrAmt | [0..1] | Amt | Net flow of currency 2
Currency | [0..1] | Currency | Currency 1 in the stated currency pair, the dealt currency
CurrencyCodeSource | [0..1] | CodeSet |
SettlCurrency | [0..1] | Currency | Currency 2 in the stated currency pair, the contra currency
SettlCurrencyCodeSource | [0..1] | CodeSet |
SettlCurrFxRate | [0..1] | float | Derived rate of Ccy2 per Ccy1 based on netting
SettlDate | [0..1] | LocalMktDate | Value Date
Instrument | [0..1] | Component | Used to express the instrument in which settlement is taking place
Parties | [0..*] | Group |
EffectiveTime | [0..1] | UTCTimestamp | Effective (start) date/time for this settlement instruction
ExpireTime | [0..1] | UTCTimestamp | Termination date/time for this settlement instruction.
LastUpdateTime | [0..1] | UTCTimestamp | Date/time this settlement instruction was last updated (or created if not updated since creation).
SettlDetails | [0..*] | Group | Conveys settlement account details reported as part of obligation

Used in messages: SettlementObligationReport

SettlObligID

Unique ID for this settlement instruction.

Type: String

Used in groups: SettlObligationInstructions

SettlObligMode

Used to identify the reporting mode of the settlement obligation which is either preliminary or final

Type: int

Allowed values in SettlObligModeCodeSet:

Code | Name | Description
1 | Preliminary | Preliminary
2 | Final | Final

Used in messages: SettlementObligationReport

SettlObligMsgID

Message identifier for Settlement Obligation Report

Type: String

Used in messages: SettlementObligationReport

SettlObligRefID

Required where SettlInstTransType is Cancel or Replace

Type: String

Used in groups: SettlObligationInstructions

SettlObligSource

Used to identify whether these delivery instructions are for the buyside or the sellside.

Type: char

Allowed values in SettlObligSourceCodeSet:

Code | Name | Description
1 | InstructionsOfBroker | Instructions of Broker
2 | InstructionsForInstitution | Instructions for Institution
3 | Investor | Investor
4 | BuyersSettlementInstructions | Buyer's settlement instructions
5 | SellersSettlementInstructions | Seller's settlement instructions

Used in groups: SettlDetails

SettlObligTransType

Transaction Type - required except where SettlInstMode is 5=Reject SSI request

Type: char

Allowed values in SettlObligTransTypeCodeSet:

Code | Name | Description
C | Cancel | Cancel
N | New | New
R | Replace | Replace
T | Restate | Restate

Used in groups: SettlObligationInstructions

SettlParties

The SettlParties component block is used in a similar manner as Parties Block within the context of settlement instruction messages to distinguish between parties involved in the settlement and parties who are expected to execute the settlement process.

Name | Mult. | Type | Description
NoSettlPartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of SettlPartyID, SettlPartyIDSource, and SettlPartyRole
SettlPartyID | [0..1] | String | Used to identify source of SettlPartyID. Required if SettlPartyIDSource is specified. Required if NoSettlPartyIDs > 0.
SettlPartyIDSource | [0..1] | CodeSet | Used to identify class source of SettlPartyID value (e.g. BIC). Required if SettlPartyID is specified. Required if NoSettlPartyIDs > 0.
SettlPartyRole | [0..1] | CodeSet | Identifies the type of SettlPartyID (e.g. Executing Broker). Required if NoSettlPartyIDs > 0.
SettlPartyRoleQualifier | [0..1] | CodeSet |
SettlPtysSubGrp | [0..*] | Group | Repeating group of SettlParty sub-identifiers.

Used in groups: DlvyInstGrp, SettlDetails

SettlPartyID

PartyID value within a settlement parties component. Nested repeating group.

Same values as PartyID (448)

Type: String

Used in groups: SettlParties

SettlPartyIDSource

PartyIDSource value within a settlement parties component.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: SettlParties

SettlPartyRole

PartyRole value within a settlement parties component.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: SettlParties

SettlPartyRoleQualifier

Used to further qualify the value of SettlPartyRole(784).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: SettlParties

SettlPartySubID

PartySubID value within a settlement parties component.

Same values as PartySubID (523)

Type: String

Used in groups: SettlPtysSubGrp

SettlPartySubIDType

Type of SettlPartySubID (785) value.

Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: SettlPtysSubGrp

SettlPrice

Settlement price

Type: Price

Used in messages: AdjustedPositionReport, AssignmentReport, PositionReport, SecurityStatus

SettlPriceDeterminationMethod

Calculation method used to determine settlement price.

Type: int

Allowed values in SettlPriceDeterminationMethodCodeSet:

Code | Name | Description
0 | Unknown | Unknown
1 | LastTradePrice | Last trade price
2 | LastBidPrice | Last bid price
3 | LastOfferPrice | Last offer price
4 | MidPrice | Mid price. The price at the mid-point between last bid and last offer price.
5 | AverageLastTradePrice | Average last trade price. The average price across a bi-laterally agreed number of trades, e.g. last five trades.
6 | AverageLastTradePeriod | Average last trade period. Average price across bi-laterally agreed time period, e.g. last minute of trading.
7 | UnderlyingPrice | Underlying price. Based on price of underlying instrument.
8 | CalculatedPrice | Calculated price. Other calculation method, e.g. theoretical price.
9 | ManualPrice | Manual price. Manually entered price.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: SecurityStatus

SettlPriceFxRateCalc

Specifies whether LastPx(31) TradeCaptureReport or SettlPrice(730) PositionReport should be multiplied or divided.

Type: char

Allowed values in SettlCurrFxRateCalcCodeSet:

Code | Name | Description
M | Multiply | Multiply
D | Divide | Divide

Used in messages: PositionReport, TradeCaptureReport

SettlPriceIncrement

Settlement price increment for stated price range.

Type: Price

Used in groups: TickRules

SettlPriceSecondaryIncrement

Secondary settlement price increment for stated price range. The meaning of secondary is left to bilateral agreement, e.g. it may refer to final settlement for a contract.

Type: Price

Used in groups: TickRules

SettlPriceType

Type of settlement price

Type: int

Allowed values in SettlPriceTypeCodeSet:

Code | Name | Description
1 | Final | Final
2 | Theoretical | Theoretical

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AssignmentReport, PositionReport, SecurityStatus

SettlPriceUnitOfMeasure

Used to express the unit of measure of the settlement price if different from the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in messages: PositionReport

SettlPriceUnitOfMeasureCurrency

Indicates the currency of the settlement price unit of measure if expressed in another currency than the base currency.

Conditionally required when SettlPriceUnitOfMeasure(1886)=Ccy.

Type: Currency

Used in messages: PositionReport

SettlPriceUnitOfMeasureCurrencyCodeSource

Identifies the class or source of the SettlPriceUnitOfMeasureCurrency(1887) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in messages: PositionReport

SettlPtysSubGrp

Name | Mult. | Type | Description
NoSettlPartySubIDs | [1..1] | NumInGroup |
SettlPartySubID | [0..1] | String |
SettlPartySubIDType | [0..1] | CodeSet |

Used in groups: SettlParties

SettlRateDisruptionFallbackGrp

The SettlRateDisruptionsFallbackGrp is a repeating subcomponent of the PaymentStreamNonDeliverableSettlTermGrp component used to specify the method, prioritized by the order it is listed, to get a replacement rate for a disrupted settlement rate option for a non-deliverable settlement currency.

Name | Mult. | Type | Description
NoSettlRateFallbacks | [1..1] | NumInGroup |
SettlRatePostponementMaximumDays | [0..1] | int | Required if NoSettlRateFallbacks(40085) > 0.
SettlRateFallbackRateSource | [0..1] | Component |
SettlRatePostponementSurvey | [0..1] | Boolean |
SettlRatePostponementCalculationAgent | [0..1] | CodeSet |

Used in components: PaymentStreamNonDeliverableSettlTerms

SettlRateFallbackRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in components: SettlRateFallbackRateSource

SettlRateFallbackRateSource

SettlRateFallbackRateSource is a subcomponent of the SettlRateDisruptionFallbackGrp component used to specify the rate source in the event of rate disruption fallback.

Name | Mult. | Type | Description
SettlRateFallbackRateSource | [0..1] | CodeSet |
SettlRateFallbackReferencePage | [0..1] | String | Conditionally required when SettlRateFallbackRateSource(40373) = 3 (ISDA Settlement Rate Option) or 99 (Other).

Used in groups: SettlRateDisruptionFallbackGrp

SettlRateFallbackReferencePage

Identifies the reference "page" from the rate source.

When SettlRateFallbackRateSource(40373) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in components: SettlRateFallbackRateSource

SettlRateIndex

In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.

Type: String

Used in components: Instrument

SettlRateIndexLocation

This is an optional qualifying attribute of SettlRateIndex(1577) such as the delivery zone for an electricity contract.

Type: String

Used in components: Instrument

SettlRatePostponementCalculationAgent

Used to identify the settlement rate postponement calculation agent.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: SettlRateDisruptionFallbackGrp

SettlRatePostponementMaximumDays

The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.

Type: int

Used in groups: SettlRateDisruptionFallbackGrp

SettlRatePostponementSurvey

Indicates whether to request a settlement rate quote from the market.

Type: Boolean

Used in groups: SettlRateDisruptionFallbackGrp

SettlSessID

Identifies a specific settlement session

Type: String

Allowed values in SettlSessIDCodeSet:

Code | Name | Description
ITD | Intraday | Intraday
RTH | RegularTradingHours | Regular Trading Hours
ETH | ElectronicTradingHours | Electronic Trading Hours
EOD | EndOfDay | End Of Day

Used in messages: AccountSummaryReport, AdjustedPositionReport, AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, RequestForPositions, RequestForPositionsAck, TradeCaptureReport, TradeCaptureReportAck

SettlSessSubID

SubID value associated with SettlSessID(716)

Type: String

Used in messages: AccountSummaryReport, AssignmentReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, RequestForPositions, RequestForPositionsAck, TradeCaptureReport, TradeCaptureReportAck

SettlStatus

The settlement status of the identified trade.

Type: String

Used in messages: SettlementStatusReport

SettlStatusReason

Used to provide additional reason or qualify the reason for the settlement status specified in SettlStatus(2968).

Type: String

Used in messages: SettlementStatusReport

SettlStatusReasonText

Text description associated with SettlStatusReason(2969).

Type: String

Used in messages: SettlementStatusReport

SettlStatusReportID

Unique identifier of the SettlementStatusReport(35=EE).

Type: String

Used in messages: SettlementStatusReport, SettlementStatusReportAck

SettlStatusReportStatus

Status of the report being responded to.

Type: int

Allowed values in SettlStatusReportStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected. Rejection reason provided in RejectText(1328).

Used in messages: SettlementStatusReportAck

SettlStatusRequestID

Unique identifier of the SettlementStatusRequest(35=EC).

Type: String

Used in messages: SettlementStatusReport, SettlementStatusRequest, SettlementStatusRequestAck

SettlStatusRequestStatus

Status of the SettlementStatusRequest(35=EC) message being responded to.

Type: int

Allowed values in SettlStatusRequestStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected. Rejection reason provided in RejectText(1328).

Used in messages: SettlementStatusRequestAck

SettlSubMethod

Specifies a suitable settlement sub-method for a given settlement method.

Type: int

Allowed values in SettlSubMethodCodeSet:

Code | Name | Description
1 | Shares | Shares.
2 | Derivatives | Derivatives.
3 | PaymentVsPayment | Payment vs payment.
4 | Notional | Notional.
5 | Cascade | Cascade.
6 | Repurchase | Repurchase.
99 | Other | Other.

Used in components: Instrument

SettlTradeDetails

SettlTradeDetails component is used to provide the details which can be used to look up a single trade.

Name | Mult. | Type | Description
ConfirmID | [0..1] | String | May be used to identify the trade via the known Confirmation(35=AK) message.
AllocID | [0..1] | String | May be used to identify the trade via the known AllocationInstruction(35=J) message.
IndividualAllocID | [0..1] | String | May be used to identify the trade via a specific allocated account instance of an AllocationInstruction(35=J) this IndividualAllocID(467) is part of. If specified AllocID(70) should be specified.
SecondaryAllocID | [0..1] | String | May be used to identify the trade via a specific allocated account instance of an AllocationInstruction(35=J) this SecondaryAllocID(793) is part of. If specified AllocID(70) should be specified.
AllocAccount | [0..1] | String |
TradeDate | [0..1] | LocalMktDate |
Instrument | [0..1] | Component |
AllocQty | [0..1] | Qty |
Side | [0..1] | CodeSet |
AvgPx | [0..1] | Price |
PriceType | [0..1] | CodeSet |
AvgParPx | [0..1] | Price |
GrossTradeAmt | [0..1] | Amt |
NetMoney | [0..1] | Amt |
Currency | [0..1] | Currency |
CurrencyCodeSource | [0..1] | CodeSet |
QtyType | [0..1] | CodeSet |
NestedParties | [0..*] | Group |
SettlDate | [0..1] | LocalMktDate |
SettlCurrAmt | [0..1] | Amt |
SettlCurrency | [0..1] | Currency |
SettlCurrencyCodeSource | [0..1] | CodeSet |
SettlInstructionsData | [0..1] | Component |

Used in messages: SettlementStatusReport, SettlementStatusRequest

SettlType

Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)

Regular is defined as the default settlement period for the particular security on the exchange of execution.

In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.

Additionally the following patterns may be uses as well as enum values

Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0

Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0

Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0

Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0

Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.

Type: String

Allowed values in SettlTypeCodeSet:

Code | Name | Description
0 | Regular | Regular / FX Spot settlement (T+1 or T+2 depending on currency)
1 | Cash | Cash (TOD / T+0)
2 | NextDay | Next Day (TOM / T+1)
3 | TPlus2 | T+2
4 | TPlus3 | T+3
5 | TPlus4 | T+4
6 | Future | Future
7 | WhenAndIfIssued | When And If Issued
8 | SellersOption | Sellers Option
9 | TPlus5 | T+5
B | BrokenDate | Broken date. Use within FX to specify a non-standard tenor. The use of SettlDate(64) is required to specify the actual settlement date when SettlType(63) = B (Broken date).
C | FXSpotNextSettlement | FX Spot Next settlement (Spot+1, aka next day)

Used in groups: BidCompReqGrp, BidCompRspGrp, InstrmtMDReqGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp, StrmAsgnReqInstrmtGrp, StrmAsgnRptInstrmtGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport, TradeCaptureReportAck

SharedCommission

Commission to be shared with a third party, e.g. as part of a directed brokerage commission sharing arrangement.

Type: Amt

Used in messages: Confirmation

ShortMarkingExemptIndicator

Indicates whether the originating account is exempt (Y) from marking orders as short or not (N). This designation may be used on both buy and sell orders.

Type: Boolean

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptSideGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

ShortQty

Short quantity.

Type: Qty

Used in groups: PositionQty, TradePositionQty

ShortSaleExemptionReason

Indicates the reason a short sale order is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.).

Type: int

Allowed values in ShortSaleExemptionReasonCodeSet:

Code
Name
Description

0
ExemptionReasonUnknown
Exemption reason unknown. An exemption reason not provided or received.

1
IncomingSSE
Income sell short exempt. Agency broker has the customer's exemption reason, which is not explicitly provided to executing broker.

2
AboveNationalBestBid
Above national best bid (broker/dealer provision). Broker / dealer responsible for enforcing exemption rule has determined that the order is priced one or more ticks above the nation best bid of the security to be traded.

3
DelayedDelivery
Delayed delivery. The broker-dealer has a reasonable basis to believe the seller owns the covered security (pursuant to Rule 200 in the U.S.), but is subject to restrictions on delivery, provided that the seller intends to deliver the security as soon as all restrictions on delivery have been removed.

4
OddLot
Odd lot. The broker-dealer has a reasonable basis to believe the sale is by a market maker to offset customer odd-lot orders or to liquidate an odd-lot position that changes such broker’s or dealer’s position by no more than a unit of trading.

5
DomesticArbitrage
Domestic arbitrage. The sale is connected to a bona-fide domestic arbitrage transaction.

6
InternationalArbitrage
International arbitrage. The sale is connected to an international arbitrage transaction.

7
UnderwriterOrSyndicateDistribution
Underwriter or syndicate distribution. The short sale is (i) by an underwriter or member of a syndicate or group participating in the distribution of a security in connection with an over-allotment of securities; or (ii) is for purposes of a lay-off sale by an underwriter or member of a syndicate or group in connection with a distribution of securities through a rights or standby underwriting commitment.

8
RisklessPrincipal
Riskless principal. The short sale is by a broker or dealer effecting the execution of a customer purchase or the execution of a customer “long” sale on a riskless principal basis.

9
VWAP
VWAP. The short sale order is for the sale of a covered security at the volume weighted average price (VWAP) meeting certain criteria.

Used in groups: ListOrdGrp

Used in messages: ExecutionReport, NewOrderSingle, OrderCancelReplaceRequest

ShortSaleReason

Reason for short sale.

Type: int

Allowed values in ShortSaleReasonCodeSet:

Code | Name | Description
0 | DealerSoldShort | Dealer Sold Short
1 | DealerSoldShortExempt | Dealer Sold Short Exempt
2 | SellingCustomerSoldShort | Selling Customer Sold Short
3 | SellingCustomerSoldShortExempt | Selling Customer Sold Short Exempt
4 | QualifiedServiceRepresentative | Qualified Service Representative (QSR) or Automatic Give-up (AGU) Contra Side Sold Short
5 | QSROrAGUContraSideSoldShortExempt | QSR or AGU Contra Side Sold Short Exempt

Used in messages: TradeCaptureReport, TradeCaptureReportAck

ShortSaleRestriction

Indicates whether a restriction applies to short selling a security.

Type: int

Allowed values in ShortSaleRestrictionCodeSet:

Code | Name | Description
0 | NoRestrictions | No restrictions
1 | SecurityNotShortable | Security is not shortable
2 | SecurityNotShortableAtOrBelowBestBid | Security not shortable at or below the best bid
3 | SecurityNotShortableWithoutPreBorrow | Security is not shortable without pre-borrow

Used in components: Instrument

Side

Side of order (see Volume : "Glossary" for value definitions)

Type: char

Allowed values in SideCodeSet:

Code | Name | Description
1 | Buy | Buy. For Securities Financing indicates the receipt of securities or collateral.
2 | Sell | Sell. For Securities Financing indicates the delivery of securities or collateral.
3 | BuyMinus | Buy minus
4 | SellPlus | Sell plus
5 | SellShort | Sell short
6 | SellShortExempt | Sell short exempt
7 | Undisclosed | Undisclosed
8 | Cross | Cross (orders where counterparty is an exchange, valid for all messages except IOIs)
9 | CrossShort | Cross short
A | CrossShortExempt | Cross short exempt
B | AsDefined | "As Defined" (for use with multileg instruments)
C | Opposite | "Opposite" (for use with multileg instruments)
D | Subscribe | Subscribe (e.g. CIV)
E | Redeem | Redeem (e.g. CIV)
F | Lend | Lend (FINANCING - identifies direction of collateral)
G | Borrow | Borrow (FINANCING - identifies direction of collateral)
H | SellUndisclosed | Sell undisclosed. In the context of ESMA RTS 22, this allows for reporting of transactions where the investment firm (broker) is not able to determine whether the sell is a short sale transaction. Corresponds to RTS 22 "short selling indicator" value of 'UNDI'.

Used in components: MDStatisticParameters, SettlTradeDetails

Used in groups: BidCompReqGrp, BidCompRspGrp, InstrmtStrkPxGrp, ListOrdGrp, OrderEntryAckGrp, OrderEntryGrp, QuotReqGrp, QuotReqRjctGrp, SettlInstGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, DontKnowTrade, ExecutionAck, ExecutionReport, IOI, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, Quote, QuoteResponse, QuoteStatusReport, SettlementInstructionRequest, TradeAggregationReport, TradeAggregationRequest, TradeCaptureReportRequest

SideAvgPx

Calculated average price for this side of the trade.

Type: Price

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideAvgPxGroupID

The identifier for the average price group for the trade side. See also AvgPxGroupID(1731).

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideAvgPxIndicator

Used to indicate whether a trade or a sub-allocation should be allocated at the trade price (e.g. no average pricing), or whether it should be grouped with other trades/sub-allocations and allocated at the average price of the group.

Type: int

Allowed values in AvgPxIndicatorCodeSet:

Code | Name | Description
0 | NoAveragePricing | No average pricing
1 | Trade | Trade is part of an average price group identified by the AvgPxGroupID(1731)
2 | LastTrade | Last trade of the average price group identified by the AvgPxGroupID(1731)
3 | NotionalValueAveragePxGroupTrade | Trade is part of a notional value average price group. A notional value average price (NVAP) group is effectively closed and available for allocation as long as the NVAP of the group is non-zero.
4 | AveragePricedTrade | Trade is average priced

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideClearingTradePrice

Alternate clearing price for the side being reported.

Type: Price

Used in groups: TrdCapRptSideGrp, TrdMatchSideGrp

SideClearingTradePriceType

Indicates to recipient whether trade is clearing at execution prices LastPx(tag 31) or alternate clearing prices SideClearingTradePrice(tag 1597).

Type: int

Allowed values in SideClearingTradePriceTypeCodeSet:

Code | Name | Description
0 | TradeClearingAtExecutionPrice | Trade Clearing at Execution Price
1 | TradeClearingAtAlternateClearingPrice | Trade Clearing at Alternate Clearing Price

Used in groups: TrdCapRptSideGrp, TrdMatchSideGrp

SideCollateralAmountGrp

The SideCollateralAmountGrp component block is a repeating group that provides the current value of the collateral type on deposit for a side of the trade report. The currency of the collateral value may be optionally included.

Name | Mult. | Type | Description
NoSideCollateralAmounts | [1..1] | NumInGroup |
SideCurrentCollateralAmount | [0..1] | Amt | Required if NoSideCollateralAmounts(2691) > 0.
SideCollateralCurrency | [0..1] | Currency | Can be used to specify the currency of SideCollateralAmount(2702) if Currency(15) is not specified or is not the same.
SideCollateralCurrencyCodeSource | [0..1] | CodeSet |
SideCollateralAmountType | [0..1] | CodeSet |
SideCollateralFXRate | [0..1] | float |
SideCollateralFXRateCalc | [0..1] | CodeSet |
SideCollateralType | [0..1] | String |
SideCollateralAmountMarketSegmentID | [0..1] | String |
SideCollateralAmountMarketID | [0..1] | String |
SideHaircutIndicator | [0..1] | Boolean |
SideCollateralPortfolioID | [0..1] | String |
SideCollateralPercentOverage | [0..1] | Percentage |
SideCollateralMarketPrice | [0..1] | Price |
SideCollateralReinvestmentRate | [0..1] | Percentage | When multiple instances of the SideCollateralReinvestmentGrp component are present this field specifies the average reinvestment rate.
SideCollateralReinvestmentGrp | [0..*] | Group |
SideUnderlyingRefID | [0..1] | String | May be used to indicate that this entry applies to the underlying collateral instrument being referenced by the value in UnderlyingID(2874).

Used in groups: TrdCapRptSideGrp

SideCollateralAmountMarketID

Market associated with the collateral amount.

Type: String

Used in groups: SideCollateralAmountGrp

SideCollateralAmountMarketSegmentID

Market segment associated with the collateral amount.

Type: String

Used in groups: SideCollateralAmountGrp

SideCollateralAmountType

The type of value in CurrentCollateralAmount(1704).

Type: int

Allowed values in CollateralAmountTypeCodeSet:

Code | Name | Description
0 | MarketValuation | Market valuation (the default)
1 | PortfolioValue | Portfolio value before processing pledge request
2 | ValueConfirmed | Value confirmed as "locked-up" for processing a pledge request
3 | CollateralCreditValue | Credit value of collateral at CCP processing a pledge request
4 | AdditionalCollateralValue | Additional collateral value. Additional collateral deposited by the collateral provider at trade or post-trade. CollateralPercentOverage(2690) gives the overage percent
5 | EstimatedMarketValuation | Estimated market valuation. Estimated market valuation of collateral. In the context of EU SFTR this may be used for value of re-use of collateral.

Used in groups: SideCollateralAmountGrp

SideCollateralCurrency

Specifies the currency of the collateral; optional, defaults to settlement currency if not specified.

SideCollateralCurrencyCodeSource(2930) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: SideCollateralAmountGrp

SideCollateralCurrencyCodeSource

Identifies class or source of the SideCollateralCurrency(2695) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: SideCollateralAmountGrp

SideCollateralFXRate

Foreign exchange rate used to compute the SideCurrentCollateralAmount(2702) from the SideCollateralCurrency(2695) and the Currency(15).

Type: float

Used in groups: SideCollateralAmountGrp

SideCollateralFXRateCalc

Specifies whether or not SideCollateralFXRate(2696) should be multiplied or divided.

Type: char

Allowed values in UnderlyingFXRateCalcCodeSet:

Code | Name | Description
D | Divide | Divide
M | Multiply | Multiply

Used in groups: SideCollateralAmountGrp

SideCollateralMarketPrice

Market price of the collateral, either from market sources or pre-agreed by the counterparties.

Type: Price

Used in groups: SideCollateralAmountGrp

SideCollateralPercentOverage

Percentage of over-collateralization particularly when SideCollateralAmountType(2694) = 4 (Additional collateral value).

Type: Percentage

Used in groups: SideCollateralAmountGrp

SideCollateralPortfolioID

Identifier of the collateral portfolio when reporting on a portfolio basis.

Type: String

Used in groups: SideCollateralAmountGrp

SideCollateralReinvestmentAmount

The cash amount of the specified re-investment type.

Type: Amt

Used in groups: SideCollateralReinvestmentGrp

SideCollateralReinvestmentCurrency

The currency denomination of the re-invested cash amount.

SideCollateralReinvestmentCurrencyCodeSource(2932) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: SideCollateralReinvestmentGrp

SideCollateralReinvestmentCurrencyCodeSource

Identifies class or source of the SideCollateralReinvestmentCurrency(2866) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: SideCollateralReinvestmentGrp

SideCollateralReinvestmentGrp

The SideCollateralReinvestmentGrp component block is a repeating group that may be used to provide a breakdown of the cash collateral's reinvestment types and amounts (e.g. SideCollateralType(2701)="CASH").

Name | Mult. | Type | Description
NoSideCollateralReinvestments | [1..1] | NumInGroup |
SideCollateralReinvestmentType | [0..1] | CodeSet | Required if NoSideCollateralReinvestments(2864) > 0.
SideCollateralReinvestmentAmount | [0..1] | Amt |
SideCollateralReinvestmentCurrency | [0..1] | Currency |
SideCollateralReinvestmentCurrencyCodeSource | [0..1] | CodeSet |

Used in groups: SideCollateralAmountGrp

SideCollateralReinvestmentRate

Interest rate received for collateral reinvestment.

Type: Percentage

Used in groups: SideCollateralAmountGrp

SideCollateralReinvestmentType

Indicates the type of investment the cash collateral is re-invested in.

Type: int

Allowed values in CollateralReinvestmentTypeCodeSet:

Code | Name | Description
0 | MoneyMarketFund | Money market fund. Registered money market fund. In the context of EU SFTR reporting this corresponds to code "MMFT".
1 | OtherComingledPool | Other comingled pool. Any commingled pool other than money market fund. In the context of EU SFTR reporting this corresponds to code "OCMP".
2 | RepoMarket | Repo market. The repurchase agreement market. In the context of EU SFTR reporting this corresponds to code "REPM".
3 | DirectPurchaseOfSecurities | Direct purchase of securities. In the context of EU SFTR reporting this corresponds to code "SDPU".
4 | OtherInvestments | Other investments. In the context of EU SFTR reporting this corresponds to code "OTHR".

Used in groups: SideCollateralReinvestmentGrp

SideCollateralType

Type of collateral on deposit being reported.

Type: String

Used in groups: SideCollateralAmountGrp

SideComplianceID

ID within repeating group of sides which is used to represent this transaction for compliance purposes (e.g. OATS reporting).

Type: String

Used in groups: SideCrossOrdModGrp

SideCrossLegGrp

Repeating group that is similar to LegOrdGrp component in order to support leg level information per side of cross orders and is part of SideCrossOrdModGrp component. LegOrdGrp component cannot be re-used for this purpose as it contains the component blocks InstrumentLeg component and NestedParties component which are already part of the cross messages. The difference to LegOrdGrp component is that SideCrossLegGrp component does not have an InstrumentLeg component to describe the legs, it only has a single reference field to identify the leg which can be defined by the InstrumentLeg component which is present on a higher level of the message and outside of the side group.

Name | Mult. | Type | Description
NoCrossLegs | [1..1] | NumInGroup |
LegRefID | [0..1] | String | Required if NoCrossLegs(1829) > 0.
LegOrderQty | [0..1] | Qty | Quantity ordered for this leg as provided during order entry.
LegSwapType | [0..1] | CodeSet |
LegStipulations | [0..*] | Group |
LegAllocID | [0..1] | String |
LegPreAllocGrp | [0..*] | Group |
LegClearingAccountType | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
LegPositionEffect | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
LegCoveredOrUncovered | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
NestedParties3 | [0..*] | Group |
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate |
LegSettlCurrency | [0..1] | Currency |
LegSettlCurrencyCodeSource | [0..1] | CodeSet |
LegVolatility | [0..1] | float |
LegDividendYield | [0..1] | Percentage |
LegCurrencyRatio | [0..1] | float |
LegExecInst | [0..1] | CodeSet |
LegShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when LegSide(624) = 6(Sell short exempt) in InstrumentLeg component.

Used in groups: SideCrossOrdModGrp

SideCrossOrdCxlGrp

Name | Mult. | Type | Description
NoSides | [1..1] | CodeSet | Must be 1 or 2
Side | [1..1] | CodeSet |
OrigClOrdID | [0..1] | String | Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11).
ClOrdID | [1..1] | String | Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
OrigOrdModTime | [0..1] | UTCTimestamp |
Parties | [0..*] | Group | Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
OrderQtyData | [1..1] | Component |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: CrossOrderCancelRequest

SideCrossOrdModGrp

Name | Mult. | Type | Description
NoSides | [1..1] | CodeSet | Must be 1 or 2 if CrossType(549)=1(All-or-none Cross), 2 otherwise.
Side | [1..1] | CodeSet | Required if NoSides(552) > 0.
ShortMarkingExemptIndicator | [0..1] | Boolean |
OrigClOrdID | [0..1] | String | Required when referring to orders that were electronically submitted over FIX or otherwise assigned a ClOrdID(11)
ClOrdID | [1..1] | String | Unique identifier of the order as assigned by institution or by the intermediary with closest association with the investor.
SecondaryClOrdID | [0..1] | String |
ClOrdLinkID | [0..1] | String |
OrigOrdModTime | [0..1] | UTCTimestamp |
Parties | [0..*] | Group |
SideCrossLegGrp | [0..*] | Group |
SideShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when Side(54) = 6 (Sell short exempt).
TradeOriginationDate | [0..1] | LocalMktDate |
TradeDate | [0..1] | LocalMktDate |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
DayBookingInst | [0..1] | CodeSet |
BookingUnit | [0..1] | CodeSet |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String | Use to assign an identifier to the block of preallocations
PreAllocGrp | [0..*] | Group |
QtyType | [0..1] | CodeSet |
OrderQtyData | [1..1] | Component |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
OrderOrigination | [0..1] | CodeSet |
OriginatingDeptID | [0..1] | String |
ReceivingDeptID | [0..1] | String |
RoutingArrangementIndicator | [0..1] | CodeSet |
PreTradeAnonymity | [0..1] | Boolean |
CustOrderCapacity | [0..1] | CodeSet |
ForexReq | [0..1] | CodeSet | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.
SettlCurrency | [0..1] | Currency | Conditionally required when ForexReq(121) = "Y".
SettlCurrencyCodeSource | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet | 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). Absence of this field implies regular booking.
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
ClearingAccountType | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet | For use in derivatives omnibus accounting
CoveredOrUncovered | [0..1] | CodeSet | For use with derivatives, such as options
CashMargin | [0..1] | CodeSet |
ClearingFeeIndicator | [0..1] | CodeSet |
SolicitedFlag | [0..1] | CodeSet |
SideComplianceID | [0..1] | String |
SideTimeInForce | [0..1] | UTCTimestamp | Specifies how long the order as specified in the side stays in effect. Absence of this field indicates Day order.

Used in messages: CrossOrderCancelReplaceRequest, NewOrderCross

SideCurrency

Used to identify the trading currency on the Trade Capture Report Side

Type: Currency

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideCurrencyCodeSource

Identifies class or source of the SideCurrency(1154) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideCurrentCollateralAmount

Currency value currently attributed to the collateral.

Type: Amt

Used in groups: SideCollateralAmountGrp

SideExecID

When reporting trades, used to reference the identifier of the execution (ExecID) being reported if different ExecIDs were assigned to each side of the trade.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideExecRefID

Used to reference the value from SideExecID(1427).

Type: String

Used in groups: TrdMatchSideGrp

SideFillStationCd

Used on a multi-sided trade to convey order routing information

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideGrossTradeAmt

The gross trade amount for this side of the trade. See also GrossTradeAmt (381) for additional definition.

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideHaircutIndicator

Indicates, if "Y", that a stated valuation includes a haircut, e.g. that the stated value reflects the subtraction of the haircut. Note that a value of "N" does not imply a haircut is not applicable, only that the haircut (if any) is not reflected in the stated valuation.

Type: Boolean

Used in groups: SideCollateralAmountGrp

SideLastQty

Used to indicate the quantity on one side of a multi-sided trade.

Type: Qty

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideLiquidityInd

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled.

Type: int

Allowed values in LastLiquidityIndCodeSet:

Code
Name
Description

0
NeitherAddedNorRemovedLiquidity
Neither added nor removed liquidity. May be used by venues where market rules do not define "add" or "remove" liquidity. In the context of the SEC amendment of Regulation NMS Rule 606(b), may be used to identify executions that are only reported as part of total shares executed and not as part of shares providing or removing liquidity (see https://www.sec.gov/rules/final/2018/34-84528.pdf for details).

1
AddedLiquidity
Added Liquidity

2
RemovedLiquidity
Removed Liquidity

3
LiquidityRoutedOut
Liquidity Routed Out

4
Auction
Auction execution

5
TriggeredStopOrder
Triggered stop order. Fill was the result of a stop order being triggered and immediately executed.

6
TriggeredContingencyOrder
Triggered contingency order. Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed.

7
TriggeredMarketOrder
Triggered market order. Fill was the result of a market order being triggered due to an executable orderbook situation.

8
RemovedLiquidityAfterFirmOrderCommitment
Removed liquidity after firm order commitment. An order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

9
AuctionExecutionAfterFirmOrderCommitment
Auction execution after firm order commitment. An order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.

10
Unknown
Unknown. The liquidity indicator of the execution cannot be determined or was not provided upon execution.

11
Other
Other. None of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values).

Used in groups: TrdCapRptSideGrp

SideMarketSegmentID

Identifies the market segment of the side.

Type: String

Used in groups: TrdMatchSideGrp

SideMultiLegReportingType

Used to indicate if the side being reported on Trade Capture Report represents a leg of a multileg instrument or a single security.

Type: int

Allowed values in SideMultiLegReportingTypeCodeSet:

Code | Name | Description
1 | SingleSecurity | Single Security (default if not specified)
2 | IndividualLegOfAMultilegSecurity | Individual leg of a multileg security
3 | MultilegSecurity | Multileg Security

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideOrigTradeID

Used to capture the original trade id for each side of a trade undergoing novation to a standardized model.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SidePriceDifferential

Price Differential between the front and back leg of a spread or complex instrument.

Type: Price

Used in groups: TrdCapRptSideGrp, TrdMatchSideGrp

SideReasonCd

Used on a multi-sided trade to convey reason for execution

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideRegulatoryLegRefID

Identifies the leg of the trade the entry applies to by referencing the leg's LegID(1788).

Type: String

Used in groups: SideRegulatoryTradeIDGrp

SideRegulatoryTradeID

Trade identifier required by government regulators or other regulatory organziations for regulatory reporting purposes. For example, unique swap identifier (USI) as required by the U.S. Commodity Futures Trading Commission.

Type: String

Used in groups: SideRegulatoryTradeIDGrp

SideRegulatoryTradeIDEvent

Identifies the event which caused origination of the identifier in SideRegulatoryTradeID(1972). When more than one event is the cause, use the higher enumeration value. For example, if the identifier is originated due to an allocated trade which was cleared and reported, use the enumeration value 2 (Clearing).

Type: int

Allowed values in RegulatoryTradeIDEventCodeSet:

Code | Name | Description
0 | InitialBlockTrade | Initial block trade.
1 | Allocation | Allocation. Determination that the block trade will not be further allocated.
2 | Clearing | Clearing
3 | Compression | Compression
4 | Novation | Novation
5 | Termination | Termination
6 | PostTrdVal | Post-trade valuation

Used in groups: SideRegulatoryTradeIDGrp

SideRegulatoryTradeIDGrp

The SideRegulatoryTradeIDGrp is a repeating component within the TrdCapRptSideGrp component used to report the source, value and relationship of multiple trade identifiers for the same trade side.

This component can be used to meet regulatory trade reporting requirements where identifiers such as the Unique Swaps Identifier (USI) are required to be reported, showing the chaining of these identifiers as needed.

Name | Mult. | Type | Description
NoSideRegulatoryTradeIDs | [1..1] | NumInGroup |
SideRegulatoryTradeID | [0..1] | String | Required if NoSideRegulatoryTradeIDs(1971) > 0.
SideRegulatoryTradeIDSource | [0..1] | CodeSet |
SideRegulatoryTradeIDEvent | [0..1] | CodeSet |
SideRegulatoryTradeIDType | [0..1] | CodeSet |
SideRegulatoryLegRefID | [0..1] | String | This field may be used for multi-leg trades sent as a single message to indicate that the entry applies only to a specific leg.
SideRegulatoryTradeIDScope | [0..1] | CodeSet |

Used in groups: TrdCapRptSideGrp

SideRegulatoryTradeIDScope

Specifies the scope to which the SideRegulatoryTradeID(1972) applies. Used when a trade must be assigned more than one identifier, e.g. one for the clearing member and another for the client on a cleared trade as with the principal model in Europe.

Type: int

Allowed values in RegulatoryTradeIDScopeCodeSet:

Code | Name | Description
1 | ClearingMember | Clearing member
2 | Client | Client

Used in groups: SideRegulatoryTradeIDGrp

SideRegulatoryTradeIDSource

Identifies the reporting entity that originated the value in RegulatoryTradeID(1903). The reporting entity identifier may be assigned by a regulator or from a supported standard identifier source scheme.

Type: String

Allowed values in RegulatoryTradeIDSourceCodeSet:

Code | Name | Description
1 | UniqueTransactionIdentifier | Unique Transaction Identifier (ISO 23897)

Used in groups: SideRegulatoryTradeIDGrp

SideRegulatoryTradeIDType

Specifies the type of trade identifier provided in SideRegulatoryTradeID(1972), within the context of the hierarchy of trade events.

Type: int

Allowed values in RegulatoryTradeIDTypeCodeSet:

Code
Name
Description

0
Current
Current. The default if not specified.

1
Previous
Previous. The previous trade's identifier when reporting a cleared trade or novation of a previous trade.

2
Block
Block. The block trade's identifier when reporting an allocated subtrade.

3
Related
Related. The related trade identifier when reporting a mixed swap.

4
ClearedBlockTrade
Cleared block trade. Assigned by the CCP to a bunched order/trade when it needs to be cleared with the standby clearing firm prior to post-trade allocation.

5
TradingVenueTransactionIdentifier
Trading venue transaction identifier. Assigned by the trading venue to a transaction. In the context of ESMA RTS 22 and RTS 24, this is an unique transaction identification "number generated by trading venues and disseminated to both the buying and selling parties in accordance with Article 12 of [RTS 24 on the maintenance of relevant data relating to orders in financial instruments under Article 25 of Regulation 600/2014 EU]." (quoted text from RTS 22). "Uniqueness" may be defined per relevant regulations.

6
ReportTrackingNumber
Report tracking number. In the context of EMIR Refit this is a "unique code assigned to the execution of an order and common for a group of reports related to the same execution" (see Q28 in https://www.esma.europa.eu/sites/default/files/library/esma74-362-2281_final_report_guidelines_emir_refit.pdf). Also referred to as the RTN.

Used in groups: SideRegulatoryTradeIDGrp

SideRiskLimitCheckStatus

Indicates the status of the risk limit check performed on the side of a trade.

Type: int

Allowed values in RiskLimitCheckStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted. For use when none of the more specific status enumerations apply.
1 | Rejected | Rejected. For use when none of the more specific status enumerations apply.
2 | ClaimRequired | Claim required. Indicates that the clearing firm is required to accept or decline the trade.
3 | PreDefinedLimitCheckSucceeded | Pre-defined limit check succeeded. Indicates a check enforced automatically by the clearing house.
4 | PreDefinedLimitCheckFailed | Pre-defined limit check failed. Indicates a check enforced automatically by the clearing house.
5 | PreDefinedAutoAcceptRuleInvoked | Pre-defined auto-accept rule invoked. Indicates that the clearing firm is required to accept or decline the trade because no limit or rule applies.
6 | PreDefinedAutoRejectRuleInvoked | Pre-defined auto-reject rule invoked. Indicates a check enforced automatically by the clearing house. Note that clearing house rules of engagement may still require a clearing firm accept or reject the trade.
7 | AcceptedByClearingFirm | Accepted by clearing firm. Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for accepting the trade.
8 | RejectedByClearingFirm | Rejected by clearing firm. Indicates that explicit action by the clearing firm, and not an automatic check by the clearing house, was the basis for rejecting the trade.
9 | Pending | Pending. Indicates that one or more side level risk checks are in progress.
10 | AcceptedByCreditHub | Accepted by credit hub. Indicates that a credit hub accepted the trade. An identifier assigned by the credit hub may appear in the appropriate RefRiskLimitCheckID(2334) field.
11 | RejectedByCreditHub | Rejected by credit hub. Indicates that a credit hub rejected the trade.
12 | PendingCreditHubCheck | Pending credit hub check. Indicates that a check is pending at a credit hub.
13 | AcceptedByExecVenue | Accepted by execution venue. Indicates acceptance by an execution venue, such as a SEF.
14 | RejectedByExecVenue | Rejected by execution venue. Indicates that the trade was rejected by an execution venue, such as a SEF.

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideSettlCurrency

Used to identify the settlement currency on the Trade Capture Report Side

Type: Currency

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideSettlCurrencyCodeSource

Identifies class or source of the SideSettlCurrency(1155) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideShortSaleExemptionReason

Indicates the reason a short sale is exempted from applicable regulation (e.g. Reg SHO addendum (b)(1) in the U.S.)

Type: int

Allowed values in ShortSaleExemptionReasonCodeSet:

Code
Name
Description

0
ExemptionReasonUnknown
Exemption reason unknown. An exemption reason not provided or received.

1
IncomingSSE
Income sell short exempt. Agency broker has the customer's exemption reason, which is not explicitly provided to executing broker.

2
AboveNationalBestBid
Above national best bid (broker/dealer provision). Broker / dealer responsible for enforcing exemption rule has determined that the order is priced one or more ticks above the nation best bid of the security to be traded.

3
DelayedDelivery
Delayed delivery. The broker-dealer has a reasonable basis to believe the seller owns the covered security (pursuant to Rule 200 in the U.S.), but is subject to restrictions on delivery, provided that the seller intends to deliver the security as soon as all restrictions on delivery have been removed.

4
OddLot
Odd lot. The broker-dealer has a reasonable basis to believe the sale is by a market maker to offset customer odd-lot orders or to liquidate an odd-lot position that changes such broker’s or dealer’s position by no more than a unit of trading.

5
DomesticArbitrage
Domestic arbitrage. The sale is connected to a bona-fide domestic arbitrage transaction.

6
InternationalArbitrage
International arbitrage. The sale is connected to an international arbitrage transaction.

7
UnderwriterOrSyndicateDistribution
Underwriter or syndicate distribution. The short sale is (i) by an underwriter or member of a syndicate or group participating in the distribution of a security in connection with an over-allotment of securities; or (ii) is for purposes of a lay-off sale by an underwriter or member of a syndicate or group in connection with a distribution of securities through a rights or standby underwriting commitment.

8
RisklessPrincipal
Riskless principal. The short sale is by a broker or dealer effecting the execution of a customer purchase or the execution of a customer “long” sale on a riskless principal basis.

9
VWAP
VWAP. The short sale order is for the sale of a covered security at the volume weighted average price (VWAP) meeting certain criteria.

Used in groups: SideCrossOrdModGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideTimeInForce

Indicates how long the order as specified in the side stays in effect. SideTimeInForce allows a two-sided cross order to specify order behavior separately for each side. Absence of this field indicates that TimeInForce should be referenced. SideTimeInForce will override TimeInForce if both are provided.

Type: UTCTimestamp

Used in groups: SideCrossOrdModGrp

SideTradeID

Used to represent the trade ID for each side of the trade assigned by an intermediary.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideTradeReportID

Used on a multi-sided trade to designate the ReportID

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideTradeReportingIndicator

Used between parties to convey trade reporting status.

Type: int

Allowed values in TradeReportingIndicatorCodeSet:

Code | Name | Description
0 | NotReported | Trade has not (yet) been reported. Depending on the regulatory regime the trade is reportable and the recipient may be responsible for reporting.
1 | OnBook | Trade has been or will be reported by a trading venue as an "on-book" trade
2 | SISeller | Trade has or will be reported as a seller trade by the authorised reporter
3 | SIBuyer | Trade has or will be reported as a buyer trade by the authorised reporter
4 | NonSISeller | Trade has or will be reported as a seller trade by an entity other than the authorised reporter
5 | SubDelegationByFirm | Trade has been or will be reported under a sub-delegation arrangement by an investment firm to a reporting facility (e.g. APA) on behalf of another investment firm
6 | Reportable | Trade has been or will be reported. Depending on the regulatory regime the recipient is not responsible for reporting.
7 | NonSIBuyer | Trade has been or will be reported as a buyer trade by an entity other than the authorised reporter
8 | OffBook | Trade has been or will be reported by a trading venue as an "off-book" trade
9 | NotReportable | Trade is not reportable. The (non-equity) instrument does not need to be reported by any party, e.g. because it is not deemed to have been traded on a trading venue.

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideTrdRegTimestamp

Same as TrdRegTimestamp(769). Used in a multi-sided message to indicate relevant trade-side timestamp.

Type: UTCTimestamp

Used in groups: SideTrdRegTS

SideTrdRegTimestampSrc

Same as TrdRegTimestampOrigin(771). Used in a multi-sided message to indicate relevant trade-side origin or source of timestamp.

Type: String

Used in groups: SideTrdRegTS

SideTrdRegTimestampType

Same as TrdRegTimeStampType(770). Used in a multi-sided message to indicate relevant trade-side timestamp type.

Type: int

Allowed values in TrdRegTimestampTypeCodeSet:

Code | Name | Description
1 | ExecutionTime | Execution time. Timestamp for the order execution. In the context of US futures markets (CFTC regulated) this is the non-qualified reporting time of order execution.
2 | TimeIn | Time in. Timestamp for receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp of when the order was received on the trading floor (booth).
3 | TimeOut | Time out. Timestamp for sending an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp when the trade was received from the pit.
4 | BrokerReceipt | Broker receipt. Timestamp for a broker receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the time at which the broker received the order.
5 | BrokerExecution | Broker execution. Timestamp for the broker executing an order. In the context of US futures markets (CFTC regulated) this is the time at which a broker executed the order for another broker.
6 | DeskReceipt | Desk receipt. Timestamp for the transmission of an order to an internal desk or department on the same day the firm received the order.
7 | SubmissionToClearing | Submission to clearing. The timestamp when the trade was officially acknowledged by the Clearing House.
8 | TimePriority | Time priority. A timestamp (manually or electronically) assigned by a market to specify time priority for an order or quote.
9 | OrderbookEntryTime | Orderbook entry time. Timestamp for an order representing the time it was entered in the orderbook of the execution venue. The orderbook entry time cannot change during the lifetime of the order.
10 | OrderSubmissionTime | Order submission time. Time the order was sent by the submitter.
11 | PubliclyReported | Publicly reported. In the context of MiFID II, this is used to identify the time at which the transaction was first published to the market.
12 | PublicReportUpdated | Public report updated. In the context of MiFID II, this is used to identify the time at which the transaction's publication to the market was last updated
13 | NonPubliclyReported | Non-publicly reported
14 | NonPublicReportUpdated | Non-public report updated
15 | SubmittedForConfirmation | Submitted for confirmation
16 | UpdatedForConfirmation | Updated for confirmation
17 | Confirmed | Confirmed
18 | UpdatedForClearing | Updated for clearing
19 | Cleared | Cleared
20 | AllocationsSubmitted | Allocations submitted
21 | AllocationsUpdated | Allocations updated
22 | AllocationsCompleted | Allocations completed
23 | SubmittedToRepository | Submitted to repository
24 | PostTrdContntnEvnt | Post-trade continuation event
25 | PostTradeValuation | Post-trade valuation
26 | PreviousTimePriority | Previous time priority. Can be used in conjunction with TrdRegTimestampType(770) = 8 (Time priority) to provide the current and last priority timestamp in a single message.
27 | IdentifierAssigned | Identifier assigned. Timestamp for the assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
28 | PreviousIdentifierAssigned | Previous identifier assigned. Timestamp of previous assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
29 | OrderCancellationTime | Order cancellation time. Timestamp for the cancellation of an order or quote.
30 | OrderModificationTime | Order modification time. Timestamp for the modification of an order or quote.
31 | OrderRoutingTime | Order routing time. Timestamp for the routing of an order to another broker or electronic execution venue.
32 | TradeCancellationTime | Trade cancellation time. Timestamp for the cancellation of an execution (ExecType(150) = H (Trade Cancel)) or trade (TradeReportType(856) = 6 (Trade Report Cancel)).
33 | TradeModificationTime | Trade modification time. Timestamp for the modification of an execution (ExecType(150) = G (Trade Correct)) or trade (TradeReportType(856) = 5 (No/Was)).
34 | ReferenceTimeForNBBO | Reference time for NBBO. Timestamp for an NBBO reference price.
35 | Affirmed | Affirmed

Used in groups: SideTrdRegTS

SideTrdRegTS

The SideTrdRegTS component block is used to convey trading or regulatory timestamps associated with one side of a multi-sided trade event.

Name | Mult. | Type | Description
NoSideTrdRegTS | [1..1] | NumInGroup |
SideTrdRegTimestamp | [0..1] | UTCTimestamp |
SideTrdRegTimestampType | [0..1] | CodeSet |
SideTrdRegTimestampSrc | [0..1] | String |

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

SideTrdSubType

Used on a multi-sided trade to specify the type of trade for a given side. Same values as TrdSubType (829).

Type: int

Allowed values in TrdSubTypeCodeSet:

Code
Name
Description

0
CMTA
CMTA

1
InternalTransferOrAdjustment
Internal transfer or adjustment

2
ExternalTransferOrTransferOfAccount
External transfer or transfer of account

3
RejectForSubmittingSide
Reject for submitting side

4
AdvisoryForContraSide
Advisory for contra side

5
OffsetDueToAnAllocation
Offset due to an allocation

6
OnsetDueToAnAllocation
Onset due to an allocation

7
DifferentialSpread
Differential spread

8
ImpliedSpreadLegExecutedAgainstAnOutright
Implied spread leg executed against an outright

9
TransactionFromExercise
Transaction from exercise

10
TransactionFromAssignment
Transaction from assignment

11
ACATS
ACATS

14
AI
AI (Automated input facility disabled in response to an exchange request.)

15
B
B (Transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.)

16
K
K (Transaction using block trade facility.)

17
LC
LC (Correction submitted more than three days after publication of the original trade report.)

18
M
M (Transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.)

19
N
N (Non-protected portfolio transaction or a fully disclosed portfolio transaction)

20
NM
NM ( i) transaction where Exchange has granted permission for non-publication. ii)IDB is reporting as seller. iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.)

21
NR
NR (Non-risk transaction in a SEATS security other than an AIM security)

22
P
P (Protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities)

23
PA
PA (Protected transaction notification)

24
PC
PC (Contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system)

25
PN
PN (Worked principal notification for a portfolio transaction which includes order book securities)

26
R
R ( (i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction). (ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)or. (iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).)

27
RO
RO (Transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant)

28
RT
RT (Risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security)

29
SW
SW (Transactions resulting from stock swap or a stock switch (one report is required for each line of stock))

30
T
T (If reporting a single protected transaction)

31
WN
WN (Worked principal notification for a single order book security)

32
WT
WT (Worked principal transaction (other than a portfolio transaction))

33
OffHoursTrade
Off Hours Trade

34
OnHoursTrade
On Hours Trade

35
OTCQuote
OTC Quote

36
ConvertedSWAP
Converted SWAP

37
CrossedTrade
Crossed Trade (X)

38
InterimProtectedTrade
Interim Protected Trade (I)

39
LargeInScale
Large in Scale (L)

40
WashTrade
Wash Trade

41
TradeAtSettlement
Trade at Settlement (TAS). Identifies a trade that will be priced using the settlement price.

42
AuctionTrade
Auction Trade. Mutually exclusive with TrdSubType(829) = 50 (Balancing).

43
TradeAtMarker
Trade at Marker (TAM). Posted at a specific time each day and used to price the consummated trade for the product/month/strip executed (+/- and differentials). Closely related to TAS trades in function and trade practice.

44
CreditDefault
Default (Credit Event)

45
CreditRestructuring
Restructuring (credit event)

46
Merger
Merger (succession event)

47
SpinOff
Spin-off (succession event)

48
MultilateralCompression
Multilateral compression. Used to identify a special case of compression between multiple parties, e.g. for netted or portfolio trades.

50
Balancing
Balancing. Identifies an additional trade distributed to auction participants meant to resolve an imbalance between bids and offers. Mutually exclusive with TrdSubType(829) = 42 =(Auction).

51
BasisTradeIndexClose
Basis Trade index Close (BTIC). The marketplace name given to Trade at Marker (TAM) transactions in equity index futures.

52
TradeAtCashOpen
Trade At Cash Open (TACO). The marketplace name given to trading futures based on an opening quote of the underlying cash market.

53
TrdSubmitVenueClrSettl
Trade submitted to venue for clearing and settlement. Identifies trades brought on a trading venue purely for clearing and settlement purposes.

54
BilateralCompression
Bilateral compression. Used to identify a special case of compression between two parties, e.g. for netted or portfolio trades.

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

SideUnderlyingRefID

Identifies the underlying instrument the entity applies to by referencing the underlying instrument's UnderlyingID(2874).

Type: String

Used in groups: SideCollateralAmountGrp

SideValue1

Amounts in currency

Type: Amt

Used in messages: BidRequest

SideValue2

Amounts in currency

Type: Amt

Used in messages: BidRequest

SideValueInd

Code to identify which "SideValue" the value refers to. SideValue1 and SideValue2 are used as opposed to Buy or Sell so that the basket can be quoted either way as Buy or Sell.

Type: int

Allowed values in SideValueIndCodeSet:

Code | Name | Description
1 | SideValue1 | Side Value 1
2 | SideValue2 | Side Value 2

Used in groups: BidDescReqGrp, ListOrdGrp

SideVenueType

Identifies the type of venue where the trade was executed for the side.

Type: char

Allowed values in VenueTypeCodeSet:

Code | Name | Description
E | Electronic | Electronic exchange
P | Pit | Pit
X | ExPit | Ex-pit
C | ClearingHouse | Clearinghouse
R | RegisteredMarket | Registered market. Markets registered with regulators such as exchange, multilateral trading facility (MTF), swap execution facility (SEF). In the context of regulatory reporting (e.g. CFTC reporting), this is used for regulated markets, e.g. swap markets.
O | OffMarket | Off-market. Off-book, off-facility. In the context of regulatory reporting (e.g. CFTC reporting) this identifies trades conducted away from a regulated market.
B | CentralLimitOrderBook | Central limit order book
Q | QuoteDrivenMarket | Quote driven market
D | DarkOrderBook | Dark order book
A | AuctionDrivenMarket | Auction driven market. Markets where matching occurs only in scheduled auctions.
N | QuoteNegotiation | Quote negotiation. Discretionary quoting on request or "request for quote" market.
V | VoiceNegotiation | Voice negotiation. A trading system where transactions between members are arranged through voice negotiation.
H | HybridMarket | Hybrid market. A hybrid system falling into two or more types of trading systems. In the context of ESMA reporting, this is for "Hybrid system." In the context of FCA reporting, this is for "Any other, including hybrid."
z | OtherMarket | Other market (lowercase "z"). A market that does not fall under any of the market types defined for VenueType(1430). In the context of ESMA reporting, this is for "Any other, excluding hybrid."

Used in groups: TrdMatchSideGrp

Signature

Electronic signature

Type: data

Used in components: StandardTrailer

SignatureLength

Number of bytes in signature field

Type: Length

Used in components: StandardTrailer

SingleQuoteIndicator

Used to indicate whether the quoting system allows only one quote to be active at a time for the quote issuer or market maker.

Type: Boolean

Allowed values in SingleQuoteIndicatorCodeSet:

Code | Name | Description
N | MultipleQuotesAllowed | Multiple quotes allowed
Y | OnlyOneQuoteAllowed | Only one quote allowed

Used in messages: Quote

SolicitedFlag

Indicates whether or not the order was solicited.

Type: Boolean

Allowed values in SolicitedFlagCodeSet:

Code | Name | Description
N | WasNotSolicited | Was not solicited
Y | WasSolicited | Was solicited

Used in groups: ListOrdGrp, SideCrossOrdModGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

SpecialDividendsIndicator

Indicates whether special dividends are applicable.

Type: Boolean

Used in components: DividendConditions

Spread

For Fixed Income. Either Swap Spread or Spread to Benchmark depending upon the order type.

Spread to Benchmark: Basis points relative to a benchmark. To be expressed as count of basis points (vs. an absolute value). E.g. High Grade Corporate Bonds may express price as basis points relative to benchmark (the BenchmarkCurveName(221) field). Note: Basis points can be negative.

Swap Spread: Target spread for a swap.

Type: PriceOffset

Used in components: SpreadOrBenchmarkCurveData

SpreadOrBenchmarkCurveData

The SpreadOrBenchmarkCurveData component block is primarily used for Fixed Income to convey spread to a benchmark security or curve.

Name | Mult. | Type | Description
Spread | [0..1] | PriceOffset | For Fixed Income
BenchmarkCurveCurrency | [0..1] | Currency |
BenchmarkCurveCurrencyCodeSource | [0..1] | CodeSet |
BenchmarkCurveName | [0..1] | CodeSet |
BenchmarkCurvePoint | [0..1] | String |
BenchmarkPrice | [0..1] | Price |
BenchmarkPriceType | [0..1] | CodeSet | Must be present if BenchmarkPrice is used.
BenchmarkSecurityID | [0..1] | String | The identifier of the benchmark security, e.g. Treasury against Corporate bond.
BenchmarkSecurityIDSource | [0..1] | CodeSet | Source of BenchmarkSecurityID. If not specified, then ID Source is understood to be the same as that in the Instrument block.

Used in groups: InstrmtMDReqGrp, ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp, SecListGrp, SecLstUpdRelSymGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, ExecutionReport, IOI, NewOrderCross, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, TradeCaptureReport

StandardHeader

The standard FIX message header

Name | Mult. | Type | Description
BeginString | [1..1] | CodeSet | FIXT.1.1 (Always unencrypted, must be first field in message)
BodyLength | [1..1] | Length | (Always unencrypted, must be second field in message)
MsgType | [1..1] | CodeSet | (Always unencrypted, must be third field in message)
ApplVerID | [0..1] | CodeSet | Indicates application version using a service pack identifier. The ApplVerID applies to a specific message occurrence.
ApplExtID | [0..1] | int |
CstmApplVerID | [0..1] | String | Used to support bilaterally agreed custom functionality
SenderCompID | [1..1] | String | (Always unencrypted)
TargetCompID | [1..1] | String | (Always unencrypted)
OnBehalfOfCompID | [0..1] | String | Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
DeliverToCompID | [0..1] | String | Trading partner company ID used when sending messages via a third party (Can be embedded within encrypted data section.)
SecureDataLen | [0..1] | Length | Required to identify length of encrypted section of message. (Always unencrypted)
SecureData | [0..1] | data | Required when message body is encrypted. Always immediately follows SecureDataLen field.
MsgSeqNum | [1..1] | SeqNum | (Can be embedded within encrypted data section.)
SenderSubID | [0..1] | String | (Can be embedded within encrypted data section.)
SenderLocationID | [0..1] | String | Sender's LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)
TargetSubID | [0..1] | String | "ADMIN" reserved for administrative messages not intended for a specific user. (Can be embedded within encrypted data section.)
TargetLocationID | [0..1] | String | Trading partner LocationID (i.e. geographic location and/or desk) (Can be embedded within encrypted data section.)
OnBehalfOfSubID | [0..1] | String | Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
OnBehalfOfLocationID | [0..1] | String | Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
DeliverToSubID | [0..1] | String | Trading partner SubID used when delivering messages via a third party. (Can be embedded within encrypted data section.)
DeliverToLocationID | [0..1] | String | Trading partner LocationID (i.e. geographic location and/or desk) used when delivering messages via a third party. (Can be embedded within encrypted data section.)
PossDupFlag | [0..1] | CodeSet | Always required for retransmitted messages, whether prompted by the sending system or as the result of a resend request. (Can be embedded within encrypted data section.)
PossResend | [0..1] | CodeSet | Required when message may be duplicate of another message sent under a different sequence number. (Can be embedded within encrypted data section.)
SendingTime | [1..1] | UTCTimestamp | (Can be embedded within encrypted data section.)
OrigSendingTime | [0..1] | UTCTimestamp | Required for message resent as a result of a ResendRequest. If data is not available set to same value as SendingTime (Can be embedded within encrypted data section.)
XmlDataLen | [0..1] | Length | Required when specifying XmlData to identify the length of a XmlData message block. (Can be embedded within encrypted data section.)
XmlData | [0..1] | XMLData | Can contain a XML formatted message block (e.g. FIXML). Always immediately follows XmlDataLen field. (Can be embedded within encrypted data section.). See Volume 1: FIXML Support
MessageEncoding | [0..1] | String | Type of message encoding (non-ASCII characters) used in a message's "Encoded" fields. Required if any "Encoding" fields are used.
LastMsgSeqNumProcessed | [0..1] | SeqNum | The last MsgSeqNum value received by the FIX engine and processed by downstream application, such as trading system or order routing system. Can be specified on every message sent. Useful for detecting a backlog with a counterparty.
HopGrp | [0..*] | Group | Number of repeating groups of historical "hop" information. Only applicable if OnBehalfOfCompID is used, however, its use is optional. Note that some market regulations or counterparties may require tracking of message hops.

Used in messages: AccountSummaryReport, AdjustedPositionReport, Advertisement, AlgoCertificateReport, AlgoCertificateReportAck, AlgoCertificateRequest, AlgoCertificateRequestAck, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationInstructionAlertRequestAck, AllocationReport, AllocationReportAck, ApplicationMessageReport, ApplicationMessageRequest, ApplicationMessageRequestAck, AssignmentReport, BidRequest, BidResponse, BusinessMessageReject, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ConfirmationAck, ConfirmationRequest, ContraryIntentionReport, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, CrossRequest, CrossRequestAck, DerivativeSecurityList, DerivativeSecurityListRequest, DerivativeSecurityListUpdateReport, DontKnowTrade, Email, ExecutionAck, ExecutionReport, Heartbeat, IOI, ListCancelRequest, ListExecute, ListStatus, ListStatusRequest, ListStrikePrice, Logon, Logout, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataIncrementalRefresh, MarketDataReport, MarketDataRequest, MarketDataRequestReject, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionRequest, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NetworkCounterpartySystemStatusRequest, NetworkCounterpartySystemStatusResponse, NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle, News, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PartyActionReport, PartyActionRequest, PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListReport, PartyDetailsListRequest, PartyDetailsListUpdateReport, PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsReport, PartyEntitlementsRequest, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport, PayManagementReport, PayManagementReportAck, PayManagementRequest, PayManagementRequestAck, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteAck, QuoteCancel, QuoteRequest, QuoteRequestReject, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RFQRequest, RegistrationInstructions, RegistrationInstructionsResponse, Reject, RequestForPositions, RequestForPositionsAck, ResendRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityList, SecurityListRequest, SecurityListUpdateReport, SecurityMassStatus, SecurityMassStatusRequest, SecurityRiskMetricsReport, SecurityStatus, SecurityStatusRequest, SecurityTypeRequest, SecurityTypes, SequenceReset, SettlementInstructionRequest, SettlementInstructions, SettlementObligationReport, SettlementStatusReport, SettlementStatusReportAck, SettlementStatusRequest, SettlementStatusRequestAck, StreamAssignmentReport, StreamAssignmentReportACK, StreamAssignmentRequest, TestActionReport, TestActionRequest, TestActionRequestAck, TestRequest, TestSuiteDefinitionRequest, TestSuiteDefinitionRequestAck, TradeAggregationReport, TradeAggregationRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradeMatchReport, TradeMatchReportAck, TradingSessionList, TradingSessionListRequest, TradingSessionListUpdateReport, TradingSessionStatus, TradingSessionStatusRequest, UserNotification, UserRequest, UserResponse, XMLnonFIX

StandardTrailer

The standard FIX message trailer

Name | Mult. | Type | Description
SignatureLength | [0..1] | Length | Required when trailer contains signature. Note: Not to be included within SecureData field
Signature | [0..1] | data | Note: Not to be included within SecureData field
CheckSum | [1..1] | String | (Always unencrypted, always last field in message)

Used in messages: AccountSummaryReport, AdjustedPositionReport, Advertisement, AlgoCertificateReport, AlgoCertificateReportAck, AlgoCertificateRequest, AlgoCertificateRequestAck, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationInstructionAlertRequestAck, AllocationReport, AllocationReportAck, ApplicationMessageReport, ApplicationMessageRequest, ApplicationMessageRequestAck, AssignmentReport, BidRequest, BidResponse, BusinessMessageReject, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ConfirmationAck, ConfirmationRequest, ContraryIntentionReport, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, CrossRequest, CrossRequestAck, DerivativeSecurityList, DerivativeSecurityListRequest, DerivativeSecurityListUpdateReport, DontKnowTrade, Email, ExecutionAck, ExecutionReport, Heartbeat, IOI, ListCancelRequest, ListExecute, ListStatus, ListStatusRequest, ListStrikePrice, Logon, Logout, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataIncrementalRefresh, MarketDataReport, MarketDataRequest, MarketDataRequestReject, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionRequest, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MassQuote, MassQuoteAck, MultilegOrderCancelReplace, NetworkCounterpartySystemStatusRequest, NetworkCounterpartySystemStatusResponse, NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle, News, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, OrderStatusRequest, PartyActionReport, PartyActionRequest, PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListReport, PartyDetailsListRequest, PartyDetailsListUpdateReport, PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsReport, PartyEntitlementsRequest, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport, PayManagementReport, PayManagementReportAck, PayManagementRequest, PayManagementRequestAck, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteAck, QuoteCancel, QuoteRequest, QuoteRequestReject, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RFQRequest, RegistrationInstructions, RegistrationInstructionsResponse, Reject, RequestForPositions, RequestForPositionsAck, ResendRequest, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityList, SecurityListRequest, SecurityListUpdateReport, SecurityMassStatus, SecurityMassStatusRequest, SecurityRiskMetricsReport, SecurityStatus, SecurityStatusRequest, SecurityTypeRequest, SecurityTypes, SequenceReset, SettlementInstructionRequest, SettlementInstructions, SettlementObligationReport, SettlementStatusReport, SettlementStatusReportAck, SettlementStatusRequest, SettlementStatusRequestAck, StreamAssignmentReport, StreamAssignmentReportACK, StreamAssignmentRequest, TestActionReport, TestActionRequest, TestActionRequestAck, TestRequest, TestSuiteDefinitionRequest, TestSuiteDefinitionRequestAck, TradeAggregationReport, TradeAggregationRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradeMatchReport, TradeMatchReportAck, TradingSessionList, TradingSessionListRequest, TradingSessionListUpdateReport, TradingSessionStatus, TradingSessionStatusRequest, UserNotification, UserRequest, UserResponse, XMLnonFIX

StandardVariance

Standard variance (over the lifetime of an instrument) or initial variance used to calculate settlement prices, e.g. for variance futures.

Type: float

Used in groups: ClearingPriceParametersGrp

StandInstDbID

Unique identifier used on the Standing Instructions database for the Standing Instructions to be referenced.

Type: String

Used in components: SettlInstructionsData

Used in groups: SettlDetails

Used in messages: SettlementInstructionRequest

StandInstDbName

Name of the Standing Instruction database represented with StandInstDbType (169) (i.e. the Global Custodian's name).

Type: String

Used in components: SettlInstructionsData

Used in groups: SettlDetails

Used in messages: SettlementInstructionRequest

StandInstDbType

Identifies the Standing Instruction database used

Type: int

Allowed values in StandInstDbTypeCodeSet:

Code | Name | Description
0 | Other | Other
1 | DTCSID | DTC SID
2 | ThomsonALERT | Thomson ALERT
3 | AGlobalCustodian | A Global Custodian (StandInstDBName (70) must be provided)
4 | AccountNet | AccountNet

Used in components: SettlInstructionsData

Used in groups: SettlDetails

Used in messages: SettlementInstructionRequest

StartCash

Starting dirty cash consideration of a financing deal, i.e. paid to the seller on the Start Date.

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport

StartDate

Start date of a financing deal, i.e. the date the buyer pays the seller cash and takes control of the collateral

Type: LocalMktDate

Used in components: FinancingDetails

StartMaturityMonthYear

Starting maturity month year for an option class

Type: MonthYear

Used in groups: MaturityRules

StartPriceRange

Lower boundary for price range.

Type: Price

Used in groups: PriceRangeRuleGrp

StartStrikePxRange

Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying

Type: Price

Used in groups: StrikeRules

StartTickPriceRange

Starting price range for specified tick increment

Type: Price

Used in groups: TickRules

StateOrProvinceOfIssue

A two-character state or province abbreviation.

Type: String

Used in components: Instrument

StatsIndGrp

Name | Mult. | Type | Description
NoStatsIndicators | [1..1] | NumInGroup | Number of statistics indicators
StatsType | [0..1] | CodeSet | Indicates that the MD Entry is eligible for inclusion in the type of statistic specified by the StatsType. Must be provided if NoStatsIndicators greater than 0.

Used in groups: MDIncGrp

StatsType

Type of statistics

Type: int

Allowed values in StatsTypeCodeSet:

Code | Name | Description
1 | ExchangeLast | Exchange Last
2 | High | High / Low Price
3 | AveragePrice | Average Price (VWAP, TWAP .. )
4 | Turnover | Turnover (Price * Qty)

Used in groups: StatsIndGrp

StatusText

A text description associated with a network status.

Type: String

Used in groups: CompIDStatGrp

StatusValue

Indicates the status of a network connection

Type: int

Allowed values in StatusValueCodeSet:

Code | Name | Description
1 | Connected | Connected
2 | NotConnectedUnexpected | Not Connected - down expected up
3 | NotConnectedExpected | Not Connected - down expected down
4 | InProcess | In Process

Used in groups: CompIDStatGrp

Stipulations

The Stipulations component block is used in Fixed Income to provide additional information on a given security. These additional information are usually not considered static data information.

Name | Mult. | Type | Description
NoStipulations | [1..1] | NumInGroup |
StipulationType | [0..1] | CodeSet | Required if NoStipulations >0
StipulationValue | [0..1] | String |

Used in groups: ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, SecListGrp, SecLstUpdRelSymGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, CrossOrderCancelReplaceRequest, ExecutionReport, IOI, NewOrderCross, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport

StipulationType

For Fixed Income.

Type of Stipulation.

Other types may be used by mutual agreement of the counterparties.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Allowed values in StipulationTypeCodeSet:

Code
Name
Description

ABS
AbsolutePrepaymentSpeed
Absolute Prepayment Speed

AMT
AlternativeMinimumTax
Alternative Minimum Tax (Y/N)

INCURRCVY
IncurredRecovery
Incurred recovery (Y/N). Specifies whether incurred recovery is applicable (Y) or not (N). Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. 2009 CDX Tranche Terms.

ADDTRM
AdditionalTerm
Additional term. Used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.

AUTOREINV
AutoReinvestment
Auto Reinvestment at <rate> or better

CPP
ConstantPrepaymentPenalty
Constant Prepayment Penalty

BANKQUAL
BankQualified
Bank qualified (Y/N)

CPR
ConstantPrepaymentRate
Constant Prepayment Rate

MODEQTYDLVY
ModifiedEquityDelivery
Modified equity delivery. Indicates whether delivery of selected obligationshaving an amountgreater than the reference entity notional amount is allowed (Y) or (N). 2005 iTraxx tranched Transactions Standard Terms Supplement.

BGNCON
BargainConditions
Bargain conditions (see StipulationValue (234) for values)

CPY
ConstantPrepaymentYield
Constant Prepayment Yield

NOREFOBLIG
NoReferenceOblication
No reference obligation (Y/N). When specified as "Y" this indicates that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one. 2003 ISDA Credit Derivatives Definitions.

COUPON
CouponRange
Coupon range

HEP
FinalCPROfHomeEquityPrepaymentCurve
final CPR of Home Equity Prepayment Curve

UNKREFOBLIG
UnknownReferenceObligation
Unknown reference obligation (Y/N). When specified as "Y" this indicates that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation). 2003 FpML-CD-4.0.

ALLGUARANTEES
AllGuarantees
All guarantees (Y/N). Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction (Y) or (N). ISDA 2003 Term: All Guarantees.

CURRENCY
ISOCurrencyCode
ISO Currency Code

MHP
PercentOfManufacturedHousingPrepaymentCurve
Percent of Manufactured Housing Prepayment Curve

CUSTOMDATE
CustomStart
Custom start/end date

MPR
MonthlyPrepaymentRate
Monthly Prepayment Rate

REFPX
ReferencePrice
Reference price (Y/N). Specifies the reference price expressed as a percentage between 0 and 1 (e.g. 0.05 is 5%). The reference price is used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price.

GEOG
Geographics
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])

PPC
PercentOfProspectusPrepaymentCurve
Percent of Prospectus Prepayment Curve

REFPOLICY
ReferencePolicy
Reference policy (Y/N). Indicates whether the reference obligation is guaranteed (Y), or not (N), under a reference policy. If the Reference Obligation is guaranteed under a Reference Policy, and such Reference Policy by its terms excludes any component of the Expected Principal Amount for purposes of determining the liability of the relevant Insurer, or the Insurer is otherwise not required to pay any such amounts under the terms of the Reference Policy, the relevant component or amount shall also be excluded for purposes of determining the Expected Principal Amount with respect to any determination of Principal Shortfall hereunder. 2006 ISDA CDS on MBS Terms.

HAIRCUT
ValuationDiscount
Valuation Discount

PSA
PercentOfBMAPrepaymentCurve
Percent of BMA Prepayment Curve

SECRDLIST
SecuredList
Secured list (Y/N). Specifies whether a list of Syndicated Secured Obligations (also known as the Relevant Secured List) exists (Y), or not (N), for the Reference Entity. With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most recently before such day, which list is currently available at [http://www.markit.com]. ISDA 2003 Term: Relevant Secured List.

INSURED
Insured
Insured (Y/N)

SMM
SingleMonthlyMortality
Single Monthly Mortality

ISSUE
IssueDate
Year Or Year/Month of Issue (ex. 234=2002/09)

ISSUER
Issuer
Issuer's ticker

ISSUESIZE
IssueSizeRange
issue size range

LOOKBACK
LookbackDays
Lookback Days

LOT
ExplicitLotIdentifier
Explicit lot identifier

LOTVAR
LotVariance
Lot Variance (value in percent maximum over- or under-allocation allowed)

MAT
MaturityYearAndMonth
Maturity Year And Month

MATURITY
MaturityRange
Maturity range

MAXSUBS
MaximumSubstitutions
Maximum substitutions (Repo)

MINDNOM
MinimumDenomination
Minimum denomination

MININCR
MinimumIncrement
Minimum increment

MINQTY
MinimumQuantity
Minimum quantity

PAYFREQ
PaymentFrequency
Payment frequency, calendar

PIECES
NumberOfPieces
Number Of Pieces

PMAX
PoolsMaximum
Pools Maximum

PPL
PoolsPerLot
Pools per Lot

PPM
PoolsPerMillion
Pools per Million

PPT
PoolsPerTrade
Pools per Trade

PRICE
PriceRange
Price Range

PRICEFREQ
PricingFrequency
Pricing frequency

PROD
ProductionYear
Production Year

PROTECT
CallProtection
Call protection

PURPOSE
Purpose
Purpose

PXSOURCE
BenchmarkPriceSource
Benchmark price source

RATING
RatingSourceAndRange
Rating source and range

REDEMPTION
TypeOfRedemption
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible

RESTRICTED
Restricted
Restricted (Y/N)

SECTOR
MarketSector
Market Sector

SECTYPE
SecurityTypeIncludedOrExcluded
Security Type included or excluded

STRUCT
Structure
Structure

SUBSFREQ
SubstitutionsFrequency
Substitutions frequency (Repo)

SUBSLEFT
SubstitutionsLeft
Substitutions left (Repo)

TEXT
FreeformText
Freeform Text

TRDVAR
TradeVariance
Trade Variance (value in percent maximum over- or under-allocation allowed)

WAC
WeightedAverageCoupon
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])

WAL
WeightedAverageLifeCoupon
Weighted Average Life Coupon - value in percent (exact or range)

WALA
WeightedAverageLoanAge
Weighted Average Loan Age - value in months (exact or range)

WAM
WeightedAverageMaturity
Weighted Average Maturity - value in months (exact or range)

WHOLE
WholePool
Whole Pool (Y/N)

YIELD
YieldRange
Yield Range

AVFICO
AverageFICOScore
Average FICO Score

ORIGAMT
OriginalAmount
Original amount. The original issued amount of a mortgage backed security or other loan/asset backed security.

AVSIZE
AverageLoanSize
Average Loan Size

POOLEFFDT
PoolEffectiveDate
Pool effective date

MAXBAL
MaximumLoanBalance
Maximum Loan Balance

POOLINITFCTR
PoolInitialFactor
Pool initial factor. For morttgage backed securities, the part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the mortgage: where 1 means that the whole mortage amount is outstanding, 0.8 means that80% remains to be repaid and 20% has been repaid.

POOL
PoolIdentifier
Pool Identifier

TRANCHE
Tranche
Tranche identifier. Identifies the tranche of a mortgage backed security, loan, collateralized mortgage obligation or similar securities that can be split into different risk or maturity (for example) classes.

ROLLTYPE
TypeOfRollTrade
Type of Roll trade

SUBSTITUTION
Substitution
Substitution (Y/N). Indicates whether substitution is applicable (Y) or (N).

MULTEXCHFLLBCK
MULTEXCHFLLBCK
Multiple exchange fallback (Y/N). For an index option transaction, indicates whether a relevant "Multiple Exchange Index Annex" is applicable (Y) to the transaction or not (N). This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.

REFTRADE
ReferenceToRollingOrClosingTrade
Reference to rolling or closing trade

COMPSECFLLBCK
COMPSECFLLBCK
Component security fallback (Y/N). For an index option transaction, indicates whether a relevant "Component Security Index Annex" is applicable (Y) to the transaction or not (N).

REFPRIN
PrincipalOfRollingOrClosingTrade
Principal to rolling or closing trade

LOCLJRSDCTN
LOCLJRSDCTN
Local jurisdiction (Y/N). "Local Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties, and similar charges) imposed by the taxing authority of the local jurisdiction.

REFINT
InterestOfRollingOrClosingTrade
Interest of rolling or closing trade

AVAILQTY
AvailableOfferQuantityToBeShownToTheStreet
Available offer quantity to be shown to the street

RELVJRSDCTN
RELVJRSDCTN
Relevant jurisdiction (Y/N). "Relevant Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties and similar charges) that would be imposed by the taxing authority of the "country of underlier" on a "hypothetical broker dealer" assuming that the applicable hedge positions are held by its office in the Relevant Jurisdiction.

BROKERCREDIT
BrokerCredit
Broker's sales credit

INTERNALPX
OfferPriceToBeShownToInternalBrokers
Offer price to be shown to internal brokers

INTERNALQTY
OfferQuantityToBeShownToInternalBrokers
Offer quantity to be shown to internal brokers

LEAVEQTY
TheMinimumResidualOfferQuantity
The minimum residual offer quantity

MAXORDQTY
MaximumOrderSize
Maximum order size

ORDRINCR
OrderQuantityIncrement
Order quantity increment

PRIMARY
PrimaryOrSecondaryMarketIndicator
Primary or Secondary market indicator

SALESCREDITOVR
BrokerSalesCreditOverride
Broker sales credit override

TRADERCREDIT
TraderCredit
Trader's credit

DISCOUNT
DiscountRate
Discount Rate (when price is denominated in percent of par)

YTM
YieldToMaturity
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)

PAYOFF
InterestPayoffOfRollingOrAmendingTrade
Interest payoff of rolling or amending trade

Used in groups: Stipulations

StipulationValue

For Fixed Income. Value of stipulation.

The expression can be an absolute single value or a combination of values and logical operators:

< value

> value

<= value

>= value

value

value - value2

value OR value2

value AND value2

YES

NO

Bargain conditions recognized by the London Stock Exchange - to be used when StipulationType is "BGNCON".

CD = Special cum Dividend

XD = Special ex Dividend

CC = Special cum Coupon

XC = Special ex Coupon

CB = Special cum Bonus

XB = Special ex Bonus

CR = Special cum Rights

XR = Special ex Rights

CP = Special cum Capital Repayments

XP = Special ex Capital Repayments

CS = Cash Settlement

SP = Special Price

TR = Report for European Equity Market Securities in accordance with Chapter 8 of the Rules.

GD = Guaranteed Delivery

Values for StipulationType = "PXSOURCE":

BB GENERIC

BB FAIRVALUE

BROKERTEC

ESPEED

GOVPX

HILLIARD FARBER

ICAP

TRADEWEB

TULLETT LIBERTY

If a particular side of the market is wanted append /BID /OFFER or /MID.

plus appropriate combinations of the above and other expressions by mutual agreement of the counterparties.

Examples: ">=60", ".25", "ORANGE OR CONTRACOSTA", etc.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in groups: Stipulations

StopPx

Price per unit of quantity (e.g. per share)

Type: Price

Used in components: TradeReportOrderDetail

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

StrategyLinkID

Identifies the multileg strategy (e.g. spread) to which the trade belongs. This links together trade legs executed as part of a strategy during a single match event.

Type: String

Used in groups: MDFullGrp, MDIncGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp

StrategyParameterName

Name of parameter

Type: String

Used in groups: StrategyParametersGrp

StrategyParametersGrp

Name | Mult. | Type | Description
NoStrategyParameters | [1..1] | NumInGroup | Indicates number of strategy parameters
StrategyParameterName | [0..1] | String | Name of parameter
StrategyParameterType | [0..1] | CodeSet | Datatype of the parameter.
StrategyParameterValue | [0..1] | String | Value of the parameter

Used in groups: ListOrdGrp

Used in messages: AlgoCertificateReport, CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, TestActionReport, TestSuiteDefinitionRequest

StrategyParameterType

Datatype of the parameter

Type: int

Allowed values in StrategyParameterTypeCodeSet:

Code | Name | Description
1 | Int | Int
2 | Length | Length
3 | NumInGroup | NumInGroup
4 | SeqNum | SeqNum
5 | TagNum | TagNum
6 | Float | float
7 | Qty | Qty
8 | Price | Price
9 | PriceOffset | PriceOffset
10 | Amt | Amt
11 | Percentage | Percentage
12 | Char | Char
13 | Boolean | Boolean
14 | String | String
15 | MultipleCharValue | MultipleCharValue
16 | Currency | Currency
17 | Exchange | Exchange
18 | MonthYear | MonthYear
19 | UTCTimestamp | UTCTimestamp
20 | UTCTimeOnly | UTCTimeOnly
21 | LocalMktDate | LocalMktDate
22 | UTCDateOnly | UTCDateOnly
23 | Data | data
24 | MultipleStringValue | MultipleStringValue
25 | Country | Country
26 | Language | Language
27 | TZTimeOnly | TZTimeOnly
28 | TZTimestamp | TZTimestamp
29 | Tenor | Tenor

Used in groups: StrategyParametersGrp

StrategyParameterValue

Value of the parameter

Type: String

Used in groups: StrategyParametersGrp

StrategyType

Specifies the type of trade strategy.

Type: String

Allowed values in StrategyTypeCodeSet:

Code | Name | Description
STD | Straddle | Straddle
STG | Strangle | Strangle
BF | Butterfly | Butterfly
CNDR | Condor | Condor
CISN | CallableInversibleSnowball | Callable inversible snowball
OTHER | Other | Other

Used in components: Instrument

StreamAsgnAckType

Type of acknowledgement.

Type: int

Allowed values in StreamAsgnAckTypeCodeSet:

Code | Name | Description
0 | AssignmentAccepted | Assignment Accepted
1 | AssignmentRejected | Assignment Rejected

Used in messages: StreamAssignmentReportACK

StreamAsgnRejReason

Reason code for stream assignment request reject.

Type: int

Allowed values in StreamAsgnRejReasonCodeSet:

Code | Name | Description
0 | UnknownClient | Unknown client
1 | ExceedsMaximumSize | Exceeds maximum size
2 | UnknownOrInvalidCurrencyPair | Unknown or Invalid currency pair
3 | NoAvailableStream | No available stream
99 | Other | Other

Used in groups: StrmAsgnRptInstrmtGrp

Used in messages: StreamAssignmentReportACK

StreamAsgnReqID

Unique identifier for the stream assignment request provided by the requester.

Type: String

Used in messages: StreamAssignmentReport, StreamAssignmentRequest

StreamAsgnReqType

Type of stream assignment request.

Type: int

Allowed values in StreamAsgnReqTypeCodeSet:

Code | Name | Description
1 | StreamAssignmentForNewCustomer | Stream assignment for new customer(s)
2 | StreamAssignmentForExistingCustomer | Stream assignment for existing customer(s)

Used in messages: StreamAssignmentReport, StreamAssignmentRequest

StreamAsgnRptID

Unique identifier of the stream assignment report provided by the respondent.

Type: String

Used in messages: StreamAssignmentReport, StreamAssignmentReportACK

StreamAsgnType

The type of assignment being affected in the Stream Assignment Report.

Type: int

Allowed values in StreamAsgnTypeCodeSet:

Code | Name | Description
1 | Assignment | Assignment
2 | Rejected | Rejected
3 | Terminate | Terminate/Unassign

Used in groups: StrmAsgnRptInstrmtGrp

StreamAssetAttributeGrp

The StreamAssetAttributeGrp is a repeating subcomponent of the StreamCommodity component used to detail commodity attributes, quality standards and reject limits.

Name | Mult. | Type | Description
NoStreamAssetAttributes | [1..1] | NumInGroup |
StreamAssetAttributeType | [0..1] | String | Required if NoStreamAssetAttributes(41237) > 0.
StreamAssetAttributeValue | [0..1] | String |
StreamAssetAttributeLimit | [0..1] | String |

Used in components: StreamCommodity

StreamAssetAttributeLimit

Limit or lower acceptable value of the attribute.

Type: String

Used in groups: StreamAssetAttributeGrp

StreamAssetAttributeType

Specifies the name of the attribute.

See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.

Type: String

Used in groups: StreamAssetAttributeGrp

StreamAssetAttributeValue

Specifies the value of the attribute.

Type: String

Used in groups: StreamAssetAttributeGrp

StreamCalculationBalanceOfFirstPeriod

When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).

Type: Boolean

Used in components: StreamCalculationPeriodDates

StreamCalculationCorrectionPeriod

Time unit multiplier for the length of time after the publication of the data when corrections can be made.

Type: int

Used in components: StreamCalculationPeriodDates

StreamCalculationCorrectionUnit

Time unit associated with the length of time after the publication of the data when corrections can be made.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: StreamCalculationPeriodDates

StreamCalculationFrequencyPeriod

Time unit multiplier for the frequency at which calculation period end dates occur.

Type: int

Used in components: StreamCalculationPeriodDates

StreamCalculationFrequencyUnit

Time unit associated with the frequency at which calculation period end dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: StreamCalculationPeriodDates

StreamCalculationPeriodBusinessCenter

The business center calendar used to adjust calculation periods, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: StreamCalculationPeriodBusinessCenterGrp

StreamCalculationPeriodBusinessCenterGrp

StreamCalculationPeriodBusinessCenterGrp is a repeating subcomponent within the StreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoStreamCalculationPeriodBusinessCenters | [1..1] | NumInGroup |
StreamCalculationPeriodBusinessCenter | [0..1] | String | Required if NoStreamCalculationPeriodBusinessCenters(40958) > 0.

Used in components: StreamCalculationPeriodDates

StreamCalculationPeriodBusinessDayConvention

The business day convention used to adjust calculation periods. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: StreamCalculationPeriodDates

StreamCalculationPeriodDate

The adjusted or unadjusted fixed calculation period date.

Type: LocalMktDate

Used in groups: StreamCalculationPeriodDateGrp

StreamCalculationPeriodDateGrp

The StreamCalculationPeriodDateGrp is a repeating subcomponent of the StreamCalculationPeriodDates component used to detail fixed dates for the swap stream.

Name | Mult. | Type | Description
NoStreamCalculationPeriodDates | [1..1] | NumInGroup |
StreamCalculationPeriodDate | [0..1] | LocalMktDate | Required if NoStreamCalculationPeriodDates(41241) > 0.
StreamCalculationPeriodDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: StreamCalculationPeriodDates

StreamCalculationPeriodDates

StreamCalculationPeriodDates is a subcomponent of the StreamGrp component used to specify the calculation period dates of the stream.

Name | Mult. | Type | Description
StreamCalculationPeriodDatesXID | [0..1] | XID |
StreamCalculationPeriodDatesXIDRef | [0..1] | XIDREF |
StreamCalculationPeriodBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the calculation period dates of the stream.
StreamCalculationPeriodBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the calculation period dates of the stream.
StreamCalculationPeriodDateGrp | [0..*] | Group |
StreamFirstPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
StreamFirstPeriodStartDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the calculation period dates of the stream.
StreamFirstPeriodStartDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the calculation period dates of the stream.
StreamFirstPeriodStartDateAdjusted | [0..1] | LocalMktDate |
StreamFirstRegularPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
StreamFirstCompoundingPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
StreamLastRegularPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
StreamCalculationFrequencyPeriod | [0..1] | int | Conditionally required when StreamCalculationFrequencyUnit(40083) is specified.
StreamCalculationFrequencyUnit | [0..1] | CodeSet | Conditionally required when StreamCalculationFrequencyPeriod(40082) is specified.
StreamCalculationRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the stream calculation dates.
StreamCalculationBalanceOfFirstPeriod | [0..1] | Boolean |
StreamCalculationCorrectionPeriod | [0..1] | int | Conditionally required when StreamCalculationCorrectionUnit(41248) is specified.
StreamCalculationCorrectionUnit | [0..1] | CodeSet | Conditionally required when StreamCalculationCorrectionPeriod(41247) is specified.

Used in groups: StreamGrp

StreamCalculationPeriodDatesXID

Identifier of this calculation period for cross referencing elsewhere in the message.

Type: XID

Used in components: StreamCalculationPeriodDates

StreamCalculationPeriodDatesXIDRef

Cross reference to another calculation period for duplicating its properties.

Type: XIDREF

Used in components: StreamCalculationPeriodDates

StreamCalculationPeriodDateType

Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: StreamCalculationPeriodDateGrp

StreamCalculationRollConvention

The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the DateAdjustment component within the Instrument component.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: StreamCalculationPeriodDates

StreamCommodityAltID

Alternate security identifier value for the commodity.

Type: String

Used in groups: StreamCommodityAltIDGrp

StreamCommodityAltIDGrp

StreamCommodityAltIDGrp is a subcomponent of the StreamCommodity component used to specify alternate identifiers.

Name | Mult. | Type | Description
NoStreamCommodityAltIDs | [1..1] | NumInGroup |
StreamCommodityAltID | [0..1] | String | Required if NoStreamCommodityAltIDs(41277) > 0.
StreamCommodityAltIDSource | [0..1] | String | Required if NoStreamCommodityAltIDs(41277) > 0.

Used in components: StreamCommodity

StreamCommodityAltIDSource

Identifies the class or source of the alternate commodity security identifier.

Type: String

Used in groups: StreamCommodityAltIDGrp

StreamCommodityBase

Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.

Type: String

Used in components: StreamCommodity

StreamCommodity

StreamCommodity is a subcomponent of the Stream component used to identify and describe the underlying commodity.

Name | Mult. | Type | Description
StreamCommodityBase | [0..1] | String |
StreamCommodityType | [0..1] | String |
StreamCommoditySecurityID | [0..1] | String | Conditionally required when StreamCommoditySecurityIDSource(41254) is specified.
StreamCommoditySecurityIDSource | [0..1] | CodeSet | Conditionally required when StreamCommoditySecurityID(41253) is specified.
StreamCommodityAltIDGrp | [0..*] | Group |
StreamCommodityDesc | [0..1] | String |
EncodedStreamCommodityDescLen | [0..1] | Length | Must be set if EncodedCommodityDesc(41257) field is specified and must immediately precede it.
EncodedStreamCommodityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the StreamCommodityDesc(41255) field in the encoded format specified via the MessageEncoding(347) field.
StreamCommodityDeliveryPricingRegion | [0..1] | String | May be used to specify the delivery or pricing region of a non-standard commodity swap contract (e.g. when InstrAttribType(871)=38 (US standard contract indicator) and InstrAttribValue(872)=N).
StreamAssetAttributeGrp | [0..*] | Group |
StreamCommodityUnitOfMeasure | [0..1] | CodeSet |
StreamCommodityCurrency | [0..1] | Currency |
StreamCommodityExchange | [0..1] | Exchange |
StreamCommodityRateSource | [0..1] | int |
StreamCommodityRateReferencePage | [0..1] | String |
StreamCommodityRateReferencePageHeading | [0..1] | String |
StreamDataProvider | [0..1] | String |
StreamCommodityDataSourceGrp | [0..*] | Group |
StreamCommodityPricingType | [0..1] | String |
StreamCommodityNearbySettlDayPeriod | [0..1] | int | Conditionally required when StreamCommodityNearbySettlDayUnit(41267) is specified.
StreamCommodityNearbySettlDayUnit | [0..1] | CodeSet | Conditionally required when StreamCommodityNearbySettlDayPeriod(41266) is specified.
StreamCommoditySettlDateUnadjusted | [0..1] | LocalMktDate |
StreamCommoditySettlDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of settlement dates.
StreamCommoditySettlBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of settlement dates.
StreamCommoditySettlDateAdjusted | [0..1] | LocalMktDate |
StreamCommoditySettlMonth | [0..1] | int |
StreamCommoditySettlDateRollPeriod | [0..1] | int | Conditionally required when StreamCommoditySettlDateRollUnit(41273) is specified.
StreamCommoditySettlDateRollUnit | [0..1] | CodeSet | Conditionally required when StreamCommoditySettlDateRollPeriod(41272) is specified.
StreamCommoditySettlDayType | [0..1] | CodeSet |
StreamCommoditySettlPeriodGrp | [0..*] | Group |
StreamCommodityXID | [0..1] | XID |
StreamCommodityXIDRef | [0..1] | XIDREF |

Used in groups: StreamGrp

StreamCommodityCurrency

Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.

Type: Currency

Used in components: StreamCommodity

StreamCommodityDataSourceGrp

StreamCommodityDataSourceGrp is a subcomponent of the StreamCommodity component used to specify sources of data, e.g. weather stations. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.

Name | Mult. | Type | Description
NoStreamCommodityDataSources | [1..1] | NumInGroup |
StreamCommodityDataSourceID | [0..1] | String | Required if NoStreamCommodityDataSources(41280) > 0.
StreamCommodityDataSourceIDType | [0..1] | CodeSet | Required if NoStreamCommodityDataSources(41280) > 0.

Used in components: StreamCommodity

StreamCommodityDataSourceID

Data source identifier.

Type: String

Used in groups: StreamCommodityDataSourceGrp

StreamCommodityDataSourceIDType

Type of data source identifier.

Type: int

Allowed values in StreamCommodityDataSourceIDTypeCodeSet:

Code | Name | Description
0 | City | City (4 character business center code)
1 | Airport | Airport (IATA standard)
2 | WeatherStation | Weather station WBAN (Weather Bureau Army Navy)
3 | WeatherIndex | Weather index WMO (World Meteorological Organization)

Used in groups: StreamCommodityDataSourceGrp

StreamCommodityDeliveryPricingRegion

The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.

Type: String

Used in components: StreamCommodity

StreamCommodityDesc

Description of the commodity asset.

Type: String

Used in components: StreamCommodity

StreamCommodityExchange

Identifies the exchange where the commodity is traded.

Type: Exchange

Used in components: StreamCommodity

StreamCommodityNearbySettlDayPeriod

Time unit multiplier for the nearby settlement day.

Type: int

Used in components: StreamCommodity

StreamCommodityNearbySettlDayUnit

Time unit associated with the nearby settlement day.

Type: String

Allowed values in StreamCommodityNearbySettlDayUnitCodeSet:

Code | Name | Description
Wk | Week | Week
Mo | Month | Month

Used in components: StreamCommodity

StreamCommodityPricingType

Specifies how the pricing or rate setting of the trade is to be determined or based upon.

See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.

Type: String

Used in components: StreamCommodity

StreamCommodityRateReferencePage

Identifies the reference "page" from the rate source.

Type: String

Used in components: StreamCommodity

StreamCommodityRateReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in components: StreamCommodity

StreamCommodityRateSource

Identifies the source of rate information used for commodities.

See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.

Type: int

Used in components: StreamCommodity

StreamCommoditySecurityID

Specifies the market identifier for the commodity.

Type: String

Used in components: StreamCommodity

StreamCommoditySecurityIDSource

Identifies the class or source of the StreamCommoditySecurityIDSource(41253) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: StreamCommodity

StreamCommoditySettlBusinessCenter

The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: StreamCommoditySettlBusinessCenterGrp

StreamCommoditySettlBusinessCenterGrp

StreamCommoditySettlBusinessCenterGrp is a repeating subcomponent of the StreamCommodity component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoStreamCommoditySettlBusinessCenters | [1..1] | NumInGroup |
StreamCommoditySettlBusinessCenter | [0..1] | String | Required if NoStreamCommoditySettlBusinessCenters(41249) > 0.

Used in components: StreamCommodity

StreamCommoditySettlCountry

Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.

Type: Country

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlDateAdjusted

The adjusted commodity delivery date.

Type: LocalMktDate

Used in components: StreamCommodity

StreamCommoditySettlDateBusinessDayConvention

The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: StreamCommodity

StreamCommoditySettlDateRollPeriod

Time unit multiplier for the commodity delivery date roll.

Type: int

Used in components: StreamCommodity

StreamCommoditySettlDateRollUnit

Time unit associated with the commodity delivery date roll.

Type: String

Allowed values in StreamCommoditySettlDateRollUnitCodeSet:

Code | Name | Description
D | Day | Day

Used in components: StreamCommodity

StreamCommoditySettlDateUnadjusted

The unadjusted commodity delivery date.

Type: LocalMktDate

Used in components: StreamCommodity

StreamCommoditySettlDay

Specifies the day or group of days for delivery.

Type: int

Allowed values in DeliveryScheduleSettlDayCodeSet:

Code | Name | Description
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday
8 | AllWeekdays | All weekdays
9 | AllDays | All days
10 | AllWeekends | All weekends

Used in groups: StreamCommoditySettlDayGrp

StreamCommoditySettlDayGrp

The StreamCommoditySettlDayGrp is a repeating subcomponent of the StreamCommoditySettlPeriodGrp component used to define the settlement days associated with the commodity contract.

Name | Mult. | Type | Description
NoStreamCommoditySettlDays | [1..1] | NumInGroup |
StreamCommoditySettlDay | [0..1] | CodeSet | Required if NoStreamCommoditySettlDays(41283) > 0.
StreamCommoditySettlTotalHours | [0..1] | int |
StreamCommoditySettlTimeGrp | [0..*] | Group |

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlDayType

Specifies the commodity delivery roll day type.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: StreamCommodity

StreamCommoditySettlEnd

The end time for commodities settlement where delivery occurs over time. The time format is specified by the settlement time type.

Type: String

Used in groups: StreamCommoditySettlTimeGrp

StreamCommoditySettlFlowType

Specifies the commodity delivery flow type.

Type: int

Allowed values in DeliveryScheduleSettlFlowTypeCodeSet:

Code | Name | Description
0 | AllTimes | All times
1 | OnPeak | On peak
2 | OffPeak | Off peak
3 | Base | Base
4 | BlockHours | Block hours
5 | Other | Other

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlHolidaysProcessingInstruction

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

Type: int

Allowed values in DeliveryScheduleSettlHolidaysProcessingInstructionCodeSet:

Code | Name | Description
0 | DoNotIncludeHolidays | Do not include holidays
1 | IncludeHolidays | Include holidays

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlMonth

Specifies a fixed single month for commodity delivery.

Type: int

Used in components: StreamCommodity

StreamCommoditySettlPeriodFrequencyPeriod

Time unit multiplier for the settlement period frequency.

Type: int

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodFrequencyUnit

Time unit associated with the settlement period frequency.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodGrp

The StreamCommoditySettlPeriodGrp is a repeating subcomponent of the StreamCommodity component used to define the settlement period details associated with the commodity contract.

Name | Mult. | Type | Description
NoStreamCommoditySettlPeriods | [1..1] | NumInGroup |
StreamCommoditySettlCountry | [0..1] | Country | Required if NoStreamCommoditySettlPeriods(41289) > 0.
StreamCommoditySettlTimeZone | [0..1] | String |
StreamCommoditySettlFlowType | [0..1] | CodeSet |
StreamCommoditySettlPeriodNotional | [0..1] | Qty |
StreamCommoditySettlPeriodNotionalUnitOfMeasure | [0..1] | CodeSet |
StreamCommoditySettlPeriodFrequencyPeriod | [0..1] | int | Conditionally required when StreamCommoditySettlFrequencyUnit(41296) is specified.
StreamCommoditySettlPeriodFrequencyUnit | [0..1] | CodeSet | Conditionally required when StreamCommoditySettlFrequencyPeriod(41295) is specified.
StreamCommoditySettlPeriodPrice | [0..1] | Price |
StreamCommoditySettlPeriodPriceUnitOfMeasure | [0..1] | CodeSet |
StreamCommoditySettlPeriodPriceCurrency | [0..1] | Currency |
StreamCommoditySettlHolidaysProcessingInstruction | [0..1] | CodeSet |
StreamCommoditySettlDayGrp | [0..*] | Group |
StreamCommoditySettlPeriodXID | [0..1] | XID |
StreamCommoditySettlPeriodXIDRef | [0..1] | XIDREF |

Used in components: StreamCommodity

StreamCommoditySettlPeriodNotional

Specifies the delivery quantity associated with this settlement period.

Type: Qty

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodNotionalUnitOfMeasure

Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodPrice

The settlement period price.

Type: Price

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodPriceCurrency

The currency of the settlement period price. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodPriceUnitOfMeasure

Specifies the settlement period price unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodXID

Identifier of this settlement period for cross referencing elsewhere in the message.

Type: XID

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlPeriodXIDRef

Cross reference to another settlement period for duplicating its properties.

Type: XIDREF

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlStart

The start time for commodities settlement where delivery occurs over time. The time format is specified by the settlement time type.

Type: String

Used in groups: StreamCommoditySettlTimeGrp

StreamCommoditySettlTimeGrp

The StreamCommoditySettlTimeGrp is a repeating subcomponent of the StreamCommoditySettlDayGrp component used to define the settlement time periods associated with the commodity contract.

Name | Mult. | Type | Description
NoStreamCommoditySettlTimes | [1..1] | NumInGroup |
StreamCommoditySettlStart | [0..1] | String | Required if NoStreamCommoditySettlTimes(41286) > 0.
StreamCommoditySettlEnd | [0..1] | String | Required if NoStreamCommoditySettlTimes(41286) > 0.
StreamCommoditySettlTimeType | [0..1] | CodeSet | May be defaulted to market convention or bilaterally agreed if not specified.

Used in groups: StreamCommoditySettlDayGrp

StreamCommoditySettlTimeType

Specifies the format of the commodities settlement start and end times.

Type: int

Allowed values in DeliveryScheduleSettlTimeTypeCodeSet:

Code
Name
Description

0
Hour
Hour of the day. Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.

1
Timestamp
HH:MM time format. Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.

Used in groups: StreamCommoditySettlTimeGrp

StreamCommoditySettlTimeZone

Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".

See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.

Type: String

Used in groups: StreamCommoditySettlPeriodGrp

StreamCommoditySettlTotalHours

Sum of the hours specified in StreamCommoditySettlTimeGrp.

Type: int

Used in groups: StreamCommoditySettlDayGrp

StreamCommodityType

Specifies the type of commodity product.

For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.

For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.

For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.

Type: String

Used in components: StreamCommodity

StreamCommodityUnitOfMeasure

The unit of measure (UOM) of the commodity asset.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: StreamCommodity

StreamCommodityXID

Identifier of this stream commodity for cross referencing elsewhere in the message.

Type: XID

Used in components: StreamCommodity

StreamCommodityXIDRef

Reference to a stream commodity elsewhere in the message.

Type: XIDREF

Used in components: StreamCommodity

StreamCurrency

Specifies the currency the StreamNotional(40054) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: StreamGrp

StreamDataProvider

Specifies the commodity data or information provider.

See http://www.fpml.org/coding-scheme/commodity-information-provider for values.

Type: String

Used in components: StreamCommodity

StreamDesc

A short descriptive name given to the payment stream. Eg. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as reference.

Type: String

Used in groups: StreamGrp

StreamEffectiveDateAdjusted

The adjusted effective date.

Type: LocalMktDate

Used in components: StreamEffectiveDate

StreamEffectiveDateBusinessCenter

The business center calendar used to adjust the instrument's stream's effective, or relative effective, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: StreamEffectiveDateBusinessCenterGrp

StreamEffectiveDateBusinessCenterGrp

StreamEffectiveDateBusinessCenterGrp is a repeating subcomponent of the StreamEffectiveDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoStreamEffectiveDateBusinessCenters | [1..1] | NumInGroup |
StreamEffectiveDateBusinessCenter | [0..1] | String | Required if NoStreamEffectiveDateBusinessCenters(40960) > 0.

Used in components: StreamEffectiveDate

StreamEffectiveDateBusinessDayConvention

The business day convention used to adjust the instrument's stream's effective, or relative effective, date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: StreamEffectiveDate

StreamEffectiveDate

StreamEffectivedDate is a subcomponent of the StreamGrp component used to specify the effective date of the stream.

Name | Mult. | Type | Description
StreamEffectiveDateUnadjusted | [0..1] | LocalMktDate |
StreamEffectiveDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the effective date of the stream.
StreamEffectiveDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the effective date of the stream.
StreamEffectiveDateRelativeTo | [0..1] | int |
StreamEffectiveDateOffsetPeriod | [0..1] | int | Conditionally required when StreamEffectiveDateOffsetUnit(40912) is specified.
StreamEffectiveDateOffsetUnit | [0..1] | CodeSet | Conditionally required when StreamEffectiveDateOffsetPeriod(40911) is specified.
StreamEffectiveDateOffsetDayType | [0..1] | CodeSet |
StreamEffectiveDateAdjusted | [0..1] | LocalMktDate |

Used in groups: StreamGrp

StreamEffectiveDateOffsetDayType

Specifies the day type of the relative effective date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: StreamEffectiveDate

StreamEffectiveDateOffsetPeriod

Time unit multiplier for the relative effective date offset.

Type: int

Used in components: StreamEffectiveDate

StreamEffectiveDateOffsetUnit

Time unit associated with the relative effective date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: StreamEffectiveDate

StreamEffectiveDateRelativeTo

Specifies the anchor date when the effective date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: StreamEffectiveDate

StreamEffectiveDateUnadjusted

The unadjusted effective date.

Type: LocalMktDate

Used in components: StreamEffectiveDate

StreamFirstCompoundingPeriodEndDateUnadjusted

The unadjusted end date of the initial compounding period.

Type: LocalMktDate

Used in components: StreamCalculationPeriodDates

StreamFirstPeriodStartDateAdjusted

The adjusted first calculation period start date, if it is before the effective date.

Type: LocalMktDate

Used in components: StreamCalculationPeriodDates

StreamFirstPeriodStartDateBusinessCenter

The business center calendar used to adjust the instrument's stream's first calculation period start date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: StreamFirstPeriodStartDateBusinessCenterGrp

StreamFirstPeriodStartDateBusinessCenterGrp

StreamFirstPeriodStartDateBusinessCenterGrp is a repeating subcomponent within the StreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoStreamFirstPeriodStartDateBusinessCenters | [1..1] | NumInGroup |
StreamFirstPeriodStartDateBusinessCenter | [0..1] | String | Required if NoStreamFirstPeriodStartDateBusinessCenters(40959) > 0.

Used in components: StreamCalculationPeriodDates

StreamFirstPeriodStartDateBusinessDayConvention

The business day convention used to adjust the instrument's stream's first calculation period start date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: StreamCalculationPeriodDates

StreamFirstPeriodStartDateUnadjusted

The unadjusted first calculation period start date if before the effective date.

Type: LocalMktDate

Used in components: StreamCalculationPeriodDates

StreamFirstRegularPeriodStartDateUnadjusted

The unadjusted first start date of the regular calculation period, if there is an initial stub period.

Type: LocalMktDate

Used in components: StreamCalculationPeriodDates

StreamGrp

The StreamGrp is a repeating subcomponent of the Instrument component used to detail the swap streams associated with the instrument.

Name | Mult. | Type | Description
NoStreams | [1..1] | NumInGroup |
StreamType | [0..1] | CodeSet | Required if NoStreams(40049) > 0.
StreamXID | [0..1] | XID |
StreamDesc | [0..1] | String |
StreamVersion | [0..1] | String |
StreamVersionEffectiveDate | [0..1] | LocalMktDate |
StreamPaySide | [0..1] | CodeSet |
StreamReceiveSide | [0..1] | CodeSet |
StreamNotionalXIDRef | [0..1] | XIDREF |
StreamNotional | [0..1] | Amt |
StreamCurrency | [0..1] | Currency |
StreamNotionalDeterminationMethod | [0..1] | String |
StreamNotionalAdjustments | [0..1] | CodeSet |
StreamNotionalFrequencyPeriod | [0..1] | int | Conditionally required when StreamNotionalFrequencyUnit(41307) is specified.
StreamNotionalFrequencyUnit | [0..1] | CodeSet | Conditionally required when StreamNotionalFrequencyPeriod(41306) is specified.
StreamNotionalCommodityFrequency | [0..1] | CodeSet |
StreamNotionalUnitOfMeasure | [0..1] | CodeSet |
StreamTotalNotional | [0..1] | Qty |
StreamTotalNotionalUnitOfMeasure | [0..1] | CodeSet |
StreamCommodity | [0..1] | Component |
StreamEffectiveDate | [0..1] | Component |
StreamTerminationDate | [0..1] | Component |
StreamCalculationPeriodDates | [0..1] | Component |
PaymentStream | [0..1] | Component |
PaymentScheduleGrp | [0..*] | Group |
PaymentStubGrp | [0..*] | Group |
DeliveryStream | [0..1] | Component |
DeliveryScheduleGrp | [0..*] | Group |
StreamText | [0..1] | String |
EncodedStreamTextLen | [0..1] | Length | Must be set if EncodedStreamText(40983) field is specified and must immediately precede it.
EncodedStreamText | [0..1] | data | Encoded (non-ASCII characters) representation of the StreamText(40056) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: Instrument

StreamLastRegularPeriodEndDateUnadjusted

The unadjusted last regular period end date if there is a final stub period.

Type: LocalMktDate

Used in components: StreamCalculationPeriodDates

StreamNotional

Notional, or initial notional value for the payment stream. Use the PaymentScheduleGrp component to specify the rate steps.

Type: Amt

Used in groups: StreamGrp

StreamNotionalAdjustments

For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.

Type: int

Allowed values in StreamNotionalAdjustmentsCodeSet:

Code | Name | Description
0 | Execution | Execution. The adjustments to the number of units are governed by an execution clause.
1 | PortfolioRebalancing | Portfolio rebalancing. The adjustments to the number of units are governed by a portfolio rebalancing clause.
2 | Standard | Standard. The adjustments to the number of units are not governed by any specific clause.

Used in groups: StreamGrp

StreamNotionalCommodityFrequency

The commodity's notional or quantity delivery frequency.

Type: int

Allowed values in StreamNotionalCommodityFrequencyCodeSet:

Code | Name | Description
0 | Term | Term
1 | PerBusinessDay | Per business day
2 | PerCalculationPeriod | Per calculation period
3 | PerSettlPeriod | Per settlement period
4 | PerCalendarDay | Per calendar day
5 | PerHour | Per hour
6 | PerMonth | Per month

Used in groups: StreamGrp

StreamNotionalDeterminationMethod

Specifies the method for determining the floating notional value for equity swaps.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: StreamGrp

StreamNotionalFrequencyPeriod

Time unit multiplier for the swap stream's notional frequency.

Type: int

Used in groups: StreamGrp

StreamNotionalFrequencyUnit

Time unit associated with the swap stream's notional frequency.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in groups: StreamGrp

StreamNotionalUnitOfMeasure

Specifies the delivery stream quantity unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: StreamGrp

StreamNotionalXIDRef

Cross reference to another Stream notional for duplicating its properties.

Type: XIDREF

Used in groups: StreamGrp

StreamPaySide

The side of the party paying the stream.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: StreamGrp

StreamReceiveSide

The side of the party receiving the stream.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: StreamGrp

StreamTerminationDateAdjusted

The adjusted termination date.

Type: LocalMktDate

Used in components: StreamTerminationDate

StreamTerminationDateBusinessCenter

The business center calendar used to adjust the instrument's stream's termination, or relative termination, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: StreamTerminationDateBusinessCenterGrp

StreamTerminationDateBusinessCenterGrp

StreamTerminationDateBusinessCenterGrp is a repeating subcomponent within the StreamTerminationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in the Instrument component.

Name | Mult. | Type | Description
NoStreamTerminationDateBusinessCenters | [1..1] | NumInGroup |
StreamTerminationDateBusinessCenter | [0..1] | String | Required if NoStreamTerminationDateBusinessCenters(40961) > 0.

Used in components: StreamTerminationDate

StreamTerminationDateBusinessDayConvention

The business day convention used to adjust the instrument's stream's termination, or relative termination, date. Used only to override the business day convention specified in the DateAdjustment component within the Instrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: StreamTerminationDate

StreamTerminationDate

StreamTerminationDate is a subcomponent of the StreamGrp component used to specify the termination date of the stream.

Name | Mult. | Type | Description
StreamTerminationDateUnadjusted | [0..1] | LocalMktDate |
StreamTerminationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in Instrument. The specified value would be specific to this instance of the termination date of the stream.
StreamTerminationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in Instrument. The specified values would be specific to this instance of the termination date of the stream.
StreamTerminationDateRelativeTo | [0..1] | int |
StreamTerminationDateOffsetPeriod | [0..1] | int | Conditionally required when StreamTerminationDateOffsetUnit(40070) is specified.
StreamTerminationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when StreamTerminationDateOffsetPeriod(40069) is specified.
StreamTerminationDateOffsetDayType | [0..1] | CodeSet |
StreamTerminationDateAdjusted | [0..1] | LocalMktDate |

Used in groups: StreamGrp

StreamTerminationDateOffsetDayType

Specifies the day type of the relative termination date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: StreamTerminationDate

StreamTerminationDateOffsetPeriod

Time unit multiplier for the relative termination date offset.

Type: int

Used in components: StreamTerminationDate

StreamTerminationDateOffsetUnit

Time unit associated with the relative termination date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: StreamTerminationDate

StreamTerminationDateRelativeTo

Specifies the anchor date when the termination date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: StreamTerminationDate

StreamTerminationDateUnadjusted

The unadjusted termination date.

Type: LocalMktDate

Used in components: StreamTerminationDate

StreamText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: StreamGrp

StreamTotalNotional

Total notional or delivery quantity over the term of the contract.

Type: Qty

Used in groups: StreamGrp

StreamTotalNotionalUnitOfMeasure

Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: StreamGrp

StreamType

Type of swap stream.

Type: int

Allowed values in StreamTypeCodeSet:

Code | Name | Description
0 | PaymentCashSettlement | Payment / cash settlement
1 | PhysicalDelivery | Physical delivery

Used in groups: StreamGrp

StreamVersion

The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.

Type: String

Used in groups: StreamGrp

StreamVersionEffectiveDate

The effective date of the StreamVersion(42784).

Type: LocalMktDate

Used in groups: StreamGrp

StreamXID

Identifier of this Stream for cross referencing elsewhere in the message.

Type: XID

Used in groups: StreamGrp

StrikeCurrency

Currency in which the StrikePrice is denominated.

Type: Currency

Used in components: Instrument

StrikeCurrencyCodeSource

Identifies class or source of the StrikeCurrency(947) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: Instrument

StrikeExerciseStyle

Expiration Style for an option class:

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in groups: StrikeRules

StrikeIncrement

Value by which strike price should be incremented within the specified price range.

Type: float

Used in groups: StrikeRules

StrikeIndex

Specifies the index used to calculate the strike price.

Type: String

Used in components: Instrument

StrikeIndexCurvePoint

The point on the floating rate index curve. Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Type: String

Used in components: Instrument

StrikeIndexQuote

The quote side from which the index price is to be determined.

Type: int

Allowed values in StrikeIndexQuoteCodeSet:

Code | Name | Description
0 | Bid | Bid.
1 | Mid | Mid
2 | Offer | Offer

Used in components: Instrument

StrikeIndexSpread

Specifies the strike price offset from the named index.

Type: PriceOffset

Used in components: Instrument

StrikeMultiplier

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Type: float

Used in components: Instrument

StrikePrice

Strike Price for an Option.

Type: Price

Used in components: Instrument

StrikePriceBoundaryMethod

Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.

Type: int

Allowed values in StrikePriceBoundaryMethodCodeSet:

Code | Name | Description
1 | LessThan | Less than underlying price is in-the-money (ITM)
2 | LessThanOrEqual | Less than or equal to the underlying price is in-the-money(ITM)
3 | Equal | Equal to the underlying price is in-the-money(ITM)
4 | GreaterThanOrEqual | Greater than or equal to underlying price is in-the-money(ITM)
5 | GreaterThan | Greater than underlying is in-the-money(ITM)

Used in components: Instrument

StrikePriceBoundaryPrecision

Used in combination with StrikePriceBoundaryMethod to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Type: Percentage

Used in components: Instrument

StrikePriceDeterminationMethod

Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.

Type: int

Allowed values in StrikePriceDeterminationMethodCodeSet:

Code | Name | Description
1 | FixedStrike | Fixed strike (default if not specified)
2 | StrikeSetAtExpiration | Strike set at expiration to underlying or other value (lookback floating)
3 | StrikeSetToAverageAcrossLife | Strike set to average of underlying settlement price across the life of the option
4 | StrikeSetToOptimalValue | Strike set to optimal value

Used in components: Instrument

StrikePricePrecision

Specifies the number of decimal places for exercise price.

Type: int

Used in components: Instrument

StrikeRuleID

Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated

Type: String

Used in groups: StrikeRules

StrikeRules

Name | Mult. | Type | Description
NoStrikeRules | [1..1] | NumInGroup | Number of strike rule entries. This block specifies the rules for determining how new strikes should be listed within the stated price range of the underlying instrument
StrikeRuleID | [0..1] | String | Allows strike rule to be referenced via an identifier so that rules do not need to be explicitly enumerated
StartStrikePxRange | [0..1] | Price | Starting price for the range to which the StrikeIncrement applies. Price refers to the price of the underlying
EndStrikePxRange | [0..1] | Price | Ending price of the range to which the StrikeIncrement applies. Price refers to the price of the underlying
StrikeIncrement | [0..1] | float | Value by which strike price should be incremented within the specified price
StrikeExerciseStyle | [0..1] | CodeSet | Enumeration that represents the exercise style for a class of options. Same values as ExerciseStyle
MaturityRules | [0..*] | Group | Describes the maturity rules for a given set of strikes as defined by StrikeRules

Used in groups: MarketSegmentGrp, SecListGrp, SecLstUpdRelSymGrp

StrikeTime

The time at which current market prices are used to determine the value of a basket.

In negotiation workflows where a spread-to-benchmark price is negotiated, this is the pre-determined time at which the benchmark is to be spotted.

Type: UTCTimestamp

Used in groups: QuotReqGrp, QuotReqRjctGrp

Used in messages: BidRequest, Quote, QuoteResponse, QuoteStatusReport

StrikeUnitOfMeasure

Used to express the unit of measure (UOM) of the price if different from the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: Instrument

StrikeValue

Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.

Type: float

Used in components: Instrument

StrmAsgnReqGrp

Name | Mult. | Type | Description
NoAsgnReqs | [1..1] | NumInGroup | Stream Assignment Requests.
Parties | [0..*] | Group |
StrmAsgnReqInstrmtGrp | [0..*] | Group |

Used in messages: StreamAssignmentRequest

StrmAsgnReqInstrmtGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup |
Instrument | [0..1] | Component |
SettlType | [0..1] | CodeSet |
MDEntrySize | [0..1] | Qty |
MDStreamID | [0..1] | String |

Used in groups: StrmAsgnReqGrp

StrmAsgnRptGrp

Name | Mult. | Type | Description
NoAsgnReqs | [1..1] | NumInGroup | Stream Assignment Reports.
Parties | [0..*] | Group |
StrmAsgnRptInstrmtGrp | [0..*] | Group |

Used in messages: StreamAssignmentReport

StrmAsgnRptInstrmtGrp

Name | Mult. | Type | Description
NoRelatedSym | [1..1] | NumInGroup |
Instrument | [0..1] | Component |
SettlType | [0..1] | CodeSet |
StreamAsgnType | [0..1] | CodeSet |
MDStreamID | [0..1] | String |
StreamAsgnRejReason | [0..1] | CodeSet |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |

Used in groups: StrmAsgnRptGrp

Subject

The subject of an Email message

Type: String

Used in messages: Email

SubscriptionRequestType

Subscription Request Type

Type: char

Allowed values in SubscriptionRequestTypeCodeSet:

Code | Name | Description
0 | Snapshot | Snapshot
1 | SnapshotAndUpdates | Snapshot + Updates (Subscribe)
2 | DisablePreviousSnapshot | Disable previous Snapshot + Update Request (Unsubscribe)

Used in messages: CollateralInquiry, DerivativeSecurityListRequest, MarginRequirementInquiry, MarginRequirementInquiryAck, MarketDataRequest, MarketDataStatisticsRequest, MarketDefinitionRequest, PartyDetailsListRequest, PartyEntitlementsRequest, PartyRiskLimitsRequest, PositionReport, QuoteStatusRequest, RFQRequest, RequestForPositions, RequestForPositionsAck, SecurityDefinitionRequest, SecurityListRequest, SecurityMassStatusRequest, SecurityStatusRequest, SecurityTypes, SettlementStatusRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradingSessionListRequest, TradingSessionStatusRequest

SwapClass

The classification or type of swap. Additional values may be used by mutual agreement of the counterparties.

Type: String

Allowed values in SwapClassCodeSet:

Code | Name | Description
BS | BasisSwap | Basis swap
IX | IndexSwap | Index swap
BB | BroadBasedSecuritySwap | Broad-based security swap
SK | BasketSwap | Basket swap

Used in components: Instrument

SwapPoints

For FX Swap, this is used to express the differential between the far leg's bid/offer and the near leg's bid/offer. Value can be negative. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Type: PriceOffset

Used in messages: MultilegOrderCancelReplace, NewOrderMultileg

SwapSubClass

The sub-classification or notional schedule type of the swap.

Type: String

Allowed values in SwapSubClassCodeSet:

Code | Name | Description
AMTZ | Amortizing | Amortizing notional schedule
COMP | Compounding | Compounding
CNST | ConstantNotionalSchedule | Constant notional schedule
ACRT | AccretingNotionalSchedule | Accreting notional schedule
CUST | CustomNotionalSchedule | Custom notional schedule

Used in components: Instrument

Symbol

Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles)

Use "[N/A]" for products which do not have a symbol.

Type: String

Used in components: Instrument

SymbolPositionNumber

Reference to the first or second currency or digital asset in Symbol(55) for FX-style trading.

Conditionally required when one or both symbols in Symbol(55) represent a digital asset.

Type: int

Used in groups: SecAltIDGrp

SymbolSfx

Additional information about the security (e.g. preferred, warrants, etc.). Note also see SecurityType (167).

As defined in the NYSE Stock and bond Symbol Directory and in the AMEX Fitch Directory.

Type: String

Allowed values in SymbolSfxCodeSet:

Code | Name | Description
CD | EUCPWithLumpSumInterest | EUCP with lump-sum interest rather than discount price
WI | WhenIssued | "When Issued" for a security to be reissued under an old CUSIP or ISIN

Used in components: Instrument

TargetCompID

Assigned value used to identify receiving firm.

Type: String

Used in components: StandardHeader

TargetLocationID

Assigned value used to identify specific message destination's location (i.e. geographic location and/or desk, trader)

Type: String

Used in components: StandardHeader

TargetMarketSegmentGrp

Convey a list of market segments upon which an action is to be taken.

Name | Mult. | Type | Description
NoTargetMarketSegments | [1..1] | NumInGroup |
TargetMarketSegmentID | [0..1] | String | Required when NoTargetMarketSegments(1789) > 0.

Used in messages: OrderMassActionReport, OrderMassActionRequest

TargetMarketSegmentID

Market segment within a target market segment repeating group.

Type: String

Used in groups: TargetMarketSegmentGrp

TargetParties

Name | Mult. | Type | Description
NoTargetPartyIDs | [1..1] | NumInGroup | Repeating group below should contain unique combinations of TargetPartyID, TargetPartyIDSource, and TargetPartyRole.
TargetPartyID | [0..1] | String | Required if NoTargetPartyIDs(1461) > 0. Used to identify the party targeted for the action specified in the message.
TargetPartyIDSource | [0..1] | CodeSet | Used to identify source of target party identifier.
TargetPartyRole | [0..1] | CodeSet | Used to identify the role of source party identifier.
TargetPartyRoleQualifier | [0..1] | CodeSet | Used to further qualify the role of the target party role.
TargetPtysSubGrp | [0..*] | Group | Repeating group of target party sub-identifiers.

Used in messages: AlgoCertificateRequest, ExecutionReport, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, QuoteCancel, QuoteStatusReport, QuoteStatusRequest

TargetPartyID

PartyID value within an target party repeating group.

Type: String

Used in groups: TargetParties

TargetPartyIDSource

PartyIDSource value within an target party repeating group.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: TargetParties

TargetPartyRole

PartyRole value within an target party repeating group.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: TargetParties

TargetPartyRoleQualifier

Qualifies the value of TargetPartyRole (1464).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: TargetParties

TargetPartySubID

Party sub-identifier value within a target party repeating group.

Type: String

Used in groups: TargetPtysSubGrp

TargetPartySubIDType

Type of TargetPartySubID(2434) value.

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: TargetPtysSubGrp

TargetPtysSubGrp

Repeating group of target party sub-identifiers.

Name | Mult. | Type | Description
NoTargetPartySubIDs | [1..1] | NumInGroup |
TargetPartySubID | [0..1] | String | Required when NoTargetPartySubIDs(2433) > 0.
TargetPartySubIDType | [0..1] | CodeSet | Required when NoTargetPartySubIDs(2433) > 0.

Used in groups: TargetParties

TargetStrategy

The target strategy of the order

1000+ = Reserved and available for bi-laterally agreed upon user defined values

Type: int

Allowed values in TargetStrategyCodeSet:

Code | Name | Description
1 | VWAP | VWAP
2 | Participate | Participate (i.e. aim to be x percent of the market volume)
3 | MininizeMarketImpact | Mininize market impact

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

TargetStrategyParameters

Field to allow further specification of the TargetStrategy - usage to be agreed between counterparties

Type: String

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

TargetStrategyPerformance

For communication of the performance of the order versus the target strategy

Type: float

Used in messages: ExecutionReport

TargetSubID

Assigned value used to identify specific individual or unit intended to receive message. "ADMIN" reserved for administrative messages not intended for a specific user.

Type: String

Used in components: StandardHeader

TaxAdvantageType

Identifies the type of tax exempt account in which purchases shares/units are to be held. Used for CIV.

Type: int

Allowed values in TaxAdvantageTypeCodeSet:

Code | Name | Description
0 | None | None/Not Applicable (default)
1 | MaxiISA | Maxi ISA (UK)
2 | TESSA | TESSA (UK)
3 | MiniCashISA | Mini Cash ISA (UK)
4 | MiniStocksAndSharesISA | Mini Stocks And Shares ISA (UK)
5 | MiniInsuranceISA | Mini Insurance ISA (UK)
6 | CurrentYearPayment | Current Year Payment (US)
7 | PriorYearPayment | Prior Year Payment (US)
8 | AssetTransfer | Asset Transfer (US)
9 | EmployeePriorYear | Employee - prior year (US)
10 | EmployeeCurrentYear | Employee - current year (US)
11 | EmployerPriorYear | Employer - prior year (US)
12 | EmployerCurrentYear | Employer - current year (US)
13 | NonFundPrototypeIRA | Non-fund prototype IRA (US)
14 | NonFundQualifiedPlan | Non-fund qualified plan (US)
15 | DefinedContributionPlan | Defined contribution plan (US)
16 | IRA | Individual Retirement Account (US)
17 | IRARollover | Individual Retirement Account - Rollover (US)
18 | KEOGH | KEOGH (US)
19 | ProfitSharingPlan | Profit Sharing Plan (US)
20 | US401K | 401(k) (US)
21 | SelfDirectedIRA | Self-directed IRA (US)
22 | US403b | 403(b) (US)
23 | US457 | 457 (US)
24 | RothIRAPrototype | Roth IRA (Fund Prototype) (US)
25 | RothIRANonPrototype | Roth IRA (Non-prototype) (US)
26 | RothConversionIRAPrototype | Roth Conversion IRA (Fund Prototype) (US)
27 | RothConversionIRANonPrototype | Roth Conversion IRA (Non-prototype) (US)
28 | EducationIRAPrototype | Education IRA (Fund Prototype) (US)
29 | EducationIRANonPrototype | Education IRA (Non-prototype) (US)
999 | Other | Other

Used in messages: RegistrationInstructions

TaxonomyType

The type of identification taxonomy used to identify the security.

Type: char

Allowed values in TaxonomyTypeCodeSet:

Code | Name | Description
I | ISINOrAltInstrmtID | ISIN or Alternate instrument identifier plus CFI. Identified through use of SecurityID(48) and SecurityIDSource(22) of ISIN or another standard source plus CFICode(461).
E | InterimTaxonomy | Interim Taxonomy. Identified through use of AssetClass(1938) plus either Symbol(55) or SecurityID(48) and SecurityIDSource(22), and/or other additional instrument attributes.

Used in messages: PositionReport, TradeCaptureReport

TerminatedIndicator

Indicates if the position has been terminated.

Type: Boolean

Used in messages: PositionMaintenanceReport, PositionReport

TerminationDate

The date of a contract's early termination or other post-trade event when the event is prior to the contract natural end or maturity not defined as part of the security's reference data or contractual terms/agreement.

Type: LocalMktDate

Used in messages: PositionReport, QuoteResponse, QuoteStatusReport, TradeCaptureReport

TerminationType

Type of financing termination.

Type: int

Allowed values in TerminationTypeCodeSet:

Code | Name | Description
1 | Overnight | Overnight
2 | Term | Term
3 | Flexible | Flexible
4 | Open | Open

Used in components: FinancingDetails

TertiaryTrdType

Type of trade assigned to a trade. Used in addition to TrdType(828) and SecondaryTrdType(855). Must not be used when only one additional trade type needs to be assigned.

Type: int

Allowed values in TrdTypeCodeSet:

Code
Name
Description

0
RegularTrade
Regular trade

1
BlockTrade
Block trade

2
EFP
Exchange for physical (EFP)

3
Transfer
Transfer

4
LateTrade
Late trade

5
TTrade
T trade

6
WeightedAveragePriceTrade
Weighted average price trade

7
BunchedTrade
Bunched trade

8
LateBunchedTrade
Late bunched trade

9
PriorReferencePriceTrade
Prior reference price trade

10
AfterHoursTrade
After hours trade

11
ExchangeForRisk
Exchange for risk (EFR)

12
ExchangeForSwap
Exchange for swap (EFS)

13
ExchangeOfFuturesFor
Exchange of futures for in market futures (EFM). For example full sized for mini.

14
ExchangeOfOptionsForOptions
Exchange of options for options (EOO)

15
TradingAtSettlement
Trading at settlement

16
AllOrNone
All or none

17
FuturesLargeOrderExecution
Futures large order execution

18
ExchangeOfFuturesForFutures
Exchange of futures for external market futures (EFF)

19
OptionInterimTrade
Option interim trade

20
OptionCabinetTrade
Option cabinet trade

22
PrivatelyNegotiatedTrades
Privately negotiated trade

23
SubstitutionOfFuturesForForwards
Substitution of futures for forwards

24
ErrorTrade
Error trade

25
SpecialCumDividend
Special cum dividend (CD)

26
SpecialExDividend
Special ex dividend (XD)

27
SpecialCumCoupon
Special cum coupon (CC)

28
SpecialExCoupon
Special ex coupon (XC)

29
CashSettlement
Cash settlement (CS)

30
SpecialPrice
Special price (SP). Usually net or all-in price.

31
GuaranteedDelivery
Guaranteed delivery (GD)

32
SpecialCumRights
Special cum rights (CR)

33
SpecialExRights
Special ex rights (XR)

34
SpecialCumCapitalRepayments
Special cum capital repayments (CP)

35
SpecialExCapitalRepayments
Special ex capital repayments (XP)

36
SpecialCumBonus
Special cum bonus (CB)

37
SpecialExBonus
Special ex bonus (XB)

38
LargeTrade
Block trade. The same as large trade.

39
WorkedPrincipalTrade
Worked principal trade

40
BlockTrades
Block trades

41
NameChange
Name change

42
PortfolioTransfer
Portfolio transfer

43
ProrogationBuy
Prorogation buy. Used by Euronext Paris only. Is used to defer settlement under French SRD (deferred settlement system). Trades must be reported as crosses at zero price.

44
ProrogationSell
Prorogation sell. See prorogation buy.

45
OptionExercise
Option exercise

46
DeltaNeutralTransaction
Delta neutral transaction

47
FinancingTransaction
Financing transaction

48
NonStandardSettlement
Non-standard settlement

49
DerivativeRelatedTransaction
Derivative related transaction

50
PortfolioTrade
Portfolio trade. Identifies a collection/basket of trades. In the context of bonds (e.g. corporate bonds) these are transacted as a single trade at an aggregate price for the entire portfolio and may be traded all-or-none or most-or-none depending on bilateral agreement. In the context of ESMA RTS 1 Article 2(b), may be used to refer to portfolio trades to distinguish between addressable and non-addressable volume. In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

51
VolumeWeightedAverageTrade
Volume weighted average trade

52
ExchangeGrantedTrade
Exchange granted trade

53
RepurchaseAgreement
Repurchase agreement

54
OTC
OTC. Trade executed off-market. In the context of CFTC regulatory reporting for swaps, it is a large notional off-facility swap. In the context of MiFID transparency reporting rules this is used to report, into an exchange, deals made outside exchange rules.

55
ExchangeBasisFacility
Exchange basis facility (EBF)

56
OpeningTrade
Opening trade. Identifies a trade that resulted from the opening of a market. In the context of IIROC, this indicates a trade that occurred at the opening or the first trade of the day for a security.

57
NettedTrade
Netted trade

58
BlockSwapTrade
Block swap trade. Block trade executed off-market or on a registered market. In the context of CFTC regulatory reporting for swaps, it is a swap executed according to SEF or DCM rules.

59
CreditEventTrade
Credit event trade

60
SuccessionEventTrade
Succession event trade

61
GiveUpGiveInTrade
Give-up Give-in trade

62
DarkTrade
Dark trade. In the context of Market Model Typology (MMT), a dark trade might also come from a lit/hybrid book (e.g. when an aggressive lit order hits a resting dark order). The use of this value applies to TrdType(828), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

63
TechnicalTrade
Technical trade

64
Benchmark
Benchmark. In the context of ESMA RTS 1 Article 2(a), may be used to refer to benchmark trades. In the context of Market Model Typology (MMT), the "benchmark" price depends on a benchmark which has no current price but was derived from a time series such as a VWAP. The use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

65
PackageTrade
Package trade. May be used to identify the pseudo-trade of a stream or collection of trades to be transacted, cleared and be reported as an atomic unit. In the context of MiFIR RTS 1, this is the "CONT" flag. In the context of MiFIR RTS 2 Article 1(1)(b), may be used to refer to package transactions (excluding exchange for physicals). In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

66
RollTrade
Roll trade. Trade is a roll from one contract that is about to expire to a new contract.

67
ClosingPriceTrade
Closing price trade. Identifies a trade that uses the closing price of a market without resulting from the closing of this market. In the context of FCA policy statement PS23/4, this indicates a benchmark transaction executed using the market closing price and is the "CLSE" flag.

68
InterFundTransferTrade
Inter-fund transfer trade. Administrative trade (non price-forming) related to the transfer of ownership between funds.

69
NetAssetValueCalculatedTrade
Net asset value calculated trade. Trade of a fund priced at the net asset value of its constituents. In the context of MiFIR RTS 1, this may be used for ETFs when the NAV price becomes available.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, TradeCaptureReport

TestActionReportID

Identifier of the test action report.

Type: String

Used in messages: TestActionReport

TestActionRequestID

Unique identifier of the TestActionRequest(35=EN).

Type: String

Used in messages: TestActionRequest, TestActionRequestAck

TestActionRequestStatus

Status of the TestActionRequest(35=EN) message being responded to.

Type: int

Allowed values in TestActionRequestStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected. Rejection reason provided in RejectText(1328).

Used in messages: TestActionRequestAck

TestActionType

Specifies the type of action to take or that was taken for a given test suite.

Type: int

Allowed values in TestActionTypeCodeSet:

Code | Name | Description
0 | Start | Start
1 | Stop | Stop
2 | State | State

Used in messages: TestActionRequest

TestFailLevelValue

Value of the measure upon which the test is considered to have failed.

Type: float

Used in groups: TestMeasureGrp

TestGatewayDetailGrp

Provides information about gateways for testing applications, e.g. for order entry or market data.

Name | Mult. | Type | Description
NoTestGatewayDetails | [1..1] | NumInGroup |
TestGatewayDetailName | [0..1] | String | Required if NoTestGatewayDetails(3092)>0.
TestGatewayDetailType | [0..1] | CodeSet | Required if NoTestGatewayDetails(3092)>0.
TestGatewayDetailValue | [0..1] | String | Required if NoTestGatewayDetails(3092)>0.
TestGatewayMarketID | [0..1] | Exchange |

Used in messages: TestSuiteDefinitionRequestAck

TestGatewayDetailName

Name of test gateway information.

Type: String

Used in groups: TestGatewayDetailGrp

TestGatewayDetailType

Type of test gateway information.

Type: int

Allowed values in TestGatewayDetailTypeCodeSet:

Code | Name | Description
0 | MarketDataGatewayIPAddress | Market data gateway IP address. IP address of the market data gateway of a venue.
1 | MarketDataGatewayPortNumber | Market data gateway port number. Port for the IP address of the market data gateway of a venue.
2 | MarketDataGatewayDataFormat | Market data gateway data format. Data format for market data.
3 | MarketDataGatewayFormatVersion | Market data gateway format version. Version of the data format for market data.
4 | MarketDataGatewayRoutingIPAddress | Market data gateway routing IP address. Intermediate gateway that is needed to setup the IP route to the actual market data gateway.
5 | OrderEntryGatewayIPAddress | Order entry gateway IP address. IP address of the order entry gateway of a venue.
6 | OrderEntryGatewayPortNumber | Order entry gateway port number. Port for the IP address of the order entry gateway of a venue.
7 | OrderEntryGatewaydataFormat | Order entry gateway data format. Data format for order entry.
8 | OrderEntryGatewayFormatVersion | Order entry gateway format version. Version of the data format for order entry.
9 | OrderEntryGatewayRoutingIPAddress | Order entry gateway routing IP address. Intermediate gateway that is needed to setup the IP route to the actual order entry gateway.

Used in groups: TestGatewayDetailGrp

TestGatewayDetailValue

Value of test gateway information.

Type: String

Used in groups: TestGatewayDetailGrp

TestGatewayMarketID

Execution venue of test system.

Type: Exchange

Used in groups: TestGatewayDetailGrp

TestMeasureDesc

Description of a test measure.

Type: String

Used in groups: TestMeasureGrp

TestMeasureGrp

Provides details for a collection of test measures or criteria that a test case/scenario is assessed against.

Name | Mult. | Type | Description
NoTestMeasures | [1..1] | NumInGroup |
TestMeasureName | [0..1] | String | Required if NoTestMeasures(3052)>0.
TestMeasureDesc | [0..1] | String |
TestMeasureType | [0..1] | CodeSet | Required if NoTestMeasures(3052)>0.
TestMeasurePrecision | [0..1] | int |
TestMeasureResult | [0..1] | CodeSet | Required if NoTestMeasures(3052)>0.
TestThresholdType | [0..1] | CodeSet | Required if NoTestMeasures(3052)>0.
TestWarningLevelValue | [0..1] | float |
TestFailLevelValue | [0..1] | float | Required if NoTestMeasures(3052)>0.
TestPeakLevelValue | [0..1] | float |

Used in groups: TestScenarioGrp

TestMeasureName

Name of a test measure.

Type: String

Used in groups: TestMeasureGrp

TestMeasurePrecision

Number of decimal places for TestMeasureType(3055).

Type: int

Used in groups: TestMeasureGrp

TestMeasureResult

Identifies the result of an individual test based on a measure.

Type: int

Allowed values in TestSuiteStatusCodeSet:

Code | Name | Description
0 | Undefined | Undefined
1 | Pass | Pass
2 | Fail | Fail
3 | Warning | Warning

Used in groups: TestMeasureGrp

TestMeasureType

Datatype of the metric being used for a test.

Type: int

Allowed values in StrategyParameterTypeCodeSet:

Code | Name | Description
1 | Int | Int
2 | Length | Length
3 | NumInGroup | NumInGroup
4 | SeqNum | SeqNum
5 | TagNum | TagNum
6 | Float | float
7 | Qty | Qty
8 | Price | Price
9 | PriceOffset | PriceOffset
10 | Amt | Amt
11 | Percentage | Percentage
12 | Char | Char
13 | Boolean | Boolean
14 | String | String
15 | MultipleCharValue | MultipleCharValue
16 | Currency | Currency
17 | Exchange | Exchange
18 | MonthYear | MonthYear
19 | UTCTimestamp | UTCTimestamp
20 | UTCTimeOnly | UTCTimeOnly
21 | LocalMktDate | LocalMktDate
22 | UTCDateOnly | UTCDateOnly
23 | Data | data
24 | MultipleStringValue | MultipleStringValue
25 | Country | Country
26 | Language | Language
27 | TZTimeOnly | TZTimeOnly
28 | TZTimestamp | TZTimestamp
29 | Tenor | Tenor

Used in groups: TestMeasureGrp

TestMessageIndicator

Indicates whether or not this FIX Session is a "test" vs. "production" connection. Useful for preventing "accidents".

Type: Boolean

Allowed values in TestMessageIndicatorCodeSet:

Code | Name | Description
N | False | False (production)
Y | True | True (test)

Used in messages: Logon

TestOrderGrp

Provides list of orders for the execution of test scenarios.

Name | Mult. | Type | Description
NoTestOrders | [1..1] | NumInGroup |
TestOrderID | [0..1] | String | Required if NoTestOrders(3082)>0.
TestOrderSymbol | [0..1] | String |
TestOrderSecurityID | [0..1] | String |
TestOrderSecurityIDSource | [0..1] | String |
TestOrderPrice | [0..1] | Price |
TestOrderPriceType | [0..1] | CodeSet |
TestOrderQty | [0..1] | Qty |
TestOrderOffsetPeriod | [0..1] | int | Use for an effective time relative to the overall starting time defined by TestScenarioStartTime(3031). Required when TestOrderOffsetUnit(3091) is specified.
TestOrderOffsetUnit | [0..1] | CodeSet | Use for an effective time relative to the overall starting time defined by TestScenarioStartTime(3031). Required when TestOrderOffsetPeriod(3090) is specified.

Used in groups: TestScenarioGrp

TestOrderID

Identifier of a test order.

Type: String

Used in groups: TestOrderGrp

TestOrderOffsetPeriod

Time unit multiplier for the effective time of an order relative to the starting time of a test scenario.

Type: int

Used in groups: TestOrderGrp

TestOrderOffsetUnit

Time unit associated with the effective time of an order relative to the starting time of a test scenario.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: TestOrderGrp

TestOrderPrice

Used for the price of a test order.

See Price(44) field for description.

Type: Price

Used in groups: TestOrderGrp

TestOrderPriceType

Type of price of TestOrderPrice(3087).

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in groups: TestOrderGrp

TestOrderQty

Used for the quantity of a test order.

See OrderQty(80) field for description.

Type: Qty

Used in groups: TestOrderGrp

TestOrderSecurityID

Used for the security identifier of a test order.

See Security(48) field for description.

Type: String

Used in groups: TestOrderGrp

TestOrderSecurityIDSource

Used for the source of the security identifier of a test order.

See SecurityIDSource(22) field for description.

Type: String

Used in groups: TestOrderGrp

TestOrderSymbol

Used for the security symbol of a test order.

See Symbol(55) field for description.

Type: String

Used in groups: TestOrderGrp

TestPeakLevelValue

Peak value of the measure achieved in testing.

Type: float

Used in groups: TestMeasureGrp

TestReqID

Identifier included in Test Request message to be returned in resulting Heartbeat

Type: String

Used in messages: Heartbeat, TestRequest

TestScenarioEndTime

Ending date and time of test scenario execution for a software system.

Type: UTCTimestamp

Used in groups: TestScenarioGrp

TestScenarioGroupID

Unique identifier for the group of test scenarios constituting a test suite.

Type: String

Used in messages: AlgoCertificateRequest, TestSuiteDefinitionRequest

TestScenarioGrp

TestScenarioGrp provides details for a collection of test cases/scenarios that makes up a test suite.

Name | Mult. | Type | Description
NoTestScenarios | [1..1] | NumInGroup |
TestScenarioID | [0..1] | String | Required if NoTestScenarios(3028)>0.
TestScenarioStatus | [0..1] | CodeSet | Required if NoTestScenarios(3028)>0.
TestScenarioStartTime | [0..1] | UTCTimestamp | Overall starting time of this test scenario.
TestScenarioEndTime | [0..1] | UTCTimestamp | Overall ending time of this test scenario.
NestedParties | [0..*] | Group | May be used to identify one or more execution venues.
InstrumentScopeGrp | [0..*] | Group | InstrumentScopeSecurityGroup(1545) may be used to reference a list of securities provided with the SecurityList(35=y) message.
MDOriginType | [0..1] | CodeSet |
MDOriginDesc | [0..1] | String |
MDOriginTime | [0..1] | UTCTimestamp |
TestStepGroupID | [0..1] | String | May be used to define a shortcut for TestStepGrp.
TestStepGrp | [0..*] | Group |
TestSystemModuleGrp | [0..*] | Group |
TestMeasureGrp | [0..*] | Group | Use to provide the metrics and thresholds for the scenario identified by TestScenarioID(3029). Required unless TestSuiteStatus(3070)=0 (Undefined).
TestOrderGrp | [0..*] | Group | Use to provide a list of orders to be used for testing the scenario.

Used in messages: AlgoCertificateReport, AlgoCertificateRequest, TestActionReport, TestActionRequest, TestSuiteDefinitionRequest

TestScenarioID

Unique identifier of a test scenario for a software system.

Type: String

Used in groups: TestScenarioGrp

TestScenarioStartTime

Starting date and time of test scenario execution for a software system.

Type: UTCTimestamp

Used in groups: TestScenarioGrp

TestScenarioStatus

Identifies the overall result of a test scenario identified by TestScenarioID(3029).

Type: int

Allowed values in TestSuiteStatusCodeSet:

Code | Name | Description
0 | Undefined | Undefined
1 | Pass | Pass
2 | Fail | Fail
3 | Warning | Warning

Used in groups: TestScenarioGrp

TestStepDesc

Description of a test step.

Type: String

Used in groups: TestStepGrp

TestStepEndOffsetPeriod

Time unit multiplier for the ending time of a test step relative to the starting time of a test scenario.

Type: int

Used in groups: TestStepGrp

TestStepEndOffsetUnit

Time unit associated with the starting time of a test step relative to the ending time of a test scenario.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: TestStepGrp

TestStepEndTime

Ending time of a test step.

Type: UTCTimestamp

Used in groups: TestStepGrp

TestStepGroupID

Unique identifier for the group of test steps constituting a test scenario.

Type: String

Used in groups: TestScenarioGrp

TestStepGrp

TestStepGrp is a repeating group used to provide information regarding the steps of a test case/scenario for a testing system.

Name | Mult. | Type | Description
NoTestSteps | [1..1] | NumInGroup |
TestStepID | [0..1] | String | Required if NoTestSteps(3036)>0.
TestStepDesc | [0..1] | String |
TestStepStartTime | [0..1] | UTCTimestamp | Use for an absolute starting time. Mutually exclusive with TestStepStartOffsetUnit(3041) and TestStepStartOffsetPeriod(3040).
TestStepStartOffsetPeriod | [0..1] | int | Use for a starting time relative to the overall starting time defined by TestScenarioStartTime(3031). Required when TestStepStartOffsetUnit(3041) is specified.
TestStepStartOffsetUnit | [0..1] | CodeSet | Use for a starting time relative to the overall starting time defined by TestScenarioStartTime(3031). Required when TestStepStartOffsetPeriod(3040) is specified.
TestStepEndTime | [0..1] | UTCTimestamp | Use for an absolute ending time. Mutually exclusive with TestStepEndOffsetUnit(3044) and TestStepEndOffsetPeriod(3043).
TestStepEndOffsetPeriod | [0..1] | int | Use for an ending time relative to the starting time of the step defined by TestStepStartTime(3039). Required when TestStepEndOffsetUnit(3044) is specified.
TestStepEndOffsetUnit | [0..1] | CodeSet | Use for an ending time relative to the starting time of the step defined by TestStepStartTime(3039). Required when TestStepEndOffsetPeriod(3043) is specified.
TestStepParameterGrp | [0..*] | Group |

Used in groups: TestScenarioGrp

TestStepID

Unique identifier of a test step.

Type: String

Used in groups: TestStepGrp

TestStepParameterGrp

TestStepParameterGrp is a repeating group used to provide information regarding the input parameters of a test step for testing.

Name | Mult. | Type | Description
NoTestStepParameters | [1..1] | NumInGroup |
TestStepParameterName | [0..1] | String | Required if NoTestStepParameters(3045)>0.
TestStepParameterType | [0..1] | CodeSet | Required if NoTestStepParameters(3045)>0.
TestStepParameterValue | [0..1] | String | Required if NoTestStepParameters(3045)>0.

Used in groups: TestStepGrp

TestStepParameterName

Name of the test step parameter.

Type: String

Used in groups: TestStepParameterGrp

TestStepParameterType

Datatype of the test step parameter.

Type: int

Allowed values in StrategyParameterTypeCodeSet:

Code | Name | Description
1 | Int | Int
2 | Length | Length
3 | NumInGroup | NumInGroup
4 | SeqNum | SeqNum
5 | TagNum | TagNum
6 | Float | float
7 | Qty | Qty
8 | Price | Price
9 | PriceOffset | PriceOffset
10 | Amt | Amt
11 | Percentage | Percentage
12 | Char | Char
13 | Boolean | Boolean
14 | String | String
15 | MultipleCharValue | MultipleCharValue
16 | Currency | Currency
17 | Exchange | Exchange
18 | MonthYear | MonthYear
19 | UTCTimestamp | UTCTimestamp
20 | UTCTimeOnly | UTCTimeOnly
21 | LocalMktDate | LocalMktDate
22 | UTCDateOnly | UTCDateOnly
23 | Data | data
24 | MultipleStringValue | MultipleStringValue
25 | Country | Country
26 | Language | Language
27 | TZTimeOnly | TZTimeOnly
28 | TZTimestamp | TZTimestamp
29 | Tenor | Tenor

Used in groups: TestStepParameterGrp

TestStepParameterValue

Value of the test step parameter.

Type: String

Used in groups: TestStepParameterGrp

TestStepStartOffsetPeriod

Time unit multiplier for the starting time of a test step relative to the starting time of a test scenario.

Type: int

Used in groups: TestStepGrp

TestStepStartOffsetUnit

Time unit associated with the starting time of a test step relative to the starting time of a test scenario.

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: TestStepGrp

TestStepStartTime

Starting time of a test step.

Type: UTCTimestamp

Used in groups: TestStepGrp

TestSuiteActivityState

Specifies the activity state the test suite is in.

Type: int

Allowed values in TestSuiteActivityStateCodeSet:

Code | Name | Description
0 | Scheduled | Scheduled. Test suite is planned for execution but has not started yet.
1 | Running | Running. Test suite is currently being executed.
2 | Completed | Completed. Test suite has run to completion and test status information is available.
3 | Cancelled | Cancelled. Test suite has not run to completion due to a cancellation by the user or an abnormal termination by the test system. Test suite status information is undefined.

Used in messages: TestActionRequestAck

TestSuiteRequestID

Unique identifier of the TestSuiteDefinitionRequest(35=EL).

Type: String

Used in messages: TestActionReport, TestActionRequest, TestActionRequestAck, TestSuiteDefinitionRequest, TestSuiteDefinitionRequestAck

TestSuiteRequestRefID

Reference identifier of the TestSuiteDefinitionRequest(35=EL).

Type: String

Used in messages: TestSuiteDefinitionRequest

TestSuiteRequestStatus

Status of the TestSuiteDefinitionRequest(35=EL) message being responded to.

Type: int

Allowed values in TestSuiteRequestStatusCodeSet:

Code | Name | Description
0 | Received | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected. Rejection reason provided in RejectText(1328).

Used in messages: TestSuiteDefinitionRequestAck

TestSuiteRequestTransType

Identifies the message transaction type.

Type: int

Allowed values in TestSuiteRequestTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel

Used in messages: TestSuiteDefinitionRequest

TestSuiteStatus

Identifies the overall test result of a group of individual test scenarios.

Type: int

Allowed values in TestSuiteStatusCodeSet:

Code | Name | Description
0 | Undefined | Undefined
1 | Pass | Pass
2 | Fail | Fail
3 | Warning | Warning

Used in messages: AlgoCertificateReport, TestActionReport

TestSystemModuleGrp

TestSystemModuleGrp is a repeating group used to provide information regarding a testing system.

Name | Mult. | Type | Description
NoTestSystemModules | [1..1] | NumInGroup |
TestSystemModuleName | [0..1] | String | Required if NoTestSystemModules(3049)>0.
TestSystemModuleVersion | [0..1] | String | Required if NoTestSystemModules(3049)>0.
TestSystemModuleLastUpdateTime | [0..1] | UTCTimestamp |

Used in groups: TestScenarioGrp

TestSystemModuleLastUpdateTime

Support Timestamp of last update to Algo Test System Module.

Type: UTCTimestamp

Used in groups: TestSystemModuleGrp

TestSystemModuleName

Name of the component of a testing system.

Type: String

Used in groups: TestSystemModuleGrp

TestSystemModuleVersion

Version (e.g. build or commit number) of the component of a testing system.

Type: String

Used in groups: TestSystemModuleGrp

TestThresholdType

Identifies whether the value of a measure needs to be over or under a specific threshold to be successful.

Type: int

Allowed values in TestThresholdTypeCodeSet:

Code | Name | Description
0 | Under | Under
1 | Over | Over

Used in groups: TestMeasureGrp

TestWarningLevelValue

Value of the measure upon which a warning is issued for the test.

Type: float

Used in groups: TestMeasureGrp

Text

Free format text string

(Note: this field does not have a specified maximum length)

Type: String

Used in groups: BidCompRspGrp, InstrmtStrkPxGrp, LinesOfTextGrp, ListOrdGrp, MDFullGrp, MDIncGrp, OrdListStatGrp, RelSymDerivSecGrp, RelSymDerivSecUpdGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp, StrmAsgnRptInstrmtGrp, TrdCapRptSideGrp, TrdMatchSideGrp, TrdSessLstGrp

Used in messages: Advertisement, AlgoCertificateReport, AlgoCertificateRequest, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, ApplicationMessageReport, ApplicationMessageRequest, ApplicationMessageRequestAck, AssignmentReport, BidRequest, BusinessMessageReject, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ConfirmationAck, ConfirmationRequest, ContraryIntentionReport, DerivativeSecurityListRequest, DontKnowTrade, ExecutionAck, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatusRequest, Logon, Logout, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataRequestReject, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MassQuoteAck, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, PartyActionReport, PartyActionRequest, PartyDetailsDefinitionRequest, PartyDetailsDefinitionRequestAck, PartyDetailsListReport, PartyDetailsListRequest, PartyDetailsListUpdateReport, PartyEntitlementsDefinitionRequest, PartyEntitlementsDefinitionRequestAck, PartyEntitlementsReport, PartyEntitlementsRequest, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsDefinitionRequest, PartyRiskLimitsDefinitionRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsRequest, PartyRiskLimitsUpdateReport, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteAck, QuoteRequest, QuoteRequestReject, QuoteResponse, QuoteStatusReport, Reject, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityTypeRequest, SecurityTypes, SettlementInstructions, SettlementObligationReport, SettlementStatusReport, SettlementStatusRequest, StreamAssignmentReportACK, TestActionReport, TestActionRequest, TestSuiteDefinitionRequest, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck, TradeMatchReportAck, TradingSessionStatus, UserNotification

Theta

The security's price rate of change in relation to passage of time. Also known as "time decay".

Type: float

Used in groups: SecurityRiskMetricGrp

ThresholdAmount

Amount that a position has to be in the money before it is exercised.

Type: PriceOffset

Used in messages: AssignmentReport, PositionMaintenanceReport, PositionMaintenanceRequest

ThrottleAction

Action to take should throttle limit be exceeded.

Type: int

Allowed values in ThrottleActionCodeSet:

Code | Name | Description
0 | QueueInbound | Queue inbound
1 | QueueOutbound | Queue outbound
2 | Reject | Reject
3 | Disconnect | Disconnect
4 | Warning | Warning

Used in groups: ThrottleParamsGrp

ThrottleCountIndicator

Indicates whether a message decrements the number of outstanding requests, e.g. one where ThrottleType = Outstanding Requests.

Type: int

Allowed values in ThrottleCountIndicatorCodeSet:

Code | Name | Description
0 | OutstandingRequestsUnchanged | Outstanding requests unchanged
1 | OutstandingRequestsDecreased | Outstanding requests decreased

Used in components: ThrottleResponse

ThrottleInst

Describes action recipient should take if a throttle limit were exceeded.

Type: int

Allowed values in ThrottleInstCodeSet:

Code | Name | Description
0 | RejectIfThrottleLimitExceeded | Reject if throttle limit exceeded
1 | QueueIfThrottleLimitExceeded | Queue if throttle limit exceeded

Used in components: ThrottleResponse

Used in messages: CrossOrderCancelReplaceRequest, MassOrder, MassQuote, MultilegOrderCancelReplace, NewOrderCross, NewOrderList, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

ThrottleMsgType

The MsgType (35) of the FIX message being referenced.

Type: String

Allowed values in MsgTypeCodeSet:

Code
Name
Description

0
Heartbeat
Heartbeat. The Heartbeat monitors the status of the communication link and identifies when the last of a string of messages was not received.

1
TestRequest
TestRequest. The test request message forces a heartbeat from the opposing application. The test request message checks sequence numbers or verifies communication line status. The opposite application responds to the Test Request with a Heartbeat containing the TestReqID.

2
ResendRequest
ResendRequest. The resend request is sent by the receiving application to initiate the retransmission of messages. This function is utilized if a sequence number gap is detected, if the receiving application lost a message, or as a function of the initialization process.

3
Reject
Reject. The reject message should be issued when a message is received but cannot be properly processed due to a session-level rule violation. An example of when a reject may be appropriate would be the receipt of a message with invalid basic data which successfully passes de-encryption, CheckSum and BodyLength checks.

4
SequenceReset
SequenceReset. The sequence reset message is used by the sending application to reset the incoming sequence number on the opposing side.

5
Logout
Logout. The logout message initiates or confirms the termination of a FIX session. Disconnection without the exchange of logout messages should be interpreted as an abnormal condition.

6
IOI
IOI. Indication of interest messages are used to market merchandise which the broker is buying or selling in either a proprietary or agency capacity. The indications can be time bound with a specific expiration value. Indications are distributed with the understanding that other firms may react to the message first and that the merchandise may no longer be available due to prior trade. Indication messages can be transmitted in various transaction types; NEW, CANCEL, and REPLACE. All message types other than NEW modify the state of the message identified in IOIRefID.

7
Advertisement
Advertisement. Advertisement messages are used to announce completed transactions. The advertisement message can be transmitted in various transaction types; NEW, CANCEL and REPLACE. All message types other than NEW modify the state of a previously transmitted advertisement identified in AdvRefID.

8
ExecutionReport
ExecutionReport. The execution report message is used to:. 1. confirm the receipt of an order. 2. confirm changes to an existing order (i.e. accept cancel and replace requests). 3. relay order status information. 4. relay fill information on working orders. 5. relay fill information on tradeable or restricted tradeable quotes. 6. reject orders. 7. report post-trade fees calculations associated with a trade

9
OrderCancelReject
OrderCancelReject. The order cancel reject message is issued by the broker upon receipt of a cancel request or cancel/replace request message which cannot be honored.

A
Logon
Logon. The logon message authenticates a user establishing a connection to a remote system. The logon message must be the first message sent by the application requesting to initiate a FIX session.

B
News
News. The news message is a general free format message between the broker and institution. The message contains flags to identify the news item's urgency and to allow sorting by subject company (symbol). The News message can be originated at either the broker or institution side, or exchanges and other marketplace venues.

C
Email
Email. The email message is similar to the format and purpose of the News message, however, it is intended for private use between two parties.

D
NewOrderSingle
NewOrderSingle. The new order message type is used by institutions wishing to electronically submit securities and forex orders to a broker for execution. The New Order message type may also be used by institutions or retail intermediaries wishing to electronically submit Collective Investment Vehicle (CIV) orders to a broker or fund manager for execution.

E
NewOrderList
NewOrderList. The NewOrderList Message can be used in one of two ways depending on which market conventions are being followed.

F
OrderCancelRequest
OrderCancelRequest. The order cancel request message requests the cancellation of all of the remaining quantity of an existing order. Note that the Order Cancel/Replace Request should be used to partially cancel (reduce) an order).

G
OrderCancelReplaceRequest
OrderCancelReplaceRequest. The order cancel/replace request is used to change the parameters of an existing order. Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request message for this purpose.

H
OrderStatusRequest
OrderStatusRequest. The order status request message is used by the institution to generate an order status message back from the broker.

J
AllocationInstruction
AllocationInstruction. The AllocationInstruction(35=J) message provides the ability to specify how an order or set of orders should be subdivided amongst one or more accounts.

K
ListCancelRequest
ListCancelRequest. The List Cancel Request message type is used by institutions wishing to cancel previously submitted lists either before or during execution.

L
ListExecute
ListExecute. The List Execute message type is used by institutions to instruct the broker to begin execution of a previously submitted list. This message may or may not be used, as it may be mirroring a phone conversation.

M
ListStatusRequest
ListStatusRequest. The list status request message type is used by institutions to instruct the broker to generate status messages for a list.

N
ListStatus
ListStatus. The list status message is issued as the response to a List Status Request message sent in an unsolicited fashion by the sell-side. It indicates the current state of the orders within the list as they exist at the broker's site. This message may also be used to respond to the List Cancel Request.

P
AllocationInstructionAck
AllocationInstructionAck. In versions of FIX prior to version 4.4, this message was known as the Allocation ACK message. The Allocation Instruction Ack message is used to acknowledge the receipt of and provide status for an Allocation Instruction message.

Q
DontKnowTrade
DontKnowTrade. The Don’t Know Trade (DK) message notifies a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.

R
QuoteRequest
QuoteRequest. In some markets it is the practice to request quotes from brokers prior to placement of an order. The quote request message is used for this purpose. This message is commonly referred to as an Request For Quote (RFQ)

S
Quote
Quote. The Quote message is used as the response to a Quote Request or a Quote Response message in both indicative, tradeable, and restricted tradeable quoting markets.

T
SettlementInstructions
SettlementInstructions. The Settlement Instructions message provides the broker’s, the institution’s, or the intermediary’s instructions for trade settlement. This message has been designed so that it can be sent from the broker to the institution, from the institution to the broker, or from either to an independent "standing instructions" database or matching system or, for CIV, from an intermediary to a fund manager.

V
MarketDataRequest
MarketDataRequest. Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.

W
MarketDataSnapshotFullRefresh
MarketDataSnapshotFullRefresh. The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

X
MarketDataIncrementalRefresh
MarketDataIncrementalRefresh. The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.

Y
MarketDataRequestReject
MarketDataRequestReject. The Market Data Request Reject is used when the broker cannot honor the Market Data Request, due to business or technical reasons. Brokers may choose to limit various parameters, such as the size of requests, whether just the top of book or the entire book may be displayed, and whether Full or Incremental updates must be used.

Z
QuoteCancel
QuoteCancel. The Quote Cancel message is used by an originator of quotes to cancel quotes. The Quote Cancel message supports cancellation of:. • All quotes. • Quotes for a specific symbol or security ID. • All quotes for a security type. • All quotes for an underlying

a
QuoteStatusRequest
QuoteStatusRequest. The quote status request message is used for the following purposes in markets that employ tradeable or restricted tradeable quotes:. • For the issuer of a quote in a market to query the status of that quote (using the QuoteID to specify the target quote). • To subscribe and unsubscribe for Quote Status Report messages for one or more securities.

b
MassQuoteAck
MassQuoteAck. Mass Quote Acknowledgement is used as the application level response to a Mass Quote message.

c
SecurityDefinitionRequest
SecurityDefinitionRequest. The SecurityDefinitionRequest(35=c) message is used for the following:. 1. Request a specific security to be traded with the second party. The requested security can be defined as a multileg security made up of one or more instrument legs. 2. Request a set of individual securities for a single market segment. 3. Request all securities, independent of market segment.

d
SecurityDefinition
SecurityDefinition. The SecurityDefinition(35=d) message is used for the following:. 1. Accept the security defined in a SecurityDefinition(35=d) message. 2. Accept the security defined in a SecurityDefinition(35=d) message with changes to the definition and/or identity of the security. 3. Reject the security requested in a SecurityDefinition(35=d) message. 4. Respond to a request for securities within a specified market segment. 5. Convey comprehensive security definition for all market segments that the security participates in. 6. Convey the security's trading rules that differ from default rules for the market segment.

e
SecurityStatusRequest
SecurityStatusRequest. The Security Status Request message provides for the ability to request the status of a security. One or more Security Status messages are returned as a result of a Security Status Request message.

f
SecurityStatus
SecurityStatus. The Security Status message provides for the ability to report changes in status to a security. The Security Status message contains fields to indicate trading status, corporate actions, financial status of the company. The Security Status message is used by one trading entity (for instance an exchange) to report changes in the state of a security.

g
TradingSessionStatusRequest
TradingSessionStatusRequest. The Trading Session Status Request is used to request information on the status of a market. With the move to multiple sessions occurring for a given trading party (morning and evening sessions for instance) there is a need to be able to provide information on what product is trading on what market.

h
TradingSessionStatus
TradingSessionStatus. The Trading Session Status provides information on the status of a market. For markets multiple trading sessions on multiple-markets occurring (morning and evening sessions for instance), this message is able to provide information on what products are trading on what market during what trading session.

i
MassQuote
MassQuote. The Mass Quote message can contain quotes for multiple securities to support applications that allow for the mass quoting of an option series. Two levels of repeating groups have been provided to minimize the amount of data required to submit a set of quotes for a class of options (e.g. all option series for IBM).

j
BusinessMessageReject
BusinessMessageReject. The Business Message Reject message can reject an application-level message which fulfills session-level rules and cannot be rejected via any other means. Note if the message fails a session-level rule (e.g. body length is incorrect), a session-level Reject message should be issued.

k
BidRequest
BidRequest. The BidRequest Message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention (e.g. US/European model) the BidRequest message can be used to request a bid based on the sector, country, index and liquidity information contained within the message itself. In the "Non disclosed" convention the entry repeating group is used to define liquidity of the program. See " Program/Basket/List Trading" for an example. In the "Disclosed" convention (e.g. Japanese model) the BidRequest message can be used to request bids based on the ListOrderDetail messages sent in advance of BidRequest message. In the "Disclosed" convention the list repeating group is used to define which ListOrderDetail messages a bid is being sort for and the directions of the required bids.

l
BidResponse
BidResponse. The Bid Response message can be used in one of two ways depending on which market conventions are being followed. In the "Non disclosed" convention the Bid Response message can be used to supply a bid based on the sector, country, index and liquidity information contained within the corresponding bid request message. See "Program/Basket/List Trading" for an example. In the "Disclosed" convention the Bid Response message can be used to supply bids based on the List Order Detail messages sent in advance of the corresponding Bid Request message.

m
ListStrikePrice
ListStrikePrice. The strike price message is used to exchange strike price information for principal trades. It can also be used to exchange reference prices for agency trades.

n
XMLnonFIX
XMLnonFIX.

o
RegistrationInstructions
RegistrationInstructions. The Registration Instructions message type may be used by institutions or retail intermediaries wishing to electronically submit registration information to a broker or fund manager (for CIV) for an order or for an allocation.

p
RegistrationInstructionsResponse
RegistrationInstructionsResponse. The Registration Instructions Response message type may be used by broker or fund manager (for CIV) in response to a Registration Instructions message submitted by an institution or retail intermediary for an order or for an allocation.

q
OrderMassCancelRequest
OrderMassCancelRequest. The order mass cancel request message requests the cancellation of all of the remaining quantity of a group of orders matching criteria specified within the request. NOTE: This message can only be used to cancel order messages (reduce the full quantity).

r
OrderMassCancelReport
OrderMassCancelReport. The Order Mass Cancel Report is used to acknowledge an Order Mass Cancel Request. Note that each affected order that is canceled is acknowledged with a separate Execution Report or Order Cancel Reject message.

s
NewOrderCross
NewOrderCross. Used to submit a cross order into a market. The cross order contains two order sides (a buy and a sell). The cross order is identified by its CrossID.

t
CrossOrderCancelReplaceRequest
CrossOrderCancelReplaceRequest. Used to modify a cross order previously submitted using the New Order - Cross message. See Order Cancel Replace Request for details concerning message usage.

u
CrossOrderCancelRequest
CrossOrderCancelRequest. Used to fully cancel the remaining open quantity of a cross order.

v
SecurityTypeRequest
SecurityTypeRequest. The Security Type Request message is used to return a list of security types available from a counterparty or market.

w
SecurityTypes
SecurityTypes. The Security Type Request message is used to return a list of security types available from a counterparty or market.

x
SecurityListRequest
SecurityListRequest. The Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

y
SecurityList
SecurityList. The Security List message is used to return a list of securities that matches the criteria specified in a Security List Request.

z
DerivativeSecurityListRequest
DerivativeSecurityListRequest. The Derivative Security List Request message is used to return a list of securities from the counterparty that match criteria provided on the request

AA
DerivativeSecurityList
DerivativeSecurityList. The Derivative Security List message is used to return a list of securities that matches the criteria specified in a Derivative Security List Request.

AB
NewOrderMultileg
NewOrderMultileg. The New Order - Multileg is provided to submit orders for securities that are made up of multiple securities, known as legs.

AC
MultilegOrderCancelReplace
MultilegOrderCancelReplace. Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.

AD
TradeCaptureReportRequest
TradeCaptureReportRequest. The Trade Capture Report Request can be used to:. • Request one or more trade capture reports based upon selection criteria provided on the trade capture report request. • Subscribe for trade capture reports based upon selection criteria provided on the trade capture report request.

AE
TradeCaptureReport
TradeCaptureReport. The Trade Capture Report message can be:. - Used to report trades between counterparties. - Used to report trades to a trade matching system. - Sent unsolicited between counterparties. - Sent as a reply to a Trade Capture Report Request. - Used to report unmatched and matched trades.

AF
OrderMassStatusRequest
OrderMassStatusRequest. The order mass status request message requests the status for orders matching criteria specified within the request.

AG
QuoteRequestReject
QuoteRequestReject. The Quote Request Reject message is used to reject Quote Request messages for all quoting models.

AH
RFQRequest
RFQRequest. In tradeable and restricted tradeable quoting markets – Quote Requests are issued by counterparties interested in ascertaining the market for an instrument. Quote Requests are then distributed by the market to liquidity providers who make markets in the instrument. The RFQ Request is used by liquidity providers to indicate to the market for which instruments they are interested in receiving Quote Requests. It can be used to register interest in receiving quote requests for a single instrument or for multiple instruments

AI
QuoteStatusReport
QuoteStatusReport. The quote status report message is used:. • as the response to a Quote Status Request message. • as a response to a Quote Cancel message. • as a response to a Quote Response message in a negotiation dialog (see Volume 7 – PRODUCT: FIXED INCOME and USER GROUP: EXCHANGES AND MARKETS)

AJ
QuoteResponse
QuoteResponse. The QuoteResponse(35=AJ) message is used for the following purposes:. 1. Respond to an IOI(35=6) message. 2. Respond to a Quote(35=S) message. 3. Counter a Quote. 4. End a negotiation dialog. 5. Follow-up or end a QuoteRequest(35=R) dialog that did not receive a response.

AK
Confirmation
Confirmation. The Confirmation messages are used to provide individual trade level confirmations from the sell side to the buy side. In versions of FIX prior to version 4.4, this role was performed by the allocation message. Unlike the allocation message, the confirmation message operates at an allocation account (trade) level rather than block level, allowing for the affirmation or rejection of individual confirmations.

AL
PositionMaintenanceRequest
PositionMaintenanceRequest. The Position Maintenance Request message allows the position owner to submit requests to the holder of a position which will result in a specific action being taken which will affect the position. Generally, the holder of the position is a central counter party or clearing organization but can also be a party providing investment services.

AM
PositionMaintenanceReport
PositionMaintenanceReport. The Position Maintenance Report message is sent by the holder of a position in response to a Position Maintenance Request and is used to confirm that a request has been successfully processed or rejected.

AN
RequestForPositions
RequestForPositions. The Request For Positions message is used by the owner of a position to request a Position Report from the holder of the position, usually the central counter party or clearing organization. The request can be made at several levels of granularity.

AO
RequestForPositionsAck
RequestForPositionsAck. The Request for Positions Ack message is returned by the holder of the position in response to a Request for Positions message. The purpose of the message is to acknowledge that a request has been received and is being processed.

AP
PositionReport
PositionReport. The Position Report message is returned by the holder of a position in response to a Request for Position message. The purpose of the message is to report all aspects of a position and may be provided on a standing basis to report end of day positions to an owner.

AQ
TradeCaptureReportRequestAck
TradeCaptureReportRequestAck. The Trade Capture Request Ack message is used to:. - Provide an acknowledgement to a Trade Capture Report Request in the case where the Trade Capture Report Request is used to specify a subscription or delivery of reports via an out-of-band ResponseTransmissionMethod. - Provide an acknowledgement to a Trade Capture Report Request in the case when the return of the Trade Capture Reports matching that request will be delayed or delivered asynchronously. This is useful in distributed trading system environments. - Indicate that no trades were found that matched the selection criteria specified on the Trade Capture Report Request or the Trade Capture Request was invalid for some business reason, such as request is not authorized, invalid or unknown instrument, party, trading session, etc.

AR
TradeCaptureReportAck
TradeCaptureReportAck. The Trade Capture Report Ack message can be:. - Used to acknowledge trade capture reports received from a counterparty. - Used to reject a trade capture report received from a counterparty.

AS
AllocationReport
AllocationReport. Sent from sell-side to buy-side, sell-side to 3rd-party or 3rd-party to buy-side, the AllocationReport(35=AS) message (Claim) provides account breakdown of an order or set of orders plus any additional follow-up front-office information developed post-trade during the trade allocation, matching and calculation phase.

AT
AllocationReportAck
AllocationReportAck. The Allocation Report Ack message is used to acknowledge the receipt of and provide status for an Allocation Report message.

AU
ConfirmationAck
ConfirmationAck. The Confirmation Ack (aka Affirmation) message is used to respond to a Confirmation message.

AV
SettlementInstructionRequest
SettlementInstructionRequest. The Settlement Instruction Request message is used to request standing settlement instructions from another party.

AW
AssignmentReport
AssignmentReport. Assignment Reports are sent from a clearing house to counterparties, such as a clearing firm as a result of the assignment process.

AX
CollateralRequest
CollateralRequest. An initiator that requires collateral from a respondent sends a Collateral Request. The initiator can be either counterparty to a trade in a two party model or an intermediary such as an ATS or clearinghouse in a three party model. A Collateral Assignment is expected as a response to a request for collateral.

AY
CollateralAssignment
CollateralAssignment. Used to assign collateral to cover a trading position. This message can be sent unsolicited or in reply to a Collateral Request message.

AZ
CollateralResponse
CollateralResponse. Used to respond to a Collateral Assignment message.

BA
CollateralReport
CollateralReport. Used to report collateral status when responding to a Collateral Inquiry message.

BB
CollateralInquiry
CollateralInquiry. Used to inquire for collateral status.

BC
NetworkCounterpartySystemStatusRequest
NetworkCounterpartySystemStatusRequest. This message is send either immediately after logging on to inform a network (counterparty system) of the type of updates required or to at any other time in the FIX conversation to change the nature of the types of status updates required. It can also be used with a NetworkRequestType of Snapshot to request a one-off report of the status of a network (or counterparty) system. Finally this message can also be used to cancel a request to receive updates into the status of the counterparties on a network by sending a NetworkRequestStatusMessage with a NetworkRequestType of StopSubscribing.

BD
NetworkCounterpartySystemStatusResponse
NetworkCounterpartySystemStatusResponse. This message is sent in response to a Network (Counterparty System) Status Request Message.

BE
UserRequest
UserRequest. This message is used to initiate a user action, logon, logout or password change. It can also be used to request a report on a user's status.

BF
UserResponse
UserResponse. This message is used to respond to a user request message, it reports the status of the user after the completion of any action requested in the user request message.

BG
CollateralInquiryAck
CollateralInquiryAck. Used to respond to a Collateral Inquiry in the following situations:. • When the CollateralInquiry will result in an out of band response (such as a file transfer). • When the inquiry is otherwise valid but no collateral is found to match the criteria specified on the Collateral Inquiry message. • When the Collateral Inquiry is invalid based upon the business rules of the counterparty.

BH
ConfirmationRequest
ConfirmationRequest. The Confirmation Request message is used to request a Confirmation message.

BO
ContraryIntentionReport
ContraryIntentionReport. The Contrary Intention Report is used for reporting of contrary expiration quantities for Saturday expiring options. This information is required by options exchanges for regulatory purposes.

BP
SecurityDefinitionUpdateReport
SecurityDefinitionUpdateReport. This message is used for reporting updates to a product security master file. Updates could be the result of corporate actions or other business events. Updates may include additions, modifications or deletions.

BK
SecurityListUpdateReport
SecurityListUpdateReport. The Security List Update Report is used for reporting updates to a Contract Security Masterfile. Updates could be due to Corporate Actions or other business events. Update may include additions, modifications and deletions.

BL
AdjustedPositionReport
AdjustedPositionReport. Used to report changes in position, primarily in equity options, due to modifications to the underlying due to corporate actions

BM
AllocationInstructionAlert
AllocationInstructionAlert. This message is used in a 3-party allocation model (buy-side and sell-side using a central clearing entity) where notification of group creation and group updates to counterparties is needed. The message will also carry trade information that comprised the group to the counterparties.

BN
ExecutionAck
ExecutionAck. The Execution Report Acknowledgement message is an optional message that provides dual functionality to notify a trading partner that an electronically received execution has either been accepted or rejected (DK'd).

BJ
TradingSessionList
TradingSessionList. The Trading Session List message is sent as a response to a Trading Session List Request. The Trading Session List should contain the characteristics of the trading session and the current state of the trading session.

BI
TradingSessionListRequest
TradingSessionListRequest. The Trading Session List Request is used to request a list of trading sessions available in a market place and the state of those trading sessions. A successful request will result in a response from the counterparty of a Trading Session List (MsgType=BJ) message that contains a list of zero or more trading sessions.

BQ
SettlementObligationReport
SettlementObligationReport. The Settlement Obligation Report message provides a central counterparty, institution, or individual counterparty with a capacity for reporting the final details of a currency settlement obligation.

BR
DerivativeSecurityListUpdateReport
DerivativeSecurityListUpdateReport. The Derivative Security List Update Report message is used to send updates to an option family or the strikes that comprise an option family.

BS
TradingSessionListUpdateReport
TradingSessionListUpdateReport. The Trading Session List Update Report is used by marketplaces to provide intra-day updates of trading sessions when there are changes to one or more trading sessions.

BT
MarketDefinitionRequest
MarketDefinitionRequest. The Market Definition Request message is used to request for market structure information from the Respondent that receives this request.

BU
MarketDefinition
MarketDefinition. The MarketDefinition(35=BU) message is used to respond to MarketDefinitionRequest(35=BT). In a subscription, it will be used to provide the initial snapshot of the information requested. Subsequent updates are provided by the MarketDefinitionUpdateReport(35=BV).

BV
MarketDefinitionUpdateReport
MarketDefinitionUpdateReport. In a subscription for market structure information, this message is used once the initial snapshot of the information has been sent using the MarketDefinition(35=BU) message.

BW
ApplicationMessageRequest
ApplicationMessageRequest. This message is used to request a retransmission of a set of one or more messages generated by the application specified in RefApplID (1355).

BX
ApplicationMessageRequestAck
ApplicationMessageRequestAck. This message is used to acknowledge an Application Message Request providing a status on the request (i.e. whether successful or not). This message does not provide the actual content of the messages to be resent.

BY
ApplicationMessageReport
ApplicationMessageReport. This message is used for three difference purposes: to reset the ApplSeqNum (1181) of a specified ApplID (1180). to indicate that the last message has been sent for a particular ApplID, or as a keep-alive mechanism for ApplIDs with infrequent message traffic.

BZ
OrderMassActionReport
OrderMassActionReport. The Order Mass Action Report is used to acknowledge an Order Mass Action Request. Note that each affected order that is suspended or released or canceled is acknowledged with a separate Execution Report for each order.

CA
OrderMassActionRequest
OrderMassActionRequest. The Order Mass Action Request message can be used to request the suspension or release of a group of orders that match the criteria specified within the request. This is equivalent to individual Order Cancel Replace Requests for each order with or without adding "S" to the ExecInst values. It can also be used for mass order cancellation.

CB
UserNotification
UserNotification. The User Notification message is used to notify one or more users of an event or information from the sender of the message. This message is usually sent unsolicited from a marketplace (e.g. Exchange, ECN) to a market participant.

CC
StreamAssignmentRequest
StreamAssignmentRequest. In certain markets where market data aggregators fan out to end clients the pricing streams provided by the price makers, the price maker may assign the clients to certain pricing streams that the price maker publishes via the aggregator. An example of this use is in the FX markets where clients may be assigned to different pricing streams based on volume bands and currency pairs.

CD
StreamAssignmentReport
StreamAssignmentReport. The StreamAssignmentReport(35=CD) message is in response to the StreamAssignmentRequest(35=CC) message. It provides information back to the aggregator as to which clients to assign to receive which price stream based on requested CCY pair. This message can be sent unsolicited to the Aggregator from the Price Maker.

CE
StreamAssignmentReportACK
StreamAssignmentReportACK. This message is used to respond to the Stream Assignment Report, to either accept or reject an unsolicited assingment.

CF
PartyDetailsListRequest
PartyDetailsListRequest. The PartyDetailsListRequest is used to request party detail information.

CG
PartyDetailsListReport
PartyDetailsListReport. The PartyDetailsListReport message is used to disseminate party details between counterparties. PartyDetailsListReport messages may be sent in response to a PartyDetailsListRequest message or sent unsolicited.

CH
MarginRequirementInquiry
MarginRequirementInquiry. The purpose of this message is to initiate a margin requirement inquiry for a margin account. The inquiry may be submitted at the detail level or the summary level. It can also be used to inquire margin excess/deficit or net position information. Margin excess/deficit will provide information about the surplus or shortfall compared to the previous trading day or a more recent margin calculation. An inquiry for net position information will trigger one or more PositionReport messages instead of one or more MarginRequirementReport messages. If the inquiry is made at the detail level, an Instrument block must be provided with the desired level of detail. If the inquiry is made at the summary level, the Instrument block is not provided, implying a summary request is being made. For example, if the inquiring firm specifies the Security Type of “FUT” in the Instrument block, then a detail report will be generated containing the margin requirements for all futures positions for the inquiring account. Similarly, if the inquiry is made at the summary level, the report will contain the total margin requirement aggregated to the margin account level.

CI
MarginRequirementInquiryAck
MarginRequirementInquiryAck. Used to respond to a Margin Requirement Inquiry.

CJ
MarginRequirementReport
MarginRequirementReport. The Margin Requirement Report returns information about margin requirement either as on overview across all margin accounts or on a detailed level due to the inquiry making use of the optional Instrument component block. Application sequencing can be used to re-request a range of reports.

CK
PartyDetailsListUpdateReport
PartyDetailsListUpdateReport. The PartyDetailsListUpdateReport(35=CK) is used to disseminate updates to party detail information.

CL
PartyRiskLimitsRequest
PartyRiskLimitsRequest. The PartyRiskLimitsRequest message is used to request for risk information for specific parties, specific party roles or specific instruments.

CM
PartyRiskLimitsReport
PartyRiskLimitsReport. The PartyRiskLimitsReport message is used to communicate party risk limits. The message can either be sent as a response to the PartyRiskLimitsRequest message or can be published unsolicited.

CN
SecurityMassStatusRequest
SecurityMassStatusRequest.

CO
SecurityMassStatus
SecurityMassStatus.

CQ
AccountSummaryReport
AccountSummaryReport. The AccountSummaryReport is provided by the clearinghouse to its clearing members on a daily basis. It contains margin, settlement, collateral and pay/collect data for each clearing member level account type. Clearing member account types will be described through use of the Parties component and PtysSubGrp sub-component. In certain usages, the clearing members can send the AccountSummaryReport message to the clearinghouse as needed. For example, clearing members can send this message to the clearinghouse to identify the value of collateral for each customer (to satisfy CFTC Legally Segregated Operationally Commingled (LSOC) regulatory reporting obligations). Clearing organizations can also send the AccountSummaryReport message to regulators to meet regulatory reporting obligations. For example, clearing organizations can use this message to submit daily reports for each clearing member (“CM”) by house origin and by each customer origin for all futures, options, and swaps positions, and all securities positions held in a segregated account or pursuant to a cross margining agreement, to a regulator (e.g. to the CFTC to meet Part 39, Section 39.19 reporting obligations).

CR
PartyRiskLimitsUpdateReport
PartyRiskLimitsUpdateReport. The PartyRiskLimitsUpdateReport(35=CR) is used to convey incremental changes to risk limits. It is similar to the regular report but uses the PartyRiskLimitsUpdateGrp component instead of the PartyRiskLimitsGrp component to include an update action.

CS
PartyRiskLimitsDefinitionRequest
PartyRiskLimitsDefinitionRequest. PartyRiskLimitDefinitionRequest is used for defining new risk limits.

CT
PartyRiskLimitsDefinitionRequestAck
PartyRiskLimitsDefinitionRequestAck. PartyRiskLimitDefinitionRequestAck is used for accepting (with or without changes) or rejecting the definition of risk limits.

CU
PartyEntitlementsRequest
PartyEntitlementsRequest. The PartyEntitlementsRequest message is used to request for entitlement information for one or more party(-ies), specific party role(s), or specific instruments(s).

CV
PartyEntitlementsReport
PartyEntitlementsReport. The PartyEntitlementsReport is used to report entitlements for one or more parties, party role(s), or specific instrument(s).

CW
QuoteAck
QuoteAck. The QuoteAck(35=CW) message is used to acknowledge a Quote(35=S) submittal or request to cancel an individual quote using the QuoteCancel(35=Z) message during a Quote/Negotiation dialog.

CX
PartyDetailsDefinitionRequest
PartyDetailsDefinitionRequest. The PartyDetailsDefinitionRequest(35=CX) is used for defining new parties and modifying or deleting existing parties information, including the relationships between parties. The recipient of the message responds with a PartyDetailsDefinitionRequestAck(35=CY) to indicate whether the request was accepted or rejected.

CY
PartyDetailsDefinitionRequestAck
PartyDetailsDefinitionRequestAck. The PartyDetailsDefinitionRequestAck(35=CY) is used as a response to the PartyDetailsDefinitionRequest(35=CX) message. The request can be accepted (with or without changes) or rejected.

CZ
PartyEntitlementsUpdateReport
PartyEntitlementsUpdateReport. The PartyEntitlementsUpdateReport(35=CZ) is used to convey incremental changes to party entitlements. It is similar to the PartyEntitlementsReport(35=CV). This message uses the PartyEntitlementsUpdateGrp component which includes the ability to specify an update action using ListUpdateAction(1324).

DA
PartyEntitlementsDefinitionRequest
PartyEntitlementsDefinitionRequest. The PartyEntitlementsDefinitionRequest(35=DA) is used for defining new entitlements, and modifying or deleting existing entitlements for the specified party(-ies).

DB
PartyEntitlementsDefinitionRequestAck
PartyEntitlementsDefinitionRequestAck. The PartyEntitlementsDefinitionRequestAck(35=DB) is used as a response to the PartyEntitlemensDefinitionRequest(35=DA) to accept (with or without changes) or reject the definition of party entitlements.

DC
TradeMatchReport
TradeMatchReport. The TradeMatchReport(35=DC) message is used by exchanges and ECN’s to report matched trades to central counterparties (CCPs) as an atomic event. The message is used to express the one-to-one, one-to-many and many-to-many matches as well as implied matches in which more complex instruments can match with simpler instruments.

DD
TradeMatchReportAck
TradeMatchReportAck. The TradeMatchReportAck(35=DD) is used to respond to theTradeMatchReport(35=DC) message. It may be used to report on the status of the request (e.g. accepting the request or rejecting the request).

DE
PartyRiskLimitsReportAck
PartyRiskLimitsReportAck. PartyRiskLimitsReportAck is an optional message used as a response to the PartyRiskLimitReport(35=CM) or PartyRiskLimitUpdateReport(35=CR) messages to acknowledge or reject those messages.

DF
PartyRiskLimitCheckRequest
PartyRiskLimitCheckRequest. PartyRiskLimitCheckRequest is used to request for approval of credit or risk limit amount intended to be used by a party in a transaction from another party that holds the information.

DG
PartyRiskLimitCheckRequestAck
PartyRiskLimitCheckRequestAck. PartyRiskLimitCheckRequestAck is used to acknowledge a PartyRiskLimitCheckRequest(35=DF) message and to respond whether the limit check request was approved or not. When used to accept the PartyRiskLimitCheckRequest(35=DF) message the Respondent may also include the limit amount that was approved.

DH
PartyActionRequest
PartyActionRequest. The PartyActionRequest message is used suspend or halt the specified party from further trading activities at the Respondent. The Respondent must respond with a PartyActionReport(35=DI) message.

DI
PartyActionReport
PartyActionReport. Used to respond to the PartyActionRequest(35=DH) message, indicating whether the request has been received, accepted or rejected. Can also be used in an unsolicited manner to report party actions, e.g. reinstatements after a manual intervention out of band.

DJ
MassOrder
MassOrder. The MassOrder(35=DJ) message can be used to add, modify or delete multiple unrelated orders with a single message. Apart from clearing related attributes, only the key order attributes for high performance trading are available.

DK
MassOrderAck
MassOrderAck. The mass order acknowledgement message is used to acknowledge the receipt of and the status for a MassOrder(35=DJ) message.

DL
PositionTransferInstruction
PositionTransferInstruction. The PositionTransferInstruction(35=DL) is sent by clearing firms to CCPs to initiate position transfers, or to accept or decline position transfers.

DM
PositionTransferInstructionAck
PositionTransferInstructionAck. The PositionTransferInstructionAck(35=DM) is sent by CCPs to clearing firms to acknowledge position transfer instructions, and to report errors processing position transfer instructions.

DN
PositionTransferReport
PositionTransferReport. The PositionTransferReport(35=DN) is sent by CCPs to clearing firms indicating of positions that are to be transferred to the clearing firm, or to report on status of the transfer to the clearing firms involved in the transfer process.

DO
MarketDataStatisticsRequest
MarketDataStatisticsRequest. The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.

DP
MarketDataStatisticsReport
MarketDataStatisticsReport. The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

DQ
CollateralReportAck
CollateralReportAck. CollateralReportAck(35=DQ) is used as a response to the CollateralReport(35=BA). It can be used to reject a CollateralReport(35=BA) when the content of the report is invalid based on the business rules of the receiver. The message may also be used to acknowledge receipt of a valid CollateralReport(35=BA).

DR
MarketDataReport
MarketDataReport. The MarketDataReport(35=DR) message is used to provide delimiting references (e.g. start and end markers in a continuous broadcast) and details about the number of market data messages sent in a given distribution cycle.

DS
CrossRequest
CrossRequest. The CrossRequest(35=DS) message is used to indicate the submission of orders or quotes that may result in a crossed trade.

DT
CrossRequestAck
CrossRequestAck. The CrossRequestAck(35=DT) message is used to confirm the receipt of a CrossRequest(35=DS) message.

DU
AllocationInstructionAlertRequest
AllocationInstructionAlertRequest. This message is used in a clearinghouse 3-party allocation model to request for AllocationInstructionAlert(35=BM) from the clearinghouse. The request may be used to obtain a one-time notification of the status of an allocation group.

DV
AllocationInstructionAlertRequestAck
AllocationInstructionAlertRequestAck. This message is used in a clearinghouse 3-party allocation model to acknowledge a AllocationInstructionAlertRequest(35=DU) message for an AllocationInstructionAlert(35=BM) message from the clearinghouse.

DW
TradeAggregationRequest
TradeAggregationRequest. TradeAggregationRequest(35=DW) is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

DX
TradeAggregationReport
TradeAggregationReport. TradeAggregationReport(35=DX) is used to respond to the TradeAggregationRequest(35=DW) message. It provides the status of the request (e.g. accepted or rejected) and may also provide additional information supplied by the respondent.

EA
PayManagementReport
PayManagementReport. PayManagementReport(35=EA) may be used to respond to the PayManagementRequest(35=DY) message. It provides the status of the request (e.g. accepted, disputed) and may provide additional information related to the request. PayManagementReport(35=EA) may also be sent unsolicited by the broker to a client. In which case the client may acknowledge and resolve disputes out-of-band or with a simple PayManagementReportAck(35=EB). PayManagementReport(35=EA) may also be sent unsolicited to report the progress status of the payment itself with PayReportTransType(2804)=2 (Status).

EB
PayManagementReportAck
PayManagementReportAck. PayManagementReportAck(35=EB) is used as a response to the PayManagementReport(35=EA) message. It may be used to accept, reject or dispute the details of the PayManagementReport(35=EA) depending on the business rules of the receiver. This message may also be used to acknowledge the receipt of a PayManagementReport(35=EA) message.

DY
PayManagementRequest
PayManagementRequest. PayManagementRequest(35=DY) message is used to communicate a future or expected payment to be made or received related to a trade or contract after its settlement.

DZ
PayManagementRequestAck
PayManagementRequestAck. PayManagementRequestAck(35=DZ) is used to acknowledge the receipt of the PayManagementRequest(35=DY) message (i.e. a technical acknowledgement of receipt). Acceptance or rejection of the request is reported in the corresponding PayManagementReport(35=EA).

EC
SettlementStatusRequest
SettlementStatusRequest. SettlementStatusRequest(35=EC) is used to request for the settlement status of a trade.

ED
SettlementStatusRequestAck
SettlementStatusRequestAck. SettlementStatusRequestAck(35=ED) is used to respond to the SettlementStatusRequest(35=EC) to acknowledge the request and provide status for the request message.

EE
SettlementStatusReport
SettlementStatusReport. SettlementStatusReport(35=EE) is a response to the SettlementStatusRequest(35=EC) to provide settlement status for the requested trade. It may also be sent unsolicited without an explicit request message by the party able to provide the settlement status for the trade identified in the report message.

EF
SettlementStatusReportAck
SettlementStatusReportAck. SettlementStatusReportAck(35=EF) is used to respond to the SettlementStatusReport(35=EE) to acknowledge or reject the report.

EG
SecurityRiskMetricsReport
SecurityRiskMetricsReport. SecurityRiskMetricsReport(35=EG) is used for publishing the risk metrics, valuation metrics or analytics of one or more securities, or for an option series.

EH
AlgoCertificateRequest
AlgoCertificateRequest. AlgoCertificateRequest(35=EH) is used to request algo testing certificate information for one or more algorithms.

EI
AlgoCertificateRequestAck
AlgoCertificateRequestAck. AlgoCertificateRequestAck(35=EI) is used to respond to the AlgoCertificateRequest(35=EH) to acknowledge the request and provide status for the request message.

EJ
AlgoCertificateReport
AlgoCertificateReport. AlgoCertificateReport(35=EJ) is a response to the AlgoCertificateRequest(35=EH) to certify an algo. It may also be sent unsolicited without an explicit request message by the party able to provide certificate information for the algo identified in the report message.

EK
AlgoCertificateReportAck
AlgoCertificateReportAck. AlgoCertificateReportAck(35=EK) is used to respond to the AlgoCertificateReport(35=EJ) to acknowledge or reject the report message.

EL
TestSuiteDefinitionRequest
TestSuiteDefinitionRequest. TestSuiteDefinitionRequest(35=EL) is used to convey to the test system the suite of test scenarios to perform.

EM
TestSuiteDefinitionRequestAck
TestSuiteDefinitionRequestAck. TestSuiteDefinitionRequestAck(35=EM) is used to respond to the TestSuiteDefinitionRequest(35= EL) to acknowledge the request and provide status for the request message.

EN
TestActionRequest
TestActionRequest. TestActionRequest(35=EN) is used to manage test executions or request for testing activity state of the identified test suite.

EO
TestActionRequestAck
TestActionRequestAck. TestActionRequestAck(35=EO) is used to respond to the TestActionRequest(35=EN) to acknowledge the request and provide status for the request message.

EP
TestActionReport
TestActionReport. TestActionReport(35=EP) is used to report the testing results of the identified test suite that has been executed with TestActionRequest(35=EN). In the context of algorithmic trading, the results may be used to create a certificate for the algorithm upon meeting the success criteria.

Used in groups: ThrottleMsgTypeGrp

ThrottleMsgTypeGrp

Name | Mult. | Type | Description
NoThrottleMsgType | [1..1] | NumInGroup |
ThrottleMsgType | [0..1] | CodeSet | Required when NoThrottleMsgType > 0.

Used in groups: ThrottleParamsGrp

ThrottleNoMsgs

Maximum number of messages allowed by the throttle. May be a rate limit or a limit on the number of outstanding requests.

Type: int

Used in groups: ThrottleParamsGrp

ThrottleParamsGrp

Name | Mult. | Type | Description
NoThrottles | [1..1] | NumInGroup | Indicates number of throttles to follow.
ThrottleAction | [0..1] | CodeSet | Required when NoThrottles > 0.
ThrottleType | [0..1] | CodeSet | Required when NoThrottles > 0.
ThrottleNoMsgs | [0..1] | int | Number of messages per time interval, or number of outstanding requests. Required when NoThrottles > 0.
ThrottleTimeInterval | [0..1] | int | Can be used only when ThrottleType = Inbound Rate. Indicates, along with ThrottleTimeUnit, the interval of time in which ThrottleNoMsgs may be sent. Default is 1.
ThrottleTimeUnit | [0..1] | CodeSet | Can be used only when ThrottleType = Inbound Rate. Indicates, along with ThrottleTimeUnit, the interval of time in which ThrottleNoMsgs may be sent. Default is Seconds.
ThrottleMsgTypeGrp | [0..*] | Group | Indicates MsgType values that this throttle counts. If not specified, the definition is implicit based upon bilateral agreement.

Used in messages: UserNotification, UserResponse

ThrottleResponse

Name | Mult. | Type | Description
ThrottleInst | [0..1] | CodeSet |
ThrottleStatus | [0..1] | CodeSet |
ThrottleCountIndicator | [0..1] | CodeSet |

Used in messages: ExecutionReport, MassOrderAck, MassQuoteAck, QuoteStatusReport

ThrottleStatus

Indicates whether a message was queued as a result of throttling.

Type: int

Allowed values in ThrottleStatusCodeSet:

Code | Name | Description
0 | ThrottleLimitNotExceededNotQueued | Throttle limit not exceeded, not queued
1 | QueuedDueToThrottleLimitExceeded | Queued due to throttle limit exceeded

Used in components: ThrottleResponse

ThrottleTimeInterval

Value of the time interval in which the rate throttle is applied.

Type: int

Used in groups: ThrottleParamsGrp

ThrottleTimeUnit

Units in which ThrottleTimeInterval is expressed. Uses same enumerations as OrderDelayUnit(1429).

Type: int

Allowed values in OrderDelayUnitCodeSet:

Code | Name | Description
0 | Seconds | Seconds (default if not specified)
1 | TenthsOfASecond | Tenths of a second
2 | HundredthsOfASecond | Hundredths of a second
3 | Milliseconds | milliseconds
4 | Microseconds | microseconds
5 | Nanoseconds | nanoseconds
10 | Minutes | minutes
11 | Hours | hours
12 | Days | days
13 | Weeks | weeks
14 | Months | months
15 | Years | years

Used in groups: ThrottleParamsGrp

ThrottleType

Type of throttle.

Type: int

Allowed values in ThrottleTypeCodeSet:

Code | Name | Description
0 | InboundRate | Inbound Rate
1 | OutstandingRequests | Outstanding Requests

Used in groups: ThrottleParamsGrp

TickDirection

Direction of the "tick".

Type: char

Allowed values in TickDirectionCodeSet:

Code | Name | Description
0 | PlusTick | Plus Tick
1 | ZeroPlusTick | Zero-Plus Tick
2 | MinusTick | Minus Tick
3 | ZeroMinusTick | Zero-Minus Tick

Used in groups: MDFullGrp, MDIncGrp

TickIncrement

Tick increment for stated price range. Specifies the valid price increments at which a security can be quoted and traded

Type: Price

Used in groups: TickRules

TickRuleProductComplex

Identifies an entire suite of products for which the price tick rule applies.

Type: String

Used in groups: TickRules

TickRules

The TickRules component specifies the rules for determining how a security ticks, i.e. the price increments which it can be quoted, traded, and for certain cases settled, depending on the current price of the security.

Name | Mult. | Type | Description
NoTickRules | [1..1] | NumInGroup |
StartTickPriceRange | [0..1] | Price | Required if NoTickRules(1205) > 0.
EndTickPriceRange | [0..1] | Price |
TickIncrement | [0..1] | Price |
TickRuleType | [0..1] | CodeSet |
TickRuleProductComplex | [0..1] | String | Can be used to limit tick rule to specific product suite.
SettlPriceIncrement | [0..1] | Price |
SettlPriceSecondaryIncrement | [0..1] | Price |

Used in components: BaseTradingRules

TickRuleType

Specifies the type of tick rule which is being described

Type: int

Allowed values in TickRuleTypeCodeSet:

Code | Name | Description
0 | RegularTrading | Regular trading
1 | VariableCabinet | Variable cabinet
2 | FixedCabinet | Fixed cabinet
3 | TradedAsASpreadLeg | Traded as a spread leg
4 | SettledAsASpreadLeg | Settled as a spread leg
5 | TradedAsSpread | Traded as spread. Basis points spread

Used in groups: TickRules

TierCode

The Tier the trade was matched by the clearing system.

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TimeBracket

A code that represents a time interval in which a fill or trade occurred.

Required for US futures markets.

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: ExecutionReport, TradeCaptureReportRequest

TimeInForce

Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders.

Type: char

Allowed values in TimeInForceCodeSet:

Code | Name | Description
0 | Day | Day (or session). A buy or sell order that, if not executed expires at the end of the trading day on which it was entered.
1 | GoodTillCancel | Good Till Cancel (GTC). An order to buy or sell that remains in effect until it is either executed or canceled; sometimes called an “open order”.
2 | AtTheOpening | At the Opening (OPG). A market or limit-price order to be executed at the opening of the stock or not at all; all or part of any order not executed at the opening is treated as canceled.
3 | ImmediateOrCancel | Immediate Or Cancel (IOC). A market or limit-price order that is to be executed in whole or in part as soon as it is available in the market; any portion not so executed is to be canceled.
4 | FillOrKill | Fill Or Kill (FOK). A market or limit-price order that is to be executed in its entirety as soon as it is available in the market; if not so executed, the order is to be canceled.
5 | GoodTillCrossing | Good Till Crossing (GTX). An order to buy or sell that is canceled prior to the market entering into an auction or crossing phase.
6 | GoodTillDate | Good Till Date (GTD). An order to buy or sell that remains in effect until it expires, defined by ExpireDate(432) or ExpireTime(126).
7 | AtTheClose | At the Close. Indicated price is to be around the closing price, however, not held to the closing price.
8 | GoodThroughCrossing | Good Through Crossing. An order that is valid up till and including a crossing phase.]
9 | AtCrossing | At Crossing. An order that is valid only during crossing (auction) phases. The order is valid during the day or up to and including a specified trading (sub) session.
A | GoodForTime | Good for Time (GFT). An order that is valid for a pre-defined time period expressed with ExposureDuration(1629) and (optionally) ExposureDurationUnit(1916).
B | GoodForAuction | Good for Auction (GFA). An order that is valid for an auction initiated by a trading firm (see AuctionType(1803) for examples.
C | GoodForMonth | Good for this Month (GFM). An order that is valid until the end of the current month, i.e. from the time of order submission until the end of the last trading day of the current month.

Used in components: MDStatisticParameters, TradeReportOrderDetail

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, OrderEntryAckGrp, OrderEntryGrp, TimeInForceRules

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

TimeInForceRules

Name | Mult. | Type | Description
NoTimeInForceRules | [1..1] | NumInGroup | Number of time in force techniques
TimeInForce | [0..1] | CodeSet | Indicates time in force techniques that are valid for the specified market segment

Used in components: TradingSessionRules

Used in messages: MarketDefinition, MarketDefinitionUpdateReport

TimeToExpiration

Time to expiration in years calculated as the number of days remaining to expiration divided by 365 days per year.

Type: float

Used in messages: ExecutionReport, TradeCaptureReport

TimeUnit

Unit of time associated with the contract.

NOTE: Additional values may be used by mutual agreement of the counterparties.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: Instrument

TotalAccruedInterestAmt

Total Amount of Accrued Interest for convertible bonds and fixed income

Type: Amt

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

TotalAffectedOrders

Total number of orders affected by either the OrderMassActionRequest(MsgType=CA) or OrderMassCancelRequest(MsgType=Q).

Type: int

Used in messages: OrderMassActionReport, OrderMassCancelReport

TotalBidSize

Specifies the total bid size.

Type: Qty

Used in groups: QuotEntryGrp

Used in messages: Quote, QuoteStatusReport

TotalGrossTradeAmt

Expresses the full total monetary value of the traded contract. The value is the product of LastPx(31) and TotalTradeQty(2367) or TotalTradeMultipliedQty(2370), if priced in units instead of contracts.

Type: Amt

Used in messages: TradeCaptureReport

TotalIssuedAmount

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued securities.

Type: Amt

Used in components: Instrument

TotalNetValue

TotalNetValue is determined as follows:

At the initial collateral assignment TotalNetValue is the sum of (UnderlyingStartValue * (1-haircut)).

In a collateral substitution TotalNetValue is the sum of (UnderlyingCurrentValue * (1-haircut)).

For listed derivatives clearing margin management, this is the collateral value which equals (Market value * haircut)

Type: Amt

Used in messages: AccountSummaryReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse

TotalNotAffectedOrders

Total number of orders unaffected by either the OrderMassActionRequest(35=CA) or OrderMassCancelRequest(35=Q).

Type: int

Used in messages: OrderMassActionReport

TotalNumPosReports

Total number of Position Reports being returned.

Type: int

Used in messages: PositionReport, RequestForPositionsAck

TotalOfferSize

Specifies the total offer size.

Type: Qty

Used in groups: QuotEntryGrp

Used in messages: Quote, QuoteStatusReport

TotalTakedown

The price at which the securities are distributed to the different members of an underwriting group for the primary market in Municipals, total gross underwriter's spread.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Amt

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport

TotalTradeMultipliedQty

Expresses the total trade quantity in units where ContractMultiplier(231) is not 1. The value is the product of TotalTradeQty(2367) and ContractMultiplier(231).

Type: Qty

Used in messages: TradeCaptureReport

TotalTradeQty

Expresses the total quantity traded over the life of the contract when LastQty(32) is repeated periodically over the term of the contract. The value is the product of LastQty(32) and TradingUnitPeriodMultiplier(2353).

Type: Qty

Used in messages: TradeCaptureReport

TotalTradingBusinessDays

Number of trading business days over the lifetime of an instrument.

Type: int

Used in groups: ClearingPriceParametersGrp

TotalVolumeTraded

Total volume (quantity) traded.

Type: Qty

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TotNoAccQuotes

Specifies the number of accepted quotes

Type: int

Used in groups: QuotSetAckGrp

TotNoAllocs

Total number of NoAlloc entries across all messages. Should be the sum of all NoAllocs in each message that has repeating NoAlloc entries related to the same AllocID or AllocReportID. Used to support fragmentation.

Type: int

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport

TotNoCxldQuotes

Specifies the number of canceled quotes

Type: int

Used in groups: QuotSetAckGrp

TotNoEntitlementReports

Total number of reports related to party entitlement information.

Type: int

Used in messages: MarketDataReport

TotNoFills

Total number of fill entries across all messages. Should be the sum of all NoFills(1362) in each message that has repeating list of fill entries related to the same ExecID(17). Used to support fragmentation.

Type: int

Used in messages: ExecutionReport

TotNoInstrumentReports

Total number of reports related to instruments.

Type: int

Used in messages: MarketDataReport

TotNoMarketSegmentReports

Total number of reports related to market segments.

Type: int

Used in messages: MarketDataReport

TotNoOrderEntries

Totals number of orders for a mass order or its acknowledgment being fragmented across multiple messages.

Type: int

Used in messages: MassOrder, MassOrderAck

TotNoOrders

Total number of list order entries across all messages. Should be the sum of all NoOrders (73) in each message that has repeating list order entries related to the same ListID (66). Used to support fragmentation.

(Prior to FIX 4.2 this field was named "ListNoOrds")

Type: int

Used in messages: ListStatus, NewOrderList

TotNoParties

Total number of PartyListGrp returned.

Type: int

Used in messages: PartyDetailsListReport, PartyDetailsListUpdateReport, PartyEntitlementsReport, PartyEntitlementsUpdateReport, PartyRiskLimitsReport, PartyRiskLimitsUpdateReport

TotNoPartyDetailReports

Total number of reports related to party detail information.

Type: int

Used in messages: MarketDataReport

TotNoQuoteEntries

Total number of quotes for the quote set.

Type: int

Used in groups: QuotSetAckGrp, QuotSetGrp

TotNoRejQuotes

Specifies the number of rejected quotes

Type: int

Used in groups: QuotSetAckGrp

TotNoRelatedSym

Total number of securities.

(Prior to FIX 4.4 this field was named TotalNumSecurities)

Type: int

Used in messages: BidRequest, DerivativeSecurityList, DerivativeSecurityListUpdateReport, SecurityList, SecurityListUpdateReport

TotNoRiskLimitReports

Total number of reports related to party risk limit information.

Type: int

Used in messages: MarketDataReport

TotNoSecurityTypes

Used to support fragmentation. Indicates total number of security types when multiple Security Type messages are used to return results.

Type: int

Used in messages: SecurityTypes

TotNoStrikes

Total number of strike price entries across all messages. Should be the sum of all NoStrikes (428) in each message that has repeating strike price entries related to the same ListID (66). Used to support fragmentation.

Type: int

Used in messages: ListStrikePrice

TotNumAssignmentReports

Total Number of Assignment Reports being returned to a firm

Type: int

Used in messages: AssignmentReport

TotNumCollateralRequests

Total number of request messages within a set or group of requests.

Type: int

Used in messages: CollateralAssignment, CollateralResponse

TotNumReports

Total number of reports returned in response to a request.

Type: int

Used in messages: CollateralInquiryAck, CollateralReport, ExecutionReport, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataReport, MarketDataSnapshotFullRefresh, PositionReport, RequestForPositionsAck

TotNumTradeReports

Total number of trade reports returned.

Type: int

Used in messages: TradeCaptureReport, TradeCaptureReportRequestAck

TradeAggregationRejectReason

Reason for trade aggregation request being rejected.

Type: int

Allowed values in TradeAggregationRejectReasonCodeSet:

Code | Name | Description
0 | UnknownOrders | Unknown order(s)
1 | UnknownExecutionFills | Unknown execution/fill(s)
99 | Other | Other

Used in messages: TradeAggregationReport

TradeAggregationReportID

Unique identifier for the TradeAggregationReport(35=DX).

Type: String

Used in messages: TradeAggregationReport

TradeAggregationRequestID

The message identifier for the trade aggregation request.

Type: String

Used in messages: TradeAggregationReport, TradeAggregationRequest

TradeAggregationRequestRefID

Reference identifier to a previously sent trade aggregation message being cancelled or replaced.

Type: String

Used in messages: TradeAggregationRequest

TradeAggregationRequestStatus

Status of the trade aggregation request.

Type: int

Allowed values in TradeAggregationRequestStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | Rejected | Rejected

Used in messages: TradeAggregationReport

TradeAggregationTransType

Identifies the trade aggregation transaction type.

Type: int

Allowed values in TradeAggregationTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel
2 | Replace | Replace

Used in messages: TradeAggregationRequest

TradeAllocAmt

The amount associated with a trade allocation.

Type: Amt

Used in groups: TradeAllocAmtGrp

TradeAllocAmtGrp

The TradeAllocAmtGrp component is used to communicate the monetary amounts associated with allocated positions. This is the per-allocation portion of the per-trade amount specified in PositionAmountData component.

Name | Mult. | Type | Description
NoTradeAllocAmts | [1..1] | NumInGroup |
TradeAllocAmtType | [0..1] | CodeSet | Required if NoTradeAllocAmts(1844) > 0.
TradeAllocAmt | [0..1] | Amt | Required if NoTradeAllocAmts(1844) > 0.
TradeAllocCurrency | [0..1] | Currency |
TradeAllocCurrencyCodeSource | [0..1] | CodeSet |
TradeAllocAmtReason | [0..1] | CodeSet |

Used in groups: AllocGrp, TrdAllocGrp

TradeAllocAmtReason

Specifies the reason for an amount type when reported on an allocation. Useful when multiple instances of the same amount type are reported.

Type: int

Allowed values in PosAmtReasonCodeSet:

Code
Name
Description

0
OptionsSettlement
Options settlement

1
PendingErosionAdjustment
Pending erosion adjustment

2
FinalErosionAdjustment
Final erosion adjustment

3
TearUpCouponAmount
Tear-up coupon amount

4
PriceAlignmentInterest
Price alignment interest. To minimize the impact of daily cash variation margin payments on the pricing of interest rate swaps, the Clearing House will charge interest on cumulative variation margin received and pay interest on cumulative variation margin paid in respect of these instruments. This interest element is known as price alignment interest.

5
DeliveryInvoiceCharges
Delivery invoice charges

6
DeliveryStorageCharges
Delivery storage charges

Used in groups: TradeAllocAmtGrp

TradeAllocAmtType

Type of the amount associated with a trade allocation.

Type: String

Allowed values in PosAmtTypeCodeSet:

Code | Name | Description
CASH | CashAmount | Cash amount (corporate event)
CRES | CashResidualAmount | Cash residual amount
FMTM | FinalMarkToMarketAmount | Final mark-to-market amount
IMTM | IncrementalMarkToMarketAmount | Incremental mark-to-market
PREM | PremiumAmount | Premium amount
SMTM | StartOfDayMarkToMarketAmount | Start of day mark-to-market
TVAR | TradeVariationAmount | Trade variation amount
VADJ | ValueAdjustedAmount | Value adjusted amount
SETL | SettlementValue | Settlement value
ICPN | InitialTradeCouponAmount | Initial trade coupon amount
ACPN | AccruedCouponAmount | Accrued coupon amount
CPN | CouponAmount | Coupon amount
IACPN | IncrementalAccruedCoupon | Incremental accrued coupon
CMTM | CollateralizedMarkToMarket | Collateralized mark-to-market
ICMTM | IncrementalCollateralizedMarkToMarket | Incremental collateralized mark-to-market
DLV | CompensationAmount | Compensation amount
BANK | TotalBankedAmount | Total banked amount
COLAT | TotalCollateralizedAmount | Total collateralized amount
LSNV | LongPairedSwapNotionalValue | Long paired swap or swaption notional value
SSNV | ShortPairedSwapNotionalValue | Short paired swap or swaption notional value
SACPN | StartOfDayAccruedCoupon | Start-of-day accrued coupon
NPV | NetPresentValue | Net present value
SNPV | StartOfDayNetPresentValue | Start-of-day net present value
NCF | NetCashFlow | Net cash flow
PVFEES | PresentValueOfFees | Present value of all fees
PV01 | PresentValueOneBasisPoints | Present value of one basis points. Change in value if yield curve shifts 0.01%.
5YREN | FiveYearEquivalentNotional | The five year equivalent notional amount
UMTM | UndiscountedMarkToMarket | Undiscounted mark-to-market
MTD | MarkToModel | Mark-to-model
VMTM | MarkToMarketVariance | Mark-to-market variance
VMTD | MarkToModelVariance | Mark-to-model variance
UPFRNT | UpfrontPayment | Upfront payment
ENDV | EndVale | End value. Principal amount of a securities financing transaction on maturity date.
MGNLN | OutstandingMarginLoan | Outstanding margin loan. The amount of the outstanding margin loan. In the event that the loan has a short market value, PosAmt(708) would be a negative value.
LNVL | LoanValue | Loan value. The amount of the loan.

Used in groups: TradeAllocAmtGrp

TradeAllocCurrency

Currency denomination of the trade allocation amount.

Type: Currency

Used in groups: TradeAllocAmtGrp

TradeAllocCurrencyCodeSource

Identifies class or source of the TradeAllocCurrency(1847) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: TradeAllocAmtGrp

TradeAllocGroupInstruction

Instruction on how to add a trade to an allocation group when it is being given-up.

Type: int

Allowed values in TradeAllocGroupInstructionCodeSet:

Code | Name | Description
0 | Add | Add to an existing allocation group if one exists.
1 | DoNotAdd | Do not add the trade to an allocation group.

Used in groups: TrdCapRptSideGrp

TradeAllocIndicator

Identifies if, and how, the trade is to be allocated or split.

Type: int

Allowed values in TradeAllocIndicatorCodeSet:

Code | Name | Description
0 | AllocationNotRequired | Allocation not required
1 | AllocationRequired | Allocation required (give-up trade) allocation information not provided (incomplete)
2 | UseAllocationProvidedWithTheTrade | Use allocation provided with the trade
3 | AllocationGiveUpExecutor | Allocation give-up executor
4 | AllocationFromExecutor | Allocation from executor
5 | AllocationToClaimAccount | Allocation to claim account
6 | TradeSplit | Trade split

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

TradeAllocStatus

Identifies the status of an allocation when using a pre-clear workflow.

Type: int

Allowed values in TradeAllocStatusCodeSet:

Code | Name | Description
0 | PendingClear | Pending clear
1 | Claimed | Claimed
2 | Cleared | Cleared
3 | Rejected | Rejected

Used in groups: TrdAllocGrp

TradeCapLegUnderlyingsGrp

Name | Mult. | Type | Description
NoOfLegUnderlyings | [1..1] | NumInGroup | Number of legs for the underlying instrument
UnderlyingLegInstrument | [0..1] | Component |

Used in groups: TrdInstrmtLegGrp

TradeClearingInstruction

Specifies the eligibility of this trade for clearing and central counterparty processing.

Type: int

Allowed values in ClearingInstructionCodeSet:

Code | Name | Description
0 | ProcessNormally | Process normally
1 | ExcludeFromAllNetting | Exclude from all netting
2 | BilateralNettingOnly | Bilateral netting only
3 | ExClearing | Ex clearing
4 | SpecialTrade | Special trade
5 | MultilateralNetting | Multilateral netting
6 | ClearAgainstCentralCounterparty | Clear against central counterparty
7 | ExcludeFromCentralCounterparty | Exclude from central counterparty
8 | ManualMode | Manual mode (pre-posting and/or pre-giveup)
9 | AutomaticPostingMode | Automatic posting mode (trade posting to the position account number specified)
10 | AutomaticGiveUpMode | Automatic give-up mode (trade give-up to the give-up destination number specified)
11 | QualifiedServiceRepresentativeQSR | Qualified Service Representative QSR
12 | CustomerTrade | Customer trade
13 | SelfClearing | Self clearing
14 | BuyIn | Buy-in

Used in messages: TradeCaptureReport

TradeCollateralization

Specifies how the trade is collateralized.

Type: int

Allowed values in TradeCollateralizationCodeSet:

Code | Name | Description
0 | Uncollateralized | Uncollateralized
1 | PartiallyCollateralized | Partially collateralized
2 | OneWayCollaterallization | One-way collaterallization
3 | FullyCollateralized | Fully collateralized
4 | NetExposure | Net exposure. Indication of whether the collateral has been provided for a net exposure, rather than for a single transaction.

Used in messages: CollateralReport, PositionReport, TradeCaptureReport

TradeCondition

Type of market data entry.

Type: MultipleStringValue

Allowed values in TradeConditionCodeSet:

Code | Name | Description
A | Cash | Cash (only) Market
B | AveragePriceTrade | Average Price Trade
C | CashTrade | Cash Trade (same day clearing)
D | NextDay | Next Day (only)Market
E | Opening | Opening/Reopening Trade Detail
F | IntradayTradeDetail | Intraday Trade Detail
G | Rule127Trade | Rule 127 Trade (NYSE)
H | Rule155Trade | Rule 155 Trade (AMEX)
I | SoldLast | Sold Last (late reporting)
J | NextDayTrade | Next Day Trade (next day clearing)
K | Opened | Opened (late report of opened trade)
L | Seller | Seller
M | Sold | Sold (out of sequence)
N | StoppedStock | Stopped Stock (guarantee of price but does not execute the order)
P | ImbalanceMoreBuyers | Imbalance More Buyers (cannot be used in combination with Q)
Q | ImbalanceMoreSellers | Imbalance More Sellers (cannot be used in combination with P)
R | OpeningPrice | Opening Price
S | BargainCondition | Bargain Condition (LSE)
T | ConvertedPriceIndicator | Converted Price Indicator
U | ExchangeLast | Exchange Last
V | FinalPriceOfSession | Final Price of Session
W | ExPit | Ex-pit
X | Crossed | Crossed
Y | TradesResultingFromManual | Trades resulting from manual/slow quote
Z | TradesResultingFromIntermarketSweep | Trades resulting from intermarket sweep
a | VolumeOnly | Volume Only
b | DirectPlus | Direct Plus
c | Acquisition | Acquisition
d | Bunched | Bunched
e | Distribution | Distribution
f | BunchedSale | Bunched Sale
g | SplitTrade | Split Trade
h | CancelStopped | Cancel Stopped
i | CancelETH | Cancel ETH
j | CancelStoppedETH | Cancel Stopped ETH
k | OutOfSequenceETH | Out of Sequence ETH
l | CancelLastETH | Cancel Last ETH
m | SoldLastSaleETH | Sold Last Sale ETH
n | CancelLast | Cancel Last
o | SoldLastSale | Sold Last Sale
p | CancelOpen | Cancel Open
q | CancelOpenETH | Cancel Open ETH
r | OpenedSaleETH | Opened Sale ETH
s | CancelOnly | Cancel Only
t | CancelOnlyETH | Cancel Only ETH
u | LateOpenETH | Late Open ETH
v | AutoExecutionETH | Auto Execution ETH
w | Reopen | Reopen
x | ReopenETH | Reopen ETH
y | Adjusted | Adjusted
z | AdjustedETH | Adjusted ETH
AA | Spread | Spread
AB | SpreadETH | Spread ETH
AC | Straddle | Straddle
AD | StraddleETH | Straddle ETH
AE | Stopped | Stopped
AF | StoppedETH | Stopped ETH
AG | RegularETH | Regular ETH
AH | Combo | Combo
AI | ComboETH | Combo ETH
AJ | OfficialClosingPrice | Official Closing Price
AK | PriorReferencePrice | Prior Reference Price
AL | StoppedSoldLast | Stopped Sold Last
AM | StoppedOutOfSequence | Stopped Out of Sequence
AN | OfficialClosingPriceDup | Official Closing Price (duplicate enumeration - use 'AJ' instead)
AO | CrossedOld | Crossed (duplicate enumeration - use 'X' instead)
AP | FastMarket | Fast Market
AQ | AutomaticExecution | Automatic Execution
AR | FormT | Form T
AS | BasketIndex | Basket Index
AT | BurstBasket | Burst Basket
AU | TradeThroughExempt | Trade through exempt. Trade ignored prices on away markets.
AV | QuoteSpread | Quote spread
AW | LastAuctionPrice | Last auction price. Trade represents outcome of last auction
AX | HighPrice | High price. Trade establishes new high price for the session
AY | LowPrice | Low price. Trade establishes new low price for the session
AZ | SystematicInternaliser | Systematic Internaliser (SI). Trade conducted by Systematic Internaliser (SI).
BA | AwayMarket | Away market. Trade conducted on away market
BB | MidpointPrice | Mid-point price. Trade represents current midpoint price
BC | TradedBeforeIssueDate | Traded before issue date. Trade conducted during subscription phase of new issue
BD | PreviousClosingPrice | Previous closing price. Trade represents closing price of previous business day
BE | NationalBestBidOffer | National Best Bid and Offer. Trade price within National Best Bid and Offer (NBBO)
0 | Cancel | Cancel
1 | ImpliedTrade | Implied Trade
2 | MarketplaceEnteredTrade | Marketplace entered trade
3 | MultiAssetClassMultilegTrade | Multi-asset class multileg trade
4 | MultilegToMultilegTrade | Multileg-to-Multileg Trade
5 | ShortSaleMinPrice | Short Sale Minimum Price
6 | Benchmark | Benchmark. Market Model Typology (MMT) terminology: The "benchmark" price depends on a benchmark which has no current price but derived from a time series such as a VWAP.

Used in components: MDStatisticParameters

Used in groups: MDFullGrp, MDIncGrp

TradeConfirmationReferenceID

A reference or control identifier or number used as a trade confirmation key.

Type: String

Used in messages: Confirmation, ConfirmationAck

TradeContingency

Indicates the contingency attribute for a trade in an asset class that may be contingent on the clearing of a corresponding paired trade (for example Exchange for Physical (EFP), Exchange for Swap (EFS), Exchange for Related (EFR) or Exchange for Option (EFO), collectively called EFRPs). Once the paired trade clears or fails to clear, the related trade (the trade which carries this attribute) ceases to exist.

Type: int

Allowed values in TradeContingencyCodeSet:

Code | Name | Description
0 | DoesNotApply | Does not apply (default if not specified). The trade is for an asset class that is not traded with contingency.
1 | ContingentTrade | Contingent trade. The trade is terminated as soon as its paired trade is cleared or denied clearing.
2 | NonContingentTrade | Non-contingent trade. Identifies a trade that is not contingent but is for an asset class that may be contingent.

Used in messages: TradeCaptureReport

TradeContinuation

Specifies the post-execution trade continuation or lifecycle event. Additional values may be used by mutual agreement of the counterparties.

Type: int

Allowed values in TradeContinuationCodeSet:

Code | Name | Description
0 | Novation | Novation
1 | PartialNovation | Partial novation
2 | TradeUnwind | Trade unwind. "Trade" includes "Swaps".
3 | PartialTradeUnwind | Partial trade unwind. "Trade" includes "Swaps".
4 | Exercise | Exercise
5 | Netting | Compression/Netting. Compression (used for OTC derivative trades) and Netting (used for Futures trades) are essentially the same business process, i.e. rolling up closely related contracts into a single trade or position.
6 | FullNetting | Full netting
7 | PartialNetting | Partial netting
8 | Amendment | Amendment. Based on mutual agreement between the counterparties, used to change the original or previously amended contract terms reported to a trade repository.
9 | Increase | Increase
10 | CreditEvent | Credit event
11 | StrategicRestructuring | Strategic restructuring
12 | SuccessionEventReorganization | Succession event reorganization
13 | SuccessionEventRenaming | Succession event renaming
14 | Porting | Porting
15 | Withdrawl | Withdrawal. One party withdrew from the trade prior to confirmation or clearing. Can be used with TradeReportTransType(487)=1 (Cancel).
16 | Void | Void. Trade is to be ended after clearing. Can be used with TradeReportTransType(487)=1 (Cancel).
17 | AccountTransfer | Account transfer
18 | GiveUp | Give up
19 | TakeUp | TakeUp
20 | AveragePricing | Average pricing
21 | Reversal | Reversal
22 | AllocTrdPosting | Allocation/Trade posting
23 | Cascade | Cascade. The breakdown of a contract position to a more granular level, e.g. from a yearly position to monthly positions.
24 | Delivery | Delivery
25 | OptionAsgn | Option assignment
26 | Expiration | Expiration
27 | Maturity | Maturity
28 | EqualPosAdj | Equal position adjustment
29 | UnequalPosAdj | Unequal position adjustment. An adjustment to either the long or short position quantity but not both.
30 | Correction | Correction. Used to correct an error in the contract terms of a previously submitted report to a trade repository.
31 | EarlyTermination | Early termination. The transaction/contract has closed before its natural end (maturity date or end date).
32 | Rerate | Rerate. Change in the repo rate of an open repo contract due to shift in the market conditions.
99 | Other | Other price-forming continuation data. Other price-forming continuation data or lifecycle event. Include description of type in TradeContinuationText(2374).

Used in groups: QuotReqGrp

Used in messages: AllocationInstruction, AllocationReport, Confirmation, ExecutionReport, PositionReport, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport

TradeContinuationText

Free form text to specify additional trade continuation information or data.

Type: String

Used in groups: QuotReqGrp

Used in messages: AllocationInstruction, AllocationReport, Confirmation, ExecutionReport, PositionReport, Quote, QuoteResponse, QuoteStatusReport, TradeCaptureReport

TradeDate

Indicates date of trading day. Absence of this field indicates current day (expressed in local time at place of trade).

Type: LocalMktDate

Used in components: SettlTradeDetails

Used in groups: ListOrdGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp, TrdCapDtGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationInstructionAlertRequest, AllocationReport, AllocationReportAck, BidRequest, CollateralAssignment, CollateralReport, CollateralResponse, Confirmation, ConfirmationAck, ExecutionReport, ListCancelRequest, MarketDataIncrementalRefresh, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, PositionTransferInstruction, PositionTransferReport, SecurityMassStatus, SecurityStatus, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport, TradingSessionStatus

TradedFlatSwitch

Driver and part of trade in the event that the Security Master file was wrong at the point of entry(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Boolean

Allowed values in TradedFlatSwitchCodeSet:

Code | Name | Description
N | NotTradedFlat | Not Traded Flat
Y | TradedFlat | Traded Flat

Used in messages: ExecutionReport

TradeHandlingInstr

Specified how the TradeCaptureReport(35=AE) should be handled by the respondent.

Type: char

Allowed values in TradeHandlingInstrCodeSet:

Code | Name | Description
0 | TradeConfirmation | Trade confirmation
1 | TwoPartyReport | Two-party report
2 | OnePartyReportForMatching | One-party report for matching
3 | OnePartyReportForPassThrough | One-party report for pass through. Can be used when one of the parties to the trade submits a report which then has to be approved or confirmed by the other (counter)party.
4 | AutomatedFloorOrderRouting | Automated floor order routing
5 | TwoPartyReportForClaim | Two-party report for claim
6 | OnePartyReport | One-party report
7 | ThirdPtyRptForPassThrough | Third-party report for pass through. Can be used when RootParties component contains a service provider role who submits the trade report and is not necessarily also on one side of the trade.
8 | OnePartyReportAutoMatch | One-party report for auto-match. Indicates that the submission is a transfer trade to a firm or account that is part of the same corporate entity and that once validated the transfer should be automatically accepted without confirmation.

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

TradeID

The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty.

Type: String

Used in groups: ExecAllocGrp, ExecutionAggregationGrp, MDFullGrp, MDIncGrp

Used in messages: TradeAggregationReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

TradeInputDevice

Specific device number, terminal number or station where trade was entered

Type: String

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationReport, TradeCaptureReportRequest

TradeInputSource

Type of input device or system from which the trade was entered.

Type: String

Used in components: MDStatisticParameters

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, TradeCaptureReportRequest

TradeLegRefID

Reference to the leg of a multileg instrument to which this trade refers

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TradeLinkID

Used to link a group of trades together.

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

TradeMatchAckStatus

Used to indicate the status of the trade match report submission.

Type: int

Allowed values in TradeMatchAckStatusCodeSet:

Code | Name | Description
0 | ReceivedNotProcessed | Received, not yet processed
1 | Accepted | Accepted
2 | Rejected | Rejected

Used in messages: TradeMatchReportAck

TradeMatchRejectReason

Reason the trade match report submission was rejected.

Type: int

Allowed values in TradeMatchRejectReasonCodeSet:

Code | Name | Description
0 | Successful | Successful
1 | InvalidPartyInformation | Invalid party information
2 | UnknownInstrument | Unknown instrument
3 | Unauthorized | Not authorized to report trades
4 | InvalidTradeType | Invalid trade type
99 | Other | Other

Used in messages: TradeMatchReportAck

TradeMatchTimestamp

Timestamp of the match event. For off-exchange trades the time at which the deal was matched by the exchange.

This timestamp will be the same on all the trades and will not change when a trade is modified.

Type: UTCTimestamp

Used in messages: TradeMatchReport

TradeNumber

Ordinal number of the trade within a series of related trades.

Type: int

Used in messages: TradeCaptureReport

TradeOriginationDate

Used with Fixed Income for Muncipal New Issue Market. Agreement in principal between counter-parties prior to actual trade date.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in groups: ListOrdGrp, QuotReqGrp, QuotReqRjctGrp, SideCrossOrdCxlGrp, SideCrossOrdModGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, ExecutionReport, ListCancelRequest, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest

TradePositionQty

The TradePositionQty component block specifies, for a single trade side, the various types of position quantity in the position life-cycle including start-of-day, intraday, trade, adjustments, and end-of-day position quantities.

Name | Mult. | Type | Description
NoPositions | [1..1] | NumInGroup |
PosType | [0..1] | CodeSet | Required if NoPositions > 0.
LongQty | [0..1] | Qty |
ShortQty | [0..1] | Qty |
CoveredQty | [0..1] | Qty |
PosQtyStatus | [0..1] | CodeSet |
QuantityDate | [0..1] | LocalMktDate |

Used in groups: TrdCapRptSideGrp

TradePriceCondition

Price conditions in effect at the time of the trade. Multiple price conditions can be in effect at the same time. Price conditions are usually required to be reported in markets that have regulations on price execution at a market or national best bid or offer, and the trade price differs from the best bid or offer.

Type: int

Allowed values in TradePriceConditionCodeSet:

Code
Name
Description

0
SpecialCumDividend
Special cum dividend (CD)

1
SpecialCumRights
Special cum rights (CR)

2
SpecialExDividend
Special ex dividend (XD)

3
SpecialExRights
Special ex rights (XR)

4
SpecialCumCoupon
Special cum coupon (CC)

5
SpecialCumCapitalRepayments
Special cum capital repayments (CP)

6
SpecialExCoupon
Special ex coupon (XC)

7
SpecialExCapitalRepayments
Special ex capital repayments (XP)

8
CashSettlement
Cash settlement (CS)

9
SpecialCumBonus
Special cum bonus (CB)

10
SpecialPrice
Special price (SP). Usually net or all-in price.

11
SpecialExBonus
Special ex bonus (XB)

12
GuaranteedDelivery
Guaranteed delivery (GD)

13
SpecialDividend
Special dividend. Deviation from regular ex/cum treatment (without further specification) leading to price modification. To be used only if it is not clear whether it is a special cum or special ex dividend. For ESMA RTS 1, this is the "SDIV" flag.

14
PriceImprovement
Price improvement. The price is better than a reference price. For example, this may be due to an offer by a systematic internaliser to always quote better prices than a public reference price. For ESMA RTS 1, this is the "RPRI" flag.

15
NonPriceFormingTrade
Non-price forming trade. In the context of MiFID II, these are transactions which are exempted from the trading obligation (i.e. permitted to be transacted as an OTC transaction) and are deemed not to be contributing to the price discovery process. However, these transactions are not exempted from post trade transparency reporting and are required to be published by MiFID venues and "approved publication arrangement" (APAs) for market transparency purposes. The price from exempted transactions should be disregarded for the purposes of price discovery. For ESMA RTS 1 and RTS 2, this is the "NPFT" flag.

16
TradeExemptedFromTradingObligation
Trade exempted from trading obligation. Per MiFIR Article 23, these types of trades are not exempted from post-trade transparency if reported to a trading venue under MiFID II and deemed on exchange, however, they are ignored for price formation despite published by venue. For the UK implementation of MiFIR RTS 1, this is the "TNCP" flag.

17
PricePending
Price or strike price is pending. In the context of MiFIR RTS 1, RTS 2, and RTS 22, this is the "PNDG" flag.

18
PriceNotApplicable
Price is not applicable. In the context of MiFIR RTS 1, RTS 2, and RTS 22, this is the "NOAP" flag.

Used in groups: TradePriceConditionGrp

TradePriceConditionGrp

Price conditions associated with a trade that impact trade price.

Name | Mult. | Type | Description
NoTradePriceConditions | [1..1] | NumInGroup |
TradePriceCondition | [0..1] | CodeSet | Required if NoTradePriceConditions(1838) > 0.

Used in groups: ExecAllocGrp, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, TradeCaptureReport

TradePriceNegotiationMethod

Method used for negotiation of contract price.

Type: int

Allowed values in TradePriceNegotiationMethodCodeSet:

Code | Name | Description
0 | PercentPar | Percent of par
1 | DealSpread | Deal spread
2 | UpfrontPnts | Upfront points
3 | UpfrontAmt | Upfront amount
4 | ParUpfrontAmt | Percent of par and upfront amount
5 | SpreadUpfrontAmt | Deal spread and upfront amount
6 | UpfrontPntsAmt | Upfront points and upfront amount

Used in messages: ExecutionReport, NewOrderMultileg, NewOrderSingle, TradeCaptureReport

TradePublishIndicator

Indicates if a trade should be or has been published via a market publication service. The indicator governs all publication services of the recipient. Replaces PublishTrdIndicator(852).

Type: int

Allowed values in TradePublishIndicatorCodeSet:

Code | Name | Description
0 | DoNotPublishTrade | Do Not Publish Trade
1 | PublishTrade | Publish Trade
2 | DeferredPublication | Deferred Publication
3 | Published | Published. Indicates that the transaction has been published to the market.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstruction, ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, TradeCaptureReport, TradeCaptureReportAck

TradeQty

Trade quantity.

Type: Qty

Used in groups: TradeQtyGrp

TradeQtyGrp

Quantities of the trade that have been processed and the type of processing that has occurred for that trade quantity.

Name | Mult. | Type | Description
NoTradeQtys | [1..1] | NumInGroup |
TradeQtyType | [0..1] | CodeSet | Required if NoTradeQty(1841) > 0.
TradeQty | [0..1] | Qty | Required if NoTradeQty(1841) > 0.

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TradeQtyType

Indicates the type of trade quantity in TradeQty(1843).

Type: int

Allowed values in TradeQtyTypeCodeSet:

Code | Name | Description
0 | ClearedQuantity | Cleared quantity
1 | LongSideClaimedQuantity | Long side claimed quantity
2 | ShortSideClaimedQuantity | Short side claimed quantity
3 | LongSideRejectedQuantity | Long side rejected quantity
4 | ShortSideRejectedQuantity | Short side rejected quantity
5 | PendingQuantity | Pending quantity
6 | TransactionQuantity | Transaction quantity
7 | RemainingQuantity | Remaining trade quantity. Used to indicate the remaining quantity of a trade after a give-up or posting action.
8 | PreviousRemainingQuantity | Previous remaining trade quantity. Used to indicate the remaining quantity of a trade prior to a give-up or posting action.

Used in groups: TradeQtyGrp

TradeReportID

Unique identifier of trade capture report

Type: String

Used in groups: TrdCollGrp

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

TradeReportingIndicator

Used between parties to convey trade reporting status.

Type: int

Allowed values in TradeReportingIndicatorCodeSet:

Code | Name | Description
0 | NotReported | Trade has not (yet) been reported. Depending on the regulatory regime the trade is reportable and the recipient may be responsible for reporting.
1 | OnBook | Trade has been or will be reported by a trading venue as an "on-book" trade
2 | SISeller | Trade has or will be reported as a seller trade by the authorised reporter
3 | SIBuyer | Trade has or will be reported as a buyer trade by the authorised reporter
4 | NonSISeller | Trade has or will be reported as a seller trade by an entity other than the authorised reporter
5 | SubDelegationByFirm | Trade has been or will be reported under a sub-delegation arrangement by an investment firm to a reporting facility (e.g. APA) on behalf of another investment firm
6 | Reportable | Trade has been or will be reported. Depending on the regulatory regime the recipient is not responsible for reporting.
7 | NonSIBuyer | Trade has been or will be reported as a buyer trade by an entity other than the authorised reporter
8 | OffBook | Trade has been or will be reported by a trading venue as an "off-book" trade
9 | NotReportable | Trade is not reportable. The (non-equity) instrument does not need to be reported by any party, e.g. because it is not deemed to have been traded on a trading venue.

Used in groups: ExecAllocGrp

Used in messages: ExecutionReport, NewOrderSingle, TradeCaptureReport

TradeReportOrderDetail

Name | Mult. | Type | Description
OrderID | [0..1] | String |
SecondaryOrderID | [0..1] | String |
ClOrdID | [0..1] | String | In the case of quotes can be mapped to QuoteMsgID(1166) of a single Quote(MsgType=S) or QuoteID(117) of a MassQuote(MsgType=i).
SecondaryClOrdID | [0..1] | String | In the case of quotes can be mapped to QuoteID(117) of a single Quote(MsgType=S) or QuoteEntryID(299) of a MassQuote(MsgType=i).
ListID | [0..1] | String |
RefOrderID | [0..1] | String | Some hosts assign an order a new order id under special circumstances. The RefOrdID field will connect the same underlying order across changing OrderIDs.
RefOrderIDSource | [0..1] | CodeSet |
RefOrdIDReason | [0..1] | CodeSet | The reason for updating the RefOrdID
RelatedOrderGrp | [0..*] | Group |
PreTradeAnonymity | [0..1] | Boolean |
OrdType | [0..1] | CodeSet | Order type from the order associated with the trade
Price | [0..1] | Price | Order price at time of trade
StopPx | [0..1] | Price | Stop/Limit order price
ExecInst | [0..1] | CodeSet | Execution Instruction from the order associated with the trade
OrdStatus | [0..1] | CodeSet | Status of order as of this trade report
OrderQtyData | [0..1] | Component | Order quantity at time of trade
LeavesQty | [0..1] | Qty |
CumQty | [0..1] | Qty |
TimeInForce | [0..1] | CodeSet |
ExpireTime | [0..1] | UTCTimestamp | The order expiration date/time in UTC
MatchingInstructions | [0..*] | Group |
SelfMatchPreventionID | [0..1] | String | May be used as an alternative to MatchingInstructions when the identifier does not appear in another field.
SelfMatchPreventionInstruction | [0..1] | CodeSet |
ExposureDuration | [0..1] | int | The (minimum or suggested) period of time a quoted price is to be tradable before it becomes indicative. (i.e. quoted price becomes off-the-wire).
ExposureDurationUnit | [0..1] | CodeSet |
DisplayInstruction | [0..1] | Component |
OrderCapacity | [0..1] | CodeSet |
OrderRestrictions | [0..1] | CodeSet |
BookingType | [0..1] | CodeSet |
OrigCustOrderCapacity | [0..1] | CodeSet |
OrderOrigination | [0..1] | CodeSet |
OrderAttributeGrp | [0..*] | Group |
ExDestinationType | [0..1] | CodeSet |
OrderInputDevice | [0..1] | String |
LotType | [0..1] | CodeSet |
TransBkdTime | [0..1] | UTCTimestamp |
OrigOrdModTime | [0..1] | UTCTimestamp |
OrderPercentOfTotalVolume | [0..1] | Percentage |

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

TradeReportRefID

Reference identifier used with CANCEL and REPLACE transaction types.

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TradeReportRejectReason

Reason Trade Capture Request was rejected.

100+ Reserved and available for bi-laterally agreed upon user-defined values.

Type: int

Allowed values in TradeReportRejectReasonCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidPartyInformation | Invalid party information
2 | UnknownInstrument | Unknown instrument
3 | UnauthorizedToReportTrades | Unauthorized to report trades
4 | InvalidTradeType | Invalid trade type
5 | PriceExceedsCurrentPriceBand | Price exceeds current price band
6 | ReferencePriceNotAvailable | Reference price not available
7 | NotionalValueExceedsThreshold | Notional value exceeds threshold
99 | Other | Other

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TradeReportTransType

Identifies Trade Report message transaction type

(Prior to FIX 4.4 this field was of type char)

Type: int

Allowed values in TradeReportTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Cancel | Cancel
2 | Replace | Replace
3 | Release | Release
4 | Reverse | Reverse
5 | CancelDueToBackOutOfTrade | Cancel Due To Back Out of Trade

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TradeReportType

Type of Trade Report

Type: int

Allowed values in TradeReportTypeCodeSet:

Code | Name | Description
0 | Submit | Submit
1 | Alleged | Alleged
2 | Accept | Accept
3 | Decline | Decline
4 | Addendum | Addendum. Used to provide material supplemental data to a previously submitted trade.
5 | No | No/Was. Used to report a full replacement of a previously submitted trade.
6 | TradeReportCancel | Trade Report Cancel
7 | LockedIn | (Locked-In) Trade Break
8 | Defaulted | Defaulted
9 | InvalidCMTA | Invalid CMTA
10 | Pended | Pended
11 | AllegedNew | Alleged New
12 | AllegedAddendum | Alleged Addendum
13 | AllegedNo | Alleged No/Was
14 | AllegedTradeReportCancel | Alleged Trade Report Cancel
15 | AllegedTradeBreak | Alleged (Locked-In) Trade Break
16 | Verify | Verify. Used in reports from a trading party to the SDR to confirm trade details. Omit RegulatoryReportType(1934).
17 | Dispute | Dispute. Used in reports from a trading party to the SDR to dispute trade details. Omit RegulatoryReportType(1934).
18 | NonMaterialUpdate | Non-material Update. Used to provide non-material supplemental data to a previously submitted trade.

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport

TradeRequestID

Trade Capture Report Request ID

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportRequest, TradeCaptureReportRequestAck

TradeRequestResult

Result of Trade Request

Type: int

Allowed values in TradeRequestResultCodeSet:

Code | Name | Description
0 | Successful | Successful (default)
1 | InvalidOrUnknownInstrument | Invalid or unknown instrument
2 | InvalidTypeOfTradeRequested | Invalid type of trade requested
3 | InvalidParties | Invalid parties
4 | InvalidTransportTypeRequested | Invalid transport type requested
5 | InvalidDestinationRequested | Invalid destination requested
8 | TradeRequestTypeNotSupported | TradeRequestType not supported
9 | NotAuthorized | Not authorized
99 | Other | Other

Used in messages: TradeCaptureReportRequestAck

TradeRequestStatus

Status of Trade Request.

Type: int

Allowed values in TradeRequestStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | Completed | Completed
2 | Rejected | Rejected

Used in messages: TradeCaptureReportRequestAck

TradeRequestType

Type of Trade Capture Report.

Type: int

Allowed values in TradeRequestTypeCodeSet:

Code | Name | Description
0 | AllTrades | All Trades
1 | MatchedTradesMatchingCriteria | Matched trades matching criteria provided on request (Parties, ExecID, TradeID, OrderID, Instrument, InputSource, etc.)
2 | UnmatchedTradesThatMatchCriteria | Unmatched trades that match criteria
3 | UnreportedTradesThatMatchCriteria | Unreported trades that match criteria
4 | AdvisoriesThatMatchCriteria | Advisories that match criteria

Used in messages: TradeCaptureReportRequest, TradeCaptureReportRequestAck

TradeSubType

Further qualification to the trade type defined in TradeType(3006).

Type: int

Allowed values in TrdSubTypeCodeSet:

Code
Name
Description

0
CMTA
CMTA

1
InternalTransferOrAdjustment
Internal transfer or adjustment

2
ExternalTransferOrTransferOfAccount
External transfer or transfer of account

3
RejectForSubmittingSide
Reject for submitting side

4
AdvisoryForContraSide
Advisory for contra side

5
OffsetDueToAnAllocation
Offset due to an allocation

6
OnsetDueToAnAllocation
Onset due to an allocation

7
DifferentialSpread
Differential spread

8
ImpliedSpreadLegExecutedAgainstAnOutright
Implied spread leg executed against an outright

9
TransactionFromExercise
Transaction from exercise

10
TransactionFromAssignment
Transaction from assignment

11
ACATS
ACATS

14
AI
AI (Automated input facility disabled in response to an exchange request.)

15
B
B (Transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.)

16
K
K (Transaction using block trade facility.)

17
LC
LC (Correction submitted more than three days after publication of the original trade report.)

18
M
M (Transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.)

19
N
N (Non-protected portfolio transaction or a fully disclosed portfolio transaction)

20
NM
NM ( i) transaction where Exchange has granted permission for non-publication. ii)IDB is reporting as seller. iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.)

21
NR
NR (Non-risk transaction in a SEATS security other than an AIM security)

22
P
P (Protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities)

23
PA
PA (Protected transaction notification)

24
PC
PC (Contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system)

25
PN
PN (Worked principal notification for a portfolio transaction which includes order book securities)

26
R
R ( (i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction). (ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)or. (iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).)

27
RO
RO (Transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant)

28
RT
RT (Risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security)

29
SW
SW (Transactions resulting from stock swap or a stock switch (one report is required for each line of stock))

30
T
T (If reporting a single protected transaction)

31
WN
WN (Worked principal notification for a single order book security)

32
WT
WT (Worked principal transaction (other than a portfolio transaction))

33
OffHoursTrade
Off Hours Trade

34
OnHoursTrade
On Hours Trade

35
OTCQuote
OTC Quote

36
ConvertedSWAP
Converted SWAP

37
CrossedTrade
Crossed Trade (X)

38
InterimProtectedTrade
Interim Protected Trade (I)

39
LargeInScale
Large in Scale (L)

40
WashTrade
Wash Trade

41
TradeAtSettlement
Trade at Settlement (TAS). Identifies a trade that will be priced using the settlement price.

42
AuctionTrade
Auction Trade. Mutually exclusive with TrdSubType(829) = 50 (Balancing).

43
TradeAtMarker
Trade at Marker (TAM). Posted at a specific time each day and used to price the consummated trade for the product/month/strip executed (+/- and differentials). Closely related to TAS trades in function and trade practice.

44
CreditDefault
Default (Credit Event)

45
CreditRestructuring
Restructuring (credit event)

46
Merger
Merger (succession event)

47
SpinOff
Spin-off (succession event)

48
MultilateralCompression
Multilateral compression. Used to identify a special case of compression between multiple parties, e.g. for netted or portfolio trades.

50
Balancing
Balancing. Identifies an additional trade distributed to auction participants meant to resolve an imbalance between bids and offers. Mutually exclusive with TrdSubType(829) = 42 =(Auction).

51
BasisTradeIndexClose
Basis Trade index Close (BTIC). The marketplace name given to Trade at Marker (TAM) transactions in equity index futures.

52
TradeAtCashOpen
Trade At Cash Open (TACO). The marketplace name given to trading futures based on an opening quote of the underlying cash market.

53
TrdSubmitVenueClrSettl
Trade submitted to venue for clearing and settlement. Identifies trades brought on a trading venue purely for clearing and settlement purposes.

54
BilateralCompression
Bilateral compression. Used to identify a special case of compression between two parties, e.g. for netted or portfolio trades.

Used in groups: TradeTypeGrp

TradeType

Type of trade assigned to a trade.

Type: int

Allowed values in TrdTypeCodeSet:

Code
Name
Description

0
RegularTrade
Regular trade

1
BlockTrade
Block trade

2
EFP
Exchange for physical (EFP)

3
Transfer
Transfer

4
LateTrade
Late trade

5
TTrade
T trade

6
WeightedAveragePriceTrade
Weighted average price trade

7
BunchedTrade
Bunched trade

8
LateBunchedTrade
Late bunched trade

9
PriorReferencePriceTrade
Prior reference price trade

10
AfterHoursTrade
After hours trade

11
ExchangeForRisk
Exchange for risk (EFR)

12
ExchangeForSwap
Exchange for swap (EFS)

13
ExchangeOfFuturesFor
Exchange of futures for in market futures (EFM). For example full sized for mini.

14
ExchangeOfOptionsForOptions
Exchange of options for options (EOO)

15
TradingAtSettlement
Trading at settlement

16
AllOrNone
All or none

17
FuturesLargeOrderExecution
Futures large order execution

18
ExchangeOfFuturesForFutures
Exchange of futures for external market futures (EFF)

19
OptionInterimTrade
Option interim trade

20
OptionCabinetTrade
Option cabinet trade

22
PrivatelyNegotiatedTrades
Privately negotiated trade

23
SubstitutionOfFuturesForForwards
Substitution of futures for forwards

24
ErrorTrade
Error trade

25
SpecialCumDividend
Special cum dividend (CD)

26
SpecialExDividend
Special ex dividend (XD)

27
SpecialCumCoupon
Special cum coupon (CC)

28
SpecialExCoupon
Special ex coupon (XC)

29
CashSettlement
Cash settlement (CS)

30
SpecialPrice
Special price (SP). Usually net or all-in price.

31
GuaranteedDelivery
Guaranteed delivery (GD)

32
SpecialCumRights
Special cum rights (CR)

33
SpecialExRights
Special ex rights (XR)

34
SpecialCumCapitalRepayments
Special cum capital repayments (CP)

35
SpecialExCapitalRepayments
Special ex capital repayments (XP)

36
SpecialCumBonus
Special cum bonus (CB)

37
SpecialExBonus
Special ex bonus (XB)

38
LargeTrade
Block trade. The same as large trade.

39
WorkedPrincipalTrade
Worked principal trade

40
BlockTrades
Block trades

41
NameChange
Name change

42
PortfolioTransfer
Portfolio transfer

43
ProrogationBuy
Prorogation buy. Used by Euronext Paris only. Is used to defer settlement under French SRD (deferred settlement system). Trades must be reported as crosses at zero price.

44
ProrogationSell
Prorogation sell. See prorogation buy.

45
OptionExercise
Option exercise

46
DeltaNeutralTransaction
Delta neutral transaction

47
FinancingTransaction
Financing transaction

48
NonStandardSettlement
Non-standard settlement

49
DerivativeRelatedTransaction
Derivative related transaction

50
PortfolioTrade
Portfolio trade. Identifies a collection/basket of trades. In the context of bonds (e.g. corporate bonds) these are transacted as a single trade at an aggregate price for the entire portfolio and may be traded all-or-none or most-or-none depending on bilateral agreement. In the context of ESMA RTS 1 Article 2(b), may be used to refer to portfolio trades to distinguish between addressable and non-addressable volume. In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

51
VolumeWeightedAverageTrade
Volume weighted average trade

52
ExchangeGrantedTrade
Exchange granted trade

53
RepurchaseAgreement
Repurchase agreement

54
OTC
OTC. Trade executed off-market. In the context of CFTC regulatory reporting for swaps, it is a large notional off-facility swap. In the context of MiFID transparency reporting rules this is used to report, into an exchange, deals made outside exchange rules.

55
ExchangeBasisFacility
Exchange basis facility (EBF)

56
OpeningTrade
Opening trade. Identifies a trade that resulted from the opening of a market. In the context of IIROC, this indicates a trade that occurred at the opening or the first trade of the day for a security.

57
NettedTrade
Netted trade

58
BlockSwapTrade
Block swap trade. Block trade executed off-market or on a registered market. In the context of CFTC regulatory reporting for swaps, it is a swap executed according to SEF or DCM rules.

59
CreditEventTrade
Credit event trade

60
SuccessionEventTrade
Succession event trade

61
GiveUpGiveInTrade
Give-up Give-in trade

62
DarkTrade
Dark trade. In the context of Market Model Typology (MMT), a dark trade might also come from a lit/hybrid book (e.g. when an aggressive lit order hits a resting dark order). The use of this value applies to TrdType(828), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

63
TechnicalTrade
Technical trade

64
Benchmark
Benchmark. In the context of ESMA RTS 1 Article 2(a), may be used to refer to benchmark trades. In the context of Market Model Typology (MMT), the "benchmark" price depends on a benchmark which has no current price but was derived from a time series such as a VWAP. The use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

65
PackageTrade
Package trade. May be used to identify the pseudo-trade of a stream or collection of trades to be transacted, cleared and be reported as an atomic unit. In the context of MiFIR RTS 1, this is the "CONT" flag. In the context of MiFIR RTS 2 Article 1(1)(b), may be used to refer to package transactions (excluding exchange for physicals). In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

66
RollTrade
Roll trade. Trade is a roll from one contract that is about to expire to a new contract.

67
ClosingPriceTrade
Closing price trade. Identifies a trade that uses the closing price of a market without resulting from the closing of this market. In the context of FCA policy statement PS23/4, this indicates a benchmark transaction executed using the market closing price and is the "CLSE" flag.

68
InterFundTransferTrade
Inter-fund transfer trade. Administrative trade (non price-forming) related to the transfer of ownership between funds.

69
NetAssetValueCalculatedTrade
Net asset value calculated trade. Trade of a fund priced at the net asset value of its constituents. In the context of MiFIR RTS 1, this may be used for ETFs when the NAV price becomes available.

Used in groups: TradeTypeGrp

TradeTypeGrp

The TradeTypeGrp component is used to express multiple trade types on the same message and can be used as an alternative to the fields TrdType(828), SecondaryTrdType(855), and TertiaryTrdType(2896) when three or fewer trade types are needed.

Name | Mult. | Type | Description
NoTradeTypes | [1..1] | NumInGroup |
TradeType | [0..1] | CodeSet | Required if NoTradeTypes(3005) > 0.
TradeSubType | [0..1] | CodeSet |

Used in groups: MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, TradeCaptureReport

TradeVersion

Specifies the version of a trade or contract. This is used by systems or trading platforms in conjunction with TradeID(1003) to uniquely identify the version of a trade or contract. If used the conditions for a change of version are subject to bilateral agreement. It is recommended to change the version only for significant updates to the business entity rather than for minor changes to trade details or systematic distribution of reports. Examples where the version would change are trade quantity modification, customer account assignment or trade novation.

Type: String

Used in messages: TradeCaptureReport

TradeVolType

Define the type of trade volume applicable for the MinTradeVol(562) and MaxTradeVol(1140)

Type: int

Allowed values in TradeVolTypeCodeSet:

Code | Name | Description
0 | NumberOfUnits | Number of units (e.g. share, par, currency, contracts) (default)
1 | NumberOfRoundLots | Number of round lots

Used in components: BaseTradingRules

TradeVolume

Used to report volume with a trade

Type: Qty

Used in groups: MDFullGrp, MDIncGrp

TradingBusinessDays

Number of actual trading business days of an instrument.

Type: int

Used in groups: ClearingPriceParametersGrp

TradingCapacity

Designates the capacity in which the order is submitted for trading by the market participant.

Type: int

Allowed values in TradingCapacityCodeSet:

Code | Name | Description
1 | Customer | Customer
2 | CustomerProfessional | Customer professional
3 | BrokerDealer | Broker-dealer
4 | CustomerBrokerDealer | Customer broker-dealer
5 | Principal | Principal
6 | MarketMaker | Market maker
7 | AwayMarketMaker | Away market maker
8 | SystematicInternaliser | Systematic internaliser

Used in components: MDStatisticParameters

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

TradingCurrency

Used when the trading currency can differ from the price currency

Type: Currency

Used in components: BaseTradingRules

TradingCurrencyCodeSource

Identifies class or source of the TradingCurrency(1245) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: BaseTradingRules

TradingReferencePrice

Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.

Type: Price

Used in components: PriceLimits

TradingSessionDesc

Trading Session description

Type: String

Used in groups: TrdSessLstGrp

TradingSessionID

Identifier for a trading session.

A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties.

To specify good for session where session spans more than one calendar day, use TimeInForce = 0 (Day) in conjunction with TradingSessionID(336).

Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility.

Type: String

Used in components: MDStatisticParameters

Used in groups: BidCompReqGrp, BidCompRspGrp, MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp, TradingSessionRulesGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdSessLstGrp, TrdgSesGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, DerivativeSecurityListRequest, ExecutionReport, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, Quote, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, SecurityDefinitionRequest, SecurityListRequest, SecurityMassStatus, SecurityMassStatusRequest, SecurityStatus, SecurityStatusRequest, SecurityTypeRequest, SecurityTypes, TradeCaptureReportRequest, TradeMatchReport, TradingSessionListRequest, TradingSessionStatus, TradingSessionStatusRequest

TradingSessionRules

Name | Mult. | Type | Description
OrdTypeRules | [0..*] | Group | Specifies the order types that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
TimeInForceRules | [0..*] | Group | Specifies the time in force rules that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
ExecInstRules | [0..*] | Group | Specifies the execution instructions that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
AuctionTypeRuleGrp | [0..*] | Group | Specifies the auction order types that are valid for trading on the identified. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
MatchRules | [0..*] | Group | Specifies the matching rules that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.
MarketDataFeedTypes | [0..*] | Group | Specifies the market data feed types that are valid for trading. The scope of the rule is determined by the context in which the component is used. In this case, the scope is trading session.

Used in groups: TradingSessionRulesGrp, TrdSessLstGrp

TradingSessionRulesGrp

Name | Mult. | Type | Description
NoTradingSessionRules | [1..1] | NumInGroup | Allows trading rules to be expressed by trading session
TradingSessionID | [0..1] | String | Identifier for the trading session. Must be provided if NoTradingSessions > 0. Set to [N/A] if values are not specific to trading session
TradingSessionSubID | [0..1] | CodeSet | Identifier for the trading session. Set to [N/A] if values are not specific to trading session sub id
TradingSessionRules | [0..1] | Component | Contains trading rules specified at the trading session level

Used in components: SecurityTradingRules

TradingSessionSubID

Optional market assigned sub identifier for a trading phase within a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility

Type: String

Allowed values in TradingSessionSubIDCodeSet:

Code
Name
Description

1
PreTrading
Pre-Trading

2
OpeningOrOpeningAuction
Opening or opening auction

3
Continuous
(Continuous) Trading

4
ClosingOrClosingAuction
Closing or closing auction

5
PostTrading
Post-Trading

6
ScheduledIntradayAuction
Scheduled intraday auction

7
Quiescent
Quiescent

8
AnyAuction
Any auction

9
UnscheduledIntradayAuction
Unscheduled intraday auction. An unscheduled intraday auction might be triggered by a circuit breaker.

10
OutOfMainSessionTrading
Out of main session trading. In the context of Market Model Typology "Out of main session trading" refers to both before and after session, neither auction nor continuous trading.

11
PrivateAuction
Private auction. An auction phase where only two parties participate.

12
PublicAuction
Public auction. An auction phase where all trading parties participate.

13
GroupAuction
Group auction. An auction phase limited to specific parties (e.g. parties that have resting orders in the order book).

14
OrderInitiatedAuction
Order initiated auction. Auction automatically triggered by an order, e.g. an incoming order or a resting order that can be matched based on an incoming order. Use 9="Unscheduled intraday auction" for any other auctions that are not scheduled. In the context of Market Model Topology, this can be used for an on demand auction (a.k.a. frequent batched auction).

Used in components: MDStatisticParameters

Used in groups: BidCompReqGrp, BidCompRspGrp, MDFullGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp, TradingSessionRulesGrp, TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdSessLstGrp, TrdgSesGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, DerivativeSecurityListRequest, ExecutionReport, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, Quote, QuoteCancel, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, SecurityDefinitionRequest, SecurityListRequest, SecurityMassStatus, SecurityMassStatusRequest, SecurityStatus, SecurityStatusRequest, SecurityTypeRequest, SecurityTypes, TradeCaptureReportRequest, TradeMatchReport, TradingSessionListRequest, TradingSessionStatus, TradingSessionStatusRequest

TradingUnitPeriodMultiplier

Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.

Type: int

Used in components: Instrument

TradSesCloseTime

Closing time of the trading session

Type: UTCTimestamp

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesControl

Indicates how control of trading session and subsession transitions are performed.

Type: int

Allowed values in TradSesControlCodeSet:

Code | Name | Description
0 | Automatic | Automatic (Default)
1 | Manual | Manual

Used in messages: TradingSessionStatus

TradSesEndTime

End time of the trading session

Type: UTCTimestamp

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesEvent

Identifies an event related to a TradSesStatus(340). An event occurs and is gone, it is not a state that applies for a period of time.

Type: int

Allowed values in TradSesEventCodeSet:

Code | Name | Description
0 | TradingResumes | Trading resumes (after Halt)
1 | ChangeOfTradingSession | Change of Trading Session
2 | ChangeOfTradingSubsession | Change of Trading Subsession
3 | ChangeOfTradingStatus | Change of Trading Status

Used in messages: TradingSessionStatus

TradSesMethod

Method of trading

Type: int

Allowed values in TradSesMethodCodeSet:

Code | Name | Description
1 | Electronic | Electronic
2 | OpenOutcry | Open Outcry
3 | TwoParty | Two Party
4 | Voice | Voice

Used in components: MDStatisticParameters

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionListRequest, TradingSessionStatus, TradingSessionStatusRequest

TradSesMode

Trading Session Mode

Type: int

Allowed values in TradSesModeCodeSet:

Code | Name | Description
1 | Testing | Testing
2 | Simulated | Simulated
3 | Production | Production

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionListRequest, TradingSessionStatus, TradingSessionStatusRequest

TradSesOpenTime

Time of the opening of the trading session

Type: UTCTimestamp

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesPreCloseTime

Time of the pre-closed of the trading session

Type: UTCTimestamp

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesReqID

Unique ID of a Trading Session Status message.

Type: String

Used in messages: TradingSessionList, TradingSessionListRequest, TradingSessionListUpdateReport, TradingSessionStatus, TradingSessionStatusRequest

TradSesStartTime

Starting time of the trading session

Type: UTCTimestamp

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesStatus

State of the trading session.

Type: int

Allowed values in TradSesStatusCodeSet:

Code | Name | Description
0 | Unknown | Unknown
1 | Halted | Halted
2 | Open | Open
3 | Closed | Closed
4 | PreOpen | Pre-Open
5 | PreClose | Pre-Close
6 | RequestRejected | Request Rejected

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesStatusRejReason

Indicates the reason a Trading Session Status Request was rejected.

Type: int

Allowed values in TradSesStatusRejReasonCodeSet:

Code | Name | Description
1 | UnknownOrInvalidTradingSessionID | Unknown or invalid TradingSessionID
99 | Other | Other

Used in groups: TrdSessLstGrp

Used in messages: TradingSessionStatus

TradSesUpdateAction

Specifies the action taken for the specified trading sessions.

Type: char

Allowed values in SecurityUpdateActionCodeSet:

Code | Name | Description
A | Add | Add
D | Delete | Delete
M | Modify | Modify

Used in groups: TrdSessLstGrp

TransactionAttributeGrp

The TransactionAttributeGrp component block is a repeating group that may be used to provide additional transaction attributes for the trade and other post-trade events.

Name | Mult. | Type | Description
NoTransactionAttributes | [1..1] | NumInGroup |
TransactionAttributeType | [0..1] | CodeSet | Required if NoTransactionAttributes(2871) > 0.
TransactionAttributeValue | [0..1] | String |

Used in messages: CollateralReport, PositionReport, TradeCaptureReport

TransactionAttributeType

Type of attribute(s) or characteristic(s) associated with the transaction.

Type: int

Allowed values in TransactionAttributeTypeCodeSet:

Code
Name
Description

0
ExclusiveArrangement
Exclusive arrangement. In the context of securities borrowing and lending transaction, an indication of whether the borrower has exclusive access to borrow from the lender's securities portfolio. Not applicable to commodities. TransactionAttributeValue(2873) takes Y or N value.

1
CollateralReuse
Collateral reuse. Indication of whether the collateral taker can reuse the securities provided as collateral for the transaction. TransactionAttributeValue(tbd2873) takes Y or N value.

2
CollateralArrangementType
Collateral arrangement type. In the context of securities financing transactions, indicates the type of collateral arrangement. For EU SFTR reporting, TransactionAttributeValue(2873) may take ESMA assigned values "TTCA" (title transfer), "SICA" (securities financial interest), or "SIUR" (securities financial interest with right of use).

Used in groups: TransactionAttributeGrp

TransactionAttributeValue

Value associated with the specificed TransactionAttributeType(2872).

Type: String

Used in groups: TransactionAttributeGrp

TransactionID

The unique transaction entity identifier.

Type: String

Used in messages: CollateralAssignment, CollateralReport, CollateralResponse

TransactTime

Timestamp when the business transaction represented by the message occurred.

Type: UTCTimestamp

Used in groups: ListOrdGrp, MDIncGrp, QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp, QuotReqRjctGrp, SecTypesGrp, TrdCapDtGrp, TrdSessLstGrp

Used in messages: AccountSummaryReport, Advertisement, AlgoCertificateReport, AlgoCertificateRequest, AllocationInstruction, AllocationInstructionAck, AllocationInstructionAlert, AllocationReport, AllocationReportAck, CollateralAssignment, CollateralReport, CollateralReportAck, CollateralRequest, CollateralResponse, Confirmation, ConfirmationAck, ConfirmationRequest, ContraryIntentionReport, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, DerivativeSecurityList, DerivativeSecurityListUpdateReport, ExecutionReport, IOI, ListCancelRequest, ListExecute, ListStatus, MarginRequirementInquiry, MarginRequirementInquiryAck, MarginRequirementReport, MarketDataReport, MarketDataStatisticsReport, MarketDataStatisticsRequest, MarketDefinition, MarketDefinitionUpdateReport, MassOrder, MassOrderAck, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReject, OrderCancelReplaceRequest, OrderCancelRequest, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, PartyActionReport, PartyActionRequest, PartyDetailsListReport, PartyDetailsListUpdateReport, PartyEntitlementsReport, PartyEntitlementsUpdateReport, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PartyRiskLimitsReport, PartyRiskLimitsReportAck, PartyRiskLimitsUpdateReport, PayManagementReport, PayManagementRequest, PositionMaintenanceReport, PositionMaintenanceRequest, PositionReport, PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport, Quote, QuoteResponse, QuoteStatusReport, RequestForPositions, SecurityDefinition, SecurityDefinitionUpdateReport, SecurityList, SecurityListUpdateReport, SecurityMassStatus, SecurityRiskMetricsReport, SecurityStatus, SettlementInstructionRequest, SettlementInstructions, SettlementObligationReport, SettlementStatusReport, SettlementStatusRequest, TestActionRequest, TestSuiteDefinitionRequest, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport, TradingSessionStatus

TransBkdTime

For CIV A date and time stamp to indicate the time a CIV order was booked by the fund manager.

For derivatives a date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU. Indicates the time at which the order was finalized between the buyer and seller prior to submission.

Type: UTCTimestamp

Used in components: TradeReportOrderDetail

Used in groups: MDIncGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, NewOrderCross

TransferID

The unique identifier assigned to the transfer entity once it is received, for example, by the CCP or the party governing the transfer process. Generally this same identifier for the transfer is used by all parties involved.

Type: String

Used in messages: PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport

TransferInstructionID

Unique identifier for the transfer instruction assigned by the submitter.

Type: String

Used in messages: PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport

TransferReason

Reason trade is being transferred

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest

TransferRejectReason

Reason the transfer instruction was rejected.

Type: int

Allowed values in TransferRejectReasonCodeSet:

Code | Name | Description
0 | Success | Success
1 | InvalidParty | Invalid party
2 | UnknownInstrument | Unknown instrument
3 | UnauthorizedToSubmitXfer | Not authorized to submit transfers
4 | UnknownPosition | Unknown position
99 | Other | Other

Used in messages: PositionTransferInstructionAck, PositionTransferReport

TransferReportID

Unique identifier for the transfer report message.

Type: String

Used in messages: PositionTransferReport

TransferReportType

Indicates the type of transfer report.

Type: int

Allowed values in TransferReportTypeCodeSet:

Code | Name | Description
0 | Submit | Submit
1 | Alleged | Alleged

Used in messages: PositionTransferReport

TransferScope

Indicates the type of transfer.

Type: int

Allowed values in TransferScopeCodeSet:

Code | Name | Description
0 | InterFirmTransfer | Inter-firm transfer
1 | IntraFirmTransfer | Intra-firm transfer
2 | CMTA | Clearing Member Trade Assignment

Used in messages: PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport

TransferStatus

Status of the transfer.

Type: int

Allowed values in TransferStatusCodeSet:

Code | Name | Description
0 | Received | Received
1 | RejectedByIntermediary | Rejected by intermediary
2 | AcceptPending | Accept pending
3 | Accepted | Accepted
4 | Declined | Declined
5 | Cancelled | Cancelled

Used in messages: PositionTransferInstructionAck, PositionTransferReport

TransferTransType

Indicates the type of transfer transaction.

Type: int

Allowed values in TransferTransTypeCodeSet:

Code | Name | Description
0 | New | New
1 | Replace | Replace
2 | Cancel | Cancel

Used in messages: PositionTransferInstruction, PositionTransferInstructionAck, PositionTransferReport

TransferType

Indicates the type of transfer request.

Type: int

Allowed values in TransferTypeCodeSet:

Code | Name | Description
0 | RequestTransfer | Request transfer
1 | AcceptTransfer | Accept transfer
2 | DeclineTransfer | Decline transfer

Used in messages: PositionTransferInstruction, PositionTransferInstructionAck

TrdAckStatus

Used to indicate the status of the trade submission (not the trade report)

Type: int

Allowed values in TrdAckStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | Rejected | Rejected
2 | Received | Received

Used in messages: TradeCaptureReportAck

TrdAllocGrp

Name | Mult. | Type | Description
NoAllocs | [1..1] | NumInGroup |
AllocAccount | [0..1] | String | Required if NoAllocs(78) > 0.
AllocAcctIDSource | [0..1] | CodeSet |
AllocSettlCurrency | [0..1] | Currency |
AllocSettlCurrencyCodeSource | [0..1] | CodeSet |
IndividualAllocID | [0..1] | String |
ParentAllocID | [0..1] | String |
AllocLegRefID | [0..1] | String | The field may not be used in any message where there are no legs.
AllocRegulatoryTradeIDGrp | [0..*] | Group |
FirmMnemonic | [0..1] | String |
NestedParties2 | [0..*] | Group |
AllocHandlInst | [0..1] | CodeSet |
AllocQty | [0..1] | Qty |
AllocCalculatedCcyQty | [0..1] | Qty |
CustodialLotID | [0..1] | String | Only used for specific lot trades.
VersusPurchaseDate | [0..1] | LocalMktDate | Only used for specific lot trades. If this field is used, either VersusPurchasePrice(1754) or CurrentCostBasis(1755) should be specified.
VersusPurchasePrice | [0..1] | Price | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified.
CurrentCostBasis | [0..1] | Amt | Only used for specific lot trades. If this field is used, VersusPurchaseDate(1753) should be specified
AllocCustomerCapacity | [0..1] | String | Can be used for granular reporting of separate allocation detail within a single trade report or allocation message.
AllocMethod | [0..1] | CodeSet |
SecondaryIndividualAllocID | [0..1] | String |
AllocClearingFeeIndicator | [0..1] | String |
TradeAllocAmtGrp | [0..*] | Group |
TradeAllocStatus | [0..1] | CodeSet |
AllocationRollupInstruction | [0..1] | CodeSet |
AllocText | [0..1] | String |
EncodedAllocTextLen | [0..1] | Length |
EncodedAllocText | [0..1] | data |
FirmAllocText | [0..1] | String |
EncodedFirmAllocTextLen | [0..1] | Length |
EncodedFirmAllocText | [0..1] | data |
AllocRefRiskLimitCheckID | [0..1] | String |
AllocRefRiskLimitCheckIDType | [0..1] | CodeSet |
AllocCommissionDataGrp | [0..*] | Group |

Used in groups: TrdCapRptAckSideGrp, TrdCapRptSideGrp, TrdMatchSideGrp

TrdCapDtGrp

Name | Mult. | Type | Description
NoDates | [1..1] | NumInGroup | Number of date ranges provided (must be 1 or 2 if specified)
TradeDate | [0..1] | LocalMktDate | Used when reporting other than current day trades. Conditionally required if NoDates > 0
LastUpdateTime | [0..1] | UTCTimestamp |
TransactTime | [0..1] | UTCTimestamp | To request trades for a specific time.

Used in messages: TradeCaptureReportRequest

TrdCapRptAckSideGrp

Name | Mult. | Type | Description
NoSides | [1..1] | CodeSet |
Side | [1..1] | CodeSet | Required when NoSides(552) > 0.
SideExecID | [0..1] | String |
SideTradeID | [0..1] | String |
SideOrigTradeID | [0..1] | String |
OrderDelay | [0..1] | int |
OrderDelayUnit | [0..1] | CodeSet |
Parties | [0..*] | Group |
Account | [0..1] | String |
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
LimitAmts | [0..*] | Group | Insert here the set of "LimitAmts" field defined in "Common Components"
ProcessCode | [0..1] | CodeSet |
OddLot | [0..1] | CodeSet |
ClrInstGrp | [0..*] | Group |
SideTradeReportingIndicator | [0..1] | CodeSet |
TradeInputSource | [0..1] | String |
TradeInputDevice | [0..1] | String |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet |
TradingSessionID | [0..1] | String |
TradingSessionSubID | [0..1] | CodeSet |
TimeBracket | [0..1] | String |
NetGrossInd | [0..1] | CodeSet |
SideCurrency | [0..1] | Currency |
SideCurrencyCodeSource | [0..1] | CodeSet |
SideSettlCurrency | [0..1] | Currency |
SideSettlCurrencyCodeSource | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
NumDaysInterest | [0..1] | int |
ExDate | [0..1] | LocalMktDate |
AccruedInterestRate | [0..1] | Percentage |
AccruedInterestAmt | [0..1] | Amt |
InterestAtMaturity | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt |
StartCash | [0..1] | Amt |
EndCash | [0..1] | Amt |
Concession | [0..1] | Amt |
TotalTakedown | [0..1] | Amt |
NetMoney | [0..1] | Amt |
SettlCurrAmt | [0..1] | Amt |
SettlCurrFxRate | [0..1] | float |
SettlCurrFxRateCalc | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet |
SideMultiLegReportingType | [0..1] | CodeSet |
ContAmtGrp | [0..*] | Group |
Stipulations | [0..*] | Group |
MiscFeesGrp | [0..*] | Group |
ExchangeRule | [0..1] | String |
SettlDetails | [0..*] | Group | Conveys settlement account details reported as part of obligation.
TradeAllocIndicator | [0..1] | CodeSet |
AllocGroupID | [0..1] | String |
PreviousAllocGroupID | [0..1] | String | Identifies the previous AllocGroupID(1730) being changed when AllocGroupStatus(2767)=3 (Changed).
GroupAmount | [0..1] | Amt |
AllocGroupStatus | [0..1] | CodeSet |
SideAvgPxIndicator | [0..1] | CodeSet |
SideAvgPxGroupID | [0..1] | String |
SideAvgPx | [0..1] | Price |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String |
TrdAllocGrp | [0..*] | Group |
SideGrossTradeAmt | [0..1] | Amt |
AggressorIndicator | [0..1] | CodeSet |
SideLastQty | [0..1] | Qty |
SideTradeReportID | [0..1] | String |
SideFillStationCd | [0..1] | String |
SideReasonCd | [0..1] | String |
RptSeq | [0..1] | int |
SideTrdSubType | [0..1] | CodeSet |
OrderCategory | [0..1] | CodeSet |
StrategyLinkID | [0..1] | String |
TradeReportOrderDetail | [0..1] | Component | Details of the order associated with this side of the trade.
SideTrdRegTS | [0..*] | Group |
CustOrderHandlingInst | [0..1] | CodeSet |
OrderHandlingInstSource | [0..1] | CodeSet |
RelatedTradeGrp | [0..*] | Group |
RelatedPositionGrp | [0..*] | Group |
SideRiskLimitCheckStatus | [0..1] | CodeSet |

Used in messages: TradeCaptureReportAck

TrdCapRptSideGrp

Name | Mult. | Type | Description
NoSides | [1..1] | CodeSet |
Side | [1..1] | CodeSet | Required when NoSides(552) > 0.
ShortMarkingExemptIndicator | [0..1] | Boolean |
SideExecID | [0..1] | String |
OrderDelay | [0..1] | int |
OrderDelayUnit | [0..1] | CodeSet |
SideLastQty | [0..1] | Qty |
SideClearingTradePrice | [0..1] | Price | Used to indicate a side specific alternate clearing price.
SidePriceDifferential | [0..1] | Price | Used to indicate the Price Differential between the first and second leg of a complex instrument.
SideClearingTradePriceType | [0..1] | CodeSet | Used to indicate whether the trade is clearing using execution price (LastPx) or alternate clearing price (ClrTrdPx)
SideTradeReportID | [0..1] | String |
SideTradeID | [0..1] | String |
SideOrigTradeID | [0..1] | String |
SideFillStationCd | [0..1] | String |
SideReasonCd | [0..1] | String |
RptSeq | [0..1] | int |
SideTrdSubType | [0..1] | CodeSet |
NetGrossInd | [0..1] | CodeSet |
SideCurrency | [0..1] | Currency |
SideCurrencyCodeSource | [0..1] | CodeSet |
SideSettlCurrency | [0..1] | Currency |
SideSettlCurrencyCodeSource | [0..1] | CodeSet |
Parties | [0..*] | Group |
PartyDetailGrp | [0..*] | Group | PartyDetailID(1619) must reference an existing entry in Parties component or a previous entry in RelatedPartyDetailGrp. The instance must have the same role as the referenced entry. The embedded RelatedPartyDetailID(1563) should introduce a new party identifier not previously reported.
Account | [0..1] | String | Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary.
AcctIDSource | [0..1] | CodeSet |
AccountType | [0..1] | CodeSet |
OwnerType | [0..1] | CodeSet |
LimitAmts | [0..*] | Group | Insert here the set of "LimitAmts" fields defined in "Common Components"
ProcessCode | [0..1] | CodeSet | Used to specify Step-out trades.
OddLot | [0..1] | CodeSet |
ClrInstGrp | [0..*] | Group |
ClearingFeeIndicator | [0..1] | CodeSet |
SideRegulatoryTradeIDGrp | [0..*] | Group |
SideTradeReportingIndicator | [0..1] | CodeSet | May be used to bilaterally inform counterparty of trade reporting status for this side of the trade.
FirmTradeEventID | [0..1] | String |
TradeInputSource | [0..1] | String |
TradeInputDevice | [0..1] | String |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet | The customer capacity for this trade
TradingSessionID | [0..1] | String | Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionID(336) then applies to all sides of the trade.
TradingSessionSubID | [0..1] | CodeSet | Usually the same for all sides of a trade, if reported only on the first side the same TradingSessionSubID(625) then applies to all sides of the trade.
TimeBracket | [0..1] | String |
RemunerationIndicator | [0..1] | CodeSet |
CommissionData | [0..1] | Component |
CommissionDataGrp | [0..*] | Group | Use as an alternative to CommissionData if multiple commissions or enhanced attributes are needed.
NumDaysInterest | [0..1] | int |
ExDate | [0..1] | LocalMktDate |
AccruedInterestRate | [0..1] | Percentage |
AccruedInterestAmt | [0..1] | Amt |
InterestAtMaturity | [0..1] | Amt |
EndAccruedInterestAmt | [0..1] | Amt | For repurchase agreements the accrued interest on termination.
StartCash | [0..1] | Amt | For repurchase agreements the start (dirty) cash consideration.
EndCash | [0..1] | Amt | For repurchase agreements the end (dirty) cash consideration.
Concession | [0..1] | Amt |
TotalTakedown | [0..1] | Amt |
NetMoney | [0..1] | Amt | Value expressed in the currency reflected by the Currency(15) field.
SettlCurrAmt | [0..1] | Amt |
SettlCurrFxRate | [0..1] | float |
SettlCurrFxRateCalc | [0..1] | CodeSet |
PositionEffect | [0..1] | CodeSet | Can be used for derivatives omnibus accounting.
Text | [0..1] | String | Can be used by the executing market to record any execution details that are particular to that market.
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data |
SideMultiLegReportingType | [0..1] | CodeSet | Can be used to support the scenario where a single leg instrument trades against an individual leg of a multileg instrument.
ContAmtGrp | [0..*] | Group |
Stipulations | [0..*] | Group |
MiscFeesGrp | [0..*] | Group |
ExchangeRule | [0..1] | String |
TradeAllocIndicator | [0..1] | CodeSet |
TradeAllocGroupInstruction | [0..1] | CodeSet |
AllocGroupID | [0..1] | String |
PreviousAllocGroupID | [0..1] | String | Identifies the previous AllocGroupID(1730) being changed by this message when AllocGroupStatus(2767)=3 (Changed).
GroupAmount | [0..1] | Amt |
AllocGroupStatus | [0..1] | CodeSet |
SideAvgPxIndicator | [0..1] | CodeSet |
SideAvgPxGroupID | [0..1] | String |
SideAvgPx | [0..1] | Price |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String | Used to assign an ID to the block of preallocations.
TrdAllocGrp | [0..*] | Group |
SideTrdRegTS | [0..*] | Group |
SettlDetails | [0..*] | Group | Conveys settlement account details reported as part of obligation.
SideGrossTradeAmt | [0..1] | Amt |
AggressorIndicator | [0..1] | CodeSet |
ExchangeSpecialInstructions | [0..1] | String |
SideShortSaleExemptionReason | [0..1] | CodeSet | Optional when Side (54) = 6 (Sell short exempt)
OrderCategory | [0..1] | CodeSet |
SideLiquidityInd | [0..1] | CodeSet |
StrategyLinkID | [0..1] | String |
TradeReportOrderDetail | [0..1] | Component | Order details for the order associated with this side of the trade.
CustOrderHandlingInst | [0..1] | CodeSet |
OrderHandlingInstSource | [0..1] | CodeSet |
TradePositionQty | [0..*] | Group |
RelatedTradeGrp | [0..*] | Group |
RelatedPositionGrp | [0..*] | Group |
BlockTrdAllocIndicator | [0..1] | CodeSet |
SideRiskLimitCheckStatus | [0..1] | CodeSet |
LastCapacity | [0..1] | CodeSet | In the context of regulatory trade reporting, this specifies the trading capacity of the reporting party.
RefRiskLimitCheckID | [0..1] | String |
RefRiskLimitCheckIDType | [0..1] | CodeSet |
CompressionGroupID | [0..1] | String |
SideCollateralAmountGrp | [0..*] | Group |

Used in messages: TradeCaptureReport

TrdCollGrp

Name | Mult. | Type | Description
NoTrades | [1..1] | NumInGroup | Trades for which collateral is required
TradeReportID | [0..1] | String | Required if NoTrades > 0
SecondaryTradeReportID | [0..1] | String |

Used in messages: CollateralAssignment, CollateralInquiry, CollateralInquiryAck, CollateralReport, CollateralRequest, CollateralResponse

TrdgSesGrp

Name | Mult. | Type | Description
NoTradingSessions | [1..1] | NumInGroup | Specifies the number of repeating TradingSessionIDs
TradingSessionID | [0..1] | String | Required if NoTradingSessions is > 0.
TradingSessionSubID | [0..1] | CodeSet |

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, MarketDataRequest, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, PositionMaintenanceReport, PositionMaintenanceRequest, RequestForPositions

TrdInstrmtLegExecGrp

The TrdInstrmtLegExecGrp component comprises individual executions for legs of the trade side of a trade match report for a specific instrument.

Name | Mult. | Type | Description
NoLegExecs | [1..1] | NumInGroup |
LegRefID | [0..1] | String | Required if NoLegExecs(1892) > 0.
LegExecID | [0..1] | String |
LegExecRefID | [0..1] | String |
LegTradeID | [0..1] | String |
LegTradeReportID | [0..1] | String |
LegOrderQty | [0..1] | Qty |
LegPositionEffect | [0..1] | CodeSet | Can be used to specify the position effect for the leg if it is different from the position effect of the overall multileg security.
LegCoveredOrUncovered | [0..1] | CodeSet | Can be used to specify whether the option is a cover, if it is different from the overall multileg security.
NestedParties3 | [0..*] | Group |
LegLastPx | [0..1] | Price |
LegPriceType | [0..1] | CodeSet |
LegSettlCurrency | [0..1] | Currency |
LegSettlCurrencyCodeSource | [0..1] | CodeSet |
LegShortSaleExemptionReason | [0..1] | CodeSet |
LegLastQty | [0..1] | Qty |
LegQtyType | [0..1] | CodeSet |

Used in groups: TrdMatchSideGrp

TrdInstrmtLegGrp

Name | Mult. | Type | Description
NoLegs | [1..1] | NumInGroup |
InstrumentLeg | [0..1] | Component | Required if NoLegs(555) > 0.
LegFinancingDetails | [0..1] | Component |
LegPositionAmountData | [0..*] | Group |
LegOrderQty | [0..1] | Qty | Quantity ordered for this leg as provided during order entry.
LegQty | [0..1] | Qty | The LegQty(687) field is deprecated. The use of LegOrderQty(685) is recommended instead.
LegMidPx | [0..1] | Price |
LegSwapType | [0..1] | CodeSet | Instead of LegOrderQty(685) requests that the sellside calculate LegOrderQty(685) based on opposite Leg.
LegReportID | [0..1] | String | Additional attribute to store the trade or trade report identifier of the leg.
LegNumber | [0..1] | int | Allow sequencing of legs for a strategy to be captured.
LegStipulations | [0..*] | Group |
LegAccount | [0..1] | String |
LegClearingAccountType | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in ClearingAccountType(1816) in the Instrument component.
LegPositionEffect | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in PositionEffect(77) in the Instrument component.
LegCoveredOrUncovered | [0..1] | CodeSet | Provide if different from the value specified for the overall multileg security in CoveredOrUncovered(203) in the Instrument component.
NestedParties | [0..*] | Group |
LegRefID | [0..1] | String | Use of LegRefID(654) in this component is deprecated. Recommend the use of LegID(1788) in the InstrumentLeg component.
LegSettlType | [0..1] | CodeSet |
LegSettlDate | [0..1] | LocalMktDate | Takes precedence over a calculated LegSettlType(587) when specified regardless of LegSettlType(587) value. Conditionally required when LegSettlType(587) = B(Broken date).
LegLastPx | [0..1] | Price | Used to report the execution price assigned to the leg of the multileg instrument.
LegPriceType | [0..1] | CodeSet | Indicates the price type provided with each leg of a multi-leg trade
LegSettlCurrency | [0..1] | Currency |
LegSettlCurrencyCodeSource | [0..1] | CodeSet |
LegLastForwardPoints | [0..1] | PriceOffset |
LegCalculatedCcyLastQty | [0..1] | Qty |
LegGrossTradeAmt | [0..1] | Amt | For FX Futures can be used to express the notional value of a trade when LegLastQty(1418) and other quantity fields are expressed in terms of number of contracts - LegContractMultiplier(231) is required in this case.
LegShortSaleExemptionReason | [0..1] | CodeSet | Available for optional use when LegSide(624) = 6 (Sell short exempt) in InstrumentLeg component.
LegVolatility | [0..1] | float |
LegDividendYield | [0..1] | Percentage |
LegCurrencyRatio | [0..1] | float |
LegExecInst | [0..1] | CodeSet |
LegLastQty | [0..1] | Qty | Quantity executed for this leg.
LegQtyType | [0..1] | CodeSet | Leg quantity type to be specified at the leg level. Can be different for each leg.
LegLastMultipliedQty | [0..1] | Qty |
LegTotalTradeQty | [0..1] | Qty |
LegTotalTradeMultipliedQty | [0..1] | Qty |
LegTotalGrossTradeAmt | [0..1] | Amt |
TradeCapLegUnderlyingsGrp | [0..*] | Group |
LegDifferentialPrice | [0..1] | PriceOffset |

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TrdMatchID

Identifier assigned by a matching system to a match event that results in multiple executions or trades.

Type: String

Used in groups: ExecAllocGrp

Used in messages: ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeMatchReport, TradeMatchReportAck

TrdMatchSideGrp

The TrdMatchSideGrp component conveys all trade sides for a single instance of the InstrmtMatchSideGrp component.

Name | Mult. | Type | Description
NoTrdMatchSides | [1..1] | NumInGroup |
Side | [0..1] | CodeSet | Required if NoTrdMatchSides(1890) > 0.
SideExecID | [0..1] | String |
SideExecRefID | [0..1] | String |
SideTradeID | [0..1] | String |
SideTradeReportID | [0..1] | String |
OrderDelay | [0..1] | int |
OrderDelayUnit | [0..1] | CodeSet |
SideLastQty | [0..1] | Qty | Required if NoTrdMatchSides(1890) > 0. Used to indicate the matched quantity for this trade side as a result of the match event.
SideClearingTradePrice | [0..1] | Price |
SidePriceDifferential | [0..1] | Price |
SideClearingTradePriceType | [0..1] | CodeSet |
SideFillStationCd | [0..1] | String |
SideReasonCd | [0..1] | String |
SideTrdSubType | [0..1] | CodeSet |
NetGrossInd | [0..1] | CodeSet |
SideCurrency | [0..1] | Currency |
SideCurrencyCodeSource | [0..1] | CodeSet |
SideSettlCurrency | [0..1] | Currency |
SideSettlCurrencyCodeSource | [0..1] | CodeSet |
Parties | [0..*] | Group | Required if NoTrdMatchSides(1890) > 0.
TradeInputSource | [0..1] | String |
TradeInputDevice | [0..1] | String |
ComplianceID | [0..1] | String |
ComplianceText | [0..1] | String |
EncodedComplianceTextLen | [0..1] | Length | Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it.
EncodedComplianceText | [0..1] | data | Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field.
SolicitedFlag | [0..1] | CodeSet |
CustOrderCapacity | [0..1] | CodeSet |
TimeBracket | [0..1] | String |
PositionEffect | [0..1] | CodeSet | For use in derivatives omnibus accounting.
ExchangeRule | [0..1] | String |
TradeAllocIndicator | [0..1] | CodeSet |
PreallocMethod | [0..1] | CodeSet |
AllocID | [0..1] | String |
TrdAllocGrp | [0..*] | Group |
SideGrossTradeAmt | [0..1] | Amt |
AggressorIndicator | [0..1] | CodeSet |
ExchangeSpecialInstructions | [0..1] | String |
SideShortSaleExemptionReason | [0..1] | CodeSet |
OrderCategory | [0..1] | CodeSet |
AvgPxIndicator | [0..1] | CodeSet |
AvgPxGroupID | [0..1] | String |
SideMarketSegmentID | [0..1] | String | Can be used if the match event results in matches across different market segments for this side.
SideVenueType | [0..1] | CodeSet | Can be used if the match event results in matches across different venue types for this side.
ClearingFeeIndicator | [0..1] | CodeSet |
TradeReportOrderDetail | [0..1] | Component |
TrdInstrmtLegExecGrp | [0..*] | Group |
CustOrderHandlingInst | [0..1] | CodeSet |
OrderHandlingInstSource | [0..1] | CodeSet |
Text | [0..1] | String | Can be used to include text included in the order submission.
EncodedTextLen | [0..1] | Length |
EncodedText | [0..1] | data |

Used in groups: InstrmtMatchSideGrp

TrdMatchSubID

Used to identify each price level, step or clip within a match event.

Type: String

Used in groups: InstrmtMatchSideGrp

Used in messages: ExecutionReport

TrdRegPublicationGrp

The TrdRegPublicationGrp component is used to express trade publication reasons that are required by regulatory agencies. Reasons may include deferrals, exemptions, waivers, etc.

Name | Mult. | Type | Description
NoTrdRegPublications | [1..1] | NumInGroup |
TrdRegPublicationType | [0..1] | CodeSet | Required if NoTrdRegPublications(2668) > 0.
TrdRegPublicationReason | [0..1] | CodeSet |

Used in groups: ExecAllocGrp, MDFullGrp, MDIncGrp

Used in messages: ExecutionReport, NewOrderSingle, TradeCaptureReport

TrdRegPublicationReason

Additional reason for trade publication type specified in TrdRegPublicationType(2669).

Reasons may be specific to regulatory trade publication rules.

Type: int

Allowed values in TrdRegPublicationReasonCodeSet:

Code
Name
Description

0
NoBookOrderDueToAverageSpreadPrice
No preceding order in book as transaction price set within average spread of a liquid instrument. Per MiFIR Article 4(1)(b)(i) the obligation to place a public order can be waived for transactions of liquid instruments on "systems that formalise negotiated transactions which are made within the current volume weighted spread reflected on the order book or the quotes of the market makers of the trading venue operating that system, subject to the conditions set out in Article 5" of MiFIR on volume caps. "Liquid markets" as per MiFIR Article 2(17)(b) are assessed by the regulator for the purposes of MiFIR Articles 4, 5 and 14. For ESMA RTS 1, RTS 6 and RTS 22 this is the waiver "NLIQ" flag.

1
NoBookOrderDueToRefPrice
No preceding order in book as transaction price depends on system-set reference price for an illiquid instrument. Per MiFIR Article 4(1)(b)(ii) the obligation to place a public order can be waived for "negotiated transactions which are in an illiquid share, depositary receipt, ETF, certificate or other similar financial instrument that does not fall within the meaning of a liquid market, and are dealt within a percentage of a suitable reference price, being a percentage and a reference price set in advance by the system operator." For ESMA RTS 1, this is the "OILQ" flag.

2
NoBookOrderDueToOtherConditions
No preceding order in book as transaction price is for transaction subject to conditions other than current market price. Per MiFIR Article 4(1)(b)(iii), the obligation to place a public order can be waived in "systems that formalise negotiated transactions which are subject to conditions other than the current market price of that financial instrument." For ESMA RTS1, RTS 6 and RTS 22 this is the waiver flag "PRIC".

3
NoPublicPriceDueToRefPrice
No public price for preceding order as public reference price was used for matching orders. Per MiFIR Article 4(1)(a) the obligation to place a public order can be waived for "systems matching orders based on a trading methodology by which the price of the financial instrument is derived from the trading venue where that financial instrument was first admitted to trading or the most relevant market in terms of liquidity, where that reference price is widely published and is regarded by market participants as a reliable reference price." For ESMA RTS 1, RTS 6 and RTS 22 this is the waiver flag "RFPT".

4
NoPublicPriceDueToIlliquid
No public price quoted as instrument is illiquid. According to MiFIR Article 4(1)(b)(ii) and Article 14(1) the obligation to publish the quote prior to closing the trade may be waived if it was made in an illiquid instrument. However, according to MiFIR Article 14(1) and Article 18(2), systematic internalisers shall still disclose quotes to their clients upon request. This obligation may also be waived in case of bonds, structured finance products, emission allowances and derivatives. For ESMA RTS 1, RTS 2, RTS 6 and RTS 22 this is the waiver flag "ILQD".

5
NoPublicPriceDueToOrderSize
No public price quoted due to "Size". In the context of ESMA, as per MiFIR Article 4(1)(c) and Article 14(2), the systematic internaliser was not obliged to quote prior to closing the trade as the trade was above the standard market size. In accordance to MiFIR Article 9(1)(b) and Article 18(10), market operators, investment firms and systematic internalisers may be waived, in accordance to guidance from the Competent Authorities, from making public prices for derivative instruments which are above a side specific to the instrument. For ESMA RTS 1, RTS 2, RTS 6 and RTS 22 this is the waiver flag "SIZE".

6
DeferralDueToLargeInScale
Deferral due to "Large in Scale". Per MiFID Article 14, publication deferral is permitted if the transaction is large in scale compared to a standard market size, as set in RTS 1/Annex II (thresholds for "large in scale") and RTS 2/Annex III ("LIS and SSTI thresholds"). For ESMA RTS 1 and RTS 2, this is the "LRGS" flag.

7
DeferralDueToIlliquid
Deferral due to "Illiquid Instrument". Publication deferral is permitted if the transaction's instrument is illiquid, as defined by regulator's stipulation. For ESMA RTS 2, this is the "ILQD" flag.

8
DeferralDueToSizeSpecific
Deferral due to "Size Specific". Per MiFIR Article 11, publication deferral is permitted if the transaction is greater than the stipulated 'Size Specific to the financial instrument' threshold. For ESMA RTS 2, this is the "SIZE" flag.

9
NoPublicPriceDueToLargeInScale
No public price and/or size quoted as transaction is "large in scale". In the context of ESMA, as per MiFIR Article 4(1)(c) and Article 9(1)(a), the trading venue was not obliged to quote prior to closing the trade as the order size was above normal market size.

10
NoPublicPriceSizeDueToOrderHidden
No public price and/or size quoted due to order being hidden. In the context of ESMA, as per MiFIR Article 4(1)(d) and Article 9(1)(a), a transaction arising from an order that was not fully pre-trade transparent due to all or part of it being held in a trading venue order management facility, such as a reserve order.

11
ExemptedDueToSecuritiesFinancingTransaction
Exempted due to securities financing transaction. Per ESMA RTS 22, Annex I, Table 2, Field 65: a transaction which "falls within the scope of activity but is exempted from reporting under Securities Financing Transaction Regulation".

12
ExemptedDueToESCBPolicyTransaction
Exempted due to European System of Central Banks (ESCB) policy transaction. Per ESMA RTS2, Article 14(1), and Article 15(1): "A transaction shall be considered to be entered into by a member of the European System of Central Banks (ESCB) in performance of monetary, foreign exchange and financial stability policy [is exempted from publication] … [The regulation] shall not apply to the following types of transaction entered into by a member of the ESCB for the performance of one of the tasks referred to in Article 14: transaction entered into for the management of its own funds; transaction entered into for administrative purposes or for the staff of the member of the ESCB which include transactions conducted in the capacity as administrator of a pension scheme for its staff; transactions entered into for its investment portfolio pursuant to obligations under national law."

13
ExceptionDueToReportByPaper
Exception due to report by paper. Incomplete report due to submission by paper (form). In the context of US CAT this is Form T pursuant to FINRA Trade Reporting Rules.

14
ExceptionDueToTradeExecutedWithNonReportingParty
Exception due to trade with non-reporting party. Incomplete report due to counterparty of the reporting party being absent. In the context of US CAT this is when a trade was executed by a non-FINRA member and reported to the TRF by the FINRA member counterparty.

15
ExceptionDueToIntraFirmOrder
Exception due to intra-firm order. Incomplete report due to intra–firm order filled from firm’s proprietary account.

16
ReportedOutsideReportingHours
Reported outside of reporting hours. In the context of ESMA, trades published after the trade reporting facility being used (e.g. APA for trades brought onto a trading venue) closes, will be reported the following business day and not flagged as deferred (as the MiFID deferral regime is not applicable). This value distinguishes these types of trades from trades executed (and published) on the same business day. It is recommended that this value be set by the trade reporting facility, e.g. APAs, (as opposed to publishing investment firms) to ensure the most accurate use of this value.

17
NoPublicPxDueToPreTradeWaiver
No public price quoted due to usage of a pre-trade transparency waiver. Per FCA policy statement PS23/4, this is the "NETW" flag for negotiated trades in accordance to MiFIR Article 4(1)(b).

Used in groups: TrdRegPublicationGrp

TrdRegPublicationType

Specifies the type of regulatory trade publication.

Additional reasons for the publication type may be specified in TrdRegPublicationReason(2670).

Type: int

Allowed values in TrdRegPublicationTypeCodeSet:

Code | Name | Description
0 | PreTradeTransparencyWaiver | Pre-trade transparency waiver. There are allowable waivers from the obligation to make public current bid/offer prices and trading depth. In the context of MiFIR, see Article 3 and Article 4.
1 | PostTradeDeferral | Post-trade deferral. There are allowable deferrals for the post-trade publication of trade transactions. In the context of MiFIR, see Article 7(1).
2 | ExemptFromPublication | Exempt from publication. There are allowable exemptions for the post-trade publication of trade transactions. In the context of ESMA exemptions are specified in RTS 22 Annex I, Table 2, Field 65 and RTS 2 Article 14(1) and Article 15(1).
3 | OrderLevelPublicationToSubscribers | Order level publication to subscribers. Individual orders are displayed outside of the execution venue but only to subscribers. In the context of US CAT this can be used by Alternative Trading Systems (ATSs) to provide additional information related to price distribution.
4 | PriceLevelPublicationToSubscribers | Price level publication to subscribers. Aggregated orders are displayed outside of the execution venue but only to subscribers. In the context of US CAT this can be used by Alternative Trading Systems (ATSs) to provide additional information related to price distribution.
5 | OrderLevelPublicationToThePublic | Order level publication to the public. Individual orders are displayed outside of the execution venue via public quotation. In the context of US CAT this can be used by Alternative Trading Systems (ATSs) to provide additional information related to price distribution.
6 | PublicationInternalToExecutionVenue | Publication internal to execution venue. Orders are not displayed outside of the execution venue. In the context of US CAT this can be used by Alternative Trading Systems (ATSs) to provide additional information related to price distribution.

Used in groups: TrdRegPublicationGrp

TrdRegTimestamp

Traded / Regulatory timestamp value.

Type: UTCTimestamp

Used in groups: TrdRegTimestamps

TrdRegTimestampManualIndicator

Indicates whether a given timestamp was manually captured.

Type: Boolean

Allowed values in TrdRegTimestampManualIndicatorCodeSet:

Code | Name | Description
N | NotManuallyCaptured | Not manually captured
Y | ManuallyCaptured | Manually captured

Used in groups: TrdRegTimestamps

TrdRegTimestampOrigin

Text which identifies the "origin" (i.e. system which was used to generate the timestamp) for the Traded / Regulatory timestamp value.

Type: String

Used in groups: TrdRegTimestamps

TrdRegTimestamps

The TrdRegTimestamps component block is used to express timestamps for an order or trade that are required by regulatory agencies These timesteamps are used to identify the timeframes for when an order or trade is received on the floor, received and executed by the broker, etc.

Name | Mult. | Type | Description
NoTrdRegTimestamps | [1..1] | NumInGroup |
TrdRegTimestamp | [0..1] | UTCTimestamp | Required if NoTrdRegTimestamps(768) > 0.
TrdRegTimestampType | [0..1] | CodeSet | Required if NoTrdRegTimestamps(768) > 0.
TrdRegTimestampOrigin | [0..1] | String |
TrdRegTimestampManualIndicator | [0..1] | CodeSet |
DeskType | [0..1] | CodeSet |
DeskTypeSource | [0..1] | CodeSet |
DeskOrderHandlingInst | [0..1] | CodeSet |
InformationBarrierID | [0..1] | String |
NBBOEntryType | [0..1] | CodeSet | May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
NBBOPrice | [0..1] | Price | May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
NBBOQty | [0..1] | Qty | May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).
NBBOSource | [0..1] | CodeSet | May be used with TrdRegTimestampType(770)=34 (Reference time for NBBO).

Used in messages: AllocationInstruction, AllocationReport, CollateralAssignment, CollateralInquiry, CollateralReport, CollateralRequest, CollateralResponse, Confirmation, ExecutionReport, MarginRequirementReport, NewOrderSingle, OrderCancelReplaceRequest, PositionReport, Quote, QuoteStatusReport, TradeCaptureReport, TradeCaptureReportAck

TrdRegTimestampType

Trading / Regulatory timestamp type.

Type: int

Allowed values in TrdRegTimestampTypeCodeSet:

Code | Name | Description
1 | ExecutionTime | Execution time. Timestamp for the order execution. In the context of US futures markets (CFTC regulated) this is the non-qualified reporting time of order execution.
2 | TimeIn | Time in. Timestamp for receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp of when the order was received on the trading floor (booth).
3 | TimeOut | Time out. Timestamp for sending an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp when the trade was received from the pit.
4 | BrokerReceipt | Broker receipt. Timestamp for a broker receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the time at which the broker received the order.
5 | BrokerExecution | Broker execution. Timestamp for the broker executing an order. In the context of US futures markets (CFTC regulated) this is the time at which a broker executed the order for another broker.
6 | DeskReceipt | Desk receipt. Timestamp for the transmission of an order to an internal desk or department on the same day the firm received the order.
7 | SubmissionToClearing | Submission to clearing. The timestamp when the trade was officially acknowledged by the Clearing House.
8 | TimePriority | Time priority. A timestamp (manually or electronically) assigned by a market to specify time priority for an order or quote.
9 | OrderbookEntryTime | Orderbook entry time. Timestamp for an order representing the time it was entered in the orderbook of the execution venue. The orderbook entry time cannot change during the lifetime of the order.
10 | OrderSubmissionTime | Order submission time. Time the order was sent by the submitter.
11 | PubliclyReported | Publicly reported. In the context of MiFID II, this is used to identify the time at which the transaction was first published to the market.
12 | PublicReportUpdated | Public report updated. In the context of MiFID II, this is used to identify the time at which the transaction's publication to the market was last updated
13 | NonPubliclyReported | Non-publicly reported
14 | NonPublicReportUpdated | Non-public report updated
15 | SubmittedForConfirmation | Submitted for confirmation
16 | UpdatedForConfirmation | Updated for confirmation
17 | Confirmed | Confirmed
18 | UpdatedForClearing | Updated for clearing
19 | Cleared | Cleared
20 | AllocationsSubmitted | Allocations submitted
21 | AllocationsUpdated | Allocations updated
22 | AllocationsCompleted | Allocations completed
23 | SubmittedToRepository | Submitted to repository
24 | PostTrdContntnEvnt | Post-trade continuation event
25 | PostTradeValuation | Post-trade valuation
26 | PreviousTimePriority | Previous time priority. Can be used in conjunction with TrdRegTimestampType(770) = 8 (Time priority) to provide the current and last priority timestamp in a single message.
27 | IdentifierAssigned | Identifier assigned. Timestamp for the assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
28 | PreviousIdentifierAssigned | Previous identifier assigned. Timestamp of previous assignment of a (unique) identifier to an entity (e.g. order, quote, trade).
29 | OrderCancellationTime | Order cancellation time. Timestamp for the cancellation of an order or quote.
30 | OrderModificationTime | Order modification time. Timestamp for the modification of an order or quote.
31 | OrderRoutingTime | Order routing time. Timestamp for the routing of an order to another broker or electronic execution venue.
32 | TradeCancellationTime | Trade cancellation time. Timestamp for the cancellation of an execution (ExecType(150) = H (Trade Cancel)) or trade (TradeReportType(856) = 6 (Trade Report Cancel)).
33 | TradeModificationTime | Trade modification time. Timestamp for the modification of an execution (ExecType(150) = G (Trade Correct)) or trade (TradeReportType(856) = 5 (No/Was)).
34 | ReferenceTimeForNBBO | Reference time for NBBO. Timestamp for an NBBO reference price.
35 | Affirmed | Affirmed

Used in groups: TrdRegTimestamps

TrdRepIndicator

Specifies whether the trade should be reported (or not) to parties of the provided TrdRepPartyRole(1388). Used to override standard reporting behavior by the receiver of the trade report and thereby complements the PublTrdIndicator( tag1390).

Type: Boolean

Used in groups: TrdRepIndicatorsGrp

TrdRepIndicatorsGrp

Name | Mult. | Type | Description
NoTrdRepIndicators | [1..1] | NumInGroup | Number of trade publication indicators following
TrdRepPartyRole | [0..1] | CodeSet |
TrdRepIndicator | [0..1] | Boolean |

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TrdRepPartyRole

Identifies the type of party for trade reporting. Same values as PartyRole(452).

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: TrdRepIndicatorsGrp

TrdRptStatus

Trade Report Status

Type: int

Allowed values in TrdRptStatusCodeSet:

Code | Name | Description
0 | Accepted | Accepted
1 | Rejected | Rejected
2 | Cancelled | Cancelled
3 | AcceptedWithErrors | Accepted with errors
4 | PendingNew | Pending New
5 | PendingCancel | Pending Cancel
6 | PendingReplace | Pending Replace
7 | Terminated | Terminated
8 | PendingVerification | Pending verification. Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details have not been verified by one or both parties.
9 | DeemedVerified | Deemed verified. Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details are deemed verified by the SDR but have not been confirmed by the trading parties.
10 | Verified | Verified. Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details have been confirmed by the trading parties.
11 | Disputed | Disputed. Used in reports from the SDR to the regulator and to trading parties to indicate that the trade details have been disputed by a trading party.

Used in messages: TradeCaptureReport, TradeCaptureReportAck

TrdSessLstGrp

Name | Mult. | Type | Description
NoTradingSessions | [1..1] | NumInGroup |
TradingSessionID | [1..1] | String | Identifier for Trading Session
TradingSessionSubID | [0..1] | CodeSet |
TradSesUpdateAction | [0..1] | CodeSet |
SecurityExchange | [0..1] | Exchange |
MarketID | [0..1] | Exchange | Market for which Trading Session applies
MarketSegmentID | [0..1] | String | Market Segment for which Trading Session applies
TradingSessionDesc | [0..1] | String |
TradSesMethod | [0..1] | CodeSet | Method of Trading
TradSesMode | [0..1] | CodeSet | Trading Session Mode
UnsolicitedIndicator | [0..1] | CodeSet | "Y" if message is sent unsolicited as a result of a previous subscription request.
TradSesStatus | [1..1] | CodeSet | State of trading session.
TradSesStatusRejReason | [0..1] | CodeSet | Used with TradSesStatus = "Request Rejected"
TradSesStartTime | [0..1] | UTCTimestamp | Starting time of trading session
TradSesOpenTime | [0..1] | UTCTimestamp | Time of the opening of the trading session
TradSesPreCloseTime | [0..1] | UTCTimestamp | Time of pre-close of trading session
TradSesCloseTime | [0..1] | UTCTimestamp | Closing time of trading session
TradSesEndTime | [0..1] | UTCTimestamp | End time of trading session
TotalVolumeTraded | [0..1] | Qty |
TradingSessionRules | [0..1] | Component | Insert here the set of "TradingSessionRules" fields defined in "common components of application messages"
TransactTime | [0..1] | UTCTimestamp |
Text | [0..1] | String |
EncodedTextLen | [0..1] | Length | Must be set if EncodedText field is specified and must immediately precede it.
EncodedText | [0..1] | data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.

Used in messages: TradingSessionList, TradingSessionListUpdateReport

TrdSubType

Further qualification to the trade type defined in TrdType(828).

Type: int

Allowed values in TrdSubTypeCodeSet:

Code
Name
Description

0
CMTA
CMTA

1
InternalTransferOrAdjustment
Internal transfer or adjustment

2
ExternalTransferOrTransferOfAccount
External transfer or transfer of account

3
RejectForSubmittingSide
Reject for submitting side

4
AdvisoryForContraSide
Advisory for contra side

5
OffsetDueToAnAllocation
Offset due to an allocation

6
OnsetDueToAnAllocation
Onset due to an allocation

7
DifferentialSpread
Differential spread

8
ImpliedSpreadLegExecutedAgainstAnOutright
Implied spread leg executed against an outright

9
TransactionFromExercise
Transaction from exercise

10
TransactionFromAssignment
Transaction from assignment

11
ACATS
ACATS

14
AI
AI (Automated input facility disabled in response to an exchange request.)

15
B
B (Transaction between two member firms where neither member firm is registered as a market maker in the security in question and neither is a designated fund manager. Also used by broker dealers when dealing with another broker which is not a member firm. Non-order book securities only.)

16
K
K (Transaction using block trade facility.)

17
LC
LC (Correction submitted more than three days after publication of the original trade report.)

18
M
M (Transaction, other than a transaction resulting from a stock swap or stock switch, between two market makers registered in that security including IDB or a public display system trades. Non-order book securities only.)

19
N
N (Non-protected portfolio transaction or a fully disclosed portfolio transaction)

20
NM
NM ( i) transaction where Exchange has granted permission for non-publication. ii)IDB is reporting as seller. iii) submitting a transaction report to the Exchange, where the transaction report is not also a trade report.)

21
NR
NR (Non-risk transaction in a SEATS security other than an AIM security)

22
P
P (Protected portfolio transaction or a worked principal agreement to effect a portfolio transaction which includes order book securities)

23
PA
PA (Protected transaction notification)

24
PC
PC (Contra trade for transaction which took place on a previous day and which was automatically executed on the Exchange trading system)

25
PN
PN (Worked principal notification for a portfolio transaction which includes order book securities)

26
R
R ( (i) riskless principal transaction between non-members where the buying and selling transactions are executed at different prices or on different terms (requires a trade report with trade type indicator R for each transaction). (ii) market maker is reporting all the legs of a riskless principal transaction where the buying and selling transactions are executed at different prices (requires a trade report with trade type indicator R for each transaction)or. (iii) market maker is reporting the onward leg of a riskless principal transaction where the legs are executed at different prices, and another market maker has submitted a trade report using trade type indicator M for the first leg (this requires a single trade report with trade type indicator R).)

27
RO
RO (Transaction which resulted from the exercise of a traditional option or a stock-settled covered warrant)

28
RT
RT (Risk transaction in a SEATS security, (excluding AIM security) reported by a market maker registered in that security)

29
SW
SW (Transactions resulting from stock swap or a stock switch (one report is required for each line of stock))

30
T
T (If reporting a single protected transaction)

31
WN
WN (Worked principal notification for a single order book security)

32
WT
WT (Worked principal transaction (other than a portfolio transaction))

33
OffHoursTrade
Off Hours Trade

34
OnHoursTrade
On Hours Trade

35
OTCQuote
OTC Quote

36
ConvertedSWAP
Converted SWAP

37
CrossedTrade
Crossed Trade (X)

38
InterimProtectedTrade
Interim Protected Trade (I)

39
LargeInScale
Large in Scale (L)

40
WashTrade
Wash Trade

41
TradeAtSettlement
Trade at Settlement (TAS). Identifies a trade that will be priced using the settlement price.

42
AuctionTrade
Auction Trade. Mutually exclusive with TrdSubType(829) = 50 (Balancing).

43
TradeAtMarker
Trade at Marker (TAM). Posted at a specific time each day and used to price the consummated trade for the product/month/strip executed (+/- and differentials). Closely related to TAS trades in function and trade practice.

44
CreditDefault
Default (Credit Event)

45
CreditRestructuring
Restructuring (credit event)

46
Merger
Merger (succession event)

47
SpinOff
Spin-off (succession event)

48
MultilateralCompression
Multilateral compression. Used to identify a special case of compression between multiple parties, e.g. for netted or portfolio trades.

50
Balancing
Balancing. Identifies an additional trade distributed to auction participants meant to resolve an imbalance between bids and offers. Mutually exclusive with TrdSubType(829) = 42 =(Auction).

51
BasisTradeIndexClose
Basis Trade index Close (BTIC). The marketplace name given to Trade at Marker (TAM) transactions in equity index futures.

52
TradeAtCashOpen
Trade At Cash Open (TACO). The marketplace name given to trading futures based on an opening quote of the underlying cash market.

53
TrdSubmitVenueClrSettl
Trade submitted to venue for clearing and settlement. Identifies trades brought on a trading venue purely for clearing and settlement purposes.

54
BilateralCompression
Bilateral compression. Used to identify a special case of compression between two parties, e.g. for netted or portfolio trades.

Used in groups: MDFullGrp, MDIncGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeMatchReport

TrdType

Type of trade assigned to a trade. SecondaryTrdType(855) and TertiaryTrdType(2896) may be used in addition to TrdType(828) to assign up to three different trade types to a single trade.

Type: int

Allowed values in TrdTypeCodeSet:

Code
Name
Description

0
RegularTrade
Regular trade

1
BlockTrade
Block trade

2
EFP
Exchange for physical (EFP)

3
Transfer
Transfer

4
LateTrade
Late trade

5
TTrade
T trade

6
WeightedAveragePriceTrade
Weighted average price trade

7
BunchedTrade
Bunched trade

8
LateBunchedTrade
Late bunched trade

9
PriorReferencePriceTrade
Prior reference price trade

10
AfterHoursTrade
After hours trade

11
ExchangeForRisk
Exchange for risk (EFR)

12
ExchangeForSwap
Exchange for swap (EFS)

13
ExchangeOfFuturesFor
Exchange of futures for in market futures (EFM). For example full sized for mini.

14
ExchangeOfOptionsForOptions
Exchange of options for options (EOO)

15
TradingAtSettlement
Trading at settlement

16
AllOrNone
All or none

17
FuturesLargeOrderExecution
Futures large order execution

18
ExchangeOfFuturesForFutures
Exchange of futures for external market futures (EFF)

19
OptionInterimTrade
Option interim trade

20
OptionCabinetTrade
Option cabinet trade

22
PrivatelyNegotiatedTrades
Privately negotiated trade

23
SubstitutionOfFuturesForForwards
Substitution of futures for forwards

24
ErrorTrade
Error trade

25
SpecialCumDividend
Special cum dividend (CD)

26
SpecialExDividend
Special ex dividend (XD)

27
SpecialCumCoupon
Special cum coupon (CC)

28
SpecialExCoupon
Special ex coupon (XC)

29
CashSettlement
Cash settlement (CS)

30
SpecialPrice
Special price (SP). Usually net or all-in price.

31
GuaranteedDelivery
Guaranteed delivery (GD)

32
SpecialCumRights
Special cum rights (CR)

33
SpecialExRights
Special ex rights (XR)

34
SpecialCumCapitalRepayments
Special cum capital repayments (CP)

35
SpecialExCapitalRepayments
Special ex capital repayments (XP)

36
SpecialCumBonus
Special cum bonus (CB)

37
SpecialExBonus
Special ex bonus (XB)

38
LargeTrade
Block trade. The same as large trade.

39
WorkedPrincipalTrade
Worked principal trade

40
BlockTrades
Block trades

41
NameChange
Name change

42
PortfolioTransfer
Portfolio transfer

43
ProrogationBuy
Prorogation buy. Used by Euronext Paris only. Is used to defer settlement under French SRD (deferred settlement system). Trades must be reported as crosses at zero price.

44
ProrogationSell
Prorogation sell. See prorogation buy.

45
OptionExercise
Option exercise

46
DeltaNeutralTransaction
Delta neutral transaction

47
FinancingTransaction
Financing transaction

48
NonStandardSettlement
Non-standard settlement

49
DerivativeRelatedTransaction
Derivative related transaction

50
PortfolioTrade
Portfolio trade. Identifies a collection/basket of trades. In the context of bonds (e.g. corporate bonds) these are transacted as a single trade at an aggregate price for the entire portfolio and may be traded all-or-none or most-or-none depending on bilateral agreement. In the context of ESMA RTS 1 Article 2(b), may be used to refer to portfolio trades to distinguish between addressable and non-addressable volume. In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

51
VolumeWeightedAverageTrade
Volume weighted average trade

52
ExchangeGrantedTrade
Exchange granted trade

53
RepurchaseAgreement
Repurchase agreement

54
OTC
OTC. Trade executed off-market. In the context of CFTC regulatory reporting for swaps, it is a large notional off-facility swap. In the context of MiFID transparency reporting rules this is used to report, into an exchange, deals made outside exchange rules.

55
ExchangeBasisFacility
Exchange basis facility (EBF)

56
OpeningTrade
Opening trade. Identifies a trade that resulted from the opening of a market. In the context of IIROC, this indicates a trade that occurred at the opening or the first trade of the day for a security.

57
NettedTrade
Netted trade

58
BlockSwapTrade
Block swap trade. Block trade executed off-market or on a registered market. In the context of CFTC regulatory reporting for swaps, it is a swap executed according to SEF or DCM rules.

59
CreditEventTrade
Credit event trade

60
SuccessionEventTrade
Succession event trade

61
GiveUpGiveInTrade
Give-up Give-in trade

62
DarkTrade
Dark trade. In the context of Market Model Typology (MMT), a dark trade might also come from a lit/hybrid book (e.g. when an aggressive lit order hits a resting dark order). The use of this value applies to TrdType(828), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

63
TechnicalTrade
Technical trade

64
Benchmark
Benchmark. In the context of ESMA RTS 1 Article 2(a), may be used to refer to benchmark trades. In the context of Market Model Typology (MMT), the "benchmark" price depends on a benchmark which has no current price but was derived from a time series such as a VWAP. The use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

65
PackageTrade
Package trade. May be used to identify the pseudo-trade of a stream or collection of trades to be transacted, cleared and be reported as an atomic unit. In the context of MiFIR RTS 1, this is the "CONT" flag. In the context of MiFIR RTS 2 Article 1(1)(b), may be used to refer to package transactions (excluding exchange for physicals). In the context of Market Model Typology (MMT), use of this value applies to SecondaryTrdType(855) or TertiaryTrdType(2896), and when used for MMT market data publication requires MDEntryType(269) = 2 (Trade).

66
RollTrade
Roll trade. Trade is a roll from one contract that is about to expire to a new contract.

67
ClosingPriceTrade
Closing price trade. Identifies a trade that uses the closing price of a market without resulting from the closing of this market. In the context of FCA policy statement PS23/4, this indicates a benchmark transaction executed using the market closing price and is the "CLSE" flag.

68
InterFundTransferTrade
Inter-fund transfer trade. Administrative trade (non price-forming) related to the transfer of ownership between funds.

69
NetAssetValueCalculatedTrade
Net asset value calculated trade. Trade of a fund priced at the net asset value of its constituents. In the context of MiFIR RTS 1, this may be used for ETFs when the NAV price becomes available.

Used in groups: MDFullGrp, MDIncGrp, QuotReqGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, ExecutionReport, Quote, QuoteResponse, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeMatchReport

TriggerAction

Defines the type of action to take when the trigger hits.

Type: char

Allowed values in TriggerActionCodeSet:

Code | Name | Description
1 | Activate | Activate
2 | Modify | Modify
3 | Cancel | Cancel

Used in components: TriggeringInstruction

Triggered

Indicates whether order has been triggered during its lifetime. Applies to cases where original information, e.g. OrdType(40), is modified when the order is triggered.

Type: int

Allowed values in TriggeredCodeSet:

Code | Name | Description
0 | NotTriggered | Not triggered (default)
1 | Triggered | Triggered
2 | StopOrderTriggered | Stop order triggered
3 | OCOOrderTriggered | One Cancels the Other (OCO) order triggered
4 | OTOOrderTriggered | One Triggers the Other (OTO) order triggered
5 | OUOOrderTriggered | One Updates the Other (OUO) order triggered

Used in messages: ExecutionReport

TriggeringInstruction

The TriggeringInstruction component block specifies the conditions under which an order will be triggered by related market events as well as the behavior of the order in the market once it is triggered.

Name | Mult. | Type | Description
TriggerType | [0..1] | CodeSet | Required if any other Triggering tags are specified.
TriggerAction | [0..1] | CodeSet |
TriggerScope | [0..1] | CodeSet | Conditionally required when TriggerAction(1101)=3 (Cancel).
TriggerPrice | [0..1] | Price | Only relevant and required for TriggerAction = 1
TriggerSymbol | [0..1] | String | Only relevant and required for TriggerAction = 1
TriggerSecurityID | [0..1] | String | Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
TriggerSecurityIDSource | [0..1] | CodeSet | Requires TriggerSecurityIDSource if specified. Only relevant and required for TriggerAction = 1
TriggerSecurityDesc | [0..1] | String |
TriggerPriceType | [0..1] | CodeSet | Only relevant for TriggerAction = 1
TriggerPriceTypeScope | [0..1] | CodeSet | Only relevant for TriggerAction = 1
TriggerPriceDirection | [0..1] | CodeSet | Only relevant for TriggerAction = 1
TriggerNewPrice | [0..1] | Price | Should be specified if the order changes Price.
TriggerOrderType | [0..1] | CodeSet | Should be specified if the order changes type.
TriggerNewQty | [0..1] | Qty | Required if the order should change quantity
TriggerTradingSessionID | [0..1] | String | Only relevant and required for TriggerType = 2.
TriggerTradingSessionSubID | [0..1] | CodeSet | Requires TriggerTradingSessionID if specified. Relevant for TriggerType = 2 only.

Used in groups: ListOrdGrp

Used in messages: CrossOrderCancelReplaceRequest, ExecutionReport, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest

TriggerNewPrice

The Price that the order should have after the trigger has hit. Could be applicable for any trigger type, but must be specified for Trigger Type 1.

Type: Price

Used in components: TriggeringInstruction

TriggerNewQty

The Quantity the order should have after the trigger has hit.

Type: Qty

Used in components: TriggeringInstruction

TriggerOrderType

The OrdType the order should have after the trigger has hit. Required to express orders that change from Limit to Market. Other values from OrdType (40) may be used if appropriate and bilaterally agreed upon.

Type: char

Allowed values in TriggerOrderTypeCodeSet:

Code | Name | Description
1 | Market | Market
2 | Limit | Limit

Used in components: TriggeringInstruction

TriggerPrice

The price at which the trigger should hit.

Type: Price

Used in components: TriggeringInstruction

TriggerPriceDirection

The side from which the trigger price is reached.

Type: char

Allowed values in TriggerPriceDirectionCodeSet:

Code | Name | Description
U | Up | Trigger if the price of the specified type goes UP to or through the specified Trigger Price.
D | Down | Trigger if the price of the specified type goes DOWN to or through the specified Trigger Price.

Used in components: TriggeringInstruction

TriggerPriceType

The type of price that the trigger is compared to.

Type: char

Allowed values in TriggerPriceTypeCodeSet:

Code | Name | Description
1 | BestOffer | Best Offer
2 | LastTrade | Last Trade
3 | BestBid | Best Bid
4 | BestBidOrLastTrade | Best Bid or Last Trade
5 | BestOfferOrLastTrade | Best Offer or Last Trade
6 | BestMid | Best Mid

Used in components: TriggeringInstruction

TriggerPriceTypeScope

Defines the type of price protection the customer requires on their order.

Type: char

Allowed values in TriggerPriceTypeScopeCodeSet:

Code | Name | Description
0 | None | None
1 | Local | Local (Exchange, ECN, ATS)
2 | National | National (Across all national markets)
3 | Global | Global (Across all markets)

Used in components: TriggeringInstruction

TriggerScope

Defines the scope of TriggerAction(1101) when it is set to "cancel" (3).

Type: int

Allowed values in TriggerScopeCodeSet:

Code | Name | Description
0 | ThisOrder | This order (default)
1 | OtherOrder | Other order (use RefID)
2 | AllOtherOrdersForGivenSecurity | All other orders for the given security
3 | AllOtherOrdersForGivenSecurityAndPrice | All other orders for the given security and price
4 | AllOtherOrdersForGivenSecurityAndSide | All other orders for the given security and side
5 | AllOtherOrdersForGivenSecurityPriceAndSide | All other orders for the given security, price and side

Used in components: TriggeringInstruction

TriggerSecurityDesc

Defines the security description of the security whose prices will be tracked by the trigger logic.

Type: String

Used in components: TriggeringInstruction

TriggerSecurityID

Defines the identity of the security whose prices will be tracked by the trigger logic.

Type: String

Used in components: TriggeringInstruction

TriggerSecurityIDSource

Defines the identity of the security whose prices will be tracked by the trigger logic. Same values as SecurityIDSource (22).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: TriggeringInstruction

TriggerSymbol

Defines the common, 'human understood' representation of the security whose prices will be tracked by the trigger logic.

Type: String

Used in components: TriggeringInstruction

TriggerTradingSessionID

Defines the trading session at which the order will be activated.

Type: String

Used in components: TriggeringInstruction

TriggerTradingSessionSubID

Defines the subordinate trading session at which the order will be activated.

Type: String

Allowed values in TradingSessionSubIDCodeSet:

Code
Name
Description

1
PreTrading
Pre-Trading

2
OpeningOrOpeningAuction
Opening or opening auction

3
Continuous
(Continuous) Trading

4
ClosingOrClosingAuction
Closing or closing auction

5
PostTrading
Post-Trading

6
ScheduledIntradayAuction
Scheduled intraday auction

7
Quiescent
Quiescent

8
AnyAuction
Any auction

9
UnscheduledIntradayAuction
Unscheduled intraday auction. An unscheduled intraday auction might be triggered by a circuit breaker.

10
OutOfMainSessionTrading
Out of main session trading. In the context of Market Model Typology "Out of main session trading" refers to both before and after session, neither auction nor continuous trading.

11
PrivateAuction
Private auction. An auction phase where only two parties participate.

12
PublicAuction
Public auction. An auction phase where all trading parties participate.

13
GroupAuction
Group auction. An auction phase limited to specific parties (e.g. parties that have resting orders in the order book).

14
OrderInitiatedAuction
Order initiated auction. Auction automatically triggered by an order, e.g. an incoming order or a resting order that can be matched based on an incoming order. Use 9="Unscheduled intraday auction" for any other auctions that are not scheduled. In the context of Market Model Topology, this can be used for an on demand auction (a.k.a. frequent batched auction).

Used in components: TriggeringInstruction

TriggerType

Defines when the trigger will hit, i.e. the action specified by the trigger instructions will come into effect.

Type: char

Allowed values in TriggerTypeCodeSet:

Code | Name | Description
1 | PartialExecution | Partial Execution
2 | SpecifiedTradingSession | Specified Trading Session
3 | NextAuction | Next Auction
4 | PriceMovement | Price Movement
5 | OnOrderEntryOrModification | On Order Entry or order modification entry

Used in components: TriggeringInstruction

TZTransactTime

Transact time in the local date-time stamp with a TZ offset to UTC identified

Type: TZTimestamp

Used in messages: TradeCaptureReport

UnderlyingAccruedInterestAmt

Amount of accrued interest of underlying security.

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingAdditionalDividendsIndicator

Indicates whether additional dividends are applicable.

Type: Boolean

Used in components: UnderlyingDividendConditions

UnderlyingAdditionalTermBondCouponFrequencyPeriod

Time unit multiplier for the frequency of the bond's coupon payment.

Type: int

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondCouponFrequencyUnit

Time unit associated with the frequency of the bond's coupon payment.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondCouponRate

Coupon rate of the bond. See also CouponRate(223).

Type: Percentage

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondCouponType

Coupon type of the bond.

Type: int

Allowed values in CouponTypeCodeSet:

Code | Name | Description
0 | Zero | Zero
1 | FixedRate | Fixed rate
2 | FloatingRate | Floating rate
3 | Structured | Structured

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondCurrency

Specifies the currency the bond value is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondCurrentTotalIssuedAmount

Total issued amount of the bond.

Type: Amt

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondDayCount

The day count convention used in interest calculations for a bond or an interest bearing security.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondDesc

Description of the bond.

Type: String

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondIssuer

Issuer of the bond.

Type: String

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondMaturityDate

The maturity date of the bond.

Type: LocalMktDate

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondParValue

The par value of the bond.

Type: Amt

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondRefGrp

The UnderlyingAdditionalTermBondRefGrp is a repeating group subcomponent of the UnderlyingAdditionalTermGrp component used to identify an underlying reference bond for a swap.

Name | Mult. | Type | Description
NoUnderlyingAdditionalTermBondRefs | [1..1] | NumInGroup |
UnderlyingAdditionalTermBondSecurityID | [0..1] | String | Required if NoUnderlyingAdditionalTermBondRefs(41340) > 0.
UnderlyingAdditionalTermBondSecurityIDSource | [0..1] | CodeSet | Conditionally required when UnderlyingAdditionalTermBondSecurityID(41341) is specified.
UnderlyingAdditionalTermBondDesc | [0..1] | String |
EncodedUnderlyingAdditionalTermBondDescLen | [0..1] | Length | Must be set if EncodedUnderlyingAdditionalTermBondDesc(41709) field is specified and must immediately precede it.
EncodedUnderlyingAdditionalTermBondDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondDesc(41709) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingAdditionalTermBondCurrency | [0..1] | Currency |
UnderlyingAdditionalTermBondIssuer | [0..1] | String |
EncodedUnderlyingAdditionalTermBondIssuerLen | [0..1] | Length | Must be set if EncodedUnderlyingAdditionalTermBondIssuer(42017) field is specified and must immediately precede it.
EncodedUnderlyingAdditionalTermBondIssuer | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingAdditionalTermBondIssuer(42017) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingAdditionalTermBondSeniority | [0..1] | CodeSet |
UnderlyingAdditionalTermBondCouponType | [0..1] | CodeSet |
UnderlyingAdditionalTermBondCouponRate | [0..1] | Percentage |
UnderlyingAdditionalTermBondMaturityDate | [0..1] | LocalMktDate |
UnderlyingAdditionalTermBondParValue | [0..1] | Amt |
UnderlyingAdditionalTermBondCurrentTotalIssuedAmount | [0..1] | Amt |
UnderlyingAdditionalTermBondCouponFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingAdditionalTermBondCouponFrequencyUnit(42034) is specified.
UnderlyingAdditionalTermBondCouponFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingAdditionalTermBondCouponFrequencyPeriod(42033) is specified.
UnderlyingAdditionalTermBondDayCount | [0..1] | CodeSet |

Used in groups: UnderlyingAdditionalTermGrp

UnderlyingAdditionalTermBondSecurityID

Security identifier of the bond.

Type: String

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondSecurityIDSource

Identifies the source scheme of the UnderlyingAdditionalTermBondSecurityID(41341) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermBondSeniority

Specifies the bond's payment priority in the event of a default.

Type: String

Allowed values in SeniorityCodeSet:

Code | Name | Description
SD | SeniorSecured | Senior Secured
SR | Senior | Senior
SB | Subordinated | Subordinated
JR | Junior | Junior. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
MZ | Mezzanine | Mezzanine. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
SN | SeniorNonPreferred | Senior Non-Preferred. For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).

Used in groups: UnderlyingAdditionalTermBondRefGrp

UnderlyingAdditionalTermConditionPrecedentBondIndicator

Indicates whether the condition precedent bond is applicable. The swap contract is only valid if the bond is issued and if there is any dispute over the terms of fixed stream then the bond terms would be used.

Type: Boolean

Used in groups: UnderlyingAdditionalTermGrp

UnderlyingAdditionalTermDiscrepancyClauseIndicator

Indicates whether the discrepancy clause is applicable.

Type: Boolean

Used in groups: UnderlyingAdditionalTermGrp

UnderlyingAdditionalTermGrp

The UnderlyingAdditionalTermGrp is a repeating subcomponent of the UnderlyingInstrument component used to report additional contract terms.

Name | Mult. | Type | Description
NoUnderlyingAdditionalTerms | [1..1] | NumInGroup |
UnderlyingAdditionalTermConditionPrecedentBondIndicator | [0..1] | Boolean | Required if NoUnderlyingAdditionalTerms(42036) > 0.
UnderlyingAdditionalTermDiscrepancyClauseIndicator | [0..1] | Boolean |
UnderlyingAdditionalTermBondRefGrp | [0..*] | Group |

Used in components: UnderlyingInstrument

UnderlyingAdjustedQuantity

Unit amount of the underlying security (shares) adjusted for pending corporate action not yet allocated.

Type: Qty

Used in components: UnderlyingInstrument

UnderlyingAllDividendsIndicator

Represents the European Master Confirmation value of 'All Dividends' which, when applicable, signifies that, for a given Ex-Date, the daily observed share price for that day is adjusted (reduced) by the cash dividend and/or the cash value of any non-cash dividend per share (including extraordinary dividends) declared by the issuer.

Type: Boolean

Used in components: UnderlyingDividendConditions

UnderlyingAllocationPercent

Percent of the Strike Price that this underlying represents.

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingAmount

The UnderlyingAmount component block is used to supply the underlying amounts, dates, settlement status and method for derivative positions.

Name | Mult. | Type | Description
NoUnderlyingAmounts | [1..1] | NumInGroup |
UnderlyingPayAmount | [0..1] | Amt | Amount to pay in order to receive the underlying instrument.
UnderlyingCollectAmount | [0..1] | Amt | Amount to collect in order to deliver the underlying instrument.
UnderlyingSettlementDate | [0..1] | LocalMktDate | Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.
UnderlyingSettlementStatus | [0..1] | String | Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.

Used in groups: PosUndInstrmtGrp

UnderlyingAssetAttributeGrp

The UnderlyingAssetAttributeGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail attributes of the instrument asset.

Name | Mult. | Type | Description
NoUnderlyingAssetAttributes | [1..1] | NumInGroup |
UnderlyingAssetAttributeType | [0..1] | String | Required if NoUnderlyingAssetAttributes(2312) > 0.
UnderlyingAssetAttributeValue | [0..1] | String |
UnderlyingAssetAttributeLimit | [0..1] | String |

Used in components: UnderlyingInstrument

UnderlyingAssetAttributeLimit

Limit or lower acceptable value of the attribute.

Type: String

Used in groups: UnderlyingAssetAttributeGrp

UnderlyingAssetAttributeType

Specifies the name of the attribute.

See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.

Type: String

Used in groups: UnderlyingAssetAttributeGrp

UnderlyingAssetAttributeValue

Specifies the value of the attribute.

Type: String

Used in groups: UnderlyingAssetAttributeGrp

UnderlyingAssetClass

The broad asset category for assessing risk exposure.

Type: int

Allowed values in AssetClassCodeSet:

Code | Name | Description
1 | InterestRate | Interest rate
2 | Currency | Currency
3 | Credit | Credit
4 | Equity | Equity
5 | Commodity | Commodity
6 | Other | Other
7 | Cash | Cash
8 | Debt | Debt
9 | Fund | Fund. Such as mutual fund, collective investment vehicle, investment program, specialized account program.
10 | LoanFacility | Loan facility
11 | Index | Index. A main index identified as a security type, for example under EU SFTR reporting.

Used in components: UnderlyingInstrument

UnderlyingAssetGroup

Indicates the broad product or asset classification. May be used to provide grouping for the product taxonomy (Product(460), SecurityType(167), etc.) and/or the risk taxonomy (AssetClass(1938), AssetSubClass(1939), AssetType(1940), etc.).

Type: int

Allowed values in AssetGroupCodeSet:

Code | Name | Description
1 | Financials | Financials. A categorization which usually includes rates, foreign exchange, credit, bonds and equity products or assets.
2 | Commodities | Commodities. A categorization which usually includes hard commodities such as agricultural, metals, freight, energy products or assets.
3 | AlternativeInvestments | Alternative investments. A categorization which usually includes weather, housing, and commodity indices products or assets.

Used in components: UnderlyingInstrument

UnderlyingAssetSubClass

An indication of the general description of the asset class.

Type: int

Allowed values in AssetSubClassCodeSet:

Code
Name
Description

1
SingleCurrency
Single currency

2
CrossCurrency
Cross currency

3
Basket
Basket [for multi-currency]

4
SingleName
Single name

5
CreditIndex
Credit index

6
IndexTranche
Index tranche

7
CreditBasket
Credit basket

8
Exotic
Exotic

9
Common
Common

10
Preferred
Preferred

11
EquityIndex
Equity index

12
EquityBasket
Equity basket

13
Metals
Metals

14
Bullion
Bullion

15
Energy
Energy

16
CommodityIndex
Commodity index

17
Agricultural
Agricultural

18
Environmental
Environmental

19
Freight
Freight

20
Government
Government

21
Agency
Agency

22
Corporate
Corporate

23
Financing
Financing

24
MoneyMarket
Money market

25
Mortgage
Mortgage

26
Municipal
Municipal

27
MutualFund
Mutual fund

28
CollectiveInvestmentVehicle
Collective investment vehicle

29
InvestmentProgram
Investment program. A generalized fund for major investors.

30
SpecializedAccountProgram
Specialized account program. A specialized fund setup for a particular account or group of accounts.

31
TermLoan
Term loan

32
BridgeLoan
Bridge loan

33
LetterOfCredit
Letter of credit

34
DividendIndex
Dividend index

35
StockDividend
Stock dividend

36
ExchangeTradedFund
Exchange traded fund

37
VolatilityIndex
Volatility index

38
FXCrossRates
FX cross rates

39
FXEmergingMarkets
FX emerging markets

40
FXMajors
FX Majors

41
Fertilizer
Fertilizer

42
IndustrialProduct
Industrial product

43
Inflation
Inflation

44
Paper
Paper

45
Polypropylene
Polypropylene

46
OfficialEconomicStatistics
Official economic statistics

47
OtherC10
Other C10. Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".

48
Other
Other. May be used with any AssetClass(1938) values.

Used in components: UnderlyingInstrument

UnderlyingAssetSubType

Used to provide a more specific description of the asset specified in UnderlyingAssetType(2015).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

Type: String

Used in components: UnderlyingInstrument

UnderlyingAssetType

Used to provide more specific description of the asset specified in UnderlyingAssetSubClass(2082).

See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed.

Other values may be used by mutual agreement of the counterparties.

Type: String

Used in components: UnderlyingInstrument

UnderlyingAssignmentMethod

Method under which assignment was conducted

Type: char

Allowed values in InstrmtAssignmentMethodCodeSet:

Code | Name | Description
P | ProRata | Pro rata
R | Random | Random

Used in components: UnderlyingInstrument

UnderlyingAttachmentPoint

See AttachmentPoint(1457).

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingAutomaticExerciseIndicator

Indicates (when 'Y') that exercise is automatic when the strike price is crossed or the underlying trade is in the money.

Type: Boolean

Used in components: UnderlyingOptionExercise

UnderlyingAutomaticExerciseThresholdRate

The threshold rate for triggering automatic exercise.

Type: float

Used in components: UnderlyingOptionExercise

UnderlyingAverageVolumeLimitationPercentage

The limit of average percentage of individual securities traded in a day or a number of days.

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingAverageVolumeLimitationPeriodDays

Specifies the limitation period for average daily trading volume in number of days.

Type: int

Used in components: UnderlyingInstrument

UnderlyingBasketDivisor

Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.

Type: float

Used in components: UnderlyingInstrument

UnderlyingBidPx

Bid price of the underlying instrument.

Type: Price

Used in messages: SecurityRiskMetricsReport

UnderlyingBusinessCenter

A business center whose calendar is used for date adjustment, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingBusinessCenterGrp

UnderlyingBusinessCenterGrp

UnderlyingBusinessCenterGrp is a repeating subcomponent within the UnderlyingDateAdjustment component. It is used to specify the set of business centers whose calendars drive the date adjustment. The business centers defined here apply to all adjustable dates in the instrument unless specifically overridden.

Name | Mult. | Type | Description
NoUnderlyingBusinessCenters | [1..1] | NumInGroup |
UnderlyingBusinessCenter | [0..1] | String | Required if NoUnderlyingBusinessCenters(40962) > 0.

Used in components: UnderlyingDateAdjustment

UnderlyingBusinessDayConvention

The business day convention used for adjusting dates. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingDateAdjustment

UnderlyingCapPrice

Used to express the ceiling price of a capped call.

Type: Price

Used in components: UnderlyingInstrument

UnderlyingCapValue

Maximum notional value for a capped financial instrument

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingCashAmount

Cash amount associated with the underlying component.

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingCashSettlAccruedInterestIndicator

Indicates whether accrued interest is included or not in the value provided in UnderlyingCashSettlAmount(42054).

For cash settlement this specifies whether quotations should be obtained inclusive or not of accrued interest.

For physical settlement this specifies whether the buyer should deliver the obligation with an outstanding principal balance that includes or excludes accrued interest.

Type: Boolean

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlAmount

The amount paid between the trade parties, seller to the buyer, for cash settlement on the cash settlement date.

Type: Amt

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlBusinessCenter

Identifies the business center calendar used at valuation time for cash settlement purposes e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlBusinessDays

The number of business days used in the determination of the cash settlement payment date.

Type: int

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlCurrency

Specifies the currency the UnderlyingCashSettlAmount(42054) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlDateAdjusted

The adjusted cash settlement date.

Type: LocalMktDate

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDateBusinessCenter

The business center calendar used for date adjustment of the cash settlement unadjusted or relative date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingCashSettlDateBusinessCenterGrp

UnderlyingCashSettlDateBusinessCenterGrp

UnderlyingCashSettlDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingCashSettlDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the DateAdjustment component in Instrument.

Name | Mult. | Type | Description
NoUnderlyingCashSettlDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingCashSettlDateBusinessCenter | [0..1] | String | Required if NoUnderlyingCashSettlDateBusinessCenters(42788) > 0.

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDateBusinessDayConvention

The business day convention used to adjust the cash settlement provision's date. Used only to override the business day convention defined in the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDate

The UnderlyingCashSettlDate component is a subcomponent within the UnderlyingCashSettlTermGrp component used to report the cash settlement date defined in the settlement provision.

Name | Mult. | Type | Description
UnderlyingCashSettlDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingCashSettlDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the DateAdjustment component in the Instrument component. The specified value would be specific to this instance of the cash settlement provision.
UnderlyingCashSettlDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the DateAdjustment component in the Instrument component. The specified values would be specific to this instance of the cash settlement provision.
UnderlyingCashSettlDateRelativeTo | [0..1] | int |
UnderlyingCashSettlDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingCashSettlDateOffsetUnit(42794) is specified.
UnderlyingCashSettlDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingCashSettlDateOffsetPeriod(42793) is specified.
UnderlyingCashSettlDateOffsetDayType | [0..1] | CodeSet |
UnderlyingCashSettlDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlDateOffsetDayType

Specifies the day type of the relative cash settlement date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDateOffsetPeriod

Time unit multiplier for the relative cash settlement date offset.

Type: int

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDateOffsetUnit

Time unit associated with the relative cash settlement date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDateRelativeTo

Specifies the anchor date when the cash settlement date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDateUnadjusted

The unadjusted cash settlement date.

Type: LocalMktDate

Used in components: UnderlyingCashSettlDate

UnderlyingCashSettlDealer

Identifies the dealer from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation calculation.

Type: String

Used in groups: UnderlyingCashSettlDealerGrp

UnderlyingCashSettlDealerGrp

UnderlyingCashSettlDealerGrp is a repeating subcomponent within the UnderlyingCashSettlTermGrp component. It is used to specify the dealers from whom price quotations for the reference obligation are obtained for the purpose of cash settlement valuation.

Name | Mult. | Type | Description
NoUnderlyingCashSettlDealers | [1..1] | NumInGroup |
UnderlyingCashSettlDealer | [0..1] | String | Required if NoUnderlyingCashSettlDealers(42039) > 0.

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlFixedTermIndicator

Indicates whether fixed settlement is applicable or not applicable in a recovery lock.

Type: Boolean

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlMinimumQuoteAmount

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the minimum intended threshold amount of outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount of the lower of either USD1,000,000 (or its equivalent in the relevant obligation currency) or the (minimum) quoted amount.

Type: Amt

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlMinimumQuoteCurrency

Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlNumOfValuationDates

Where multiple valuation dates are specified as being applicable for cash settlement, this element specifies the number of applicable valuation dates.

Type: int

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlPriceDefault

The default election for determining settlement price.

Type: int

Allowed values in CashSettlPriceDefaultCodeSet:

Code | Name | Description
0 | Close | Close. Official closing price.
1 | Hedge | Hedge. Determined by the hedging party.

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlPriceSource

The source from which the settlement price is to be obtained.

See http://www.fpml.org/coding-scheme/settlement-price-source for values.

Type: String

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlQuoteAmount

When determining the cash settlement amount, if weighted average price quotes are to be obtained for the reference obligation, this is the upper limit to the outstanding principal balance of the reference obligation for which the quote should be obtained. If not specified, the ISDA definitions provide for a fallback amount equal to floating rate payer calculation amount.

Type: Amt

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlQuoteCurrency

Specifies the currency the UnderlyingCashSettlQuoteAmount(42049) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlQuoteMethod

The type of quote used to determine the cash settlement price.

Type: int

Allowed values in CashSettlQuoteMethodCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlRecoveryFactor

Used for fixed recovery, this specifies the recovery level as determined at contract inception, to be applied in the event of a default. The factor is used to calculate the amount paid by the seller to the buyer for cash settlement on the cash settlement date. The amount is calculated is (1 - UnderlyingCashSettlRecoveryFactor(42055)) x floating rate payer calculation amount. The currency is derived from the floating rate payer calculation amount.

Type: float

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlTermGrp

The UnderlyingCashSettlTermGrp is a repeating component within the UnderlyingInstrument component used to report cash settlement terms.

Name | Mult. | Type | Description
NoUnderlyingCashSettlTerms | [1..1] | NumInGroup |
UnderlyingCashSettlCurrency | [0..1] | Currency | Required if NoUnderlyingCashSettlTerms(42041) > 0.
UnderlyingCashSettlValuationFirstBusinessDayOffset | [0..1] | int |
UnderlyingCashSettlValuationSubsequentBusinessDaysOffset | [0..1] | int |
UnderlyingCashSettlNumOfValuationDates | [0..1] | int |
UnderlyingCashSettlValuationTime | [0..1] | LocalMktTime |
UnderlyingCashSettlBusinessCenter | [0..1] | String |
UnderlyingCashSettlQuoteMethod | [0..1] | CodeSet |
UnderlyingCashSettlQuoteAmount | [0..1] | Amt |
UnderlyingCashSettlQuoteCurrency | [0..1] | Currency |
UnderlyingCashSettlMinimumQuoteAmount | [0..1] | Amt |
UnderlyingCashSettlMinimumQuoteCurrency | [0..1] | Currency |
UnderlyingCashSettlDealerGrp | [0..*] | Group |
UnderlyingCashSettlPriceSource | [0..1] | String |
UnderlyingCashSettlPriceDefault | [0..1] | CodeSet |
UnderlyingCashSettlBusinessDays | [0..1] | int |
UnderlyingCashSettlAmount | [0..1] | Amt |
UnderlyingCashSettlDate | [0..1] | Component |
UnderlyingCashSettlRecoveryFactor | [0..1] | float |
UnderlyingCashSettlFixedTermIndicator | [0..1] | Boolean |
UnderlyingCashSettlAccruedInterestIndicator | [0..1] | Boolean |
UnderlyingCashSettlValuationMethod | [0..1] | CodeSet |
UnderlyingCashSettlTermXID | [0..1] | XID |

Used in components: UnderlyingInstrument

UnderlyingCashSettlTermXID

Name referenced from UnderlyingSettlementTermXIDRef(41315).

Type: XID

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlValuationFirstBusinessDayOffset

The number of business days after settlement conditions have been satisfied, when the calculation agent is to obtain a price quotation on the reference obligation for purposes of cash settlement.

Type: int

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlValuationMethod

The ISDA defined methodology for determining the final price of the reference obligation for purposes of cash settlement.

Type: int

Allowed values in CashSettlValuationMethodCodeSet:

Code | Name | Description
0 | Market | Market
1 | Highest | Highest
2 | AverageMarket | Average market
3 | AverageHighest | Average highest
4 | BlendedMarket | Blended market
5 | BlendedHighest | Blended highest
6 | AverageBlendedMarket | Average blended market
7 | AverageBlendedHighest | Average blended highest

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlValuationSubsequentBusinessDaysOffset

The number of business days between successive valuation dates when multiple valuation dates are applicable for cash settlement.

Type: int

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashSettlValuationTime

Time of valuation.

Type: LocalMktTime

Used in groups: UnderlyingCashSettlTermGrp

UnderlyingCashType

Used for derivatives that deliver into cash underlying.

Type: String

Allowed values in UnderlyingCashTypeCodeSet:

Code | Name | Description
FIXED | FIXED | FIXED
DIFF | DIFF | DIFF

Used in components: UnderlyingInstrument

UnderlyingCFICode

Underlying security's CFICode.

Valid values: see CFICode (461) field

Type: String

Used in components: UnderlyingInstrument

UnderlyingCollectAmount

Amount to collect in order to deliver the underlying instrument

Type: Amt

Used in groups: UnderlyingAmount

UnderlyingCommonPricingIndicator

When this element is specified and set to 'Y', it indicates that common pricing applies. Common pricing may be relevant for a transaction that references more than one commodity reference price.

Type: Boolean

Used in components: UnderlyingInstrument

UnderlyingComplexEventAveragingObservationGrp

UnderlyingComplexEventAveragingObservationGrp is an optional subcomponent of UnderlyingComplexEventPeriodGrp for specifying the weight of each of the dated observations.

Name | Mult. | Type | Description
NoUnderlyingComplexEventAveragingObservations | [1..1] | NumInGroup |
UnderlyingComplexEventAveragingObservationNumber | [0..1] | int | Required if NoUnderlyingComplexEventAveragingObservations(41713) > 0.
UnderlyingComplexEventAveragingWeight | [0..1] | float |

Used in groups: UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventAveragingObservationNumber

Cross reference to the ordinal observation as specified either in the UnderlyingComplexEventScheduleGrp or UnderlyingComplexEventPeriodDateGrp components.

Type: int

Used in groups: UnderlyingComplexEventAveragingObservationGrp

UnderlyingComplexEventAveragingWeight

The weight factor to be applied to the observation.

Type: float

Used in groups: UnderlyingComplexEventAveragingObservationGrp

UnderlyingComplexEventBusinessCenter

The business center for adjusting dates and times in the schedule or date-time group.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventCalculationAgent

Used to identify the calculation agent.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCondition

Specifies the condition between complex events when more than one event is specified.

Multiple barrier events would use an "or" condition since only one can be effective at a given time. A set of digital range events would use an "and" condition since both conditions must be in effect for a payout to result.

Type: int

Allowed values in ComplexEventConditionCodeSet:

Code | Name | Description
1 | And | And
2 | Or | Or

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventBusinessCenter

Specifies the local business center for which the credit event is to be determined. The inclusion of this business center implies that Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions is replaced by the local time of the specified business center.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventCurrency

Specifies the applicable currency when UnderlyingComplexEventCreditEventValue(41718) is an amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventDayType

Specifies the day type for the complex credit events.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventGrp

The UnderlyingComplexEventCreditEventGrp is a repeating component within the UnderlyingComplexEventGrp component used to report applicable option credit events.

Name | Mult. | Type | Description
NoUnderlyingComplexEventCreditEvents | [1..1] | NumInGroup |
UnderlyingComplexEventCreditEventType | [0..1] | String | Required if NoUnderlyingComplexEventCreditEvents(41716) > 0.
UnderlyingComplexEventCreditEventValue | [0..1] | String |
UnderlyingComplexEventCreditEventCurrency | [0..1] | Currency |
UnderlyingComplexEventCreditEventPeriod | [0..1] | int | Conditionally required when UnderlyingComplexEventCreditEventUnit(41721) is specified.
UnderlyingComplexEventCreditEventUnit | [0..1] | CodeSet | Conditionally required when UnderlyingComplexEventCreditEventPeriod(41720) is specified.
UnderlyingComplexEventCreditEventDayType | [0..1] | CodeSet |
UnderlyingComplexEventCreditEventRateSource | [0..1] | int |
UnderlyingComplexEventCreditEventQualifierGrp | [0..*] | Group |

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventMinimumSources

The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.

Type: int

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventNotifyingParty

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

Type: int

Allowed values in ComplexEventCreditEventNotifyingPartyCodeSet:

Code | Name | Description
0 | SellerNotifies | Seller notifies
1 | BuyerNotifies | Buyer notifies
2 | SellerOrBuyerNotifies | Seller or buyer notifies

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventPeriod

Time unit multiplier for complex credit events.

Type: int

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventQualifier

Specifies a complex event qualifier. Used to further qualify UnderlyingComplexEventCreditEventType(41717).

Type: char

Allowed values in ProtectionTermEventQualifierCodeSet:

Code
Name
Description

H
RestructuringMultipleHoldingObligations
Retructuring - multiple holding obligations. In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.

E
RestructuringMultipleCreditEventNotices
Restructuring - multiple credit event notices. Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

C
FloatingRateInterestShortfall
Floating rate interest shortfall. Indicates compounding.

Used in groups: UnderlyingComplexEventCreditEventQualifierGrp

UnderlyingComplexEventCreditEventQualifierGrp

The UnderlyingComplexEventCreditEventQualifierGrp is a repeating component within the UnderlyingComplexEventCreditEventGrp component used to specify qualifying attributes to an event.

Name | Mult. | Type | Description
NoUnderlyingComplexEventCreditEventQualifiers | [1..1] | NumInGroup |
UnderlyingComplexEventCreditEventQualifier | [0..1] | CodeSet | Required if NoUnderlyingComplexEventCreditEventQualifiers(41724) > 0.

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventRateSource

Identifies the source of rate information used for credit events.

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Rate_Source for code list of applicable sources.

Type: int

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventSource

A newspaper or electronic news service that may publish relevant information used in the determination of whether or not a credit event has occurred.

Type: String

Used in groups: UnderlyingComplexEventCreditEventSourceGrp

UnderlyingComplexEventCreditEventSourceGrp

UnderlyingComplexEventCreditEventSourceGrp is a repeating subcomponent of the UnderlyingComplexEvents component used to specify the particular newspapers or electronic news services that may publish relevant information used in the determination of whether or not a credit event has occurred.

Name | Mult. | Type | Description
NoUnderlyingComplexEventCreditEventSources | [1..1] | NumInGroup |
UnderlyingComplexEventCreditEventSource | [0..1] | String | Required if NoUnderlyingCreditEventCreditEventSources(41748) > 0.

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventStandardSources

When this element is specified and set to 'Y', indicates that ISDA defined Standard Public Sources are applicable.

Type: Boolean

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventsXIDRef

Reference to credit event table elsewhere in the message.

Type: XIDREF

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCreditEventType

Specifies the type of credit event.

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for code list of applicable event types.

Type: String

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventUnit

Time unit associated with complex credit events.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCreditEventValue

The credit event value appropriate to UnderlyingComplexEventCreditEventType(41717).

See http://www.fixtradingcommunity.org/codelists#Credit_Event_Types for applicable event type values.

Type: String

Used in groups: UnderlyingComplexEventCreditEventGrp

UnderlyingComplexEventCurrencyOne

Specifies the first or only reference currency of the trade.

UnderlyingComplexEventCurrencyOneCodeSource(2948) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCurrencyOneCodeSource

Identifies class or source of the UnderlyingComplexEventCurrencyOne(2268) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCurrencyTwo

Specifies the second reference currency of the trade.

UnderlyingComplexEventCurrencyTwoCodeSource(2949) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventCurrencyTwoCodeSource

Identifies class or source of the UnderlyingComplexEventCurrencyTwo(2269) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventDateAdjusted

The adjusted complex event date.

Type: LocalMktDate

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDateBusinessCenter

The business center calendar is used to adjust the event date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingComplexEventDateBusinessCenterGrp

UnderlyingComplexEventDateBusinessCenterGrp

UnderlyingComplexEventDateBusinessCenterGrp is a repeating subcomponent of the UnderlyingComplexEventRelativeDate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingComplexEventDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingComplexEventDateBusinessCenter | [0..1] | String | Required if NoUnderlyingComplexEventDateBusinessCenters(41737) > 0.

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDateBusinessDayConvention

The business day convention used to adjust the event date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDateOffsetDayType

Specifies the day type of the relative date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDateOffsetPeriod

Time unit multiplier for the relative date offset.

Type: int

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDateOffsetUnit

Time unit associated with the relative date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDateRelativeTo

Specifies the anchor date when the complex event date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDates

The UnderlyingComplexEventDates and subcomponent UnderlyingComplexEventTimes components are used to constrain a complex event to a specific date range, and optional time range. If specified the event is only effective on or within the specified dates and times.

Name | Mult. | Type | Description
NoUnderlyingComplexEventDates | [1..1] | NumInGroup |
UnderlyingComplexEventStartDate | [0..1] | UTCDateOnly | Required if NoUnderlyingComplexEventDates(2054) > 0.
UnderlyingComplexEventEndDate | [0..1] | UTCDateOnly | Required if NoUnderlyingComplexEventDates(2054) > 0.
UnderlyingComplexEventTimes | [0..*] | Group |

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventDateUnadjusted

The unadjusted complex event date.

Type: LocalMktDate

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventDeterminationMethod

Specifies the method according to which an amount or a date is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventEndDate

The end date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.

UnderlyingComplexEventEndDate(2056) must always be greater than or equal to UnderlyingComplexEventStartDate(2055).

Type: UTCDateOnly

Used in groups: UnderlyingComplexEventDates

UnderlyingComplexEventEndTime

The end time of the time range on which a complex event date is effective.

UnderlyingComplexEventEndTime(2058) must always be greater than or equal to UnderlyingComplexEventStartTime(2057).

Type: UTCTimeOnly

Used in groups: UnderlyingComplexEventTimes

UnderlyingComplexEventFixedFXRate

Specifies the fixed FX rate alternative for FX Quantro options.

Type: float

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventFixingTime

The local market fixing time.

Type: LocalMktTime

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventFixingTimeBusinessCenter

The business center for determining the actual fixing times.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingComplexEventRelativeDate

UnderlyingComplexEventForwardPoints

FX forward points added to spot rate. May be a negative value.

Type: PriceOffset

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventFuturesPriceValuation

Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to futures contracts.

Type: Boolean

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventOptionsPriceValuation

Indicates whether the official settlement price as announced by the related exchange is applicable, in accordance with the ISDA 2002 definitions. Applicable only to options contracts.

Type: Boolean

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPeriodDate

The averaging date for an Asian option.

The trigger date for a Barrier or Knock option.

Type: LocalMktDate

Used in groups: UnderlyingComplexEventPeriodDateGrp

UnderlyingComplexEventPeriodDateGrp

UnderlyingComplexEventPeriodDateGrp is a subcomponent of UnderlyingComplexEventPeriodGrp for specifying fixed period dates and times for an Asian or Strike Schedule option or trigger dates for a Barrier or Knock option.

Name | Mult. | Type | Description
NoUnderlyingComplexEventPeriodDateTimes | [1..1] | NumInGroup |
UnderlyingComplexEventPeriodDate | [0..1] | LocalMktDate | Required if NoUnderlyingComplexEventPeriodDateTimes(41726) > 0.
UnderlyingComplexEventPeriodTime | [0..1] | LocalMktTime |

Used in groups: UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventPeriodGrp is a subcomponent of UnderlyingComplexEvents for specifying the periods for an Asian, Barrier, Knock or Strike Schedule option feature.

Name | Mult. | Type | Description
NoUnderlyingComplexEventPeriods | [1..1] | NumInGroup |
UnderlyingComplexEventPeriodType | [0..1] | CodeSet | Required if NoUnderlyingComplexEventPeriods(41729) > 0.
UnderlyingComplexEventBusinessCenter | [0..1] | String |
UnderlyingComplexEventScheduleGrp | [0..*] | Group |
UnderlyingComplexEventPeriodDateGrp | [0..*] | Group |
UnderlyingComplexEventAveragingObservationGrp | [0..*] | Group |

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPeriodTime

The averaging time for an Asian option.

Type: LocalMktTime

Used in groups: UnderlyingComplexEventPeriodDateGrp

UnderlyingComplexEventPeriodType

Specifies the period type.

Type: int

Allowed values in ComplexEventPeriodTypeCodeSet:

Code | Name | Description
0 | AsianOut | Asian Out
1 | AsianIn | Asian In
2 | BarrierCap | Barrier Cap
3 | BarrierFloor | Barrier Floor
4 | KnockOut | Knock Out
5 | KnockIn | Knock In

Used in groups: UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventPrice

Specifies the price at which the complex event takes effect. Impact of the event price is determined by the UnderlyingComplexEventType(2046).

Type: Price

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPriceBoundaryMethod

Specifies the boundary condition to be used for the event price relative to the UnderlyingComplexEventPrice(2048) at the point the complex event outcome takes effect as determined by the UnderlyingComplexEventPriceTimeType(2051).

Type: int

Allowed values in ComplexEventPriceBoundaryMethodCodeSet:

Code | Name | Description
1 | LessThanComplexEventPrice | Less than ComplexEventPrice(1486)
2 | LessThanOrEqualToComplexEventPrice | Less than or equal to ComplexEventPrice(1486)
3 | EqualToComplexEventPrice | Equal to ComplexEventPrice(1486)
4 | GreaterThanOrEqualToComplexEventPrice | Greater than or equal to ComplexEventPrice(1486)
5 | GreaterThanComplexEventPrice | Greater than ComplexEventPrice(1486)

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPriceBoundaryPrecision

Used in combination with UnderlyingComplexEventPriceBoundaryMethod(2049) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Type: Percentage

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPricePercentage

Specifies the price percentage at which the complex event takes effect. Impact of the event price is determined by the UnderlyingComplexEventType(2046).

Type: Percentage

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPriceTimeType

Specifies when the complex event outcome takes effect. The outcome of a complex event is a payout or barrier action as specified by the UnderlyingComplexEventType(2046).

Type: int

Allowed values in ComplexEventPriceTimeTypeCodeSet:

Code | Name | Description
1 | Expiration | Expiration
2 | Immediate | Immediate (At Any Time)
3 | SpecifiedDate | Specified Date/Time
4 | Close | Close. Official closing time of the exchange on valuation date.
5 | Open | Open. Official opening time of the exchange on valuation date.
6 | OfficialSettlPrice | Official settlement price. Official settlement price determination time.
7 | DerivativesClose | Derivatives close. Official closing time of the derivatives exchange.
8 | AsSpecifiedMasterConfirmation | As specified in Master Confirmation

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventPVFinalPriceElectionFallback

Specifies the fallback provisions for the hedging party in the determination of the final settlement price

Type: int

Allowed values in ComplexEventPVFinalPriceElectionFallbackCodeSet:

Code | Name | Description
0 | Close | Close. In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
1 | HedgeElection | Hedge election. In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventQuoteBasis

Specifies the currency pairing for the quote.

Type: int

Allowed values in ComplexEventQuoteBasisCodeSet:

Code | Name | Description
0 | Currency1PerCurrency2 | Currency 1 per currency 2
1 | Currency2PerCurrency1 | Currency 2 per currency 1

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: UnderlyingComplexEventRateSourceGrp

UnderlyingComplexEventRateSourceGrp

UnderlyingComplexEventRateSourceGrp is a subcomponent of UnderlyingComplexEvents for specifying primary and secondary rate sources.

Name | Mult. | Type | Description
NoUnderlyingComplexEventRateSources | [1..1] | NumInGroup |
UnderlyingComplexEventRateSource | [0..1] | CodeSet | Required if NoUnderlyingComplexEventRateSources(41732) > 0.
UnderlyingComplexEventRateSourceType | [0..1] | CodeSet | Required if NoUnderlyingComplexEventRateSources(41732) > 0.
UnderlyingComplexEventReferencePage | [0..1] | String | Conditionally required when ComplexEventRateSource(41014) = 99 (Other).
UnderlyingComplexEventReferencePageHeading | [0..1] | String |

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventRateSourceType

Indicates whether the rate source specified is a primary or secondary source.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: UnderlyingComplexEventRateSourceGrp

UnderlyingComplexEventReferencePage

Identifies the reference page from the rate source.

For FX, the reference page to the spot rate is to be used for the reference FX spot rate.

When UnderlyingComplexEventRateSource(41733) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option.

Type: String

Used in groups: UnderlyingComplexEventRateSourceGrp

UnderlyingComplexEventReferencePageHeading

Identifies the reference page heading from the rate source.

Type: String

Used in groups: UnderlyingComplexEventRateSourceGrp

UnderlyingComplexEventRelativeDate

UnderlyingComplexEventRelativeDate is a subcomponent of UnderlyingComplexEvents for specifying the event date and time for an FX or Calendar Spread option or the payout date for a Barrier or Knock option.

Name | Mult. | Type | Description
UnderlyingComplexEventDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingComplexEventDateRelativeTo | [0..1] | int |
UnderlyingComplexEventDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingComplexEventDateOffsetUnit(41742) is specified.
UnderlyingComplexEventDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingComplexEventDateOffsetPeriod(41741) is specified.
UnderlyingComplexEventDateOffsetDayType | [0..1] | CodeSet |
UnderlyingComplexEventDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying complex event dates.
UnderlyingComplexEventDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying complex event dates.
UnderlyingComplexEventDateAdjusted | [0..1] | LocalMktDate |
UnderlyingComplexEventFixingTime | [0..1] | LocalMktTime |
UnderlyingComplexEventFixingTimeBusinessCenter | [0..1] | String |

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventScheduleEndDate

The end date of the schedule.

Type: LocalMktDate

Used in groups: UnderlyingComplexEventScheduleGrp

UnderlyingComplexEventScheduleFrequencyPeriod

Time unit multiplier for the schedule date frequency.

Type: int

Used in groups: UnderlyingComplexEventScheduleGrp

UnderlyingComplexEventScheduleFrequencyUnit

Time unit associated with the schedule date frequency.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingComplexEventScheduleGrp

UnderlyingComplexEventScheduleGrp

UnderlyingComplexEventScheduleGrp is a subcomponent of UnderlyingComplexEventPeriodGrp for specifying a periodic schedule for an Asian, Barrier or Strike Schedule option feature.

Name | Mult. | Type | Description
NoUnderlyingComplexEventSchedules | [1..1] | NumInGroup |
UnderlyingComplexEventScheduleStartDate | [0..1] | LocalMktDate | Required if NoUnderlyingComplexEventSchedules(41750) > 0.
UnderlyingComplexEventScheduleEndDate | [0..1] | LocalMktDate |
UnderlyingComplexEventScheduleFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingComplexEventScheduleFrequencyUnit(41754) is specified.
UnderlyingComplexEventScheduleFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingComplexEventScheduleFrequencyPeriod(41753) is specified.
UnderlyingComplexEventScheduleRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the option schedule dates.

Used in groups: UnderlyingComplexEventPeriodGrp

UnderlyingComplexEventScheduleRollConvention

The convention for determining the sequence of dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in groups: UnderlyingComplexEventScheduleGrp

UnderlyingComplexEventScheduleStartDate

The start date of the schedule.

Type: LocalMktDate

Used in groups: UnderlyingComplexEventScheduleGrp

UnderlyingComplexEvents

The UnderlyingComplexEvent Group is a repeating block which allows specifying an unlimited number and types of advanced events, such as observation and pricing in over the lifetime of an option, futures, commodities or equity swap contract. Use UnderlyingEvntGrp to specify more straightforward events.

Name
Mult.
Type
Description

NoUnderlyingComplexEvents
[1..1]
NumInGroup

UnderlyingComplexEventType
[0..1]
CodeSet
Required if NoUnderlyingComplexEvents(2045) > 0.

UnderlyingComplexOptPayoutPaySide
[0..1]
CodeSet

UnderlyingComplexOptPayoutReceiveSide
[0..1]
CodeSet

UnderlyingComplexOptPayoutUnderlier
[0..1]
String

UnderlyingComplexOptPayoutAmount
[0..1]
Amt

UnderlyingComplexOptPayoutPercentage
[0..1]
Percentage

UnderlyingComplexOptPayoutTime
[0..1]
CodeSet

UnderlyingComplexOptPayoutCurrency
[0..1]
Currency

UnderlyingComplexOptPayoutCurrencyCodeSource
[0..1]
CodeSet

UnderlyingComplexEventPrice
[0..1]
Price

UnderlyingComplexEventPricePercentage
[0..1]
Percentage

UnderlyingComplexEventPriceBoundaryMethod
[0..1]
CodeSet

UnderlyingComplexEventPriceBoundaryPrecision
[0..1]
Percentage

UnderlyingComplexEventPriceTimeType
[0..1]
CodeSet

UnderlyingComplexEventCondition
[0..1]
CodeSet
Conditionally required when there are more than one UnderlyingComplexEvent occurrences. A chain of events must be linked together through use of the UnderlyingComplexEventCondition(2052) in which the relationship between any two events is described. For any two occurrences of events the first occurrence will specify the UnderlyingComplexEventCondition(2052) which links it with the second event.

UnderlyingComplexEventDates
[0..*]
Group

UnderlyingComplexEventCurrencyOne
[0..1]
Currency

UnderlyingComplexEventCurrencyOneCodeSource
[0..1]
CodeSet

UnderlyingComplexEventCurrencyTwo
[0..1]
Currency

UnderlyingComplexEventCurrencyTwoCodeSource
[0..1]
CodeSet

UnderlyingComplexEventQuoteBasis
[0..1]
CodeSet

UnderlyingComplexEventFixedFXRate
[0..1]
float

UnderlyingComplexEventSpotRate
[0..1]
Price

UnderlyingComplexEventForwardPoints
[0..1]
PriceOffset

UnderlyingComplexEventDeterminationMethod
[0..1]
String

UnderlyingComplexEventCalculationAgent
[0..1]
CodeSet

UnderlyingComplexEventStrikePrice
[0..1]
Price

UnderlyingComplexEventStrikeFactor
[0..1]
float

UnderlyingComplexEventStrikeNumberOfOptions
[0..1]
int

UnderlyingComplexEventRateSourceGrp
[0..*]
Group

UnderlyingComplexEventRelativeDate
[0..1]
Component

UnderlyingComplexEventPeriodGrp
[0..*]
Group

UnderlyingComplexEventCreditEventsXIDRef
[0..1]
XIDREF

UnderlyingComplexEventCreditEventNotifyingParty
[0..1]
CodeSet

UnderlyingComplexEventCreditEventBusinessCenter
[0..1]
String

UnderlyingComplexEventCreditEventStandardSources
[0..1]
Boolean

UnderlyingComplexEventCreditEventMinimumSources
[0..1]
int

UnderlyingComplexEventCreditEventSourceGrp
[0..*]
Group

UnderlyingComplexEventCreditEventGrp
[0..*]
Group

UnderlyingComplexEventFuturesPriceValuation
[0..1]
Boolean

UnderlyingComplexEventOptionsPriceValuation
[0..1]
Boolean

UnderlyingComplexEventPVFinalPriceElectionFallback
[0..1]
CodeSet

UnderlyingComplexEventXID
[0..1]
XID

UnderlyingComplexEventXIDRef
[0..1]
XIDREF

Used in components: UnderlyingInstrument

UnderlyingComplexEventSpotRate

FX spot rate.

Type: Price

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventStartDate

The start date of the date range on which a complex event is effective. The start date will be set equal to the end date for single day events such as Bermuda options.

The start date must always be less than or equal to end date.

Type: UTCDateOnly

Used in groups: UnderlyingComplexEventDates

UnderlyingComplexEventStartTime

The start time of the time range on which a complex event date is effective.

UnderlyingComplexEventStartTime(2057) must always be less than or equal to UndelryingComplexEventEndTime(2058).

Type: UTCTimeOnly

Used in groups: UnderlyingComplexEventTimes

UnderlyingComplexEventStrikeFactor

Strike factor for Asian option feature. Upper strike percentage for a Strike Spread.

Type: float

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventStrikeNumberOfOptions

Upper string number of options for a Strike Spread.

Type: int

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventStrikePrice

Upper strike price for Asian option feature. Strike percentage for a Strike Spread.

Type: Price

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventTimes

The UnderlyingComplexEventTimes is a repeating subcomponent of the UnderlyingComplexEventDates component. It is used to further qualify any dates placed on the event and is used to specify time ranges for which a complex event is effective. It is always provided within the context of start and end dates. The time range is assumed to be in effect for the entirety of the date or date range specified.

Name | Mult. | Type | Description
NoUnderlyingComplexEventTimes | [1..1] | NumInGroup |
UnderlyingComplexEventStartTime | [0..1] | UTCTimeOnly | Required if NoUnderlyingComplexEventTimes(2056) > 0.
UnderlyingComplexEventEndTime | [0..1] | UTCTimeOnly | Required if NoUnderlyingComplexEventTimes(2056) > 0.

Used in groups: UnderlyingComplexEventDates

UnderlyingComplexEventType

Identifies the type of complex event.

Type: int

Allowed values in ComplexEventTypeCodeSet:

Code | Name | Description
1 | Capped | Capped
2 | Trigger | Trigger
3 | KnockInUp | Knock-in up
4 | KnockInDown | Knock-in down
5 | KnockOutUp | Knock-out up
6 | KnockOutDown | Knock-out down
7 | Underlying | Underlying
8 | ResetBarrier | Reset Barrier
9 | RollingBarrier | Rolling Barrier
10 | OneTouch | One-touch
11 | NoTouch | No-touch
12 | DblOneTouch | Double one-touch
13 | DblNoTouch | Double no-touch
14 | FXComposite | Foreign exchange composite
15 | FXQuanto | Foreign exchange Quanto
16 | FXCrssCcy | Foreign exchange cross currency
17 | StrkSpread | Strike spread
18 | ClndrSpread | Calendar spread
19 | PxObsvtn | Price observation (Asian or Lookback)
20 | PassThrough | Pass-through
21 | StrkSched | Strike schedule
22 | EquityValuation | Equity valuation
23 | DividendValuation | Dividend valuation

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventXID

Identifier of this complex event for cross referencing elsewhere in the message.

Type: XID

Used in groups: UnderlyingComplexEvents

UnderlyingComplexEventXIDRef

Reference to a complex event elsewhere in the message.

Type: XIDREF

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutAmount

Cash amount indicating the pay out associated with an event. For binary options this is a fixed amount.

Type: Amt

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutCurrency

Specifies the currency of the payout amount.

UnderlyingComplexOptPayoutCurrencyCodeSource(2947) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutCurrencyCodeSource

Identifies class or source of the UnderlyingComplexOptPayoutCurrency(2266) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutPaySide

Trade side of payout payer.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutPercentage

Percentage of observed price for calculating the payout associated with the event.

Type: Percentage

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutReceiveSide

Trade side of payout receiver.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutTime

The time when the payout is to occur.

Type: int

Allowed values in ComplexOptPayoutTimeCodeSet:

Code | Name | Description
0 | Close | Close
1 | Open | Open
2 | OfficialSettl | Official settlement
3 | ValuationTime | Valuation time
4 | ExcahgneSettlTime | Exchange settlement time
5 | DerivativesClose | Derivatives close
6 | AsSpecified | As specified in master confirmation

Used in groups: UnderlyingComplexEvents

UnderlyingComplexOptPayoutUnderlier

Reference to the underlier whose payments are being passed through.

Type: String

Used in groups: UnderlyingComplexEvents

UnderlyingConstituentWeight

For a basket, or pool, describes the weight of each of the constituents within the basket. If not provided, it is assumed to be equal weighted.

Type: float

Used in components: UnderlyingInstrument

UnderlyingContractMultiplier

Underlying security's ContractMultiplier.

See ContractMultiplier (231) field for description

Type: float

Used in components: UnderlyingInstrument

UnderlyingContractMultiplierUnit

Indicates the type of multiplier being applied to the contract.

Type: int

Allowed values in ContractMultiplierUnitCodeSet:

Code | Name | Description
0 | Shares | Shares
1 | Hours | Hours
2 | Days | Days

Used in components: UnderlyingInstrument

UnderlyingContractPriceRefMonth

Reference month if there is no applicable UnderlyingMaturityMonth(313) value for the contract or security.

Type: MonthYear

Used in components: UnderlyingInstrument

UnderlyingContractSettlMonth

Specifies when the contract (i.e. MBS/TBA) will settle. Must be present for MBS/TBA.

Type: MonthYear

Used in components: UnderlyingInstrument

UnderlyingContraryInstructionEligibilityIndicator

Identifies whether the option instrument is eligible for contrary instructions at the time of exercise. The contrariness of an instruction will be determined in the context of UnderlyingInTheMoneyCondition(2683). When not specified, the eligibility is undefined or not applicable.

Type: Boolean

Used in components: UnderlyingInstrument

UnderlyingCountryOfIssue

Underlying security's CountryOfIssue.

See CountryOfIssue (470) field for description

Type: Country

Used in components: UnderlyingInstrument

UnderlyingCouponDayCount

The day count convention used in interest calculations for a bond or an interest bearing security.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: UnderlyingInstrument

UnderlyingCouponFrequencyPeriod

Time unit multiplier for the frequency of the bond's coupon payment.

Type: int

Used in components: UnderlyingInstrument

UnderlyingCouponFrequencyUnit

Time unit associated with the frequency of the bond's coupon payment.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: UnderlyingInstrument

UnderlyingCouponOtherDayCount

The industry name of the day count convention not listed in UnderlyingCouponDayCount(1993).

Type: String

Used in components: UnderlyingInstrument

UnderlyingCouponPaymentDate

Underlying security's CouponPaymentDate.

See CouponPaymentDate (224) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingCouponRate

Underlying security's CouponRate.

See CouponRate (223) field for description

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingCouponType

Specifies the coupon type of the underlying bond.

Type: int

Allowed values in CouponTypeCodeSet:

Code | Name | Description
0 | Zero | Zero
1 | FixedRate | Fixed rate
2 | FloatingRate | Floating rate
3 | Structured | Structured

Used in components: UnderlyingInstrument

UnderlyingCPProgram

The program under which the underlying commercial paper is issued

Type: int

Allowed values in CPProgramCodeSet:

Code | Name | Description
1 | Program3a3 | 3(a)(3). Arising out of a current transaction with a maturity less than 9 months.
2 | Program42 | 4(2). Issued not involving any public offering.
3 | Program3a2 | 3(a)(2). Issued or guaranteed by the US, state or territorial government.
4 | Program3a3And3c7 | 3(a)(3) & 3(c)(7). Combination of 3(a)(3) and 3(c)(7).
5 | Program3a4 | 3(a)(4). Religious, education, benevolent, fraternal, charitable or reformatory purposes.
6 | Program3a5 | 3(a)(5). Issued by an institution supervised by state or federal authority or by an exempt farmer's cooperative.
7 | Program3a7 | 3(a)(7). Issued by a receiver or trustee in bankruptcy.
8 | Program3c7 | 3(c)(7). Qualified hedge-fund under the Investment Company Act of 1940.
99 | Other | Other

Used in components: UnderlyingInstrument

UnderlyingCPRegType

The registration type of the underlying commercial paper issuance

Type: String

Used in components: UnderlyingInstrument

UnderlyingCreditRating

Underlying security's CreditRating.

See CreditRating (255) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: UnderlyingInstrument

UnderlyingCurrency

Underlying security's currency.

Type: Currency

Used in components: UnderlyingInstrument

UnderlyingCurrencyCodeSource

Identifies class or source of the UnderlyingCurrency(318) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingCurrentValue

Currency value currently attributed to this collateral

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingDateAdjustment

UnderlyingDateAdjustment is a subcomponent within the UnderlyingInstrument component. It is used to specify date adjustment parameters and rules. The date adjustments specified here applies to all adjustable dates for the underlying instrument, unless specifically overridden in the respective specified components further within the UnderlyingInstrument component.

Name | Mult. | Type | Description
UnderlyingBusinessDayConvention | [0..1] | CodeSet |
UnderlyingBusinessCenterGrp | [0..*] | Group |
UnderlyingDateRollConvention | [0..1] | CodeSet |

Used in components: UnderlyingInstrument

UnderlyingDatedDate

If different from IssueDate()

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingDateRollConvention

The convention for determining a sequence of dates. It is used in conjunction with a specified frequency. The value defined here applies to all adjustable dates in the underlying instrument unless specifically overridden.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: UnderlyingDateAdjustment

UnderlyingDeliveryAmount

Indicates the underlying position amount to be delivered

Type: Amt

Used in groups: PosUndInstrmtGrp

UnderlyingDeliveryRouteOrCharter

Specific delivery route or time charter average. Applicable to commodity freight contracts.

Type: String

Used in components: UnderlyingInstrument

UnderlyingDeliveryScheduleGrp

The UnderlyingDeliveryScheduleGrp is a repeating subcomponent of the UnderlyingStream component used to detail step schedules associated with a delivery stream.

Name | Mult. | Type | Description
NoUnderlyingDeliverySchedules | [1..1] | NumInGroup |
UnderlyingDeliveryScheduleType | [0..1] | CodeSet | Required if NoUnderlyingDeliverySchedules(41756) > 0.
UnderlyingDeliveryScheduleXID | [0..1] | XID |
UnderlyingDeliveryScheduleNotional | [0..1] | Qty |
UnderlyingDeliveryScheduleNotionalUnitOfMeasure | [0..1] | CodeSet |
UnderlyingDeliveryScheduleNotionalCommodityFrequency | [0..1] | CodeSet |
UnderlyingDeliveryScheduleNegativeTolerance | [0..1] | float |
UnderlyingDeliverySchedulePositiveTolerance | [0..1] | float |
UnderlyingDeliveryScheduleToleranceUnitOfMeasure | [0..1] | CodeSet |
UnderlyingDeliveryScheduleToleranceType | [0..1] | CodeSet | Conditionally required when UnderlyingDeliveryScheduleNegativeTolerance(41762) or UnderlyingDeliverySchedulePositiveTolerance(41763) is specified.
UnderlyingDeliveryScheduleSettlCountry | [0..1] | Country |
UnderlyingDeliveryScheduleSettlTimeZone | [0..1] | String |
UnderlyingDeliveryScheduleSettlFlowType | [0..1] | CodeSet |
UnderlyingDeliveryScheduleSettlHolidaysProcessingInstruction | [0..1] | CodeSet |
UnderlyingDeliveryScheduleSettlDayGrp | [0..*] | Group |

Used in groups: UnderlyingStreamGrp

UnderlyingDeliveryScheduleNegativeTolerance

Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryScheduleToleranceType(41765). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleNotional

Physical delivery quantity.

Type: Qty

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleNotionalCommodityFrequency

The frequency of notional delivery.

Type: int

Allowed values in StreamNotionalCommodityFrequencyCodeSet:

Code | Name | Description
0 | Term | Term
1 | PerBusinessDay | Per business day
2 | PerCalculationPeriod | Per calculation period
3 | PerSettlPeriod | Per settlement period
4 | PerCalendarDay | Per calendar day
5 | PerHour | Per hour
6 | PerMonth | Per month

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleNotionalUnitOfMeasure

Specifies the delivery quantity unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliverySchedulePositiveTolerance

Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryScheduleToleranceType(41765). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleSettlCountry

Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.

Type: Country

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleSettlDay

Specifies the day or group of days for delivery.

Type: int

Allowed values in DeliveryScheduleSettlDayCodeSet:

Code | Name | Description
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday
8 | AllWeekdays | All weekdays
9 | AllDays | All days
10 | AllWeekends | All weekends

Used in groups: UnderlyingDeliveryScheduleSettlDayGrp

UnderlyingDeliveryScheduleSettlDayGrp

The UnderlyingDeliveryScheduleSettlDayGrp is a repeating subcomponent of the UnderlyingDeliveryScheduleGrp component used to detail commodity delivery days.

Name | Mult. | Type | Description
NoUnderlyingDeliveryScheduleSettlDays | [1..1] | NumInGroup |
UnderlyingDeliveryScheduleSettlDay | [0..1] | CodeSet | Required if NoUnderlyingDeliveryScheduleSettlDays(41770) > 0.
UnderlyingDeliveryScheduleSettlTotalHours | [0..1] | int |
UnderlyingDeliveryScheduleSettlTimeGrp | [0..*] | Group |

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleSettlEnd

The scheduled end time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in UnderlyingDeliveryScheduleSettlTimeType(41776).

Type: String

Used in groups: UnderlyingDeliveryScheduleSettlTimeGrp

UnderlyingDeliveryScheduleSettlFlowType

Specifies the delivery flow type.

Type: int

Allowed values in DeliveryScheduleSettlFlowTypeCodeSet:

Code | Name | Description
0 | AllTimes | All times
1 | OnPeak | On peak
2 | OffPeak | Off peak
3 | Base | Base
4 | BlockHours | Block hours
5 | Other | Other

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleSettlHolidaysProcessingInstruction

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

Type: int

Allowed values in DeliveryScheduleSettlHolidaysProcessingInstructionCodeSet:

Code | Name | Description
0 | DoNotIncludeHolidays | Do not include holidays
1 | IncludeHolidays | Include holidays

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleSettlStart

The scheduled start time for the delivery of the commodity where delivery occurs over specified times. The format of the time value is specified in UnderlyingDeliveryScheduleSettlTimeType(41776).

Type: String

Used in groups: UnderlyingDeliveryScheduleSettlTimeGrp

UnderlyingDeliveryScheduleSettlTimeGrp

The UnderlyingDeliveryScheduleSettlTimeGrp is a repeating subcomponent of the UnderlyingDeliveryScheduleSettlDayGrp component used to detail commodity delivery time periods.

Name | Mult. | Type | Description
NoUnderlyingDeliveryScheduleSettlTimes | [1..1] | NumInGroup |
UnderlyingDeliveryScheduleSettlStart | [0..1] | String | Required if NoUnderlyingDeliveryScheduleSettlTimes(41773) > 0.
UnderlyingDeliveryScheduleSettlEnd | [0..1] | String | Required if NoUnderlyingDeliveryScheduleSettlTimes(41773) > 0.
UnderlyingDeliveryScheduleSettlTimeType | [0..1] | CodeSet | May be defaulted to market convention or bilaterally agreed if not specified.

Used in groups: UnderlyingDeliveryScheduleSettlDayGrp

UnderlyingDeliveryScheduleSettlTimeType

Specifies the format of the delivery start and end time values.

Type: int

Allowed values in DeliveryScheduleSettlTimeTypeCodeSet:

Code
Name
Description

0
Hour
Hour of the day. Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.

1
Timestamp
HH:MM time format. Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.

Used in groups: UnderlyingDeliveryScheduleSettlTimeGrp

UnderlyingDeliveryScheduleSettlTimeZone

Delivery timezone specified as "prevailing" rather than "standard" or "daylight".

See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.

Type: String

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleSettlTotalHours

The sum of the total hours specified in the UnderlyingDeliveryScheduleSettlTimeGrp component.

Type: int

Used in groups: UnderlyingDeliveryScheduleSettlDayGrp

UnderlyingDeliveryScheduleToleranceType

Specifies the tolerance value type.

Type: int

Allowed values in DeliveryScheduleToleranceTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleToleranceUnitOfMeasure

Specifies the tolerance value's unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleType

Specifies the type of delivery schedule.

Type: int

Allowed values in DeliveryScheduleTypeCodeSet:

Code | Name | Description
0 | Notional | Notional
1 | Delivery | Delivery
2 | PhysicalSettlPeriods | Physical settlement period

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryScheduleXID

Identifier for this instance of delivery schedule for cross referencing elsewhere in the message.

Type: XID

Used in groups: UnderlyingDeliveryScheduleGrp

UnderlyingDeliveryStreamCommoditySource

The SCoTA coal cargo origin, mining region, mine(s), mining complex(es), loadout(s) or river dock(s) or other point(s) of origin that seller and buyer agree are acceptable origins for the coal product. For international coal transactions, this is the origin of the coal product.

See http://www.fpml.org/coding-scheme/commodity-coal-product-source for values.

Type: String

Used in groups: UnderlyingDeliveryStreamCommoditySourceGrp

UnderlyingDeliveryStreamCommoditySourceGrp

The UnderlyingDeliveryStreamCommoditySourceGrp is a repeating subcomponent of the UnderlyingDeliveryStream component used to detail the origins or sources of the commodity.

Name | Mult. | Type | Description
NoUnderlyingDeliveryStreamCommoditySources | [1..1] | NumInGroup |
UnderlyingDeliveryStreamCommoditySource | [0..1] | String | Required if NoUnderlyingDeliveryStreamCommoditySources(41808) > 0.

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStream

The UnderlyingDeliveryStream component is a subcomponent of the UnderlyingStream used to detail the attributes of a physical delivery stream in a swap.

Name | Mult. | Type | Description
UnderlyingDeliveryStreamType | [0..1] | CodeSet |
UnderlyingDeliveryStreamCommoditySourceGrp | [0..*] | Group |
UnderlyingDeliveryStreamPipeline | [0..1] | String |
UnderlyingDeliveryStreamEntryPoint | [0..1] | String |
UnderlyingDeliveryStreamWithdrawalPoint | [0..1] | String |
UnderlyingDeliveryStreamDeliveryPoint | [0..1] | String |
UnderlyingDeliveryStreamDeliveryPointSource | [0..1] | CodeSet |
UnderlyingDeliveryStreamDeliveryPointDesc | [0..1] | String |
UnderlyingDeliveryStreamDeliveryRestriction | [0..1] | CodeSet |
UnderlyingDeliveryStreamDeliveryContingency | [0..1] | String |
UnderlyingDeliveryStreamDeliveryContingentPartySide | [0..1] | CodeSet |
UnderlyingDeliveryStreamDeliverAtSourceIndicator | [0..1] | Boolean |
UnderlyingDeliveryStreamRiskApportionment | [0..1] | String |
UnderlyingDeliveryStreamRiskApportionmentSource | [0..1] | String |
UnderlyingDeliveryStreamCycleGrp | [0..*] | Group |
UnderlyingDeliveryStreamTitleTransferLocation | [0..1] | String |
UnderlyingDeliveryStreamTitleTransferCondition | [0..1] | CodeSet |
UnderlyingDeliveryStreamImporterOfRecord | [0..1] | String |
UnderlyingDeliveryStreamNegativeTolerance | [0..1] | float |
UnderlyingDeliveryStreamPositiveTolerance | [0..1] | float |
UnderlyingDeliveryStreamToleranceUnitOfMeasure | [0..1] | CodeSet |
UnderlyingDeliveryStreamToleranceType | [0..1] | CodeSet |
UnderlyingDeliveryStreamToleranceOptionSide | [0..1] | CodeSet |
UnderlyingDeliveryStreamTotalPositiveTolerance | [0..1] | Percentage |
UnderlyingDeliveryStreamTotalNegativeTolerance | [0..1] | Percentage |
UnderlyingDeliveryStreamNotionalConversionFactor | [0..1] | float |
UnderlyingDeliveryStreamTransportEquipment | [0..1] | String |
UnderlyingDeliveryStreamElectingPartySide | [0..1] | CodeSet |
UnderlyingDeliveryStreamRouteOrCharter | [0..1] | String |

Used in groups: UnderlyingStreamGrp

UnderlyingDeliveryStreamCycleDesc

The delivery cycles during which the oil product will be transported in the pipeline.

Type: String

Used in groups: UnderlyingDeliveryStreamCycleGrp

UnderlyingDeliveryStreamCycleGrp

The UnderlyingDeliveryStreamCycleGrp is a repeating subcomponent of the UnderlyingDeliveryStream component used to detail delivery cycles during which the oil product will be transported in the pipeline.

Name | Mult. | Type | Description
NoUnderlyingDeliveryStreamCycles | [1..1] | NumInGroup |
UnderlyingDeliveryStreamCycleDesc | [0..1] | String | Required if NoUnderlyingDeliveryStreamCycles(41804) > 0.
EncodedUnderlyingDeliveryStreamCycleDescLen | [0..1] | Length | Must be set if EncodedUnderlyingDeliveryStreamCycleDesc(41807) field is specified and must immediately precede it.
EncodedUnderlyingDeliveryStreamCycleDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingDeliverySreamCycleDesc(41805) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliverAtSourceIndicator

When this element is specified and set to 'Y', delivery of the coal product is to be at its source.

Type: Boolean

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliveryContingency

Specifies the electricity delivery contingency.

See http://www.fpml.org/coding-scheme/electricity-transmission-contingency for values.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliveryContingentPartySide

The trade side value of the party responsible for electricity delivery contingency.

Type: int

Allowed values in DeliveryStreamElectingPartySideCodeSet:

Code | Name | Description
0 | Buyer | Buyer
1 | Seller | Seller

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliveryPoint

The point at which the commodity product will be delivered and received. Value specified should follow market convention appropriate for the commodity product.

For bullion see http://www.fpml.org/coding-scheme/bullion-delivery-location for values.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliveryPointDesc

Description of the delivery point identified in UnderlyingDeliveryStreamDeliveryPoint(41781).

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliveryPointSource

Identifies the class or source of UnderlyingDeliveryStreamDeliveryPoint(41781).

Type: int

Allowed values in DeliveryStreamDeliveryPointSourceCodeSet:

Code | Name | Description
0 | Proprietary | Proprietary
1 | EIC | Energy Identification Code (EIC). Energy Identification Code specifies the location or connection point codes of energy delivery. See http://www.entsog.eu/eic-codes/eic-location-codes-v or http://www.eiccodes.eu for more information and allocated values to use in DeliveryStreamDeliveryPoint(41062).

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamDeliveryRestriction

Specifies under what conditions the buyer and seller should be excused of their delivery obligations.

Type: int

Allowed values in DeliveryStreamDeliveryRestrictionCodeSet:

Code | Name | Description
1 | Firm | Firm. Never excused of delivery obligations.
2 | NonFirm | Interruptable or non-firm. Excused when interrupted for any reason or for no reason without liability.
3 | ForceMajeure | Force majeure. Excused when prevented by force majeure.
4 | SystemFirm | System firm. Must be supplied from the owned or controlled generation of pre-existing purchased power assets of the system specified.
5 | UnitFirm | Unit firm. Must be supplied from the generation assset specified.

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamElectingPartySide

A reference to the party able to choose whether the gas is delivered for a particular period e.g. a swing or interruptible contract.

Type: int

Allowed values in DeliveryStreamElectingPartySideCodeSet:

Code | Name | Description
0 | Buyer | Buyer
1 | Seller | Seller

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamEntryPoint

The point at which the commodity will enter the delivery mechanism or pipeline.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamImporterOfRecord

A party, not necessarily of the trade, who is the Importer of Record for the purposes of paying customs duties and applicable taxes or costs related to importation.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamNegativeTolerance

Specifies the negative tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryStreamToleranceType(41793). Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamNotionalConversionFactor

If the notional quantity is specified in a unit that does not match the unit in which the commodity reference price is quoted, the scaling or conversion factor used to convert the commodity reference price unit into the notional quantity unit should be stated here. If there is no conversion, this field is not intended to be used.

Type: float

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamPipeline

The name of the oil delivery pipeline.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamPositiveTolerance

Specifies the positive tolerance value. The value may be an absolute quantity or a percentage, as specified in UnderlyingDeliveryStreamToleranceType(41793). Value may exceed agreed upon value. Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%).

Type: float

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamRiskApportionment

Specifies how the parties to the trade apportion responsibility for the delivery of the commodity product.

See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment for the details of the external code list.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamRiskApportionmentSource

Specifies the source or legal framework for the risk apportionment.

See http://www.fixtradingcommunity.org/codelists#Risk_Apportionment_Source for the details of the external code list.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamRouteOrCharter

Specific delivery route or time charter average. Applicable to commodity freight swaps.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamTitleTransferCondition

Specifies the title transfer condition.

Type: int

Allowed values in DeliveryStreamTitleTransferConditionCodeSet:

Code | Name | Description
0 | Transfers | Transfers with risk of loss
1 | DoesNotTransfer | Does not transfer with risk of loss

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamTitleTransferLocation

Specifies the title transfer location.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamToleranceOptionSide

Indicates whether the tolerance is at the seller's or buyer's option.

Type: int

Allowed values in DeliveryStreamToleranceOptionSideCodeSet:

Code | Name | Description
1 | Buyer | Buyer
2 | Seller | Seller

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamToleranceType

Specifies the tolerance value type.

Type: int

Allowed values in DeliveryScheduleToleranceTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamToleranceUnitOfMeasure

Specifies the tolerance value's unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamTotalNegativeTolerance

The negative percent tolerance which applies to the total quantity delivered over all shipment periods.

Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).

Type: Percentage

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamTotalPositiveTolerance

The positive percent tolerance which applies to the total quantity delivered over all shipment periods.

Percentage value is to be expressed relative to "1.0" representing 100% (e.g. a value of "0.0575" represents 5.75%.).

Type: Percentage

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamTransportEquipment

The transportation equipment with which the commodity product will be delivered and received.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamType

Specifies the type of delivery stream.

Type: int

Allowed values in DeliveryStreamTypeCodeSet:

Code | Name | Description
0 | Periodic | Periodic (default if not specified)
1 | Initial | Initial
2 | Single | Single

Used in components: UnderlyingDeliveryStream

UnderlyingDeliveryStreamWithdrawalPoint

The point at which the commodity product will be withdrawn prior to delivery.

Type: String

Used in components: UnderlyingDeliveryStream

UnderlyingDepositoryReceiptIndicator

Indicates whether the underlier is a depository receipt.

Type: Boolean

Used in components: UnderlyingInstrument

UnderlyingDetachmentPoint

See DetachmentPoint(1458).

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingDirtyPrice

Price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest

Type: Price

Used in components: UnderlyingInstrument

UnderlyingDividendAccrualFixedRate

The dividend accrual fixed rate per annum expressed as a decimal.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: UnderlyingDividendConditions

UnderlyingDividendAccrualFloatingRate

The UnderlyingDividendAccrualFloatingRate component is a subcomponent of UnderlyingDividendConditions used to define the dividend accrual floating rate attributes of dividend payment conditions.

Name | Mult. | Type | Description
UnderlyingDividendFloatingRateIndex | [0..1] | String |
UnderlyingDividendFloatingRateIndexCurvePeriod | [0..1] | int | Conditionally required when UnderlyingDividendFloatingRateIndexCurveUnit(42803) is specified.
UnderlyingDividendFloatingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when UnderlyingDividendFloatingRateIndexCurvePeriod(42802) is specified.
UnderlyingDividendFloatingRateMultiplier | [0..1] | float |
UnderlyingDividendFloatingRateSpread | [0..1] | PriceOffset |
UnderlyingDividendFloatingRateSpreadPositionType | [0..1] | CodeSet |
UnderlyingDividendFloatingRateTreatment | [0..1] | CodeSet |
UnderlyingDividendCapRate | [0..1] | Percentage |
UnderlyingDividendCapRateBuySide | [0..1] | CodeSet |
UnderlyingDividendCapRateSellSide | [0..1] | CodeSet |
UnderlyingDividendFloorRate | [0..1] | Percentage |
UnderlyingDividendFloorRateBuySide | [0..1] | CodeSet |
UnderlyingDividendFloorRateSellSide | [0..1] | CodeSet |
UnderlyingDividendInitialRate | [0..1] | Percentage |
UnderlyingDividendFinalRateRoundingDirection | [0..1] | CodeSet |
UnderlyingDividendFinalRatePrecision | [0..1] | int |
UnderlyingDividendAveragingMethod | [0..1] | CodeSet |
UnderlyingDividendNegativeRateTreatment | [0..1] | CodeSet |

Used in components: UnderlyingDividendConditions

UnderlyingDividendAccrualPaymentDateAdjusted

The adjusted accrual payment date.

Type: LocalMktDate

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateBusinessCenter

The business center calendar used for date adjustment of the instrument's dividend accrual payment date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingDividendAccrualPaymentDateBusinessCenterGrp

UnderlyingDividendAccrualPaymentDateBusinessCenterGrp

UnderlyingDividendAccrualPaymentDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingDividendAccrualPaymentDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoUnderlyingDividendAccrualPaymentDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingDividendAccrualPaymentDateBusinessCenter | [0..1] | String | Required if NoUnderlyingDividendAccrualPaymentDateBusinessCenters(42799) > 0.

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateBusinessDayConvention

Accrual payment date adjustment business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDate

The UnderlyingDividendAccrualPaymentDate component is a subcomponent of UnderlyingDividendConditions used to report the dividend accrual payment date.

Name | Mult. | Type | Description
UnderlyingDividendAccrualPaymentDateRelativeTo | [0..1] | int |
UnderlyingDividendAccrualPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingDividendAccrualPaymentDateOffsetUnit(42821) is specified.
UnderlyingDividendAccrualPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingDividendAccrualPaymentDateOffsetPeriod(42820) is specified.
UnderlyingDividendAccrualPaymentDateOffsetDayType | [0..1] | CodeSet |
UnderlyingDividendAccrualPaymentDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingDividendAccrualPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The value would be specific to this instance of UnderlyingDividendAccrualPaymentDate.
UnderlyingDividendAccrualPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The values would be specific to this instance of UnderlyingDividendAccrualPaymentDate.
UnderlyingDividendAccrualPaymentDateAdjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingDividendConditions

UnderlyingDividendAccrualPaymentDateOffsetDayType

Specifies the day type of the relative accrual payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateOffsetPeriod

Time unit multiplier for the relative accrual payment date offset.

Type: int

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateOffsetUnit

Time unit associated with the relative accrual payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateRelativeTo

Specifies the anchor date when the accrual payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccrualPaymentDateUnadjusted

The unadjusted accrual payment date.

Type: LocalMktDate

Used in components: UnderlyingDividendAccrualPaymentDate

UnderlyingDividendAccruedInterest

Accrued interest on the dividend or coupon payment.

Type: Amt

Used in groups: UnderlyingDividendPaymentGrp

UnderlyingDividendAmountType

Indicates how the gross cash dividend amount per share is determined.

Type: int

Allowed values in DividendAmountTypeCodeSet:

Code | Name | Description
0 | RecordAmount | Record amount. 100% of the gross cash dividend per share paid over record date during relevant dividend period.
1 | ExAmount | Ex amount. 100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
2 | PaidAmount | Paid amount. 100% of gross cash dividend per share paid during relevant dividend period.
3 | PerMasterConfirm | As specified in master confirmation. The amount is determined as provided in the relevant master confirmation.

Used in components: UnderlyingDividendConditions

UnderlyingDividendAveragingMethod

When averaging is applicable, used to specify whether a weighted or unweighted average method of calculation is to be used.

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendCapRate

The cap rate, if any, which applies to the floating rate. It is only required where the floating rate is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".

Type: Percentage

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendCashEquivalentPercentage

Declared cash-equivalent dividend percentage. A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: UnderlyingDividendConditions

UnderlyingDividendCashPercentage

Declared cash dividend percentage.

A value of 5% would be represented as "0.05".

Type: Percentage

Used in components: UnderlyingDividendConditions

UnderlyingDividendComposition

Defines how the composition of dividends is to be determined.

Type: int

Allowed values in DividendCompositionCodeSet:

Code | Name | Description
0 | EquityAmountReceiver | Equity amount receiver election. The equity amount receiver determines the composition of dividends (subject to conditions).
1 | CalculationAgent | Calculation agent election. The calculation agent determines the composition of dividends (subject to conditions).

Used in components: UnderlyingDividendConditions

UnderlyingDividendCompoundingMethod

The compounding method to be used when more than one dividend period contributes to a single payment.

Type: int

Allowed values in PaymentStreamCompoundingMethodCodeSet:

Code | Name | Description
0 | None | None
1 | Flat | Flat
2 | Straight | Straight
3 | SpreadExclusive | Spread exclusive

Used in components: UnderlyingDividendConditions

UnderlyingDividendConditions

The UnderlyingDividendConditions component is a subcomponent of UnderlyingPaymentStream used to specify the conditions' valuations and dates governing the payment of dividends.

Name | Mult. | Type | Description
UnderlyingDividendReinvestmentIndicator | [0..1] | Boolean |
UnderlyingDividendEntitlementEvent | [0..1] | CodeSet |
UnderlyingDividendAmountType | [0..1] | CodeSet |
UnderlyingDividendUnderlierRefID | [0..1] | String |
UnderlyingDividendPeriodGrp | [0..*] | Group |
UnderlyingExtraordinaryDividendPartySide | [0..1] | CodeSet |
UnderlyingExtraordinaryDividendAmountType | [0..1] | CodeSet |
UnderlyingExtraordinaryDividendCurrency | [0..1] | Currency |
UnderlyingExtraordinaryDividendDeterminationMethod | [0..1] | String |
UnderlyingDividendFXTriggerDate | [0..1] | Component |
UnderlyingDividendAccrualFloatingRate | [0..1] | Component |
UnderlyingDividendAccrualFixedRate | [0..1] | Percentage |
UnderlyingDividendAccrualPaymentDate | [0..1] | Component |
UnderlyingDividendCompoundingMethod | [0..1] | CodeSet |
UnderlyingDividendNumOfIndexUnits | [0..1] | int |
UnderlyingDividendCashPercentage | [0..1] | Percentage |
UnderlyingDividendCashEquivalentPercentage | [0..1] | Percentage |
UnderlyingNonCashDividendTreatment | [0..1] | CodeSet |
UnderlyingDividendComposition | [0..1] | CodeSet |
UnderlyingSpecialDividendsIndicator | [0..1] | Boolean |
UnderlyingMaterialDividendsIndicator | [0..1] | Boolean |
UnderlyingOptionsExchangeDividendsIndicator | [0..1] | Boolean |
UnderlyingAdditionalDividendsIndicator | [0..1] | Boolean |
UnderlyingAllDividendsIndicator | [0..1] | Boolean |

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingDividendEntitlementEvent

Defines the contract event which the receiver of the derivative is entitled to the dividend.

Type: int

Allowed values in DividendEntitlementEventCodeSet:

Code | Name | Description
0 | ExDate | Ex-date. Dividend entitlement is on the dividend ex-date.
1 | RecordDate | Record date. Dividend entitlement is on the dividend record date.

Used in components: UnderlyingDividendConditions

UnderlyingDividendFinalRatePrecision

Specifies the rounding precision of the final rate in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFinalRateRoundingDirection

Specifies the rounding direction of the final rate.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateIndex

The dividend accrual floating rate index.

Type: String

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateIndexCurvePeriod

Time unit multiplier for the dividend accrual floating rate index curve.

Type: int

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateIndexCurveUnit

Time unit associated with the dividend accrual floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the contract.

Type: float

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateSpread

The basis points spread from the index specified in UnderlyingDividendFloatingRateIndex(42801).

Type: PriceOffset

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloatingRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendFXTriggerDateAdjusted

The adjusted FX trigger date.

Type: LocalMktDate

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateBusinessCenter

The business center calendar used for date adjustment of the instrument's FX trigger date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingDividendFXTriggerDateBusinessCenterGrp

UnderlyingDividendFXTriggerDateBusinessCenterGrp

UnderlyingDividendFXTriggerDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingDividendFXTriggerDate component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoUnderlyingDividendFXTriggerDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingDividendFXTriggerDateBusinessCenter | [0..1] | String | Required if NoUnderlyingDividendFXTriggerDateBusinessCenters(42853) > 0.

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateBusinessDayConvention

The business day convention used for the FX trigger date adjustment.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDate

The UnderlyingDividendFXTriggerDate component is a subcomponent of UnderlyingDividendConditions used to report the dividend date when a foreign exchange trade is triggered.

Name | Mult. | Type | Description
UnderlyingDividendFXTriggerDateRelativeTo | [0..1] | int |
UnderlyingDividendFXTriggerDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingDividendFXTriggerDateOffsetUnit(42848) is specified.
UnderlyingDividendFXTriggerDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingDividendFXTriggerDateOffsetPeriod(42847) is specified.
UnderlyingDividendFXTriggerDateOffsetDayType | [0..1] | CodeSet |
UnderlyingDividendFXTriggerDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingDividendFXTriggerDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The value would be specific to this instance of UnderlyingDividendFXTriggerDate.
UnderlyingDividendFXTriggerDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The values would be specific to this instance of UnderlyingDividendFXTriggerDate.
UnderlyingDividendFXTriggerDateAdjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingDividendConditions

UnderlyingDividendFXTriggerDateOffsetDayType

Specifies the day type of the relative FX trigger date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateOffsetPeriod

Time unit multiplier for the relative FX trigger date offset.

Type: int

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateOffsetUnit

Time unit associated with the relative FX trigger date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateRelativeTo

Specifies the anchor date when the FX trigger date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendFXTriggerDateUnadjusted

The unadjusted FX trigger date.

Type: LocalMktDate

Used in components: UnderlyingDividendFXTriggerDate

UnderlyingDividendInitialRate

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendNegativeRateTreatment

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: UnderlyingDividendAccrualFloatingRate

UnderlyingDividendNumOfIndexUnits

The number of index units applicable to dividends.

Type: int

Used in components: UnderlyingDividendConditions

UnderlyingDividendPaymentAmount

The amount of the dividend or coupon payment.

Type: Amt

Used in groups: UnderlyingDividendPaymentGrp

UnderlyingDividendPaymentCurrency

Specifies the currency the UnderlyingDividendPaymentAmount(42857) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingDividendPaymentGrp

UnderlyingDividendPaymentDate

Specifies the date that the dividend or coupon payment is due.

Type: LocalMktDate

Used in groups: UnderlyingDividendPaymentGrp

UnderlyingDividendPaymentGrp

UnderlyingDividendPaymentGrp is a repeating subcomponent of UnderlyingDividendPayout used to specify the anticipated dividend or coupon payment dates and amounts of an equity or bond underlier.

Name | Mult. | Type | Description
NoUnderlyingDividendPayments | [1..1] | NumInGroup |
UnderlyingDividendPaymentDate | [0..1] | LocalMktDate | Required if NoUnderlyingDividendPayments (42855) > 0.
UnderlyingDividendPaymentAmount | [0..1] | Amt | Required if NoUnderlyingDividendPayments (42855) > 0.
UnderlyingDividendPaymentCurrency | [0..1] | Currency |
UnderlyingDividendAccruedInterest | [0..1] | Amt |

Used in components: UnderlyingDividendPayout

UnderlyingDividendPayout

UnderlyingDividendPayout is a subcomponent of UnderlyingInstrument used to specify the dividend or coupon payout parameters of an equity or bond underlier.

Name | Mult. | Type | Description
UnderlyingDividendPayoutRatio | [0..1] | float |
UnderlyingDividendPayoutConditions | [0..1] | String |
UnderlyingDividendPaymentGrp | [0..*] | Group |

Used in components: UnderlyingInstrument

UnderlyingDividendPayoutConditions

Specifies the dividend payout conditions that will be applied in the case where the actual ratio is not known, typically because of regulatory or legal uncertainties.

Type: String

Used in components: UnderlyingDividendPayout

UnderlyingDividendPayoutRatio

Specifies the actual dividend payout ratio associated with the equity or bond underlier.

Type: float

Used in components: UnderlyingDividendPayout

UnderlyingDividendPeriodBusinessCenter

The business center calendar used for date adjustment of the instrument's dividend period date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingDividendPeriodBusinessCenterGrp

UnderlyingDividendPeriodBusinessCenterGrp

UnderlyingDividendPeriodBusinessCenterGrp is a repeating subcomponent within the UnderlyingDividendPeriodGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment.

Name | Mult. | Type | Description
NoUnderlyingDividendPeriodBusinessCenters | [1..1] | NumInGroup |
UnderlyingDividendPeriodBusinessCenter | [0..1] | String | Required if NoUnderlyingDividendPeriodBusinessCenters(42882) > 0.

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodBusinessDayConvention

The dividend period dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodEndDateUnadjusted

The unadjusted date on which the dividend period will end.

Type: LocalMktDate

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodGrp is a repeating subcomponent within the UnderlyingDividendConditions component. It is used to specify the valuation and payments dates of the dividend leg of a dividend swap.

Name | Mult. | Type | Description
NoUnderlyingDividendPeriods | [1..1] | NumInGroup |
UnderlyingDividendPeriodSequence | [0..1] | int | Required if NoUnderlyingDividendPeriods(42862) > 0.
UnderlyingDividendPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingDividendPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingDividendPeriodUnderlierRefID | [0..1] | String | When specified, this overrides UnderlyingDividendUnderlierRefID(42829). The specified value would be specific to this dividend period instance.
UnderlyingDividendPeriodStrikePrice | [0..1] | Price |
UnderlyingDividendPeriodBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this dividend period instance.
UnderlyingDividendPeriodBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this dividend period instance.
UnderlyingDividendPeriodValuationDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingDividendPeriodValuationDateRelativeTo | [0..1] | int |
UnderlyingDividendPeriodValuationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingDividendPeriodValuationDateOffsetUnit(42872) is specified.
UnderlyingDividendPeriodValuationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingDividendPeriodValuationDateOffsetPeriod(42871) is specified.
UnderlyingDividendPeriodValuationDateOffsetDayType | [0..1] | CodeSet |
UnderlyingDividendPeriodValuationDateAdjusted | [0..1] | LocalMktDate |
UnderlyingDividendPeriodPaymentDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingDividendPeriodPaymentDateRelativeTo | [0..1] | int |
UnderlyingDividendPeriodPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingDividendPeriodPaymentDateOffsetUnit(42878) is specified.
UnderlyingDividendPeriodPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingDividendPeriodPaymentDateOffsetPeriod(42877) is specified.
UnderlyingDividendPeriodPaymentDateOffsetDayType | [0..1] | CodeSet |
UnderlyingDividendPeriodPaymentDateAdjusted | [0..1] | LocalMktDate |
UnderlyingDividendPeriodXID | [0..1] | XID |

Used in components: UnderlyingDividendConditions

UnderlyingDividendPeriodPaymentDateAdjusted

The adjusted dividend period payment date.

Type: LocalMktDate

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodPaymentDateOffsetDayType

Specifies the day type of the relative dividend period payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodPaymentDateOffsetPeriod

Time unit multiplier for the relative dividend period payment date offset.

Type: int

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodPaymentDateOffsetUnit

Time unit associated with the relative dividend period payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodPaymentDateRelativeTo

Specifies the anchor date when the dividend period payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodPaymentDateUnadjusted

The unadjusted dividend period payment date.

Type: LocalMktDate

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodSequence

Defines the ordinal dividend period. E.g. 1 = First period, 2 = Second period, etc.

Type: int

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodStartDateUnadjusted

The unadjusted date on which the dividend period will begin.

Type: LocalMktDate

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodStrikePrice

Specifies the fixed strike price of the dividend period.

Type: Price

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodValuationDateAdjusted

The adjusted dividend period valuation date.

Type: LocalMktDate

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodValuationDateOffsetDayType

Specifies the day type of the relative dividend period valuation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodValuationDateOffsetPeriod

Time unit multiplier for the relative dividend period valuation date offset.

Type: int

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodValuationDateOffsetUnit

Time unit associated with the relative dividend period valuation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodValuationDateRelativeTo

Specifies the anchor date when the dividend period valuation date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodValuationDateUnadjusted

The unadjusted dividend period valuation date.

Type: LocalMktDate

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendPeriodXID

Identifier for linking this stream dividend period to an underlier through an instance of RelatedInstrumentGrp.

Type: XID

Used in groups: UnderlyingDividendPeriodGrp

UnderlyingDividendReinvestmentIndicator

Indicates whether the dividend will be reinvested.

Type: Boolean

Used in components: UnderlyingDividendConditions

UnderlyingDividendUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in a separate instance of the UnderlyingInstrument component.

Type: String

Used in components: UnderlyingDividendConditions

UnderlyingEndPrice

Price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.

Type: Price

Used in components: UnderlyingInstrument

UnderlyingEndValue

Currency value attributed to this collateral at the end of the agreement

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingEquityID

Specifies the equity in which a convertible bond can be converted.

Type: String

Used in components: UnderlyingInstrument

UnderlyingEquityIDSource

Identifies the source of the UnderlyingEquityID(1996).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingEventDate

The date of the event.

Type: LocalMktDate

Used in groups: UnderlyingEvntGrp

UnderlyingEventMonthYear

Used with derivatives when an event is express as a month-year with optional day or month or week of month.

Format:

YYYYMM (e.g. 199903)

YYYYMMDD (e.g. 20030323)

YYYYMMwN (e.g. 200303w2) for week

A specific date can be appended to the month-year. For instance, if multiple event types exist in the same Year and Month, but actually at a different time, a value can be appended, such as "w" or "w2" to indicate week. Likewise, the day of monty (0-31) can be appended to indicate a specific event date.

Type: MonthYear

Used in groups: UnderlyingEvntGrp

UnderlyingEventPx

Predetermined price of issue at event, if applicable.

Type: Price

Used in groups: UnderlyingEvntGrp

UnderlyingEventText

Free form text to specify comments related to the event.

Type: String

Used in groups: UnderlyingEvntGrp

UnderlyingEventTime

The time of the event. To be used in combination with UnderlyingEventDate(1983).

Type: UTCTimestamp

Used in groups: UnderlyingEvntGrp

UnderlyingEventTimePeriod

Time unit multiplier for the event.

Type: int

Used in groups: UnderlyingEvntGrp

UnderlyingEventTimeUnit

Time unit associated with the event.

Type: String

Used in groups: UnderlyingEvntGrp

UnderlyingEventType

Code to represent the type of event.

Type: int

Allowed values in EventTypeCodeSet:

Code
Name
Description

1
Put
Put

2
Call
Call

3
Tender
Tender

4
SinkingFundCall
Sinking fund call

5
Activation
Activation

6
Inactiviation
Inactivation

7
LastEligibleTradeDate
Last eligible trade date

8
SwapStartDate
Swap start date

9
SwapEndDate
Swap end date

10
SwapRollDate
Swap roll date

11
SwapNextStartDate
Swap next start date

12
SwapNextRollDate
Swap next roll date

13
FirstDeliveryDate
First delivery date

14
LastDeliveryDate
Last delivery date

15
InitialInventoryDueDate
Initial inventory due date

16
FinalInventoryDueDate
Final inventory due date

17
FirstIntentDate
First intent date

18
LastIntentDate
Last intent date

19
PositionRemovalDate
Position removal date

20
MinimumNotice
Minimum notice

21
DeliveryStartTime
Delivery start time

22
DeliveryEndTime
Delivery end time

23
FirstNoticeDate
First notice date. The first day that a notice of intent to deliver a commodity can be made by a clearing house to a buyer in fulfillment of a given month's futures contract.

24
LastNoticeDate
Last notice date. The last day on which a clearing house may inform an investor that a seller intends to make delivery of a commodity that the investor previously bought in a futures contract. The date is governed by the rules of different exchanges and clearing houses, but may also be stated in the futures contract itself.

25
FirstExerciseDate
First exercise date

26
RedemptionDate
Redemption date

27
TrdCntntnEfctvDt
Trade continuation effective date

99
Other
Other

Used in groups: UnderlyingEvntGrp

UnderlyingEvntGrp

The UnderlyingEvntGrp is a repeating subcomponent of the UnderlyingInstrument component used to specify straightforward events associated with the instrument. Examples include put and call dates for bonds and options; first exercise date for options; inventory and delivery dates for commodities; start, end and roll dates for swaps. Use UnderlyingComplexEvents for more advanced dates such as option, futures, commodities and equity swap observation and pricing events.

Name | Mult. | Type | Description
NoUnderlyingEvents | [1..1] | NumInGroup |
UnderlyingEventType | [0..1] | CodeSet | Required if NoUnderlyingEvents(1982) > 0.
UnderlyingEventDate | [0..1] | LocalMktDate | Conditionally required when UnderlyingEventTime(1984) is specified.
UnderlyingEventTime | [0..1] | UTCTimestamp |
UnderlyingEventTimeUnit | [0..1] | String | Conditionally required when UnderlyingEventTimePeriod(1986) is specified.
UnderlyingEventTimePeriod | [0..1] | int | Conditionally required when UnderlyingEventTimeUnit(1985) is specified.
UnderlyingEventMonthYear | [0..1] | MonthYear |
UnderlyingEventPx | [0..1] | Price |
UnderlyingEventText | [0..1] | String |
EncodedUnderlyingEventTextLen | [0..1] | Length | Must be set if EncodedUnderlyingEventText(2073) field is specified and must immediately precede it.
EncodedUnderlyingEventText | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingEventText(2071) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: UnderlyingInstrument

UnderlyingExchangeLookAlike

For a share option trade, indicates whether the instrument is to be treated as an 'exchange look-alike'.

Type: Boolean

Used in components: UnderlyingInstrument

UnderlyingExerciseConfirmationMethod

Indicates whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.

Type: int

Allowed values in ExerciseConfirmationMethodCodeSet:

Code | Name | Description
0 | NotRequired | Not required
1 | NonElectronic | Non-electronic
2 | Electronic | Electronic
3 | Unknown | Unknown at time of report

Used in components: UnderlyingOptionExercise

UnderlyingExerciseDesc

A description of the option exercise.

Type: String

Used in components: UnderlyingOptionExercise

UnderlyingExerciseSplitTicketIndicator

Indicates in physical settlement of bond and convertible bond options whether the party required to deliver the bonds will divide those to be delivered as notifying party desires to facilitate delivery obligations.

Type: Boolean

Used in components: UnderlyingOptionExercise

UnderlyingExerciseStyle

Type of exercise of a derivatives security

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in components: UnderlyingInstrument

UnderlyingExtraordinaryDividendAmountType

Indicates how the extraordinary gross cash dividend per share is determined.

Type: int

Allowed values in DividendAmountTypeCodeSet:

Code | Name | Description
0 | RecordAmount | Record amount. 100% of the gross cash dividend per share paid over record date during relevant dividend period.
1 | ExAmount | Ex amount. 100% of gross cash dividend per share paid after the ex-dividend date during relevant dividend period.
2 | PaidAmount | Paid amount. 100% of gross cash dividend per share paid during relevant dividend period.
3 | PerMasterConfirm | As specified in master confirmation. The amount is determined as provided in the relevant master confirmation.

Used in components: UnderlyingDividendConditions

UnderlyingExtraordinaryDividendCurrency

The currency in which the excess dividend is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingDividendConditions

UnderlyingExtraordinaryDividendDeterminationMethod

Specifies the method in which the excess amount is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: UnderlyingDividendConditions

UnderlyingExtraordinaryDividendPartySide

Reference to the party through its side in the trade who makes the determination whether dividends are extraordinary in relation to normal levels.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingDividendConditions

UnderlyingExtraordinaryEventAdjustmentMethod

Defines how adjustments will be made to the contract should one or more of the extraordinary events occur.

Type: int

Allowed values in ExtraordinaryEventAdjustmentMethodCodeSet:

Code | Name | Description
0 | CalculationAgent | Calculation agent. The Calculation Agent has the right to adjust the terms of the trade following a corporate action.
1 | OptionsExchange | Options exchange. The trade will be adjusted in accordance with any adjustment made by the exchange on which options on the underlying are listed.

Used in components: UnderlyingInstrument

UnderlyingExtraordinaryEventGrp

The UnderlyingExtraordinaryEventGrp is a repeating component within the UnderlyingInstrument component. It is used to report extraordinary and disruptive events applicable to the reference entity that affects the contract.

Name | Mult. | Type | Description
NoUnderlyingExtraordinaryEvents | [1..1] | NumInGroup |
UnderlyingExtraordinaryEventType | [0..1] | String | Required if NoUnderlyingExtraordinaryEvents(42884) > 0.
UnderlyingExtraordinaryEventValue | [0..1] | String | Required if NoUnderlyingExtraordinaryEvents(42884) > 0.

Used in components: UnderlyingInstrument

UnderlyingExtraordinaryEventType

Identifies the type of extraordinary or disruptive event applicable to UnderlyingExtraordinaryEventType(42885).

See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.

Type: String

Used in groups: UnderlyingExtraordinaryEventGrp

UnderlyingExtraordinaryEventValue

The extraordinary or disruptive event value appropriate to UnderlyingExtraordinaryEventType(42885).

See http://www.fixtradingcommunity.org/codelists#Extraordinary_Event_Type for code list of extraordinary event types and values.

Type: String

Used in groups: UnderlyingExtraordinaryEventGrp

UnderlyingFactor

Underlying security's Factor.

See Factor (228) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: float

Used in components: UnderlyingInstrument

UnderlyingFallbackExerciseIndicator

Indicates whether the notional amount of the underlying swap, not previously exercised under the option, will be automatically exercised at the expiration time on the expiration date if at such time the buyer is in-the-money, provided that the difference between the settlement rate and the fixed rate under the relevant underlying swap is not less than one tenth of a percentage point (0.10% or 0.001).

Type: Boolean

Used in components: UnderlyingOptionExercise

UnderlyingFinancialInstrumentFullName

The full normative name of the underlying financial instrument.

Type: String

Used in components: UnderlyingInstrument

UnderlyingFinancialInstrumentShortName

Short name of the financial instrument. Uses ISO 18774 (FINS) values.

Type: String

Used in components: UnderlyingInstrument

UnderlyingFlexibleIndicator

Used to indicate if a security has been defined as flexible according to "non-standard" means. Analog to CFICode Standard/Non-standard indicator.

Type: Boolean

Used in components: UnderlyingInstrument

UnderlyingFlexProductEligibilityIndicator

Used to indicate if a product or group of product supports the creation of flexible securities.

Type: Boolean

Used in components: UnderlyingInstrument

UnderlyingFloorPrice

Used to express the floor price of a capped put.

Type: Price

Used in components: UnderlyingInstrument

UnderlyingFlowScheduleType

The industry standard flow schedule by which electricity or natural gas is traded. Schedules exist by regions and on-peak and off-peak status, such as "Western Peak".

Type: int

Allowed values in FlowScheduleTypeCodeSet:

Code | Name | Description
0 | NERCEasternOffPeak | NERC Eastern Off-Peak
1 | NERCWesternOffPeak | NERC Western Off-Peak
2 | NERCCalendarAllDaysInMonth | NERC Calendar-All Days in month
3 | NERCEasternPeak | NERC Eastern Peak
4 | NERCWesternPeak | NERC Western Peak
5 | AllTimes | All times
6 | OnPeak | On peak
7 | OffPeak | Off peak
8 | Base | Base
9 | Block | Block
99 | Other | Other

Used in components: UnderlyingInstrument

UnderlyingFutureID

In the case of an index underlier specifies the unique identifier for the referenced futures contract.

Type: String

Used in components: UnderlyingInstrument

UnderlyingFutureIDSource

Identifies the source of the UnderlyingFutureID(2620).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingFXRate

Foreign exchange rate used to compute UnderlyingCurrentValue(885) (or market value) from UnderlyingCurrency(318) to Currency(15).

Type: float

Used in components: UnderlyingInstrument

UnderlyingFXRateCalc

Specifies whether the UnderlyingFxRate(1045) should be multiplied or divided.

Type: char

Allowed values in UnderlyingFXRateCalcCodeSet:

Code | Name | Description
D | Divide | Divide
M | Multiply | Multiply

Used in components: UnderlyingInstrument

UnderlyingID

Unique identifier for the underlying instrument within the context of a message.

Type: String

Used in components: UnderlyingInstrument

UnderlyingIndexAnnexDate

The date of a credit default swap index series annex.

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingIndexAnnexSource

The source of a credit default swap index series annex.

Type: String

Used in components: UnderlyingInstrument

UnderlyingIndexAnnexVersion

The version identifier of a credit default swap index annex.

Type: int

Used in components: UnderlyingInstrument

UnderlyingIndexCurvePeriod

Curve time multiplier for the underlying index.

Type: int

Used in components: UnderlyingInstrument

UnderlyingIndexCurveUnit

Curve time unit associated with the underlying index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingInstrument

UnderlyingIndexSeries

The series identifier of a credit default swap index.

Type: int

Used in components: UnderlyingInstrument

UnderlyingInstrRegistry

Underlying security's InstrRegistry.

See InstrRegistry (543) field for description

Type: String

Used in components: UnderlyingInstrument

UnderlyingInstrument

The UnderlyingInstrument component block, like the Instrument component block, contains all the fields commonly used to describe a security or instrument. In the case of the UnderlyingInstrument component block it describes an instrument which underlies the primary instrument Refer to the Instrument component block comments as this component block mirrors Instrument, except for the noted fields.

Name
Mult.
Type
Description

UnderlyingSymbol
[0..1]
String
Common, "human understood" representation of the security. SecurityID value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles). Use "[N/A]" for products which do not have a symbol. Required if the UnderlyingInstrument component is marked as required where the component is used.

UnderlyingSymbolSfx
[0..1]
CodeSet

UnderlyingSecurityID
[0..1]
String

UnderlyingSecurityIDSource
[0..1]
CodeSet

UndSecAltIDGrp
[0..*]
Group

UnderlyingID
[0..1]
String
Used for unique identification of the underlying instance that can subsequently be used to serve as input value for fields such as UnderlyingRefID(2841), for example, whenever a simple underlying reference is allowed or needed.

UnderlyingProduct
[0..1]
CodeSet

UnderlyingSecurityXML
[0..1]
Component
Embedded XML document describing the underlying instrument.

UnderlyingCFICode
[0..1]
String

UnderlyingUPICode
[0..1]
String

UnderlyingSecurityType
[0..1]
CodeSet

UnderlyingSecuritySubType
[0..1]
String

UnderlyingMaturityMonthYear
[0..1]
MonthYear

UnderlyingMaturityDate
[0..1]
LocalMktDate

UnderlyingMaturityTime
[0..1]
TZTimeOnly

UnderlyingMaturityFrequencyUnit
[0..1]
CodeSet
Conditionally required when UnderlyingMaturityFrequencyPeriod(2985) is specified.

UnderlyingMaturityFrequencyPeriod
[0..1]
int
Conditionally required when UnderlyingMaturityFrequencyUnit(2984) is specified and the value is not EOM (End of Month) or F (Flexible).

UnderlyingContractPriceRefMonth
[0..1]
MonthYear

UnderlyingCouponPaymentDate
[0..1]
LocalMktDate

UnderlyingRestructuringType
[0..1]
CodeSet

UnderlyingSeniority
[0..1]
CodeSet

UnderlyingNotional
[0..1]
Amt

UnderlyingNotionalCurrency
[0..1]
Currency

UnderlyingNotionalCurrencyCodeSource
[0..1]
CodeSet

UnderlyingNotionalDeterminationMethod
[0..1]
String

UnderlyingNotionalAdjustments
[0..1]
CodeSet

UnderlyingNotionalXIDRef
[0..1]
XIDREF

UnderlyingNotionalPercentageOutstanding
[0..1]
Percentage

UnderlyingOriginalNotionalPercentageOutstanding
[0..1]
Percentage

UnderlyingAttachmentPoint
[0..1]
Percentage

UnderlyingDetachmentPoint
[0..1]
Percentage

UnderlyingIssueDate
[0..1]
LocalMktDate

UnderlyingRepoCollateralSecurityType
[0..1]
String

UnderlyingRepurchaseTerm
[0..1]
int

UnderlyingRepurchaseRate
[0..1]
Percentage

UnderlyingFactor
[0..1]
float

UnderlyingCreditRating
[0..1]
String

UnderlyingInstrRegistry
[0..1]
String

UnderlyingCountryOfIssue
[0..1]
Country

UnderlyingStateOrProvinceOfIssue
[0..1]
String

UnderlyingLocaleOfIssue
[0..1]
String

UnderlyingRedemptionDate
[0..1]
LocalMktDate

UnderlyingStrikePrice
[0..1]
Price

UnderlyingStrikeCurrency
[0..1]
Currency

UnderlyingStrikeCurrencyCodeSource
[0..1]
CodeSet

UnderlyingOptAttribute
[0..1]
char

UnderlyingContractMultiplier
[0..1]
float

UnderlyingContractMultiplierUnit
[0..1]
CodeSet

UnderlyingTradingUnitPeriodMultiplier
[0..1]
int

UnderlyingFlowScheduleType
[0..1]
CodeSet

UnderlyingUnitOfMeasure
[0..1]
CodeSet

UnderlyingUnitOfMeasureQty
[0..1]
Qty

UnderlyingUnitOfMeasureCurrency
[0..1]
Currency

UnderlyingUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

UnderlyingPriceUnitOfMeasure
[0..1]
CodeSet

UnderlyingPriceUnitOfMeasureQty
[0..1]
Qty

UnderlyingPriceUnitOfMeasureCurrency
[0..1]
Currency

UnderlyingPriceUnitOfMeasureCurrencyCodeSource
[0..1]
CodeSet

UnderlyingTimeUnit
[0..1]
CodeSet
Used to indicate a time unit for the contract (e.g., days, weeks, months, etc.)

UnderlyingExerciseStyle
[0..1]
CodeSet

UnderlyingPriceQuoteCurrency
[0..1]
Currency

UnderlyingPriceQuoteCurrencyCodeSource
[0..1]
CodeSet

UnderlyingCouponRate
[0..1]
Percentage

UnderlyingSecurityExchange
[0..1]
Exchange

UnderlyingIssuer
[0..1]
String

EncodedUnderlyingIssuerLen
[0..1]
Length
Must be set if UnderlyingEncodedIssuer(363) field is specified and must immediately precede it.

EncodedUnderlyingIssuer
[0..1]
data
Encoded (non-ASCII characters) representation of the UnderlyingIssuer(363) field in the encoded format specified via the MessageEncoding(347) field.

UnderlyingFinancialInstrumentShortName
[0..1]
String

UnderlyingFinancialInstrumentFullName
[0..1]
String

EncodedUnderlyingFinancialInstrumentFullNameLen
[0..1]
Length
Must be set if EncodedUnderlyingFinancialInstrumentFullName(2722) field is specified and must immediately precede it.

EncodedUnderlyingFinancialInstrumentFullName
[0..1]
data
Encoded (non-ASCII characters) representation of the UnderlyingFinancialInstrumentFullName(2720) field in the encoded format specified via the MessageEncoding(347) field.

UnderlyingIndexCurveUnit
[0..1]
CodeSet
Requires UnderlyingSecurityID(305) to identify the index. Requires UnderlyingIndexCurvePeriod(2724).

UnderlyingIndexCurvePeriod
[0..1]
int
Requires UnderlyingSecurityID(305) to identify the index. Requires UnderlyingIndexCurveUnit(2723).

UnderlyingSecurityDesc
[0..1]
String

EncodedUnderlyingSecurityDescLen
[0..1]
Length
Must be set if UnderlyingEncodedSecurityDesc(307) field is specified and must immediately precede it.

EncodedUnderlyingSecurityDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the UnderlyingSecurityDesc(307) field in the encoded format specified via the MessageEncoding(347) field.

UnderlyingCPProgram
[0..1]
CodeSet

UnderlyingCPRegType
[0..1]
String

UnderlyingAllocationPercent
[0..1]
Percentage
Specific to the < UnderlyingInstrument > Percent of the Strike Price that this underlying represents. Necessary for derivatives that deliver into more than one underlying instrument.

UnderlyingCurrency
[0..1]
Currency
Specific to the <UnderlyingInstrument> (not in <Instrument>)

UnderlyingCurrencyCodeSource
[0..1]
CodeSet

UnderlyingQty
[0..1]
Qty
Specific to the <UnderlyingInstrument> (not in <Instrument>). Unit amount of the underlying security (par, shares, currency, etc.)

UnderlyingSettlementType
[0..1]
CodeSet
Specific to the < UnderlyingInstrument > Indicates order settlement period for the underlying deliverable component.

UnderlyingCashAmount
[0..1]
Amt
Specific to the < UnderlyingInstrument > Cash amount associated with the underlying component. Necessary for derivatives that deliver into more than one underlying instrument and one of the underlying's is a fixed cash value.

UnderlyingCashType
[0..1]
CodeSet
Specific to the < UnderlyingInstrument > Used for derivatives that deliver into cash underlying. Indicates that the cash is either fixed or difference value (difference between strike and current underlying price)

UnderlyingPx
[0..1]
Price
Specific to the <UnderlyingInstrument> (not in <Instrument>). In a financing deal clean price (percent-of-par or per unit) of the underlying security or basket.

UnderlyingDirtyPrice
[0..1]
Price
Specific to the <UnderlyingInstrument> (not in <Instrument>). In a financing deal price (percent-of-par or per unit) of the underlying security or basket. "Dirty" means it includes accrued interest

UnderlyingEndPrice
[0..1]
Price
Specific to the <UnderlyingInstrument> (not in <Instrument>). In a financing deal price (percent-of-par or per unit) of the underlying security or basket at the end of the agreement.

UnderlyingStartValue
[0..1]
Amt
Specific to the <UnderlyingInstrument> (not in <Instrument>). Currency value attributed to this collateral at the start of the agreement

UnderlyingCurrentValue
[0..1]
Amt
Specific to the <UnderlyingInstrument> (not in <Instrument>). Currency value currently attributed to this collateral

UnderlyingEndValue
[0..1]
Amt
Specific to the <UnderlyingInstrument> (not in <Instrument>). Currency value attributed to this collateral at the end of the agreement

UnderlyingAccruedInterestAmt
[0..1]
Amt

UnderlyingNumDaysInterest
[0..1]
int

UnderlyingStipulations
[0..*]
Group
Specific to the <UnderlyingInstrument> (not in <Instrument>). Insert here the contents of the <UnderlyingStipulations> Component Block

UnderlyingAdjustedQuantity
[0..1]
Qty
Specific to the <UnderlyingInstrument> (not in <Instrument>). For listed derivatives margin management, this is the number of shares adjusted for upcoming corporate action. Used only for securities which are optionable and are between ex-date and settlement date (4 days).

UnderlyingFXRate
[0..1]
float
Specific to the <UnderlyingInstrument> (not in <Instrument>). Foreign exchange rate used to compute UnderlyingCurrentValue (885) (or market value) from UnderlyingCurrency (318) to Currency (15).

UnderlyingFXRateCalc
[0..1]
CodeSet
Specific to the <UnderlyingInstrument> (not in <Instrument>). Specified whether UnderlyingFxRate (1045) should be multiplied or divided to derive UnderlyingCurrentValue (885).

UnderlyingCapValue
[0..1]
Amt

UndlyInstrumentParties
[0..*]
Group

UnderlyingSettlMethod
[0..1]
CodeSet

UnderlyingPutOrCall
[0..1]
CodeSet
Used to express option right

UnderlyingInTheMoneyCondition
[0..1]
CodeSet
Used to express in-the-moneyness behavior in general terms for the option without the use of UnderlyingStrikePrice(316) and UnderlyingPutOrCall(315).

UnderlyingContraryInstructionEligibilityIndicator
[0..1]
Boolean

UnderlyingConstituentWeight
[0..1]
float

UnderlyingCouponType
[0..1]
CodeSet

UnderlyingTotalIssuedAmount
[0..1]
Amt

UnderlyingCouponFrequencyPeriod
[0..1]
int
Conditionally required when UnderlyingCouponFrequencyUnit(1992) is specified.

UnderlyingCouponFrequencyUnit
[0..1]
CodeSet
Conditionally required when UnderlyingCouponFrequencyPeriod(1991) is specified.

UnderlyingCouponDayCount
[0..1]
CodeSet

UnderlyingCouponOtherDayCount
[0..1]
String

UnderlyingObligationID
[0..1]
String

UnderlyingObligationIDSource
[0..1]
CodeSet
Conditionally required when UnderlyingObligationID(1994) is specified.

UnderlyingEquityID
[0..1]
String

UnderlyingEquityIDSource
[0..1]
CodeSet
Conditionally required when UnderlyingEquityID(1996) is specified.

UnderlyingFutureID
[0..1]
String

UnderlyingFutureIDSource
[0..1]
CodeSet
Required if UnderlyingFutureID(2620) is specified.

UnderlyingEvntGrp
[0..*]
Group

UnderlyingLienSeniority
[0..1]
CodeSet

UnderlyingLoanFacility
[0..1]
CodeSet

UnderlyingReferenceEntityType
[0..1]
CodeSet

UnderlyingIndexSeries
[0..1]
int

UnderlyingIndexAnnexVersion
[0..1]
int

UnderlyingIndexAnnexDate
[0..1]
LocalMktDate

UnderlyingIndexAnnexSource
[0..1]
String

UnderlyingSettlRateIndex
[0..1]
String

UnderlyingSettlRateIndexLocation
[0..1]
String

UnderlyingOptionExpirationDesc
[0..1]
String

EncodedUnderlyingOptionExpirationDescLen
[0..1]
Length
Must be set if EncodedUnderlyingOptionExpirationDesc(2288) field is specified and must immediately precede it.

EncodedUnderlyingOptionExpirationDesc
[0..1]
data
Encoded (non-ASCII characters) representation of the UnderlyingOptionExpirationDesc(2286) field in the encoded format specified via the MessageEncoding(347) field.

UnderlyingProductComplex
[0..1]
String

UnderlyingSecurityGroup
[0..1]
String

UnderlyingSettleOnOpenFlag
[0..1]
String

UnderlyingAssignmentMethod
[0..1]
CodeSet

UnderlyingSecurityStatus
[0..1]
CodeSet

UnderlyingObligationType
[0..1]
CodeSet

UnderlyingAssetGroup
[0..1]
CodeSet

UnderlyingAssetClass
[0..1]
CodeSet
Required if UnderlyingAssetSubClass(2014) is specified.

UnderlyingAssetSubClass
[0..1]
CodeSet
Required if UnderlyingAssetType(2015) is specified.

UnderlyingAssetType
[0..1]
String
Required if UnderlyingAssetSubType(2744) is specified.

UnderlyingAssetSubType
[0..1]
String

UnderlyingSecondaryAssetGrp
[0..*]
Group

UnderlyingAssetAttributeGrp
[0..*]
Group

UnderlyingSwapClass
[0..1]
CodeSet

UnderlyingSwapSubClass
[0..1]
CodeSet

UnderlyingNthToDefault
[0..1]
int
Conditionally required when UnderlyingMthToDefault(2018) is specified.

UnderlyingMthToDefault
[0..1]
int

UnderlyingSettledEntityMatrixSource
[0..1]
String

UnderlyingSettledEntityMatrixPublicationDate
[0..1]
LocalMktDate

UnderlyingStrikeMultiplier
[0..1]
float

UnderlyingStrikeValue
[0..1]
float

UnderlyingStrikeUnitOfMeasure
[0..1]
CodeSet

UnderlyingStrikeIndexCurvePoint
[0..1]
String

UnderlyingStrikeIndex
[0..1]
String

UnderlyingStrikeIndexQuote
[0..1]
CodeSet

UnderlyingStrikeIndexSpread
[0..1]
PriceOffset

UnderlyingStrikePriceDeterminationMethod
[0..1]
CodeSet

UnderlyingStrikePriceBoundaryMethod
[0..1]
CodeSet
When specified, UnderlyingPutOrCall(315), UnderlyingStrikePrice(316), and UnderlyingStrikePriceBoundaryPrecision(2025) must also be specified.

UnderlyingStrikePriceBoundaryPrecision
[0..1]
Percentage

UnderlyingMinPriceIncrement
[0..1]
float

UnderlyingMinPriceIncrementAmount
[0..1]
Amt

UnderlyingOptPayoutType
[0..1]
CodeSet

UnderlyingOptPayoutAmount
[0..1]
Amt
Conditionally required if UnderlyingOptPayoutType(2028) = 3 (Binary).

UnderlyingReturnTrigger
[0..1]
CodeSet

UnderlyingPriceQuoteMethod
[0..1]
CodeSet

UnderlyingValuationMethod
[0..1]
CodeSet

UnderlyingValuationSource
[0..1]
String

UnderlyingValuationReferenceModel
[0..1]
String

UnderlyingListMethod
[0..1]
CodeSet

UnderlyingCapPrice
[0..1]
Price

UnderlyingFloorPrice
[0..1]
Price

UnderlyingFlexibleIndicator
[0..1]
Boolean

UnderlyingFlexProductEligibilityIndicator
[0..1]
Boolean

UnderlyingPositionLimit
[0..1]
int

UnderlyingNTPositionLimit
[0..1]
int

UnderlyingPool
[0..1]
String

UnderlyingContractSettlMonth
[0..1]
MonthYear

UnderlyingDatedDate
[0..1]
LocalMktDate

UnderlyingInterestAccrualDate
[0..1]
LocalMktDate

UnderlyingShortSaleRestriction
[0..1]
CodeSet

UnderlyingRefTickTableID
[0..1]
int

UnderlyingProtectionTermXIDRef
[0..1]
XIDREF

UnderlyingSettlTermXIDRef
[0..1]
XIDREF

UnderlyingComplexEvents
[0..*]
Group

UnderlyingStrategyType
[0..1]
CodeSet

UnderlyingCommonPricingIndicator
[0..1]
Boolean

UnderlyingSettlDisruptionProvision
[0..1]
CodeSet

UnderlyingDeliveryRouteOrCharter
[0..1]
String

UnderlyingInstrumentRoundingDirection
[0..1]
CodeSet

UnderlyingInstrumentRoundingPrecision
[0..1]
int

UnderlyingDateAdjustment
[0..1]
Component

UnderlyingPricingDateTime
[0..1]
Component

UnderlyingMarketDisruption
[0..1]
Component

UnderlyingOptionExercise
[0..1]
Component

UnderlyingStreamGrp
[0..*]
Group

UnderlyingProvisionGrp
[0..*]
Group

UnderlyingAdditionalTermGrp
[0..*]
Group

UnderlyingProtectionTermGrp
[0..*]
Group

UnderlyingCashSettlTermGrp
[0..*]
Group

UnderlyingPhysicalSettlTermGrp
[0..*]
Group

UnderlyingRateSpreadSchedule
[0..1]
Component

UnderlyingDividendPayout
[0..1]
Component

UnderlyingExtraordinaryEventGrp
[0..*]
Group

UnderlyingExtraordinaryEventAdjustmentMethod
[0..1]
CodeSet

UnderlyingExchangeLookAlike
[0..1]
Boolean

UnderlyingAverageVolumeLimitationPercentage
[0..1]
Amt

UnderlyingAverageVolumeLimitationPeriodDays
[0..1]
int

UnderlyingDepositoryReceiptIndicator
[0..1]
Boolean

UnderlyingOpenUnits
[0..1]
Qty

UnderlyingBasketDivisor
[0..1]
float

UnderlyingInstrumentXID
[0..1]
XID

Used in groups: PosUndInstrmtGrp, QuotSetAckGrp, QuotSetGrp, UndInstrmtCollGrp, UndInstrmtGrp

Used in messages: DerivativeSecurityList, DerivativeSecurityListRequest, DerivativeSecurityListUpdateReport, OrderMassActionReport, OrderMassActionRequest, OrderMassCancelReport, OrderMassCancelRequest, OrderMassStatusRequest, SecurityRiskMetricsReport

UnderlyingInstrumentPartyID

PartyID value within an underlying instrument party repeating group.

Same values as PartyID (448)

Type: String

Used in groups: UndlyInstrumentParties

UnderlyingInstrumentPartyIDSource

PartyIDSource value within an underlying instrument partyrepeating group.

Same values as PartyIDSource (447)

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: UndlyInstrumentParties

UnderlyingInstrumentPartyRole

PartyRole value within an underlying instrument partyepeating group.

Same values as PartyRole (452)

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: UndlyInstrumentParties

UnderlyingInstrumentPartyRoleQualifier

Used to further qualify the value of UnderlyingInstrumentPartyRole(1061).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: UndlyInstrumentParties

UnderlyingInstrumentPartySubID

PartySubID value within an underlying instrument party repeating group.

Same values as PartySubID (523)

Type: String

Used in groups: UndlyInstrumentPtysSubGrp

UnderlyingInstrumentPartySubIDType

Type of underlying InstrumentPartySubID (1053) value.

Same values as PartySubIDType (803)

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: UndlyInstrumentPtysSubGrp

UnderlyingInstrumentRoundingDirection

Specifies the rounding direction if not overridden elsewhere.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: UnderlyingInstrument

UnderlyingInstrumentRoundingPrecision

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: UnderlyingInstrument

UnderlyingInstrumentXID

Identifier for referencing this UnderlyingInstrument from a parent instrument or a convertible instrument.

Type: XID

Used in components: UnderlyingInstrument

UnderlyingInterestAccrualDate

If different from IssueDate and DatedDate

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingInTheMoneyCondition

Specifies an option instrument's "in the money" condition in general terms.

Type: int

Allowed values in InTheMoneyConditionCodeSet:

Code | Name | Description
0 | StandardITM | Standard in-the-money. The option's strike price is less than the underlying settlement price for a call or greater than the underlying settlement price for a put.
1 | ATMITM | At-the-money is in-the-money. The option's strike price of either the put or call is equal to the underlying settlement price in addition to standard in-the-money behavior.
2 | ATMCallITM | At-the-money call is in-the-money. The call option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.
3 | ATMPutITM | At-the-money put is in-the-money. The put option's strike price is equal to the underlying settlement price in addition to standard in-the-money behavior.

Used in components: UnderlyingInstrument

UnderlyingIssueDate

Underlying security's IssueDate.

See IssueDate (225) field for description

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

(prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingIssuer

Underlying security's Issuer.

See Issuer(106) field for description.

Type: String

Used in components: UnderlyingInstrument

UnderlyingLastPx

The calculated or traded price for the underlying instrument that corresponds to a derivative. Used for transactions that include the cash instrument and the derivative.

Type: Price

Used in messages: ExecutionReport

UnderlyingLastQty

The calculated or traded quantity for the underlying instrument that corresponds to a derivative. Used for transactions that include the cash instrument and the derivative.

Type: Qty

Used in messages: ExecutionReport

UnderlyingLegCFICode

Refer to definition for CFICode(461)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegInstrument

Name | Mult. | Type | Description
UnderlyingLegSymbol | [0..1] | String |
UnderlyingLegSymbolSfx | [0..1] | String |
UnderlyingLegSecurityID | [0..1] | String |
UnderlyingLegSecurityIDSource | [0..1] | String |
UnderlyingLegSecurityAltIDGrp | [0..*] | Group |
UnderlyingLegCFICode | [0..1] | String |
UnderlyingLegSecurityType | [0..1] | String |
UnderlyingLegSecuritySubType | [0..1] | String |
UnderlyingLegMaturityMonthYear | [0..1] | MonthYear |
UnderlyingLegMaturityDate | [0..1] | LocalMktDate |
UnderlyingLegMaturityTime | [0..1] | TZTimeOnly |
UnderlyingLegStrikePrice | [0..1] | Price |
UnderlyingLegOptAttribute | [0..1] | char |
UnderlyingLegPutOrCall | [0..1] | int |
UnderlyingLegSecurityExchange | [0..1] | String |
UnderlyingLegSecurityDesc | [0..1] | String |

Used in groups: TradeCapLegUnderlyingsGrp

UnderlyingLegMaturityDate

Date of maturity.

Type: LocalMktDate

Used in components: UnderlyingLegInstrument

UnderlyingLegMaturityMonthYear

Refer to definition for MaturityMonthYear(200)

Type: MonthYear

Used in components: UnderlyingLegInstrument

UnderlyingLegMaturityTime

Time of security's maturity expressed in local time with offset to UTC specified

Type: TZTimeOnly

Used in components: UnderlyingLegInstrument

UnderlyingLegOptAttribute

Refer to definition of OptAttribute(206)

Type: char

Used in components: UnderlyingLegInstrument

UnderlyingLegPutOrCall

Refer to definition for PutOrCall(201)

Type: int

Used in components: UnderlyingLegInstrument

UnderlyingLegSecurityAltID

Refer to definition for SecurityAltID(455)

Type: String

Used in groups: UnderlyingLegSecurityAltIDGrp

UnderlyingLegSecurityAltIDGrp

Name | Mult. | Type | Description
NoUnderlyingLegSecurityAltID | [1..1] | NumInGroup |
UnderlyingLegSecurityAltID | [0..1] | String |
UnderlyingLegSecurityAltIDSource | [0..1] | String |

Used in components: UnderlyingLegInstrument

UnderlyingLegSecurityAltIDSource

Refer to definition for SecurityAltIDSource(456)

Type: String

Used in groups: UnderlyingLegSecurityAltIDGrp

UnderlyingLegSecurityDesc

Refer to definition of SecurityDesc(107)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegSecurityExchange

Refer to definition for SecurityExchange(207)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegSecurityID

Refer to definition for SecurityID(48)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegSecurityIDSource

Refer to definition for SecurityIDSource(22)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegSecuritySubType

Refer to definition for SecuritySubType(762)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegSecurityType

Refer to definition for SecurityType(167)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegStrikePrice

Refer to definition for StrikePrice(202)

Type: Price

Used in components: UnderlyingLegInstrument

UnderlyingLegSymbol

Refer to definition for Symbol(55)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLegSymbolSfx

Refer to definition for SymbolSfx(65)

Type: String

Used in components: UnderlyingLegInstrument

UnderlyingLienSeniority

Indicates the seniority level of the lien in a loan.

Type: int

Allowed values in LienSeniorityCodeSet:

Code | Name | Description
0 | Unknown | Unknown
1 | FirstLien | First lien
2 | SecondLien | Second lien
3 | ThirdLien | Third lien

Used in components: UnderlyingInstrument

UnderlyingLimitedRightToConfirmIndicator

Indicates whether the Seller may request the Buyer to confirm its intent to exercise if not done on or before the expiration time on the Expiration date. If true ("Y") specific rules will apply in relation to the settlement mode.

Type: Boolean

Used in components: UnderlyingOptionExercise

UnderlyingListMethod

Indicates whether the instruments are pre-listed only or can also be defined via user request.

Type: int

Allowed values in ListMethodCodeSet:

Code | Name | Description
0 | PreListedOnly | pre-listed only
1 | UserRequested | user requested

Used in components: UnderlyingInstrument

UnderlyingLoanFacility

Specifies the type of loan when the credit default swap's reference obligation is a loan.

Type: int

Allowed values in LoanFacilityCodeSet:

Code | Name | Description
0 | BridgeLoan | Bridge loan
1 | LetterOfCredit | Letter of credit
2 | RevolvingLoan | Revolving loan
3 | SwinglineFunding | Swingline funding
4 | TermLoan | Term loan
5 | TradeClaim | Trade claim

Used in components: UnderlyingInstrument

UnderlyingLocaleOfIssue

Underlying security's LocaleOfIssue.

See LocaleOfIssue (472) field for description

Type: String

Used in components: UnderlyingInstrument

UnderlyingMakeWholeAmount

Amount to be paid by the buyer of the option if the option is exercised prior to the UnderlyingMakeWholeDate(42888).

Type: Amt

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingMakeWholeBenchmarkCurveName

Identifies the benchmark floating rate index.

Type: String

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingMakeWholeBenchmarkCurvePoint

The point on the floating rate index curve.

Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Type: String

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingMakeWholeBenchmarkQuote

The quote side of the benchmark to be used for calculating the "make whole" amount.

Type: int

Allowed values in StrikeIndexQuoteCodeSet:

Code | Name | Description
0 | Bid | Bid.
1 | Mid | Mid
2 | Offer | Offer

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingMakeWholeDate

The date through which the option cannot be exercised without penalty.

Type: LocalMktDate

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingMakeWholeInterpolationMethod

The method used when calculating the "make whole" amount. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingMakeWholeRecallSpread

Spread over the floating rate index.

Type: PriceOffset

Used in components: UnderlyingOptionExerciseMakeWholeProvision

UnderlyingManualNoticeBusinessCenter

Identifies the business center used for adjusting the time for manual exercise notice.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingOptionExercise

UnderlyingMarketDisruption

The UnderlyingMarketDisruption component is a subcomponent of the UnderlyingInstrument used to specify the market disruption provisions of the swap.

Name | Mult. | Type | Description
UnderlyingMarketDisruptionProvision | [0..1] | CodeSet |
UnderlyingMarketDisruptionEventGrp | [0..*] | Group |
UnderlyingMarketDisruptionFallbackProvision | [0..1] | CodeSet |
UnderlyingMarketDisruptionFallbackGrp | [0..*] | Group |
UnderlyingMarketDisruptionFallbackReferencePriceGrp | [0..*] | Group |
UnderlyingMarketDisruptionMaximumDays | [0..1] | int |
UnderlyingMarketDisruptionMaterialityPercentage | [0..1] | Percentage | If specified, the disruption event should be specified in UnderlyingMarketDisruptionEventGrp.
UnderlyingMarketDisruptionMinimumFuturesContracts | [0..1] | int | Applicable only when UnderlyingMarketDisruptionEvent(41865)='DeMinimisTrading'.

Used in components: UnderlyingInstrument

UnderlyingMarketDisruptionEvent

Specifies the market disruption event.

For commodities see http://www.fpml.org/coding-scheme/commodity-market-disruption for values.

For foreign exchange, see http://www.fixtradingcommunity.org/codelists#Market_Disruption_Event for code list of applicable event types.

Type: String

Used in groups: UnderlyingMarketDisruptionEventGrp

UnderlyingMarketDisruptionEventGrp

The UnderlyingMarketDisruptionEventGrp is a repeating subcomponent of the UnderlyingMarketDisruption component used to specify the market disruption events.

Name | Mult. | Type | Description
NoUnderlyingMarketDisruptionEvents | [1..1] | NumInGroup |
UnderlyingMarketDisruptionEvent | [0..1] | String | Required if NoUnderlyingMarketDisruptionEvents(41864) > 0.
UnderlyingMarketDisruptionValue | [0..1] | String |

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionFallbackBasketCurrency

Specifies the currency if the underlier is a basket. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackBasketDivisor

Specifies the basket divisor amount. This value is normally used to adjust the constituent weight for pricing or to adjust for dividends, or other corporate actions.

Type: float

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackGrp

The UnderlyingMarketDisruptionFallbackGrp is a repeating subcomponent of the UnderlyingMarketDisruption component used to specify the market disruption fallback provisions.

Name | Mult. | Type | Description
NoUnderlyingMarketDisruptionFallbacks | [1..1] | NumInGroup |
UnderlyingMarketDisruptionFallbackType | [0..1] | String | Required if NoUnderlyingMarketDisruptionFallbacks(41866) > 0. The sequence of entries specifies the order in which the fallback provisions should be applied.
UnderlyingMarketDisruptionFallbackValue | [0..1] | String |

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionFallbackOpenUnits

If there are multiple underlying assets, this specifies the number of units (index or securities) that constitute the underlier of the swap. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

Type: Qty

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackProvision

Specifies the location of the fallback provision documentation.

Type: int

Allowed values in MarketDisruptionFallbackProvisionCodeSet:

Code | Name | Description
0 | MasterAgreement | As specified in master agreement
1 | Confirmation | As specified in confirmation

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionFallbackReferencePriceGrp

The UnderlyingMarketDisruptionFallbackReferencePriceGrp is a repeating subcomponent of the UnderlyingMarketDisruption component used to specify the fallback reference price and underlying security provisions

Name | Mult. | Type | Description
NoUnderlyingMarketDisruptionFallbackReferencePrices | [1..1] | NumInGroup |
UnderlyingMarketDisruptionFallbackUnderlierType | [0..1] | CodeSet | Required if NoUnderlyingMarketDisruptionFallbackReferencePrices (41868) > 0.
UnderlyingMarketDisruptionFallbackUnderlierSecurityID | [0..1] | String | Conditionally required whem UnderlyingMarketDisruptionFallbackUnderlierSecurityIDSource(41871) is specified.
UnderlyingMarketDisruptionFallbackUnderlierSecurityIDSource | [0..1] | CodeSet | Conditionally required whem UnderlyingMarketDisruptionFallbackUnderlierSecurityID(41870) is specified.
UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc | [0..1] | String |
EncodedUnderlyingMarketDisruptionFallbackUnderlierSecDescLen | [0..1] | Length | Must be set if EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41874) field is specified and must immediately precede it.
EncodedUnderlyingMarketDisruptionFallbackUnderlierSecurityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc(41872) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingMarketDisruptionFallbackOpenUnits | [0..1] | Qty |
UnderlyingMarketDisruptionFallbackBasketCurrency | [0..1] | Currency |
UnderlyingMarketDisruptionFallbackBasketDivisor | [0..1] | float |

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionFallbackType

Specifies the type of disruption fallback.

See http://www.fpml.org/coding-scheme/commodity-market-disruption-fallback for values.

Type: String

Used in groups: UnderlyingMarketDisruptionFallbackGrp

UnderlyingMarketDisruptionFallbackUnderlierSecurityDesc

Specifies the description of underlying security.

Type: String

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackUnderlierSecurityID

Specifies the identifier value of the security.

Type: String

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackUnderlierSecurityIDSource

Specifies the class or source scheme of the security identifier.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackUnderlierType

The type of reference price underlier.

Type: int

Allowed values in MarketDisruptionFallbackUnderlierTypeCodeSet:

Code | Name | Description
0 | Basket | Basket
1 | Bond | Bond
2 | Cash | Cash
3 | Commodity | Commodity
4 | ConvertibleBond | Convertible bond
5 | Equity | Equity
6 | ExchangeTradedFund | Exchange traded fund
7 | Future | Future
8 | Index | Index
9 | Loan | Loan
10 | Mortgage | Mortgage
11 | MutualFund | Mutual fund

Used in groups: UnderlyingMarketDisruptionFallbackReferencePriceGrp

UnderlyingMarketDisruptionFallbackValue

Applicable value for UnderlyingMarketDisruptionFallbackType(41867).

Type: String

Used in groups: UnderlyingMarketDisruptionFallbackGrp

UnderlyingMarketDisruptionMaterialityPercentage

Used when a price materiality percentage applies to the price source disruption event and this event has been specified.

Type: Percentage

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionMaximumDays

Specifies the maximum number of market disruption days (commodity or bullion business days) in a contract or confirmation. If none are specified, the maximum number of market disruption days is five (5).

Type: int

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionMinimumFuturesContracts

Specifies the minimum futures contracts level that dictates whether or not a 'De Minimis Trading' event has occurred.

Type: int

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionProvision

The consequences of market disruption events.

Type: int

Allowed values in MarketDisruptionProvisionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable
1 | Applicable | Applicable
2 | AsInMasterAgreement | As specified in master agreement
3 | AsInConfirmation | As specified in confirmation

Used in components: UnderlyingMarketDisruption

UnderlyingMarketDisruptionValue

Applicable value for UnderlyingMarketDisruptionEvent(41865).

Type: String

Used in groups: UnderlyingMarketDisruptionEventGrp

UnderlyingMaterialDividendsIndicator

Indicates whether material non-cash dividends are applicable.

Type: Boolean

Used in components: UnderlyingDividendConditions

UnderlyingMaturityDate

Underlying security's maturity date.

See MaturityDate (541) field for description

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingMaturityFrequencyPeriod

Time unit multiplier for the minimum frequency of the instrument maturity intervals.

Type: int

Used in components: UnderlyingInstrument

UnderlyingMaturityFrequencyUnit

Time unit associated with the minimum frequency of the instrument maturity intervals.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: UnderlyingInstrument

UnderlyingMaturityMonthYear

Underlying security's MaturityMonthYear. Can be used with standardized derivatives vs. the UnderlyingMaturityDate (542) field.

See MaturityMonthYear (200) field for description

Type: MonthYear

Used in components: UnderlyingInstrument

UnderlyingMaturityTime

Time of security's maturity expressed in local time with offset to UTC specified

Type: TZTimeOnly

Used in components: UnderlyingInstrument

UnderlyingMinPriceIncrement

Minimum price increment for the instrument. Could also be used to represent tick value.

Type: float

Used in components: UnderlyingInstrument

UnderlyingMinPriceIncrementAmount

Minimum price increment amount associated with the UnderlyingMinPriceIncrement(2026). For listed derivatives, the value can be calculated by multiplying UnderlyingMinPriceIncrement(2026) by UnderlyingContractMultiplier(436).

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingMthToDefault

The Mth reference obligation to default in a CDS reference basket. When UnderlyingNthToDefault(2017) and UnderlyingMthToDefault(2018) are represented then the CDS payout occurs between the Nth and Mth obligations to default.

Type: int

Used in components: UnderlyingInstrument

UnderlyingNonCashDividendTreatment

Defines the treatment of non-cash dividends.

Type: int

Allowed values in NonCashDividendTreatmentCodeSet:

Code | Name | Description
0 | PotentialAdjustment | Potential adjustment event. The treatment of any non-cash dividend shall be determined in accordance with the potential adjustment event provisions.
1 | CashEquivalent | Cash equivalent. Any non-cash dividend shall be treated as a declared cash equivalent dividend.

Used in components: UnderlyingDividendConditions

UnderlyingNonDeliverableFixingDate

The non-deliverable fixing date unadjusted or adjusted depending on UnderlyingNonDeliverableFixingDateType(40658).

Type: LocalMktDate

Used in groups: UnderlyingPaymentStreamNonDeliverableFixingDateGrp

UnderlyingNonDeliverableFixingDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingPaymentStreamNonDeliverableFixingDateGrp

UnderlyingNotional

Notional value for the equity or bond underlier.

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingNotionalAdjustments

Specifies the conditions that govern the adjustment to the number of units of the return swap.

Type: int

Allowed values in UnderlyingNotionalAdjustmentsCodeSet:

Code | Name | Description
0 | Execution | Execution. The adjustments to the number of units are governed by an execution clause.
1 | PortfolioRebalancing | Portfolio rebalancing. The adjustments to the number of units are governed by a portfolio rebalancing clause.
2 | Standard | Standrd. The adjustments to the number of units are not governed by any specific clause.

Used in components: UnderlyingInstrument

UnderlyingNotionalCurrency

Specifies the currency denomination of the notional value.

UnderlyingNotionalCurrencyCodeSource(2921) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

Type: Currency

Used in components: UnderlyingInstrument

UnderlyingNotionalCurrencyCodeSource

Identifies class or source of the UnderlyingNotionalCurrency(2615) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingNotionalDeterminationMethod

Specifies the method of determining the notional amount.

See: http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: UnderlyingInstrument

UnderlyingNotionalPercentageOutstanding

See NotionalPercentageOutstanding(1451)

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingNotionalXIDRef

Cross reference to another notional amount for duplicating its properties.

Type: XIDREF

Used in components: UnderlyingInstrument

UnderlyingNthToDefault

The Nth reference obligation to default in a CDS reference basket. If specified without UnderlyingMthToDefault(2018) the default will trigger a CDS payout. If UnderlyingMthToDefault(2018) is also present then payout occurs between the Nth and Mth obligations to default.

Type: int

Used in components: UnderlyingInstrument

UnderlyingNTPositionLimit

Position Limit in the near-term contract for a given exchange-traded product.

Type: int

Used in components: UnderlyingInstrument

UnderlyingNumDaysInterest

Number of days of interest for underlying security.

Type: int

Used in components: UnderlyingInstrument

UnderlyingObligationID

For a CDS basket or pool identifies the reference obligation.

Type: String

Used in components: UnderlyingInstrument

UnderlyingObligationIDSource

Identifies the source scheme of the UnderlyingObligationID(1994).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingObligationType

Type of reference obligation for credit derivatives contracts.

Type: String

Allowed values in UnderlyingObligationTypeCodeSet:

Code | Name | Description
0 | Bond | Bond
1 | ConvertibleBond | Convertible bond
2 | Mortgage | Mortgage
3 | Loan | Loan

Used in components: UnderlyingInstrument

UnderlyingOfferPx

Offer price of the underlying instrument.

Type: Price

Used in messages: SecurityRiskMetricsReport

UnderlyingOpenUnits

The number of units (units of the index or number of securities, par amount of a bond) that constitute the underlier. In the case of a basket swap, this is used to reference both the number of basket units, and the number of each asset components of the basket when these are expressed in absolute terms.

Type: Qty

Used in components: UnderlyingInstrument

UnderlyingOptAttribute

Underlying security's OptAttribute.

See OptAttribute (206) field for description

Type: char

Used in components: UnderlyingInstrument

UnderlyingOptionExerciseBusinessCenter

The business center calendar used to adjust the option exercise dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingOptionExerciseBusinessCenterGrp

UnderlyingOptionExerciseBusinessCenterGrp

UnderlyingOptionExerciseBusinessCenterGrp is a repeating subcomponent of the UnderlyingOptionExerciseDates component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingOptionExerciseBusinessCenters | [1..1] | NumInGroup |
UnderlyingOptionExerciseBusinessCenter | [0..1] | String | Required if NoUnderlyingOptionExerciseBusinessCenters(41820) > 0.

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseBusinessDayConvention

The business day convention used to adjust the option exercise dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExercise

The UnderlyingOptionExercise component is a subcomponent of the UnderlyingInstrument component used to specify option exercise provisions. Its purpose is to identify the opportunities and conditions for exercise, e.g. the schedule of dates on which exercise is allowed. The embedded UnderlyingOptionExerciseExpiration component is used to terminate the opportunity for exercise.

Name | Mult. | Type | Description
UnderlyingExerciseDesc | [0..1] | String |
EncodedUnderlyingExerciseDescLen | [0..1] | Length | Must be set if EncodedUnderlyingExerciseDesc(41812) field is specified and must immediately precede it.
EncodedUnderlyingExerciseDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingExerciseDesc(41810) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingAutomaticExerciseIndicator | [0..1] | Boolean |
UnderlyingAutomaticExerciseThresholdRate | [0..1] | float |
UnderlyingExerciseConfirmationMethod | [0..1] | CodeSet |
UnderlyingManualNoticeBusinessCenter | [0..1] | String |
UnderlyingFallbackExerciseIndicator | [0..1] | Boolean |
UnderlyingLimitedRightToConfirmIndicator | [0..1] | Boolean |
UnderlyingExerciseSplitTicketIndicator | [0..1] | Boolean |
UnderlyingSettlMethodElectingPartySide | [0..1] | CodeSet |
UnderlyingSettlMethodElectionDate | [0..1] | Component |
UnderlyingOptionExerciseDates | [0..1] | Component |
UnderlyingOptionExerciseExpiration | [0..1] | Component |
UnderlyingOptionExerciseMakeWholeProvision | [0..1] | Component |

Used in components: UnderlyingInstrument

UnderlyingOptionExerciseDate

The adjusted or unadjusted option exercise fixed date.

Type: LocalMktDate

Used in groups: UnderlyingOptionExerciseDateGrp

UnderlyingOptionExerciseDateGrp

The UnderlyingOptionExerciseDateGrp is a repeating subcomponent of the UnderlyingOptionExerciseDates component used to specify fixed dates for exercise.

Name | Mult. | Type | Description
NoUnderlyingOptionExerciseDates | [1..1] | NumInGroup |
UnderlyingOptionExerciseDate | [0..1] | LocalMktDate | Required if NoUnderlyingOptionExerciseDates(41841) > 0.
UnderlyingOptionExerciseDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseDates

The UnderlyingOptionExerciseDate component is a subcomponent of the UnderlyingOptionExercise component used to specify option exercise dates.

Name | Mult. | Type | Description
UnderlyingOptionExerciseBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying exercise dates.
UnderlyingOptionExerciseBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying option exercise dates.
UnderlyingOptionExerciseDateGrp | [0..*] | Group |
UnderlyingOptionExerciseEarliestDateOffsetDayType | [0..1] | CodeSet |
UnderlyingOptionExerciseEarliestDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingOptionExerciseEarliestDateUnit(41825) is specified.
UnderlyingOptionExerciseEarliestDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingOptionExerciseEarliestDatePeriod(41824) is specified.
UnderlyingOptionExerciseFrequencyPeriod | [0..1] | int | Conditinally required when UnderlyingOptionExerciseFrequencyUnit(41827) is specified.
UnderlyingOptionExerciseFrequencyUnit | [0..1] | CodeSet | Conditinally required when UnderlyingOptionExerciseFrequencyPeriod(41826) is specified.
UnderlyingOptionExerciseStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingOptionExerciseStartDateRelativeTo | [0..1] | int |
UnderlyingOptionExerciseStartDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingOptionExerciseStartDateOffsetUnit(41831) is specified.
UnderlyingOptionExerciseStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingOptionExerciseStartDateOffsetPeriod(41830) is specified.
UnderlyingOptionExerciseStartDateOffsetDayType | [0..1] | CodeSet |
UnderlyingOptionExerciseStartDateAdjusted | [0..1] | LocalMktDate |
UnderlyingOptionExerciseSkip | [0..1] | int |
UnderlyingOptionExerciseNominationDeadline | [0..1] | LocalMktDate |
UnderlyingOptionExerciseFirstDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingOptionExerciseLastDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingOptionExerciseEarliestTime | [0..1] | LocalMktTime |
UnderlyingOptionExerciseLatestTime | [0..1] | LocalMktTime |
UnderlyingOptionExerciseTimeBusinessCenter | [0..1] | String |

Used in components: UnderlyingOptionExercise

UnderlyingOptionExerciseDateType

Specifies the type of option exercise date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingOptionExerciseDateGrp

UnderlyingOptionExerciseEarliestDateOffsetDayType

Specifies the day type of the relative earliest exercise date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseEarliestDateOffsetPeriod

Time unit multiplier for the relative earliest exercise date offset.

Type: int

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseEarliestDateOffsetUnit

Time unit associated with the relative earliest exercise date offset.

Type: String

Allowed values in ProvisionOptionExerciseEarliestDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseEarliestTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) (i) on the expriation date, in the case of a European style option, (ii) on each Bermuda option exercise date and the expiration date, in the case of a Bermuda style option, (iii) the commencement date to, and including, the expiration date, in the case of an American option.

Type: LocalMktTime

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseExpiration

The UnderlyingOptionExerciseExpiration component is a subcomponent of the UnderlyingOptionExercise component used to specify option exercise expiration dates and times. The purpose of UnderlyingOptionExercise is to identify the scheduled opportunities for exercise. UnderlyingOptionExerciseExpiration identifies the end of the schedule.

Name | Mult. | Type | Description
UnderlyingOptionExerciseExpirationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying exercise expiration dates.
UnderlyingOptionExerciseExpirationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying option exercise expiration dates.
UnderlyingOptionExerciseExpirationDateGrp | [0..*] | Group |
UnderlyingOptionExerciseExpirationDateRelativeTo | [0..1] | int |
UnderlyingOptionExerciseExpirationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingOptionExerciseExpirationDateOffsetUnit(41849) is specified.
UnderlyingOptionExerciseExpirationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingOptionExerciseExpirationDateOffsetPeriod(41848) is specified.
UnderlyingOptionExerciseExpirationFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingOptionExerciseExpirationFrequencyUnit(41851) is specified.
UnderlyingOptionExerciseExpirationFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingOptionExerciseExpirationFrequencyPeriod(41850) is specified.
UnderlyingOptionExerciseExpirationRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the option exercise dates.
UnderlyingOptionExerciseExpirationDateOffsetDayType | [0..1] | CodeSet |
UnderlyingOptionExerciseExpirationTime | [0..1] | LocalMktTime |
UnderlyingOptionExerciseExpirationTimeBusinessCenter | [0..1] | String |

Used in components: UnderlyingOptionExercise

UnderlyingOptionExerciseExpirationDate

The adjusted or unadjusted option exercise expiration fixed date.

Type: LocalMktDate

Used in groups: UnderlyingOptionExerciseExpirationDateGrp

UnderlyingOptionExerciseExpirationDateBusinessCenter

The business center calendar used to adjust the option exercise expiration dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingOptionExerciseExpirationDateBusinessCenterGrp

UnderlyingOptionExerciseExpirationDateBusinessCenterGrp

UnderlyingOptionExerciseExpirationDateBusinessCenterGrp is a repeating subcomponent of the UnderlyingOptionExerciseExpiration component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingOptionExerciseExpirationDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingOptionExerciseExpirationDateBusinessCenter | [0..1] | String | Required if NoUnderlyingOptionExerciseExpirationDateBusinessCenters(41844) > 0.

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateBusinessDayConvention

The business day convention used to adjust the option exercise expiration dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateGrp

The UnderlyingOptionExerciseExpirationDateGrp is a repeating subcomponent of the UnderlyingOptionExerciseExpiration component used to specify fixed dates for expiration.

Name | Mult. | Type | Description
NoUnderlyingOptionExerciseExpirationDates | [1..1] | NumInGroup |
UnderlyingOptionExerciseExpirationDate | [0..1] | LocalMktDate | Required if NoUnderlyingOptionExpirationDates(41856) > 0.
UnderlyingOptionExerciseExpirationDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateOffsetDayType

Specifies the day type of the relative option exercise expiration date offset.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateOffsetPeriod

Time unit multiplier for the relative exercise expiration date offset.

Type: int

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateOffsetUnit

Time unit associated with the relative exercise expiration date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateRelativeTo

Specifies the anchor date when the option exercise expiration date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationDateType

Specifies the type of option exercise expiration date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingOptionExerciseExpirationDateGrp

UnderlyingOptionExerciseExpirationFrequencyPeriod

Time unit multiplier for the frequency of exercise expiration dates.

Type: int

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationFrequencyUnit

Time unit associated with the frequency of exercise expiration dates.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationRollConvention

The convention for determining the sequence of exercise expiration dates. It is used in conjunction with a specified frequency. Used only to override the roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationTime

The option exercise expiration time.

Type: LocalMktTime

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseExpirationTimeBusinessCenter

The business center used to determine the locale for option exercise expiration time, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingOptionExerciseExpiration

UnderlyingOptionExerciseFirstDateUnadjusted

The unadjusted first exercise date.

Type: LocalMktDate

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseFrequencyPeriod

Time unit multiplier for the frequency of exercise dates.

Type: int

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseFrequencyUnit

Time unit associated with the frequency of exercise dates.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseLastDateUnadjusted

The unadjusted last exercise date.

Type: LocalMktDate

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseLatestTime

Latest exercise time. See also UnderlyingOptionExerciseEarliestTime(41838).

Type: LocalMktTime

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseMakeWholeProvision

UnderlyingOptionExerciseMakeWholeProvision is a subcomponent of the UnderlyingOptionExercise component used to specify the set of rules of maintaining balance when an option is exercised.

Name | Mult. | Type | Description
UnderlyingMakeWholeDate | [0..1] | LocalMktDate |
UnderlyingMakeWholeAmount | [0..1] | Amt |
UnderlyingMakeWholeBenchmarkCurveName | [0..1] | String |
UnderlyingMakeWholeBenchmarkCurvePoint | [0..1] | String |
UnderlyingMakeWholeRecallSpread | [0..1] | PriceOffset |
UnderlyingMakeWholeBenchmarkQuote | [0..1] | CodeSet |
UnderlyingMakeWholeInterpolationMethod | [0..1] | CodeSet |

Used in components: UnderlyingOptionExercise

UnderlyingOptionExerciseNominationDeadline

The last date (adjusted) for establishing the option exercise terms.

Type: LocalMktDate

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseSkip

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

Type: int

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseStartDateAdjusted

The adjusted start date for calculating periodic exercise dates.

Type: LocalMktDate

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseStartDateOffsetDayType

Specifies the day type of the relative option exercise start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseStartDateOffsetPeriod

Time unit multiplier for the relative exercise start date offset.

Type: int

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseStartDateOffsetUnit

Time unit associated with the relative exercise start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseStartDateRelativeTo

Specifies the anchor date when the option exercise start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseStartDateUnadjusted

The unadjusted start date for calculating periodic exercise dates.

Type: LocalMktDate

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExerciseTimeBusinessCenter

The business center used to determine the locale for option exercise time, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values

Type: String

Used in components: UnderlyingOptionExerciseDates

UnderlyingOptionExpirationDesc

Description of the option expiration.

Type: String

Used in components: UnderlyingInstrument

UnderlyingOptionsExchangeDividendsIndicator

Indicates whether option exchange dividends are applicable.

Type: Boolean

Used in components: UnderlyingDividendConditions

UnderlyingOptPayoutAmount

Cash amount indicating the pay out associated with an option. For binary options this is a fixed amount.

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingOptPayoutType

Indicates the type of valuation method or payout trigger for an in-the-money option.

Type: int

Allowed values in OptPayoutTypeCodeSet:

Code | Name | Description
1 | Vanilla | Vanilla
2 | Capped | Capped
3 | Binary | Digital (Binary)
4 | Asian | Asian
5 | Barrier | Barrier
6 | DigitalBarrier | Digital Barrier
7 | Lookback | Lookback
8 | OtherPathDependent | Other path dependent
99 | Other | Other

Used in components: UnderlyingInstrument

UnderlyingOriginalNotionalPercentageOutstanding

See OriginalNotionalPercentageOutstanding(1452)

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingPayAmount

Amount to pay in order to receive the underlying instrument

Type: Amt

Used in groups: UnderlyingAmount

UnderlyingPaymentScheduleCurrency

The currency for this step. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleEndDateUnadjusted

The unadjusted end date of a cashflow payment.

Type: LocalMktDate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixedAmount

The explicit payment amount for this step.

Type: Amt

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixedCurrency

The currency of the fixed amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateAdjusted

The adjusted fixing date.

Type: LocalMktDate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateBusinessCenter

The business center calendar used to adjust the payment schedule's fixing date, e.g. "GBLO". See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentScheduleFixingDateBusinessCenterGrp

UnderlyingPaymentScheduleFixingDateBusinessCenterGrp

UnderlyingPaymentScheduleFixingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentScheduleFixingDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentScheduleFixingDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentScheduleFixingDateBusinessCenters(40966) > 0.

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateBusinessDayCnvtn

The business day convention used to adjust the payment schedule's fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateOffsetDayType

Specifies the day type of the relative fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateOffsetPeriod

Time unit multiplier for the relative fixing date offset.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateOffsetUnit

Time unit associated with the relative fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateRelativeTo

Specifies the anchor date when the fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDateUnadjusted

The unadjusted fixing date.

Type: LocalMktDate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDayCount

The number of days over which fixing should take place.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDayDistribution

The distribution of fixing days.

Type: int

Allowed values in PaymentStreamPricingDayDistributionCodeSet:

Code | Name | Description
0 | All | All
1 | First | First
2 | Last | Last
3 | Penultimate | Penultimate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDayGrp

The UnderlyingPaymentScheduleFixingDayGrp is a repeating subcomponent of the UnderlyingPaymentScheduleGrp component used to detail periodic fixing days.

Name | Mult. | Type | Description
NoUnderlyingPaymentScheduleFixingDays | [1..1] | NumInGroup |
UnderlyingPaymentScheduleFixingDayOfWeek | [0..1] | CodeSet | Required if NoUnderlyingPaymentScheduleFixingDays(41878) > 0.
UnderlyingPaymentScheduleFixingDayNumber | [0..1] | int |

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingDayNumber

The occurrence of the day of week on which fixing takes place.

Type: int

Used in groups: UnderlyingPaymentScheduleFixingDayGrp

UnderlyingPaymentScheduleFixingDayOfWeek

The day of the week on which fixing takes place.

Type: int

Allowed values in PaymentStreamPricingDayOfWeekCodeSet:

Code | Name | Description
0 | EveryDay | Every day (the default if not specified)
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday

Used in groups: UnderlyingPaymentScheduleFixingDayGrp

UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod

Time unit multiplier for the relative first observation date offset.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit

Time unit associated with the relative first observation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingLagPeriod

Time unit multiplier for the fixing lag duration.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingLagUnit

Time unit associated with the fixing lag duration.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingTime

The fixing time.

Type: LocalMktTime

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleFixingTimeBusinessCenter

Business center for determining fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleGrp

The UnderlyingPaymentScheduleGrp is a repeating subcomponent of the UnderlyingPaymentStream component used to specify notional and rate steps in the payment stream.

Name | Mult. | Type | Description
NoUnderlyingPaymentSchedules | [1..1] | NumInGroup |
UnderlyingPaymentScheduleType | [0..1] | CodeSet | Required if NoUnderlyingPaymentScheules(40664) > 0.
UnderlyingPaymentScheduleXID | [0..1] | XID |
UnderlyingPaymentScheduleXIDRef | [0..1] | XIDREF |
UnderlyingPaymentScheduleStubType | [0..1] | CodeSet |
UnderlyingPaymentScheduleStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentScheduleEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentSchedulePaySide | [0..1] | CodeSet |
UnderlyingPaymentScheduleReceiveSide | [0..1] | CodeSet |
UnderlyingPaymentScheduleNotional | [0..1] | Amt |
UnderlyingPaymentScheduleCurrency | [0..1] | Currency |
UnderlyingPaymentScheduleRate | [0..1] | Percentage |
UnderlyingPaymentScheduleRateMultiplier | [0..1] | float |
UnderlyingPaymentScheduleRateSpread | [0..1] | PriceOffset |
UnderlyingPaymentScheduleRateCurrency | [0..1] | Currency |
UnderlyingPaymentScheduleRateUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentScheduleRateConversionFactor | [0..1] | float |
UnderlyingPaymentScheduleRateSpreadType | [0..1] | CodeSet |
UnderlyingPaymentScheduleRateSpreadPositionType | [0..1] | CodeSet |
UnderlyingPaymentScheduleRateTreatment | [0..1] | CodeSet |
UnderlyingPaymentScheduleFixedAmount | [0..1] | Amt |
UnderlyingPaymentScheduleFixedCurrency | [0..1] | Currency |
UnderlyingPaymentScheduleSettlPeriodPrice | [0..1] | Price |
UnderlyingPaymentScheduleSettlPeriodPriceCurrency | [0..1] | Currency |
UnderlyingPaymentScheduleSettlPeriodPriceUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentScheduleStepUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentScheduleStepFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentScheduleStepFrequeencyUnit(40681) is specified.
UnderlyingPaymentScheduleStepFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentScheduleStepFrequeencyPeriod(40680) is specified.
UnderlyingPaymentScheduleStepOffsetValue | [0..1] | Amt |
UnderlyingPaymentScheduleStepRate | [0..1] | Percentage |
UnderlyingPaymentScheduleStepOffsetRate | [0..1] | Percentage |
UnderlyingPaymentScheduleStepRelativeTo | [0..1] | CodeSet |
UnderlyingPaymentScheduleRateSourceGrp | [0..*] | Group |
UnderlyingPaymentScheduleFixingDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentScheduleWeight | [0..1] | float |
UnderlyingPaymentScheduleFixingDateRelativeTo | [0..1] | int |
UnderlyingPaymentScheduleFixingDateBusinessDayCnvtn | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment schedule.
UnderlyingPaymentScheduleFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment schedule.
UnderlyingPaymentScheduleFixingDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentScheduleFixingDateOffsetUnit(40692) is specified.
UnderlyingPaymentScheduleFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentScheduleFixingDateOffsetPeriod(40691) is specified.
UnderlyingPaymentScheduleFixingDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentScheduleFixingDayDistribution | [0..1] | CodeSet |
UnderlyingPaymentScheduleFixingDayCount | [0..1] | int |
UnderlyingPaymentScheduleFixingDateAdjusted | [0..1] | LocalMktDate |
UnderlyingPaymentScheduleFixingDayGrp | [0..*] | Group |
UnderlyingPaymentScheduleFixingLagPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentScheduleFixingLagUnit(41894) is specified.
UnderlyingPaymentScheduleFixingLagUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentScheduleFixingLagPeriod(41893) is specified.
UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit(41896) is specified.
UnderlyingPaymentScheduleFixingFirstObservationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentScheduleFixingFirstObservationDateOffsetPeriod(41895) is specified.
UnderlyingPaymentScheduleFixingTime | [0..1] | LocalMktTime |
UnderlyingPaymentScheduleFixingTimeBusinessCenter | [0..1] | String |
UnderlyingPaymentScheduleInterimExchangePaymentDateRelativeTo | [0..1] | int |
UnderlyingPaymentScheduleInterimExchangeDatesBizDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment schedule.
UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment schedule.
UnderlyingPaymentScheduleInterimExchangeDatesOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentScheduleInterimExchangeDatesOffsetUnit(40701) is specified.
UnderlyingPaymentScheduleInterimExchangeDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentScheduleInterimExchangeDatesOffsetPeriod(40700) is specified.
UnderlyingPaymentScheduleInterimExchangeDatesOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentScheduleInterimExchangeDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingStreamGrp

UnderlyingPaymentScheduleInterimExchangeDateAdjusted

The adjusted interim exchange date.

Type: LocalMktDate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp

UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentScheduleGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentScheduleInterimExchangeDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentScheduleInterimExchangeDatesBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentScheduleInterimExchangeDateBusinessCenters(40967) > 0.

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleInterimExchangeDatesBizDayConvention

The business day convention used to adjust the payment schedule's interim exchange date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleInterimExchangeDatesBusinessCenter

The business center calendar used to adjust the payment schedule's interim exchange date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentScheduleInterimExchangeDateBusinessCenterGrp

UnderlyingPaymentScheduleInterimExchangeDatesOffsetDayType

Specifies the day type of the relative interim exchange date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleInterimExchangeDatesOffsetPeriod

Time unit multiplier for the relative interim exchange date offset.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleInterimExchangeDatesOffsetUnit

Time unit associated with the relative interim exchange date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleInterimExchangePaymentDateRelativeTo

Specifies the anchor date when the interim exchange payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleNotional

The notional value for this step, or amount of a cashflow payment.

Type: Amt

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentSchedulePaySide

The side of the party paying the step schedule.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRate

The rate value for this step.

Type: Percentage

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateConversionFactor

The number to be multiplied by the derived floating rate of the underlying's payment schedule in order to arrive at the payment rate. If omitted, the schedule rate conversion factor is 1.

Type: float

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateCurrency

Specifies the currency of the schedule rate. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: UnderlyingPaymentScheduleRateSourceGrp

UnderlyingPaymentScheduleRateSourceGrp

UnderlyingPaymentScheduleRateSourceGrp is a repeating component within the UnderlyingPaymentScheduleGrp component used to identify primary and secondary rate sources.

Name | Mult. | Type | Description
NoUnderlyingPaymentScheduleRateSources | [1..1] | NumInGroup |
UnderlyingPaymentScheduleRateSource | [0..1] | CodeSet | Required if NoUnderlyingPaymentScheduleRates(40704) > 0.
UnderlyingPaymentScheduleRateSourceType | [0..1] | CodeSet | Required if NoUnderlyingPaymentScheduleRates(40704) > 0.
UnderlyingPaymentScheduleReferencePage | [0..1] | String | Conditionally required when UnderlyingPaymentScheduleRateSource(40705) = 99 (Other).

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateSourceType

Rate source type.

Type: int

Allowed values in RateSourceTypeCodeSet:

Code | Name | Description
0 | Primary | Primary
1 | Secondary | Secondary

Used in groups: UnderlyingPaymentScheduleRateSourceGrp

UnderlyingPaymentScheduleRateSpread

The spread value for this step.

Type: PriceOffset

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateSpreadType

Specifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.

Type: int

Allowed values in PaymentStreamRateSpreadTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateTreatment

Specifies the yield calculation treatment for the step schedule.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleRateUnitOfMeasure

The schedule rate unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleReceiveSide

The side of the party receiving the step schedule.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleReferencePage

Identifies the reference “page” from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When RateSource(1446) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in groups: UnderlyingPaymentScheduleRateSourceGrp

UnderlyingPaymentScheduleSettlPeriodPrice

The schedule settlement period price.

Type: Price

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleSettlPeriodPriceCurrency

The currency of the schedule settlement period price. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleSettlPeriodPriceUnitOfMeasure

The settlement period price unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStartDateUnadjusted

The unadjusted date on which the value is adjusted, or calculated if a future value notional for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)), or the start date of a cashflow payment.

Type: LocalMktDate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepFrequencyPeriod

Time unit multiplier for the step frequency.

Type: int

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepFrequencyUnit

Time unit associated with the step frequency.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepOffsetRate

The explicit amount that the rate changes on each step date. This can be a positive or negative value.

Type: Percentage

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepOffsetValue

The explicit amount that the notional changes on each step date. This can be a positive or negative amount.

Type: Amt

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepRate

The percentage by which the notional changes on each step date. The percentage is either a percentage applied to the initial notional amount or the previous outstanding notional, depending on the value specified in UnderlyingPaymentScheduleStepRelativeTo(40685). The percentage can be either positive or negative.

Type: Percentage

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepRelativeTo

Specifies whether the UnderlyingPaymentScheduleStepRate(40683) or UnderlyingPaymentScheduleStepOffsetValue(40682) should be applied to the initial notional or the previous notional in order to calculate the notional step change amount.

Type: int

Allowed values in PaymentScheduleStepRelativeToCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Previous | Previous

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStepUnitOfMeasure

The schedule step unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleStubType

Indicates to which stub this schedule applies.

Type: int

Allowed values in PaymentStubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Final | Final
2 | CompoundingInitial | Compounding initial
3 | CompoundingFinal | Compounding final

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleType

Type of schedule.

Type: int

Allowed values in PaymentScheduleTypeCodeSet:

Code | Name | Description
0 | Notional | Notional
1 | CashFlow | Cash flow
2 | FXLinkedNotional | FX linked notional
3 | FixedRate | Fixed rate
4 | FutureValueNotional | Future value notional
5 | KnownAmount | Known amount
6 | FloatingRateMultiplier | Floating rate multiplier
7 | Spread | Spread
8 | CapRate | Cap rate
9 | FloorRate | Floor rate
10 | NonDeliverableSettlPaymentDates | Non-deliverable settlement payment dates
11 | NonDeliverableSettlCalculationDates | Non-deliverable settlement calculation dates
12 | NonDeliverableFXFixingDates | Non-deliverable fixing dates.
13 | SettlPeriodNotnl | Settlement period notional
14 | SettlPeriodPx | Settlement period price
15 | CalcPeriod | Calculation period
16 | DividendAccrualRateMultiplier | Dividend accrual rate multiplier
17 | DividendAccrualRateSpread | Dividend accrual rate spread
18 | DividendAccrualCapRate | Dividend accrual cap rate
19 | DividendAccrualFloorRate | Dividend accrual floor rate
20 | CompoundingRateMultiplier | Compounding rate multiplier
21 | CompoundingRateSpread | Compounding rate spread
22 | CompoundingCapRate | Compounding cap rate
23 | CompoundingFloorRate | Compounding floor rate

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleWeight

Floating rate observation weight for cashflow payment.

Type: float

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleXID

Identifier of this UnderlyingPaymentSchedule for cross referencing elsewhere in the message.

Type: XID

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentScheduleXIDRef

Reference to payment schedule elsewhere in the message.

Type: XIDREF

Used in groups: UnderlyingPaymentScheduleGrp

UnderlyingPaymentStreamAccrualDays

The number of days from the adjusted calculation period start date to the adjusted value date, calculated in accordance with the applicable day count fraction.

Type: int

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamAveragingMethod

When rate averaging is applicable, used to specify whether a weighted or unweighted average calculation method is to be used.

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamBoundsFirstDateUnadjusted

The unadjusted first date of the compounding schedule. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamBoundsLastDateUnadjusted

The unadjusted last date of the compounding schedule. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCalculationLagPeriod

Time unit multiplier for the calculation lag duration.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamCalculationLagUnit

Time unit associated with the calculation lag duration.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamCapRate

The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamCashSettlIndicator

Indicates whether cash settlement is applicable.

Type: Boolean

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStream

The UnderlyingPaymentStream component is a subcomponent of the UnderlyingStream used to detail the attributes of a payment stream in a swap.

Name | Mult. | Type | Description
UnderlyingPaymentStreamType | [0..1] | CodeSet |
UnderlyingPaymentStreamMarketRate | [0..1] | int |
UnderlyingPaymentStreamDelayIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamCashSettlIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamSettlCurrency | [0..1] | Currency |
UnderlyingPaymentStreamDayCount | [0..1] | CodeSet |
UnderlyingPaymentStreamOtherDayCount | [0..1] | String | May be used to specify a count method not listed in UnderlyingPaymentStreamDayCount(40572).
UnderlyingPaymentStreamAccrualDays | [0..1] | int |
UnderlyingPaymentStreamDiscountType | [0..1] | CodeSet |
UnderlyingPaymentStreamDiscountRate | [0..1] | Percentage |
UnderlyingPaymentStreamDiscountRateDayCount | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingMethod | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingXIDRef | [0..1] | XIDREF | Mutually exclusive with UnderlyingPaymentStreamCompoundingFixedRate(42900) or the UnderlyingPaymentStreamCompoundingFloatingRate component.
UnderlyingPaymentStreamCompoundingSpread | [0..1] | PriceOffset |
UnderlyingPaymentStreamInterpolationMethod | [0..1] | CodeSet |
UnderlyingPaymentStreamInterpolationPeriod | [0..1] | CodeSet |
UnderlyingPaymentStreamInitialPrincipalExchangeIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamInterimPrincipalExchangeIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamFinalPrincipalExchangeIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamFlatRateIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamFlatRateAmount | [0..1] | Amt |
UnderlyingPaymentStreamFlatRateCurrency | [0..1] | Currency |
UnderlyingPaymentStreamMaximumPaymentAmount | [0..1] | Amt |
UnderlyingPaymentStreamMaximumPaymentCurrency | [0..1] | Currency |
UnderlyingPaymentStreamMaximumTransactionAmount | [0..1] | Amt |
UnderlyingPaymentStreamMaximumTransactionCurrency | [0..1] | Currency |
UnderlyingPaymentStreamPaymentDates | [0..1] | Component |
UnderlyingPaymentStreamResetDates | [0..1] | Component |
UnderlyingPaymentStreamFixedRate | [0..1] | Component |
UnderlyingPaymentStreamFloatingRate | [0..1] | Component |
UnderlyingPaymentStreamCompoundingFixedRate | [0..1] | float | Mutually exclusive with UnderlyingPaymentStreamCompoundingXIDRef(42896) or the UnderlyingPaymentStreamCompoundingFloatingRate component.
UnderlyingPaymentStreamCompoundingFloatingRate | [0..1] | Component | Mutually exclusive with UnderlyingPaymentStreamCompoundingFixedRate(42900) or the UnderlyingPaymentStreamCompoundingXIDRef(42896).
UnderlyingPaymentStreamCompoundingDates | [0..1] | Component |
UnderlyingPaymentStreamNonDeliverableSettlTerms | [0..1] | Component |

Used in groups: UnderlyingStreamGrp

UnderlyingPaymentStreamCompoundingAveragingMethod

Specifies the averaging method when compounding floating rate averaging is applicable (e.g. weighted or unweighted).

Type: int

Allowed values in PaymentStreamAveragingMethodCodeSet:

Code | Name | Description
0 | Unweighted | Unweighted
1 | Weighted | Weighted

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingCapRate

The cap rate, if any, which applies to the compounding floating rate. It is only required where the compounding floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as "0.05".

Type: Percentage

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingCapRateBuySide

Reference to the buyer of the compounding cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingCapRateSellSide

Reference to the seller of the compounding cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingDate

The compounding date. Type of date is specified in UnderlyingPaymentStreamCompoundingDateType(42903).

Type: LocalMktDate

Used in groups: UnderlyingPaymentStreamCompoundingDateGrp

UnderlyingPaymentStreamCompoundingDateGrp

UnderlyingPaymentStreamCompoundingDateGrp is a subcomponent of the UnderlyingPaymentStreamCompoundingDates component used to specify predetermined compounding dates.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamCompoundingDates | [1..1] | NumInGroup |
UnderlyingPaymentStreamCompoundingDate | [0..1] | LocalMktDate | Required if NoUnderlyingPaymentStreamCompoundingDates(42901) > 0.
UnderlyingPaymentStreamCompoundingDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDatesBusinessCenter

The business center calendar used for date adjustment of the payment stream compounding dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamCompoundingDatesBusinessCenterGrp

UnderlyingPaymentStreamCompoundingDatesBusinessCenterGrp

UnderlyingPaymentStreamCompoundingDatesBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamCompoundingDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamCompoundingDatesBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamCompoundingDatesBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamCompoundingDatesBusinessCenters(42915) > 0.

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDatesBusinessDayConvention

The compounding dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDates is a subcomponent of the UnderlyingPaymentStream component used to specify the compounding dates of the stream - either specific, relative or periodic dates.

Name | Mult. | Type | Description
UnderlyingPaymentStreamCompoundingDatesBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to payment stream compounding dates.
UnderlyingPaymentStreamCompoundingDatesBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to payment stream compounding dates.
UnderlyingPaymentStreamCompoundingDateGrp | [0..*] | Group |
UnderlyingPaymentStreamCompoundingDatesRelativeTo | [0..1] | int |
UnderlyingPaymentStreamCompoundingDatesOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamCompoundingDatesOffsetUnit(42907) is specified.
UnderlyingPaymentStreamCompoundingDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamCompoundingDatesOffsetPeriod(42906) is specified.
UnderlyingPaymentStreamCompoundingDatesOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingPeriodSkip | [0..1] | int |
UnderlyingPaymentStreamCompoundingStartDate | [0..1] | Component |
UnderlyingPaymentStreamCompoundingEndDate | [0..1] | Component |
UnderlyingPaymentStreamCompoundingFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamCompoundingFrequencyUnit(42911) is specified.
UnderlyingPaymentStreamCompoundingFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamCompoundingFrequencyPeriod(42910) is specified.
UnderlyingPaymentStreamCompoundingRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the payment stream dates.
UnderlyingPaymentStreamBoundsFirstDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamBoundsLastDateUnadjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamCompoundingDatesOffsetDayType

Specifies the day type of the relative compounding date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDatesOffsetPeriod

Time unit multiplier for the relative compounding date offset.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDatesOffsetUnit

Time unit associated with the relative compounding date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDatesRelativeTo

Specifies the anchor date when the compounding dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingDateType

Specifies the type of payment compounding date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingPaymentStreamCompoundingDateGrp

UnderlyingPaymentStreamCompoundingEndDateAdjusted

The adjusted compounding end date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingEndDate is a subcomponent of the UnderlyingPaymentStreamCompoundingDates component used to specify the end date for compounding.

Name | Mult. | Type | Description
UnderlyingPaymentStreamCompoundingEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamCompoundingEndDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamCompoundingEndDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamCompoundingEndDateOffsetUnit(42920) is specified.
UnderlyingPaymentStreamCompoundingEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamCompoundingEndDateOffsetPeriod(42919) is specified.
UnderlyingPaymentStreamCompoundingEndDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingEndDateAdjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingEndDateOffsetDayType

Specifies the day type of the relative compounding end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingEndDateOffsetPeriod

Time unit multiplier for the relative compounding end date offset.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingEndDateOffsetUnit

Time unit associated with the relative compounding end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingEndDateRelativeTo

Specifies the anchor date when the compounding end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingEndDateUnadjusted

The unadjusted compounding end date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamCompoundingEndDate

UnderlyingPaymentStreamCompoundingFinalRatePrecision

Specifies the compounding floating rate rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingFinalRateRoundingDirection

Specifies the rounding direction for the compounding floating rate.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingFixedRate

The compounding fixed rate applicable to the payment stream.

Type: float

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the parameters for determining the compounding floating rate of the stream.

Name | Mult. | Type | Description
UnderlyingPaymentStreamCompoundingRateIndex | [0..1] | String |
UnderlyingPaymentStreamCompoundingRateIndexCurvePeriod | [0..1] | int | Conditionally required if UnderlyingPaymentStreamCompoundingRateIndexCurveUnit(42925) is specified.
UnderlyingPaymentStreamCompoundingRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required if UnderlyingPaymentStreamCompoundingRateIndexCurvePeriod(42924) is specified.
UnderlyingPaymentStreamCompoundingRateMultiplier | [0..1] | float |
UnderlyingPaymentStreamCompoundingRateSpread | [0..1] | PriceOffset |
UnderlyingPaymentStreamCompoundingRateSpreadPositionType | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingRateTreatment | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingCapRate | [0..1] | Percentage |
UnderlyingPaymentStreamCompoundingCapRateBuySide | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingCapRateSellSide | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingFloorRate | [0..1] | Percentage |
UnderlyingPaymentStreamCompoundingFloorRateBuySide | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingFloorRateSellSide | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingInitialRate | [0..1] | Percentage |
UnderlyingPaymentStreamCompoundingFinalRateRoundingDirection | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingFinalRatePrecision | [0..1] | int |
UnderlyingPaymentStreamCompoundingAveragingMethod | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingNegativeRateTreatment | [0..1] | CodeSet |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamCompoundingFloorRate

The floor rate, if any, which applies to the compounding floating rate. The floor rate (strike) is only required where the compounding floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate. The rate is expressed as a decimal, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingFloorRateBuySide

Reference to the buyer of the compounding floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingFrequencyPeriod

Time unit multiplier for the frequency at which compounding dates occur.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingFrequencyUnit

Time unit associated with the frequency at which compounding dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingInitialRate

The initial compounding floating rate reset agreed between the principal parties involved in the trade. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. The initial rate is expressed in decimal form, e.g. 5% is represented as "0.05".

Type: Percentage

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingMethod

Compounding Method.

Type: int

Allowed values in PaymentStreamCompoundingMethodCodeSet:

Code | Name | Description
0 | None | None
1 | Flat | Flat
2 | Straight | Straight
3 | SpreadExclusive | Spread exclusive

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamCompoundingNegativeRateTreatment

Specifies the method for calculating payment obligations when a compounding floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingPeriodSkip

The number of periods in the "RelativeTo" schedule that are between each date in the compounding schedule. A skip of 2 would mean that compounding dates are relative to every second date in the "RelativeTo" schedule. If present this should have a value greater than 1.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingRateIndex

The payment stream's compounding floating rate index.

Type: String

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRateIndexCurvePeriod

Time unit multiplier for the payment stream's compounding floating rate index curve period.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRateIndexCurveUnit

Time unit associated with the payment stream's compounding floating rate index curve period.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRateMultiplier

A rate multiplier to apply to the compounding floating rate. The multiplier can be less than or greater than 1 (one). This should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRateSpread

The basis points spread from the index specified in UnderlyingPaymentStreamCompoundingRateIndex(42923).

Type: PriceOffset

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: UnderlyingPaymentStreamCompoundingFloatingRate

UnderlyingPaymentStreamCompoundingRollConvention

The convention for determining the sequence of compounding dates. It is used in conjunction with a specified frequency.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingSpread

The spread to be used for compounding. Used in scenarios where the interest payment is based on a compounding formula that uses a compounding spread in addition to the regular spread.

Type: PriceOffset

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamCompoundingStartDateAdjusted

The adjusted compounding start date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingStartDate is a subcomponent of the UnderlyingPaymentStreamCompoundingDates component used to specify the start date for compounding.

Name | Mult. | Type | Description
UnderlyingPaymentStreamCompoundingStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamCompoundingStartDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamCompoundingStartDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamCompoundingStartDateOffsetUnit(42944) is specified.
UnderlyingPaymentStreamCompoundingStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamCompoundingStartDateOffsetPeriod(42943) is specified.
UnderlyingPaymentStreamCompoundingStartDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamCompoundingStartDateAdjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingPaymentStreamCompoundingDates

UnderlyingPaymentStreamCompoundingStartDateOffsetDayType

Specifies the day type of the relative compounding start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingStartDateOffsetPeriod

Time unit multiplier for the relative compounding start date offset.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingStartDateOffsetUnit

Time unit associated with the relative compounding start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingStartDateRelativeTo

Specifies the anchor date when the compounding start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingStartDateUnadjusted

The unadjusted compounding start date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamCompoundingStartDate

UnderlyingPaymentStreamCompoundingXIDRef

Reference to the stream which details the compounding fixed or floating rate.

Type: XIDREF

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamContractPrice

The price per relevant unit for purposes of the calculation of a fixed amount for a dry voyage charter or time charter commodity swap.

Type: Price

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamContractPriceCurrency

Specifies the currency of UnderlyingPaymentStreamContractPrice(41907). Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamDayCount

The day count convention used in the payment stream calculations.

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamDaysAdjustmentIndicator

Indicates whether the contract specifies that the notional should be scaled by the number of days in range divided by the estimate trading days or not. The number of "days in range" refers to the number of returns that contribute to the realized volatility.

Type: Boolean

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamDelayIndicator

Applicable to credit default swaps on mortgage backed securities to specify whether payment delays are applicable to the fixed amount.

Residential mortgage backed securities typically have a payment delay of 5 days between the coupon date of the reference obligation and the payment date of the synthetic swap.

Commercial mortage backed securities do not typically have a payment delay, with both payment dates (the coupon date of the reference obligation and the payment date of the synthetic swap) being on the 25th of each month.

Type: Boolean

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamDiscountRate

Discount rate. The rate is expressed in decimal, e.g. 5% is expressed as 0.05.

Type: Percentage

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamDiscountRateDayCount

The day count convention applied to the UnderlyingPaymentStreamDiscountRate(40575).

Type: int

Allowed values in CouponDayCountCodeSet:

Code
Name
Description

0
OneOne
1/1. If parties specify the Day Count Fraction to be 1/1 then in calculating the applicable amount, 1 is simply input into the calculation as the relevant Day Count Fraction. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (a).

1
ThirtyThreeSixtyUS
30/360 (30U/360 or Bond Basis). See also ISO 15022 MICO code 'A001'.

2
ThirtyThreeSixtySIA
30/360 (SIA). A variant of "30/360" - when Date1 and Date2 are both Feb. 28th or 29th convert them to 30th using the same logic in the conversion of 31st to 30th.

3
ThirtyThreeSixtyM
30/360M. Commonly used day count convention for US mortgage backed securities. Feb 28th (or 29th in a leap year) is always considered as a 30th for a start date. As a comparison, in the regular 30/360 day count as used by most US agency and corporate bonds, a start date of Feb 28th (or 29th in a leap year) is still considered as the 28th (or 29th) day of a month of 30 days.

4
ThirtyEThreeSixty
30E/360 (Eurobond Basis). See also ISO 15022 MICO code 'A007'.

5
ThirtyEThreeSixtyISDA
30E/360 (ISDA). Date adjustment rules are: (1) if Date1 is the last day of the month, then change Date1 to 30; (2) if D2 is the last day of the month (unless Date2 is the maturity date and Date2 is in February), then change Date2 to 30. See also 2006 ISDA Definitions, Section 4.16. Day Count Fraction, paragraph (h).

6
ActThreeSixty
Act/360. See also ISO 15022 MICO code 'A004'.

7
ActThreeSixtyFiveFixed
Act/365 (FIXED). See also ISO 15022 MICO code 'A005'.

8
ActActAFB
Act/Act (AFB). See also ISO 15022 MICO code 'A010'.

9
ActActICMA
Act/Act (ICMA). See also ISO 15022 MICO code 'A006'.

10
ActActISMAUltimo
Act/Act (ICMA Ultimo). The Act/Act (ICMA Ultimo) differs from Act/Act (ICMA) method only that it assumes that regular coupons always fall on the last day of the month.

11
ActActISDA
Act/Act (ISDA). See also ISO 15022 MICO code 'A008'.

12
BusTwoFiftyTwo
BUS/252. Used for Brazilian Real swaps, which is based on business days instead of calendar days. The number of business days divided by 252.

13
ThirtyEPlusThreeSixty
30E+/360. Variation on 30E/360. Date adjustment rules: (1) If Date1 falls on the 31st, then change it to the 30th; (2) If Date2 falls on the 31st, then change it to 1 and increase Month2 by one, i.e. next month.

14
ActThreeSixtyFiveL
Act/365L. See also ISO 15022 MICO code 'A009'.

15
NLThreeSixtyFive
NL365. See also ISO 15022 MICO code 'A014'.

16
NLThreeSixty
NL360. This is the same as Act/360, with the exception of leap days (29th February) which are ignored.

17
Act364
Act/364. The actual number of days between Date1 and Date2, divided by 364.

18
ThirtyThreeSixtyFive
30/365. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and a 365-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). See also ISO 15022 MICO code 'A002'.

19
ThirtyActual
30/Actual. Interest is calculated based on a 30-day month in a way similar to the 30/360 (basic rule) and the assumed number of days in a year in a way similar to the Actual/Actual (ICMA). Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). The assumed number of days in a year is computed as the actual number of days in the coupon period multiplied by the number of interest payments in the year. See also ISO 15022 MICO code 'A003'.

20
ThirtyThreeSixtyICMA
30/360 (ICMA or basis rule). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30 calendar day of the same month, except for February. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be a 28 (or 29). It is the most commonly used 30/360 method for non-US straight and convertible bonds issued before 1 January 1999. See also ISO 15022 MICO code 'A011'.

21
ThirtyETwoThreeSixty
30E2/360 (Eurobond basis model two). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month, except for the last day of February whose day of the month value shall be adapted to the value of the first day of the interest period if the latter is higher and if the period is one of a regular schedule. This means that a 31 is assumed to be a 30 and the 28 February of a non-leap year is assumed to be equivalent to a 29 February when the first day of the interest period is a 29, or to a 30 February when the first day of the interest period is a 30 or a 31. The 29 February of a leap year is assumed to be equivalent to a 30 February when the first day of the interest period is a 30 or a 31. Similarly, if the coupon period starts on the last day of February, it is assumed to produce only one day of interest in February as if it was starting on a 30 February when the end of the period is a 30 or a 31, or two days of interest in February when the end of the period is a 29, or three days of interest in February when it is the 28 February of a non-leap year and the end of the period is before the 29. See also ISO 15022 MICO code 'A012'.

22
ThirtyEThreeThreeSixty
30E3/360 (Eurobond basis model three). Interest is calculated based on a 30-day month and a 360-day year. Accrued interest to a value date on the last day of a month shall be the same as to the 30th calendar day of the same month. This means that a 31 is assumed to be a 30 and the 28 February (or 29 February for a leap year) is assumed to be equivalent to a 30 February. It is a variation of the 30E/360 (or Eurobond basis) method where the last day of February is always assumed to be a 30, even if it is the last day of the maturity coupon period. See also ISO 15022 MICO code 'A013'.

99
Other
Other. For other day count method. See also ISO 15022 MICO code 'OTHR'.

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamDiscountType

The method of calculating discounted payment amounts

Type: int

Allowed values in PaymentStreamDiscountTypeCodeSet:

Code | Name | Description
0 | Standard | Standard
1 | FRA | Forward Rate Agreement (FRA)

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFinalPricePaymentDateAdjusted

The adjusted final price payment date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPricePaymentDate is a subcomponent of the UnderlyingPaymentStreamPaymentDates component used to specify the final price payment date, e.g. for an equity return swap.

Name | Mult. | Type | Description
UnderlyingPaymentStreamFinalPricePaymentDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamFinalPricePaymentDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamFinalPricePaymentDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamFinalPricePaymentDateOffsetUnit(42952) is specified.
UnderlyingPaymentStreamFinalPricePaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamFinalPricePaymentDateOffsetPeriod(42951) is specified.
UnderlyingPaymentStreamFinalPricePaymentDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamFinalPricePaymentDateAdjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamFinalPricePaymentDateOffsetDayType

Specifies the day type of the relative final price payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPricePaymentDateOffsetPeriod

Time unit multiplier for the relative final price payment date offset.

Type: int

Used in components: UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPricePaymentDateOffsetUnit

Time unit associated with the relative final price payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPricePaymentDateRelativeTo

Specifies the anchor date when the final price payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPricePaymentDateUnadjusted

The unadjusted final price payment date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamFinalPricePaymentDate

UnderlyingPaymentStreamFinalPrincipalExchangeIndicator

Indicates whether there is a final exchange of principal on the termination date.

Type: Boolean

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFinalRate

The floating rate determined at the final reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFinalRatePrecision

Specifies the rounding precision in terms of a number of decimal places. Note how a percentage rate rounding of 5 decimal places is expressed as a rounding precision of 7.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFinalRateRoundingDirection

Specifies the rounding direction.

Type: char

Allowed values in RoundingDirectionCodeSet:

Code | Name | Description
0 | RoundToNearest | Round to nearest
1 | RoundDown | Round down
2 | RoundUp | Round up

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstObservationDateAdjusted

The adjusted initial price observation date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstObservationDateOffsetDayType

Specifies the day type of the initial price observation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstObservationDateOffsetPeriod

Time unit multiplier for the relative first observation date offset.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstObservationDateOffsetUnit

Time unit associated with the relative first observation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstObservationDateRelativeTo

Specifies the anchor date when the initial price observation date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstObservationDateUnadjusted

The unadjusted initial price observation date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFirstPaymentDateUnadjusted

The unadjusted first payment date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamFixedAmount

The underlying payment stream's fixed payment amount. In CDS an alternative to UnderlyingPaymentStreamRate(40615).

Type: Amt

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamFixedAmountUnitOfMeasure

Fixed payment amount unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamFixedRate is a subcomponent of the UnderlyingPaymentStream component used to report the fixed rate or fixed payment amount of the stream.

Name | Mult. | Type | Description
UnderlyingPaymentStreamRate | [0..1] | Percentage | Mutually exclusive with UnderlyingPaymentStreamFixedAmount(40616).
UnderlyingPaymentStreamFixedAmount | [0..1] | Amt | Mutually exclusive with UnderlyingPaymentStreamRate(40615).
UnderlyingPaymentStreamRateOrAmountCurrency | [0..1] | Currency |
UnderlyingPaymentStreamFixedAmountUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentStreamTotalFixedAmount | [0..1] | Amt |
UnderlyingPaymentStreamFutureValueNotional | [0..1] | Amt |
UnderlyingPaymentStreamFutureValueDateAdjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamWorldScaleRate | [0..1] | float |
UnderlyingPaymentStreamContractPrice | [0..1] | Price |
UnderlyingPaymentStreamContractPriceCurrency | [0..1] | Currency |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFixingDate

The fixing date. Type of date is specified in UnderlyingPaymentStreamFixingDateType(42957).

Type: LocalMktDate

Used in groups: UnderlyingPaymentStreamFixingDateGrp

UnderlyingPaymentStreamFixingDateAdjusted

The adjusted fixing date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateBusinessCenter

The business center calendar used to adjust the payment stream's fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamFixingDateBusinessCenterGrp

UnderlyingPaymentStreamFixingDateBusinessCenterGrp

UnderlyingPaymentStreamFixingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamFixingDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamFixingDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamFixingDateBusinessCenters(40972) > 0.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateBusinessDayConvention

The business day convention used to adjust the payment stream's fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateGrp

UnderlyingPaymentStreamFixingDateGrp is a subcomponent of the UnderlyingPaymentStreamResetDates component used to specify predetermined fixing dates.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamFixingDates | [1..1] | NumInGroup |
UnderlyingPaymentStreamFixingDate | [0..1] | LocalMktDate | Required if NoUnderlyingPaymentStreamFixingDates(42955) > 0.
UnderlyingPaymentStreamFixingDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateOffsetDayType

Specifies the day type of the relative fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateOffsetPeriod

Time unit multiplier for the relative fixing date offset.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateOffsetUnit

Time unit associated with the relative fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateRelativeTo

Specifies the anchor date when the fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamFixingDateType

Specifies the type of fixing date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingPaymentStreamFixingDateGrp

UnderlyingPaymentStreamFlatRateAmount

Specifies the actual monetary value of the flat rate when UnderlyingPaymentStreamFlatRateIndicator(41897) = 'Y'.

Type: Amt

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFlatRateCurrency

Specifies the currency of the actual flat rate. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFlatRateIndicator

When this element is specified and set to 'Y', the Flat Rate is the New Worldwide Tanker Nominal Freight Scale for the Freight Index Route taken at the Trade Date of the transaction "Fixed". If 'N' it is taken on each Pricing Date "Floating".

Type: Boolean

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFloatingRate is a subcomponent of the UnderlyingPaymentStream component used to report the floating rate attributes of the stream.

Name | Mult. | Type | Description
UnderlyingPaymentStreamRateIndex | [0..1] | String |
UnderlyingPaymentStreamRateIndexSource | [0..1] | CodeSet |
UnderlyingPaymentStreamRateIndexID | [0..1] | String | Conditionally required when UnderlyingPaymentStreamRateIndexIDSource(43093) is specified.
UnderlyingPaymentStreamRateIndexIDSource | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamRateIndexID(43092) is specified.
UnderlyingPaymentStreamRateIndexCurveUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamRateIndexCurvePeriod(40623) is specified.
UnderlyingPaymentStreamRateIndexCurvePeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamRateIndexCurveUnit(40622) is specified.
UnderlyingPaymentStreamRateIndex2 | [0..1] | String |
UnderlyingPaymentStreamRateIndex2Source | [0..1] | CodeSet |
UnderlyingPaymentStreamRateIndex2ID | [0..1] | String | Conditionally required when UnderlyingPaymentStreamRateIndex2IDSource(43123) is specified.
UnderlyingPaymentStreamRateIndex2IDSource | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamRateIndex2ID(43122) is specified.
UnderlyingPaymentStreamRateIndex2CurveUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamRateIndex2CurvePeriod(41912) is specified.
UnderlyingPaymentStreamRateIndex2CurvePeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamRateIndex2CurveUnit(41911) is specified.
UnderlyingPaymentStreamRateIndexLocation | [0..1] | String |
UnderlyingPaymentStreamRateIndexLevel | [0..1] | Qty |
UnderlyingPaymentStreamRateIndexUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentStreamSettlLevel | [0..1] | CodeSet |
UnderlyingPaymentStreamReferenceLevel | [0..1] | Qty |
UnderlyingPaymentStreamReferenceLevelUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentStreamReferenceLevelEqualsZeroIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamRateMultiplier | [0..1] | float |
UnderlyingPaymentStreamRateSpread | [0..1] | PriceOffset |
UnderlyingPaymentStreamRateSpreadCurrency | [0..1] | Currency |
UnderlyingPaymentStreamRateSpreadUnitOfMeasure | [0..1] | CodeSet |
UnderlyingPaymentStreamRateConversionFactor | [0..1] | float |
UnderlyingPaymentStreamRateSpreadType | [0..1] | CodeSet |
UnderlyingPaymentStreamRateSpreadPositionType | [0..1] | CodeSet |
UnderlyingPaymentStreamRateTreatment | [0..1] | CodeSet |
UnderlyingPaymentStreamCapRate | [0..1] | Percentage |
UnderlyingPaymentStreamCapRateBuySide | [0..1] | CodeSet |
UnderlyingPaymentStreamCapRateSellSide | [0..1] | CodeSet |
UnderlyingPaymentStreamFloorRate | [0..1] | Percentage |
UnderlyingPaymentStreamFloorRateBuySide | [0..1] | CodeSet |
UnderlyingPaymentStreamFloorRateSellSide | [0..1] | CodeSet |
UnderlyingPaymentStreamInitialRate | [0..1] | Percentage |
UnderlyingPaymentStreamLastResetRate | [0..1] | Percentage |
UnderlyingPaymentStreamFinalRate | [0..1] | Percentage |
UnderlyingPaymentStreamFinalRateRoundingDirection | [0..1] | CodeSet |
UnderlyingPaymentStreamFinalRatePrecision | [0..1] | int |
UnderlyingPaymentStreamAveragingMethod | [0..1] | CodeSet |
UnderlyingPaymentStreamNegativeRateTreatment | [0..1] | CodeSet |
UnderlyingPaymentStreamCalculationLagPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamCalculationLagUnit(41927) is specified.
UnderlyingPaymentStreamCalculationLagUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamCalculationLagPeriod(41926) is specified.
UnderlyingPaymentStreamFirstObservationDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamFirstObservationDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamFirstObservationDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamFirstObservationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamFirstObservationOffsetUnit(41929) is specified.
UnderlyingPaymentStreamFirstObservationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamFirstObservationOffsetPeriod(41928) is specified.
UnderlyingPaymentStreamFirstObservationDateAdjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamPricingDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamPricingDayDistribution | [0..1] | CodeSet |
UnderlyingPaymentStreamPricingDayCount | [0..1] | int |
UnderlyingPaymentStreamPricingBusinessCalendar | [0..1] | String |
UnderlyingPaymentStreamPricingBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of pricing dates.
UnderlyingPaymentStreamPricingBusinessCenterGrp | [0..*] | Group |
UnderlyingPaymentStreamPricingDayGrp | [0..*] | Group |
UnderlyingPaymentStreamPricingDateGrp | [0..*] | Group |
UnderlyingPaymentStreamInflationLagPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamInflationLagUnit(40640) is specified.
UnderlyingPaymentStreamInflationLagUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamInflationLagPeriod(40639) is specified.
UnderlyingPaymentStreamInflationLagDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamInflationInterpolationMethod | [0..1] | CodeSet |
UnderlyingPaymentStreamInflationIndexSource | [0..1] | CodeSet |
UnderlyingPaymentStreamInflationPublicationSource | [0..1] | String |
UnderlyingPaymentStreamInflationInitialIndexLevel | [0..1] | float |
UnderlyingPaymentStreamInflationFallbackBondApplicable | [0..1] | Boolean |
UnderlyingPaymentStreamFRADiscounting | [0..1] | CodeSet |
UnderlyingPaymentStreamUnderlierRefID | [0..1] | String |
UnderlyingPaymentStreamFormula | [0..1] | Component |
UnderlyingDividendConditions | [0..1] | Component |
UnderlyingReturnRateNotionalReset | [0..1] | Boolean |
UnderlyingReturnRateGrp | [0..*] | Group |
UnderlyingPaymentStreamLinkInitialLevel | [0..1] | Price |
UnderlyingPaymentStreamLinkClosingLevelIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamLinkExpiringLevelIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamLinkEstimatedTradingDays | [0..1] | int |
UnderlyingPaymentStreamLinkStrikePrice | [0..1] | Price |
UnderlyingPaymentStreamLinkStrikePriceType | [0..1] | CodeSet |
UnderlyingPaymentStreamLinkMaximumBoundary | [0..1] | float |
UnderlyingPaymentStreamLinkMinimumBoundary | [0..1] | float |
UnderlyingPaymentStreamLinkNumberOfDataSeries | [0..1] | int |
UnderlyingPaymentStreamVarianceUnadjustedCap | [0..1] | float |
UnderlyingPaymentStreamRealizedVarianceMethod | [0..1] | CodeSet |
UnderlyingPaymentStreamDaysAdjustmentIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamNearestExchangeContractRefID | [0..1] | String |
UnderlyingPaymentStreamVegaNotionalAmount | [0..1] | float |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFormula

Contains an XML representation of the formula. Defined for flexibility in choice of language (MathML, OpenMath or text).

Type: XMLData

Used in groups: UnderlyingPaymentStreamFormulaMathGrp

UnderlyingPaymentStreamFormula

UnderlyingPaymentStreamFormula is a subcomponent of the UnderlyingPaymentStreamFloatingRate component used to report the parameters for determining the floating rate of the stream e.g. for equity swaps.

Name | Mult. | Type | Description
UnderlyingPaymentStreamFormulaCurrency | [0..1] | Currency |
UnderlyingPaymentStreamFormulaCurrencyDeterminationMethod | [0..1] | String |
UnderlyingPaymentStreamFormulaReferenceAmount | [0..1] | int |
UnderlyingPaymentStreamFormulaMathGrp | [0..*] | Group |
UnderlyingPaymentStreamFormulaImage | [0..1] | Component |

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFormulaCurrency

The currency in which the formula amount is denominated. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStreamFormula

UnderlyingPaymentStreamFormulaCurrencyDeterminationMethod

Specifies the method according to which the formula amount currency is determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in components: UnderlyingPaymentStreamFormula

UnderlyingPaymentStreamFormulaDesc

A description of the math formula in UnderlyingPaymentStreamFormula(42982).

Type: String

Used in groups: UnderlyingPaymentStreamFormulaMathGrp

UnderlyingPaymentStreamFormulaImage

Image of the formula image when represented through an encoded clip in base64Binary.

Type: data

Used in components: UnderlyingPaymentStreamFormulaImage

UnderlyingPaymentStreamFormulaImage

UnderlyingPaymentStreamFormulaImage is a subcomponent of the UnderlyingPaymentStreamFormula component used to include a base64Binary-encoded image clip of the formula.

Name | Mult. | Type | Description
UnderlyingPaymentStreamFormulaImageLength | [0..1] | Length | Conditionally required when UnderlyingPaymentStreamFormulaImage(42948) is specified.
UnderlyingPaymentStreamFormulaImage | [0..1] | data | Conditionally required when UnderlyingPaymentStreamFormulaImageLength(42947) is specified.

Used in components: UnderlyingPaymentStreamFormula

UnderlyingPaymentStreamFormulaImageLength

Length in bytes of the UnderlyingPaymentStreamFormulaImage(42948) field.

Type: Length

Used in components: UnderlyingPaymentStreamFormulaImage

UnderlyingPaymentStreamFormulaLength

Byte length of encoded (non-ASCII characters) UnderlyingPaymentStreamFormula(42982) field.

Type: Length

Used in groups: UnderlyingPaymentStreamFormulaMathGrp

UnderlyingPaymentStreamFormulaMathGrp

UnderlyingPaymentStreamFormulaMathGrp is a repeating subcomponent within the UnderlyingPaymentStreamFormula component. It is used to specify the set of formulas, sub-formulas and descriptions from which the rate is derived.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamFormulas | [1..1] | NumInGroup |
UnderlyingPaymentStreamFormulaLength | [0..1] | Length | Required if NoUnderlyingPaymentStreamFormulas(42981) > 0
UnderlyingPaymentStreamFormula | [0..1] | XMLData | Required if NoUnderlyingPaymentStreamFormulas(42981) > 0.
UnderlyingPaymentStreamFormulaDesc | [0..1] | String |

Used in components: UnderlyingPaymentStreamFormula

UnderlyingPaymentStreamFormulaReferenceAmount

Specifies the reference amount when this term either corresponds to the standard ISDA Definition (either the 2002 Equity Definition for the Equity Amount, or the 2000 Definition for the Interest Amount), or refers to a term defined elsewhere in the swap document.

See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of reference amounts.

Type: int

Used in components: UnderlyingPaymentStreamFormula

UnderlyingPaymentStreamFRADiscounting

The method of Forward Rate Agreement (FRA) discounting, if any, that will apply.

Type: int

Allowed values in PaymentStreamFRADiscountingCodeSet:

Code | Name | Description
0 | None | None
1 | ISDA | International Swaps and Derivatives Association (ISDA)
2 | AFMA | Australian Financial Markets Association (AFMA)

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamFutureValueDateAdjusted

The adjusted value date of the future value amount.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamFutureValueNotional

The future value notional is normally only required for certain non-deliverable interest rate swaps (e.g. Brazillian Real (BRL) vs. CETIP Interbank Deposit Rate (CDI)). The value is calculated as follows: Future Value Notional = Notional Amount * (1 + Fixed Rate) ^ (Fixed Rate Day Count Fraction). The currency is the same as the stream notional.

Type: Amt

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamInflationFallbackBondApplicable

Indicates whether a fallback bond as defined in the 2006 ISDA Inflation Derivatives Definitions, sections 1.3 and 1.8, is applicable or not. If not specified, the default value is "Y" (True/Yes).

Type: Boolean

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationIndexSource

The inflation index reference source.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationInitialIndexLevel

Initial known index level for the first calculation period.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationInterpolationMethod

The method used when calculating the Inflation Index Level from multiple points - the most common is Linear.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationLagDayType

The inflation lag period day type.

Type: int

Allowed values in PaymentStreamInflationLagDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationLagPeriod

Time unit multiplier for the inflation lag period. The lag period is the offsetting period from the payment date which determines the reference period for which the inflation index is observed.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationLagUnit

Time unit associated with the inflation lag period.

Type: String

Allowed values in PaymentStreamInflationLagUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInflationPublicationSource

The current main publication source such as relevant web site or a government body.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInitialFixingDateAdjusted

The adjusted initial fixing date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialFixingDateBusinessCenter

The business center calendar used to adjust the payment stream's initial fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamInitialFixingDateBusinessCenterGrp

UnderlyingPaymentStreamInitialFixingDateBusinessCenterGrp

UnderlyingPaymentStreamInitialFixingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamInitialFixingDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamInitialFixingDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamInitialFixingDateBusinessCenters(40971) > 0.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialFixingDateBusinessDayConvention

The business day convention used to adjust the payment stream's initial fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialFixingDateOffsetDayType

Specifies the day type of the relative initial fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialFixingDateOffsetPeriod

Time unit multiplier for the relative initial fixing date offset.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialFixingDateOffsetUnit

Time unit associated with the relative initial fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialFixingDateRelativeTo

Specifies the anchor date when the initial fixing date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamInitialPrincipalExchangeIndicator

Indicates whether there is an initial exchange of principal on the effective date.

Type: Boolean

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamInitialRate

The initial floating rate reset agreed between the principal parties involved in the trade. This is assumed to be the first required reset rate for the first regular calculation period. It should only be included when the rate is not equal to the rate published on the source implied by the floating rate index. An initial rate of 5% would be represented as 0.05.

Type: Percentage

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamInterimPrincipalExchangeIndicator

Indicates whether there are intermediate or interim exchanges of principal during the term of the swap.

Type: Boolean

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamInterpolationMethod

The method used when calculating the index rate from multiple points on the curve. The most common is linear method.

Type: int

Allowed values in PaymentStreamInflationInterpolationMethodCodeSet:

Code | Name | Description
0 | None | None
1 | LinearZeroYield | Linear zero yield

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamInterpolationPeriod

Defines applicable periods for interpolation.

Type: int

Allowed values in PaymentStreamInterpolationPeriodCodeSet:

Code | Name | Description
0 | Initial | Initial. Interpolation is applicable to the initial period only.
1 | InitialAndFinal | Initial and final. Interpolation is applicable to the initial and final periods only.
2 | Final | Final. Interpolation is applicable to the final period only.
3 | AnyPeriod | Any period. Interpolation is applicable to any non-standard period.

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamLastRegularPaymentDateUnadjusted

The unadjusted last regular payment date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamLastResetRate

The floating rate determined at the most recent reset. The rate is expressed in decimal form, e.g. 5% is represented as 0.05.

Type: Percentage

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkClosingLevelIndicator

Indicates whether the correlation or variance swap contract will ("Y") strike off the closing level of the default exchange traded contract or not.

Type: Boolean

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkEstimatedTradingDays

The expected number of trading days in the variance or correlation swap stream.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkExpiringLevelIndicator

Indicates whether the correlation or variance swap contract will ("Y") strike off the expiring level of the default exchange traded contract or not.

Type: Boolean

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkInitialLevel

Price level at which the correlation or variance swap contract will strike.

Type: Price

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkMaximumBoundary

Specifies the maximum or upper boundary for variance or strike determination.

For a variation swap stream all observations above this price level will be excluded from the variance calculation.

For a correlation swap stream the maximum boundary is a percentage of the strike price.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkMinimumBoundary

Specifies the minimum or lower boundary for variance or strike determination.

For a variation swap stream all observations below this price level will be excluded from the variance calculation.

For a correlation swap stream the minimum boundary is a percentage of the strike price.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkNumberOfDataSeries

Number of data series for a correlation swap. Normal market practice is that correlation data sets are drawn from geographic market areas, such as America, Europe and Asia Pacific. Each of these geographic areas will have its own data series to avoid contagion.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkStrikePrice

The strike price of a correlation or variance swap stream.

Type: Price

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamLinkStrikePriceType

For a variance swap specifies how UnderlyingPaymentStreamLinkStrikePrice(42968) is expressed.

Type: int

Allowed values in PaymentStreamLinkStrikePriceTypeCodeSet:

Code | Name | Description
0 | Volatility | Volatility
1 | Variance | Variance

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamMarketRate

Used only for credit index trade. This contains the credit spread ("fair value") at which the trade was executed. The market rate varies over the life of the index depending on market conditions. This is the price of the index as quoted by trading desks.

Type: int

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamMasterAgreementPaymentDatesIndicator

When set to 'Y', it indicates that payment dates are specified in the relevant master agreement.

Type: Boolean

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamMaximumPaymentAmount

Specifies the limit on the total payment amount.

Type: Amt

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamMaximumPaymentCurrency

Specifies the currency of total payment amount limit. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamMaximumTransactionAmount

Specifies the limit on the payment amount that goes out in any particular calculation period.

Type: Amt

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamMaximumTransactionCurrency

Specifies the currency of the period payment amount limit. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamNearestExchangeContractRefID

References a contract listed on an exchange through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamNegativeRateTreatment

The specification of any provisions for calculating payment obligations when a floating rate is negative (either due to a quoted negative floating rate or by operation of a spread that is subtracted from the floating rate).

Type: int

Allowed values in PaymentStreamNegativeRateTreatmentCodeSet:

Code | Name | Description
0 | ZeroInterestRateMethod | Zero interest rate method
1 | NegativeInterestRateMethod | Negative interest rate method

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamNonDeliverableFixingDateGrp

UnderlyingPaymentStreamNonDeliverableFixingDate is a subcomponent of the UnderlyingPaymentStreamNonDeliverableSettlTerms component used to specify predetermined fixing dates.

Name | Mult. | Type | Description
NoUnderlyingNonDeliverableFixingDates | [1..1] | NumInGroup |
UnderlyingNonDeliverableFixingDate | [0..1] | LocalMktDate | Required if NoUnderlyingNonDeliverableFixingDates(40656) > 0.
UnderlyingNonDeliverableFixingDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableFixingDatesBizDayConvention

The business day convention used to adjust the payment stream's fixing date for the non-deliverable terms. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenter

The business center calendar used to adjust the payment stream's fixing date for the non-deliverable terms, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp

UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamNonDeliverableSettlTerms component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamNonDeliverableFixingDatesBizCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamNonDeliverableFixingDatesBizCenters(40968) > 0.

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetDayType

Specifies the day type of the relative non-deliverable fixing date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetPeriod

Time unit multiplier for the relative non-deliverable fixing date offset.

Type: int

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetUnit

Time unit associated with the relative non-deliverable fixing date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableFixingDatesRelativeTo

Specifies the anchor date when the non-deliverable fixing dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableRefCurrency

The non-deliverable settlement reference currency. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableSettlRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in components: UnderlyingPaymentStreamNonDeliverableSettlRateSource

UnderlyingPaymentStreamNonDeliverableSettlRateSource

UnderlyingPaymentStreamNonDeliverableSettlRateSource is a subcomponent of the UnderlyingPaymentStreamNonDeliverableSettlTerms component used to specify the rate source in the event of payment non-delivery.

Name | Mult. | Type | Description
UnderlyingPaymentStreamNonDeliverableSettlRateSource | [0..1] | CodeSet |
UnderlyingPaymentStreamNonDeliverableSettlReferencePage | [0..1] | String | Conditionally required when UnderlyingPaymentStreamNonDeliverableSettlRateSource(40661) = 3 (ISDA Settlement Rate Option) or 99 (Other).

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableSettlReferencePage

Identifies the reference "page" from the rate source.

When UnderlyingPaymentStreamNonDeliverableSettlRateSource(40661) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in components: UnderlyingPaymentStreamNonDeliverableSettlRateSource

UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingPaymentStreamNonDeliverableSettlTerms is a subcomponent of the UnderlyingPaymentStream component used to specify the non-deliverable settlement terms of the stream.

Name | Mult. | Type | Description
UnderlyingPaymentStreamNonDeliverableRefCurrency | [0..1] | Currency |
UnderlyingPaymentStreamNonDeliverableFixingDatesBizDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's non-deliverable settlement terms.
UnderlyingPaymentStreamNonDeliverableFixingDatesBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's non-deliverable settlement terms.
UnderlyingPaymentStreamNonDeliverableFixingDatesRelativeTo | [0..1] | int |
UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetUnit(40653) is specified.
UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetPeriod(40652) is specified.
UnderlyingPaymentStreamNonDeliverableFixingDatesOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamNonDeliverableSettlRateSource | [0..1] | Component |
UnderlyingPaymentStreamNonDeliverableFixingDateGrp | [0..*] | Group |
UnderlyingSettlRateDisruptionFallbackGrp | [0..*] | Group |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamOtherDayCount

The industry name of the day count convention not listed in UnderlyingPaymentStreamDayCount(40572).

Type: String

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamPaymentDate

The adjusted or unadjusted fixed stream payment date.

Type: LocalMktDate

Used in groups: UnderlyingPaymentStreamPaymentDateGrp

UnderlyingPaymentStreamPaymentDateBusinessCenter

The business center calendar used to adjust the payment stream's payment date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamPaymentDateBusinessCenterGrp

UnderlyingPaymentStreamPaymentDateBusinessCenterGrp

UnderlyingPaymentStreamPaymentDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamPaymentDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamPaymentDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamPaymentDateBusinessCenters(40969) > 0.

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDateBusinessDayConvention

The business day convention used to adjust the payment stream's payment date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDateGrp

The UnderlyingPaymentStreamPaymentDateGrp is a repeating subcomponent of the UnderlyingPaymentStreamPaymentDates component used to detail fixed dates for swap stream payments.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamPaymentDates | [1..1] | NumInGroup |
UnderlyingPaymentStreamPaymentDate | [0..1] | LocalMktDate | Required if NoUnderlyingPaymentStreamPaymentDates(41937) > 0.
UnderlyingPaymentStreamPaymentDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDateOffsetDayType

Specifies the day type of the relative payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDateOffsetPeriod

Time unit multiplier for the relative payment date offset.

Type: int

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDateOffsetUnit

Time unit associated with the relative payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDateRelativeTo

Specifies the anchor date when payment dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentDates is a subcomponent of the UnderlyingPaymentStream component used to specify the payment dates of the stream.

Name | Mult. | Type | Description
UnderlyingPaymentStreamPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's payment dates.
UnderlyingPaymentStreamPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's payment dates.
UnderlyingPaymentStreamPaymentDateGrp | [0..*] | Group |
UnderlyingPaymentStreamPaymentFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamPaymentFrequencyUnit(40584) is specified.
UnderlyingPaymentStreamPaymentFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamPaymentFrequencyPeriod(40583) is specified.
UnderlyingPaymentStreamPaymentRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the stream payment dates.
UnderlyingPaymentStreamFirstPaymentDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamLastRegularPaymentDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamPaymentDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamPaymentOffsetUnit(40590) is specified.
UnderlyingPaymentStreamPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamPaymentOffsetPeriod(40589) is specified.
UnderlyingPaymentStreamPaymentDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamMasterAgreementPaymentDatesIndicator | [0..1] | Boolean |
UnderlyingPaymentStreamFinalPricePaymentDate | [0..1] | Component |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamPaymentDateType

Specifies the type of payment date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingPaymentStreamPaymentDateGrp

UnderlyingPaymentStreamPaymentFrequencyPeriod

Time unit multiplier for the frequency of payments.

Type: int

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentFrequencyUnit

Time unit associated with the frequency of payments.

Type: String

Allowed values in PaymentStreamPaymentFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
T | Term | Term

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPaymentRollConvention

The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: UnderlyingPaymentStreamPaymentDates

UnderlyingPaymentStreamPricingBusinessCalendar

Specifies the business calendar to use for pricing.

See http://www.fpml.org/coding-scheme/commodity-business-calendar for values.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingBusinessCenter

The business center calendar used to adjust the payment stream's pricing dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamPricingBusinessCenterGrp

UnderlyingPaymentStreamPricingBusinessCenterGrp

UnderlyingPaymentStreamPricingBusinessCenterGrp is a repeating subcomponent of the UnderlyingPaymentStreamFloatingRate component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamPricingBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamPricingBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamPricingBusinessCenters(41909) > 0.

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingBusinessDayConvention

The business day convention used to adjust the payment stream's pricing dates. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingDate

An adjusted or unadjusted fixed pricing date.

Type: LocalMktDate

Used in groups: UnderlyingPaymentStreamPricingDateGrp

UnderlyingPaymentStreamPricingDateGrp

The UnderlyingPaymentStreamPricingDateGrp is a repeating subcomponent of the UnderlyingPaymentStreamFloatingRate component used to detail fixed pricing dates.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamPricingDates | [1..1] | NumInGroup |
UnderlyingPaymentStreamPricingDate | [0..1] | LocalMktDate | Required if NoUnderlyingPaymentStreamPricingDates(41941) > 0.
UnderlyingPaymentStreamPricingDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingDateType

Specifies the type of pricing date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingPaymentStreamPricingDateGrp

UnderlyingPaymentStreamPricingDayCount

The number of days over which pricing should take place.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingDayDistribution

The distribution of pricing days.

Type: int

Allowed values in PaymentStreamPricingDayDistributionCodeSet:

Code | Name | Description
0 | All | All
1 | First | First
2 | Last | Last
3 | Penultimate | Penultimate

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingDayGrp

The UnderlyingPaymentStreamPricingDayGrp is a repeating subcomponent of the UnderlyingPaymentStreamFloatingRate component used to detail periodic pricing days.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamPricingDays | [1..1] | NumInGroup |
UnderlyingPaymentStreamPricingDayOfWeek | [0..1] | CodeSet | Required if NoUnderlyingPaymentStreamPricingDays(41944) > 0.
UnderlyingPaymentStreamPricingDayNumber | [0..1] | int |

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamPricingDayNumber

The occurrence of the day of week on which pricing takes place.

Type: int

Used in groups: UnderlyingPaymentStreamPricingDayGrp

UnderlyingPaymentStreamPricingDayOfWeek

The day of the week on which pricing takes place.

Type: int

Allowed values in PaymentStreamPricingDayOfWeekCodeSet:

Code | Name | Description
0 | EveryDay | Every day (the default if not specified)
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday

Used in groups: UnderlyingPaymentStreamPricingDayGrp

UnderlyingPaymentStreamPricingDayType

Specifies the commodity pricing day type.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRate

The rate applicable to the fixed rate payment stream.

Type: Percentage

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamRateConversionFactor

The number to be multiplied by the derived floating rate of the underlying's payment stream in order to arrive at the payment rate. If omitted, the floating rate conversion factor is 1.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateCutoffDateOffsetDayType

Specifies the day type of the relative rate cut-off date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamRateCutoffDateOffsetPeriod

Time unit multiplier for the relative rate cut-off date offset.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamRateCutoffDateOffsetUnit

Time unit associated with the relative rate cut-off date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamRateIndex

The payment stream's floating rate index.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndex2

The payment stream's second floating rate index.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndex2CurvePeriod

Secondary time unit multiplier for the payment stream’s floating rate index curve.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndex2CurveUnit

Secondary time unit associated with the payment stream’s floating rate index curve.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndex2ID

Security identifier of the second floating rate index.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndex2IDSource

Source for the second floating rate index identified in UnderlyingPaymentStreamRateIndex2ID(43122).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndex2Source

The source of the payment stream's second floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexCurvePeriod

Time unit multiplier for the underlying instrument’s floating rate index.

Type: int

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexCurveUnit

Time unit associated with the underlying instrument’s floating rate index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexID

Security identifier of the floating rate index.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexIDSource

Source for the floating rate index identified in UnderlyingPaymentStreamRateIndexID(43092).

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexLevel

This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD index level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.

Type: Qty

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexLocation

Specifies the location of the floating rate index.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexSource

The source of the payment stream floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateIndexUnitOfMeasure

The unit of measure (UOM) of the rate index level.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateMultiplier

A rate multiplier to apply to the floating rate. A multiplier schedule is expressed as explicit multipliers and dates. In the case of a schedule, the step dates may be subject to adjustment in accordance with any adjustments specified in the calculationPeriodDatesAdjustments. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateOrAmountCurrency

Specifies the currency in which UnderlyingPaymentStreamFixedAmount(40616) or UnderlyingPaymentStreamRate(40615) is denominated. Users ISO 4271 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamRateSpread

Spread from floating rate index.

Type: PriceOffset

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateSpreadCurrency

Specifies the currency of the floating rate spread. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateSpreadPositionType

Identifies a short or long spread value.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateSpreadType

Identifies whether the rate spread is an absolute value to be added to the index rate or a percentage of the index rate.

Type: int

Allowed values in PaymentStreamRateSpreadTypeCodeSet:

Code | Name | Description
0 | Absolute | Absolute
1 | Percentage | Percentage

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateSpreadUnitOfMeasure

Specifies the unit of measure (UOM) of the floating rate spread.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRateTreatment

Specifies the yield calculation treatment for the index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamRealizedVarianceMethod

Indicates which price to use to satisfy the boundary condition.

Type: int

Allowed values in PaymentStreamRealizedVarianceMethodCodeSet:

Code | Name | Description
0 | Previous | Previous. For a return on day T, the observed price on T-1 must be in range.
1 | Last | Last. For a return on day T, the observed price on T must be in range.
2 | Both | Both. For a return on day T, the observed prices on both T and T-1 must be in range.

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamReferenceLevel

This is the weather Cooling Degree Days (CDD), Heating Degree Days (HDD) or HDD reference level specified as the number of (amount of) weather index units specified by the parties in the related confirmation.

Type: Qty

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamReferenceLevelEqualsZeroIndicator

When set to 'Y', it indicates that the weather reference level equals zero.

Type: Boolean

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamReferenceLevelUnitOfMeasure

The unit of measure (UOM) of the rate reference level.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamResetDateBusinessCenter

The business center calendar used to adjust the payment stream's reset date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStreamResetDateBusinessCenterGrp

UnderlyingPaymentStreamResetDateBusinessCenterGrp

UnderlyingPaymentStreamResetDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStreamResetDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingPaymentStreamResetDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStreamResetDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStreamResetDateBusinessCenters(40970) > 0.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamResetDateBusinessDayConvention

The business day convention used to adjust the payment stream's reset date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamResetDateRelativeTo

Specifies the anchor date when the reset dates are relative to an anchor date.

If the reset frequency is specified as daily this element must not be included.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamResetDates is a subcomponent of the UnderlyingPaymentStream component used to specify the floating rate reset dates of the stream.

Name | Mult. | Type | Description
UnderlyingPaymentStreamResetDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamResetDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's reset dates.
UnderlyingPaymentStreamResetDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's reset dates.
UnderlyingPaymentStreamResetFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamResetFrequencyUnit(40596) is specified.
UnderlyingPaymentStreamResetFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamResetFrequencyPeriod(40595) is specified.
UnderlyingPaymentStreamResetWeeklyRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the reset dates.
UnderlyingPaymentStreamInitialFixingDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamInitialFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's reset dates.
UnderlyingPaymentStreamInitialFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's reset dates.
UnderlyingPaymentStreamInitialFixingDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamInitialFixingDateOffsetUnit(40602) is specified.
UnderlyingPaymentStreamInitialFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamInitialFixingDateOffsetPeriod(40601) is specified.
UnderlyingPaymentStreamInitialFixingDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamInitialFixingDateAdjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamFixingDateRelativeTo | [0..1] | int |
UnderlyingPaymentStreamFixingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's payment stream's reset dates.
UnderlyingPaymentStreamFixingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's payment stream's reset dates.
UnderlyingPaymentStreamFixingDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamFixingDateOffsetUnit(40609) is specified.
UnderlyingPaymentStreamFixingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamFixingDateOffsetPeriod(40608) is specified.
UnderlyingPaymentStreamFixingDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamFixingDateAdjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStreamRateCutoffDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStreamRateCutoffDateOffsetUnit(40613) is specified.
UnderlyingPaymentStreamRateCutoffDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStreamRateCutoffDateOffsetPeriod(40612) is specified.
UnderlyingPaymentStreamRateCutoffDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStreamFixingDateGrp | [0..*] | Group |

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamResetFrequencyPeriod

Time unit multiplier for frequency of resets.

Type: int

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamResetFrequencyUnit

Time unit associated with frequency of resets.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamResetWeeklyRollConvention

Used to specify the day of the week in which the reset occurs for payments that reset on a weekly basis.

Type: String

Allowed values in PaymentStreamResetWeeklyRollConventionCodeSet:

Code | Name | Description
MON | Monday | Monday
TUE | Tuesday | Tuesday
WED | Wednesday | Wednesday
THU | Thursday | Thursday
FRI | Friday | Friday
SAT | Saturday | Saturday
SUN | Sunday | Sunday

Used in components: UnderlyingPaymentStreamResetDates

UnderlyingPaymentStreamSettlCurrency

Specifies the currency that the stream settles in (to support swaps that settle in a currency different from the notional currency). Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamSettlLevel

Specifies how weather index units are to be calculated.

Type: int

Allowed values in PaymentStreamSettlLevelCodeSet:

Code | Name | Description
0 | Average | Average. The cumulative number of weather index units for each day in the calculation period divided by the number of days in the calculation period.
1 | Maximum | Maximum. The maximum number of weather index units for any day in the calculaiton period.
2 | Minimum | Minimum. The minimum number of weather index units for any day in the calculaiton period.
3 | Cumulative | Cumulative. The cumulative number of weather index units for each day in the calculaiton period.

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamTotalFixedAmount

Specifies the total fixed payment amount.

Type: Amt

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStreamType

Identifies the type of payment stream applicable to the swap stream associated with the underlying instrument.

Type: int

Allowed values in PaymentStreamTypeCodeSet:

Code | Name | Description
0 | Periodic | Periodic (default)
1 | Initial | Initial
2 | Single | Single
3 | Dividend | Dividend
4 | Interest | Interest
5 | DividendReturn | Dividend return
6 | PriceReturn | Price return
7 | TotalReturn | Total return
8 | Variance | Variance
9 | Correlation | Correlation

Used in components: UnderlyingPaymentStream

UnderlyingPaymentStreamUnderlierRefID

References the dividend underlier through the instrument's UnderlyingSecurityID(309) which must be fully specified in an instance of the UnderlyingInstrument component.

Type: String

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamVarianceUnadjustedCap

Indicates the scaling factor to be multiplied by the variance strike price thereby making variance cap applicable.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamVegaNotionalAmount

Vega Notional represents the approximate gain/loss at maturity for a 1% difference between RVol (realised volatility) and KVol (strike volatility). It does not necessarily represent the Vega risk of the trade.

Type: float

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingPaymentStreamWorldScaleRate

The number of Worldscale points for purposes of the calculation of a fixed amount for a wet voyage charter commodity swap.

Type: float

Used in components: UnderlyingPaymentStreamFixedRate

UnderlyingPaymentStubEndDateAdjusted

The adjusted stub end date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDateBusinessCenter

The business center calendar used for date adjustment of the payment stub end date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStubEndDateBusinessCenterGrp

UnderlyingPaymentStubEndDateBusinessCenterGrp

UnderlyingPaymentStubEndDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStubEndDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingPaymentStubEndDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStubEndDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStubEndDateBusinessCenters(42991) > 0.

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDateBusinessDayConvention

The stub end date business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDate is a subcomponent of the UnderlyingPaymentStubGrp component used to specify the end date of the payment stub.

Name | Mult. | Type | Description
UnderlyingPaymentStubEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStubEndDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this payment stub instance.
UnderlyingPaymentStubEndDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this payment stub instance.
UnderlyingPaymentStubEndDateRelativeTo | [0..1] | int |
UnderlyingPaymentStubEndDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStubEndDateOffsetUnit(42988) is specified.
UnderlyingPaymentStubEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStubEndDateOffsetPeriod(42987) is specified.
UnderlyingPaymentStubEndDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStubEndDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubEndDateOffsetDayType

Specifies the day type of the relative stub end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDateOffsetPeriod

Time unit multiplier for the relative stub end date offset.

Type: int

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDateOffsetUnit

Time unit associated with the relative stub end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDateRelativeTo

Specifies the anchor date when the stub end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubEndDateUnadjusted

The unadjusted stub end date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStubEndDate

UnderlyingPaymentStubFixedAmount

A fixed payment amount for the stub.

Type: Amt

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubFixedCurrency

The currency of the fixed payment amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubGrp

The UnderlyingPaymentStubGrp is a repeating subcomponent of the UnderlyingPaymentStream component used to specify front and back stubs in the payment stream.

Name | Mult. | Type | Description
NoUnderlyingPaymentStubs | [1..1] | NumInGroup |
UnderlyingPaymentStubType | [0..1] | CodeSet | Required if NoUnderlyingPaymentStubs(40708) > 0.
UnderlyingPaymentStubLength | [0..1] | CodeSet |
UnderlyingPaymentStubStartDate | [0..1] | Component |
UnderlyingPaymentStubEndDate | [0..1] | Component |
UnderlyingPaymentStubRate | [0..1] | Percentage |
UnderlyingPaymentStubFixedAmount | [0..1] | Amt |
UnderlyingPaymentStubFixedCurrency | [0..1] | Currency |
UnderlyingPaymentStubIndex | [0..1] | String |
UnderlyingPaymentStubIndexSource | [0..1] | CodeSet |
UnderlyingPaymentStubIndexCurvePeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStubIndexCurveUnit(40717) is specified.
UnderlyingPaymentStubIndexCurveUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStubIndexCurvePeriod(40716) is specified.
UnderlyingPaymentStubIndexRateMultiplier | [0..1] | float |
UnderlyingPaymentStubIndexRateSpread | [0..1] | PriceOffset |
UnderlyingPaymentStubIndexRateSpreadPositionType | [0..1] | CodeSet |
UnderlyingPaymentStubIndexRateTreatment | [0..1] | CodeSet |
UnderlyingPaymentStubIndexCapRate | [0..1] | Percentage |
UnderlyingPaymentStubIndexCapRateBuySide | [0..1] | CodeSet |
UnderlyingPaymentStubIndexCapRateSellSide | [0..1] | CodeSet |
UnderlyingPaymentStubIndexFloorRate | [0..1] | Percentage |
UnderlyingPaymentStubIndexFloorRateBuySide | [0..1] | CodeSet |
UnderlyingPaymentStubIndexFloorRateSellSide | [0..1] | CodeSet |
UnderlyingPaymentStubIndex2 | [0..1] | String |
UnderlyingPaymentStubIndex2Source | [0..1] | CodeSet |
UnderlyingPaymentStubIndex2CurvePeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStubIndex2CurveUnit(40731) is specified.
UnderlyingPaymentStubIndex2CurveUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStubIndex2CurvePeriod(40730) is specified.
UnderlyingPaymentStubIndex2RateMultiplier | [0..1] | float |
UnderlyingPaymentStubIndex2RateSpread | [0..1] | PriceOffset |
UnderlyingPaymentStubIndex2RateSpreadPositionType | [0..1] | CodeSet |
UnderlyingPaymentStubIndex2RateTreatment | [0..1] | CodeSet |
UnderlyingPaymentStubIndex2CapRate | [0..1] | Percentage |
UnderlyingPaymentStubIndex2FloorRate | [0..1] | Percentage |

Used in groups: UnderlyingStreamGrp

UnderlyingPaymentStubIndex

The stub floating rate index.

Type: String

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2

The second stub floating rate index.

Type: String

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2CapRate

The cap rate, if any, which applies to the second floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2CurvePeriod

Secondary time unit multiplier for the stub floating rate index curve.

Type: int

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2CurveUnit

Secondary time unit associated with the stub floating rate index curve.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2FloorRate

The floor rate, if any, which applies to the second floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2RateMultiplier

A rate multiplier to apply to the second floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2RateSpread

Spread from the second floating rate index.

Type: PriceOffset

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2RateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2RateTreatment

Specifies the yield calculation treatment for the second stub index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndex2Source

The source of the second stub floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexCapRate

The cap rate, if any, which applies to the floating rate. The cap rate (strike) is only required where the floating rate on a swap stream is capped at a certain level. The cap rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A cap rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexCapRateBuySide

Reference to the buyer of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexCapRateSellSide

Reference to the seller of the cap rate option through its trade side.

Type: int

Allowed values in PaymentStreamCapRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexCurvePeriod

Time unit multiplier for the underlying payment stub floating rate index.

Type: int

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexCurveUnit

Time unit associated with the underlying payment stub floating rate index.

Type: String

Allowed values in PaymentStreamRateIndexCurveUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexFloorRate

The floor rate, if any, which applies to the floating rate. The floor rate (strike) is only required where the floating rate on a swap stream is floored at a certain strike level. The floor rate is assumed to be exclusive of any spread and is a per annum rate, expressed as a decimal. A floor rate of 5% would be represented as 0.05.

Type: Percentage

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexFloorRateBuySide

Reference to the buyer of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexFloorRateSellSide

Reference to the seller of the floor rate option through its trade side.

Type: int

Allowed values in PaymentStreamFloorRateBuySideCodeSet:

Code | Name | Description
1 | Buyer | Buyer of the trade
2 | Seller | Seller of the trade

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexRateMultiplier

A rate multiplier to apply to the floating rate. The multiplier can be less than or greater than 1 (one). This element should only be included if the multiplier is not equal to 1 (one) for the term of the stream.

Type: float

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexRateSpread

Spread from floating rate index.

Type: PriceOffset

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexRateSpreadPositionType

Identifies whether the rate spread is applied to a long or short position.

Type: int

Allowed values in PaymentStreamRateSpreadPositionTypeCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexRateTreatment

Specifies the yield calculation treatment for the stub index.

Type: int

Allowed values in PaymentStreamRateTreatmentCodeSet:

Code | Name | Description
0 | BondEquivalentYield | Bond equivalent yield
1 | MoneyMarketYield | Money market yield

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubIndexSource

The source for the underlying payment stub floating rate index.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubLength

Optional indication whether stub is shorter or longer than the regular swap period.

Type: int

Allowed values in PaymentStubLengthCodeSet:

Code | Name | Description
0 | Short | Short
1 | Long | Long

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubRate

The agreed upon fixed rate for this stub.

Type: Percentage

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubStartDateAdjusted

The adjusted stub start date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDateBusinessCenter

The business center calendar used for date adjustment of the payment stub start date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPaymentStubStartDateBusinessCenterGrp

UnderlyingPaymentStubStartDateBusinessCenterGrp

UnderlyingPaymentStubStartDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingPaymentStubStartDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingPaymentStubStartDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPaymentStubStartDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPaymentStubStartDateBusinessCenters(43000) > 0.

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDateBusinessDayConvention

The stub start date business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDate is a subcomponent of the UnderlyingPaymentStubGrp component used to specify the start date of the payment stub.

Name | Mult. | Type | Description
UnderlyingPaymentStubStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPaymentStubStartDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this payment stub instance.
UnderlyingPaymentStubStartDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this payment stub instance.
UnderlyingPaymentStubStartDateRelativeTo | [0..1] | int |
UnderlyingPaymentStubStartDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingPaymentStubStartDateOffsetUnit(42997) is specified.
UnderlyingPaymentStubStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentStubStartDateOffsetPeriod(42996) is specified.
UnderlyingPaymentStubStartDateOffsetDayType | [0..1] | CodeSet |
UnderlyingPaymentStubStartDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPaymentStubStartDateOffsetDayType

Specifies the day type of the relative stub start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDateOffsetPeriod

Time unit multiplier for the relative stub start date offset.

Type: int

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDateOffsetUnit

Time unit associated with the relative stub start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDateRelativeTo

Specifies the anchor date when the stub start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubStartDateUnadjusted

The unadjusted stub start date.

Type: LocalMktDate

Used in components: UnderlyingPaymentStubStartDate

UnderlyingPaymentStubType

Stub type.

Type: int

Allowed values in PaymentStubTypeCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Final | Final
2 | CompoundingInitial | Compounding initial
3 | CompoundingFinal | Compounding final

Used in groups: UnderlyingPaymentStubGrp

UnderlyingPhysicalSettlBusinessDays

A number of business days. Its precise meaning is dependent on the context in which this element is used.

Type: int

Used in groups: UnderlyingPhysicalSettlTermGrp

UnderlyingPhysicalSettlCurrency

Currency of physical settlement. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingPhysicalSettlTermGrp

UnderlyingPhysicalSettlDeliverableObligationGrp

The UnderlyingPhysicalSettlDeliverableObligationGrp is a repeating component within the UnderlyingPhysicalSettlTermGrp component used to report CDS physical settlement delivery obligations.

Name | Mult. | Type | Description
NoUnderlyingPhysicalSettlDeliverableObligations | [1..1] | NumInGroup |
UnderlyingPhysicalSettlDeliverableObligationType | [0..1] | String | Required if NoUnderlyingPhysicalSettlDeliverableObligations(42065) > 0.
UnderlyingPhysicalSettlDeliverableObligationValue | [0..1] | String |

Used in groups: UnderlyingPhysicalSettlTermGrp

UnderlyingPhysicalSettlDeliverableObligationType

Specifies the type of delivery obligation applicable for physical settlement.

See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for code list for applicable deliverable obligation types.

Type: String

Used in groups: UnderlyingPhysicalSettlDeliverableObligationGrp

UnderlyingPhysicalSettlDeliverableObligationValue

Physical settlement delivery obligation value appropriate to UnderlyingPhysicalSettlDeliverableObligationType(42066).

See http://www.fixtradingcommunity.org/codelists#Deliverable_Obligation_Types for applicable obligation type values.

Type: String

Used in groups: UnderlyingPhysicalSettlDeliverableObligationGrp

UnderlyingPhysicalSettlMaximumBusinessDays

A maximum number of business days. Its precise meaning is dependent on the context in which this element is used. Intended to be used to limit a particular ISDA fallback provision.

Type: int

Used in groups: UnderlyingPhysicalSettlTermGrp

UnderlyingPhysicalSettlTermGrp

The UnderlyingPhysicalSettlTermGrp is a repeating component within the UnderlyingInstrument component used to report physical settlement terms.

Name | Mult. | Type | Description
NoUnderlyingPhysicalSettlTerms | [1..1] | NumInGroup |
UnderlyingPhysicalSettlDeliverableObligationGrp | [0..*] | Group | Required if NoUnderlyingPhysicalSettlTerms(42060) > 0.
UnderlyingPhysicalSettlCurrency | [0..1] | Currency |
UnderlyingPhysicalSettlBusinessDays | [0..1] | int |
UnderlyingPhysicalSettlMaximumBusinessDays | [0..1] | int |
UnderlyingPhysicalSettlTermXID | [0..1] | XID |

Used in components: UnderlyingInstrument

UnderlyingPhysicalSettlTermXID

A named string value referenced by UnderlyingSettlTermXIDRef(41315).

Type: XID

Used in groups: UnderlyingPhysicalSettlTermGrp

UnderlyingPool

Identifies the mortgage backed security (MBS) / asset backed security (ABS) pool.

Type: String

Used in components: UnderlyingInstrument

UnderlyingPositionLimit

Position limit for the instrument.

Type: int

Used in components: UnderlyingInstrument

UnderlyingPriceDeterminationMethod

Specifies how the underlying price is determined at the point of option exercise. The underlying price may be set to the current settlement price, set to a special reference, set to the optimal value of the underlying during the defined period ("Look-back") or set to the average value of the underlying during the defined period ("Asian option").

Type: int

Allowed values in UnderlyingPriceDeterminationMethodCodeSet:

Code | Name | Description
1 | Regular | Regular
2 | SpecialReference | Special reference
3 | OptimalValue | Optimal value (Lookback)
4 | AverageValue | Average value (Asian option)

Used in components: Instrument

UnderlyingPriceQuoteCurrency

Default currency in which the price is quoted. Defined at the instrument level. Used in place of Currency (tag 15) to express the currency of a product when the former is implemented as the FX dealt currency.

Type: Currency

Used in components: UnderlyingInstrument

UnderlyingPriceQuoteCurrencyCodeSource

Identifies class or source of the UnderlyingPriceQuoteCurrency(1526) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingPriceQuoteMethod

Method for price quotation.

Type: String

Allowed values in PriceQuoteMethodCodeSet:

Code | Name | Description
STD | Standard | Standard, money per unit of a physical
INX | Index | Index
INT | InterestRateIndex | Interest rate Index
PCTPAR | PercentOfPar | Percent of Par

Used in components: UnderlyingInstrument

UnderlyingPriceUnitOfMeasure

Refer to definition for PriceUnitOfMeasure(1191)

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingInstrument

UnderlyingPriceUnitOfMeasureCurrency

Indicates the currency of the underlying price unit of measure. Conditionally required when UnderlyingPriceUnitOfMeasure(1424) = Ccy

Type: Currency

Used in components: UnderlyingInstrument

UnderlyingPriceUnitOfMeasureCurrencyCodeSource

Identifies class or source of the UnderlyingPriceUnitOfMeasureCurrency(1719) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingPriceUnitOfMeasureQty

Refer to definition of PriceUnitOfMeasureQty(1192)

Type: Qty

Used in components: UnderlyingInstrument

UnderlyingPricingDateAdjusted

The adjusted pricing or fixing date.

Type: LocalMktDate

Used in components: UnderlyingPricingDateTime

UnderlyingPricingDateBusinessCenter

The business center calendar used to adjust the pricing or fixing date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingPricingDateBusinessCenterGrp

UnderlyingPricingDateBusinessCenterGrp

UnderlyingPricingDateBusinessCenterGrp is a repeating subcomponent of the UnderlyingPricingDateTime component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingPricingDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingPricingDateBusinessCenter | [0..1] | String | Required if NoUnderlyingPricingDateBusinessCenters(41947) > 0.

Used in components: UnderlyingPricingDateTime

UnderlyingPricingDateBusinessDayConvention

The business day convention used to adjust the pricing or fixing date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingPricingDateTime

UnderlyingPricingDateTime

The UnderlyingPricingDateTime component is a subcomponent of UnderlyingInstrument used to specify an adjusted or unadjusted pricing or fixing date and optionally the time, e.g. for a commodity or FX forward trade.

Name | Mult. | Type | Description
UnderlyingPricingDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingPricingDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying complex event dates.
UnderlyingPricingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the underlying complex event dates.
UnderlyingPricingDateAdjusted | [0..1] | LocalMktDate |
UnderlyingPricingTime | [0..1] | LocalMktTime |
UnderlyingPricingTimeBusinessCenter | [0..1] | String |

Used in components: UnderlyingInstrument

UnderlyingPricingDateUnadjusted

The unadjusted pricing or fixing date.

Type: LocalMktDate

Used in components: UnderlyingPricingDateTime

UnderlyingPricingTime

The local market pricing or fixing time.

Type: LocalMktTime

Used in components: UnderlyingPricingDateTime

UnderlyingPricingTimeBusinessCenter

Specifies the business center for determining the pricing or fixing time. See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingPricingDateTime

UnderlyingProduct

Underlying security's Product.

Valid values: see Product(460) field

Type: int

Allowed values in ProductCodeSet:

Code | Name | Description
1 | AGENCY | AGENCY
2 | COMMODITY | COMMODITY
3 | CORPORATE | CORPORATE
4 | CURRENCY | CURRENCY
5 | EQUITY | EQUITY
6 | GOVERNMENT | GOVERNMENT
7 | INDEX | INDEX
8 | LOAN | LOAN
9 | MONEYMARKET | MONEYMARKET
10 | MORTGAGE | MORTGAGE
11 | MUNICIPAL | MUNICIPAL
12 | OTHER | OTHER
13 | FINANCING | FINANCING

Used in components: UnderlyingInstrument

UnderlyingProductComplex

Identifies an entire suite of products for a given market. In Futures this may be "interest rates", "agricultural", "equity indexes", etc

Type: String

Used in components: UnderlyingInstrument

UnderlyingProtectionTermBuyerNotifies

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

UnderlyingProtectionTermBuyerNotifies(42072)=Y indicates that the buyer notifies.

Type: Boolean

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermCurrency

The currency of UnderlyingProtectionTermNotional(42069). Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermEventBusinessCenter

When used, the business center indicates the local time of the business center that replaces the Greenwich Mean Time in Section 3.3 of the 2003 ISDA Credit Derivatives Definitions.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermEventCurrency

Applicable currency if UnderlyingProtectionTermEventValue(42079) is an amount. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventDayType

Day type for events that specify a period and unit.

Type: int

Allowed values in ProtectionTermEventDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventGrp

The UnderlyingProtectionTermEventGrp is a repeating component within the UnderlyingProtectionTermGrp component used to report applicable CDS credit events.

Name | Mult. | Type | Description
NoUnderlyingProtectionTermEvents | [1..1] | NumInGroup |
UnderlyingProtectionTermEventType | [0..1] | String | Required if NoUnderlyingProtectionTermEvents (42078) > 0.
UnderlyingProtectionTermEventValue | [0..1] | String |
UnderlyingProtectionTermEventCurrency | [0..1] | Currency |
UnderlyingProtectionTermEventPeriod | [0..1] | int | Conditionally required when UnderlyingProtectionTermEventUnit(42082) is specified.
UnderlyingProtectionTermEventUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProtectionTermEventPeriod(42081) is specified.
UnderlyingProtectionTermEventDayType | [0..1] | CodeSet |
UnderlyingProtectionTermEventRateSource | [0..1] | String |
UnderlyingProtectionTermEventQualifierGrp | [0..*] | Group |

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermEventMinimumSources

The minimum number of the specified public information sources that must publish information that reasonably confirms that a credit event has occurred. The market convention is two.

Type: int

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermEventNewsSource

Newspaper or electronic news service or source that may publish relevant information used in the determination of whether or not a credit event has occurred.

Type: String

Used in groups: UnderlyingProtectionTermEventNewsSourceGrp

UnderlyingProtectionTermEventNewsSourceGrp

UnderlyingProtectionTermEventNewsSourceGrp is a repeating subcomponent within the UnderlyingProtectionTermGrp component. It is used to specify the particular newspapers or electronic news services and sources that may publish relevant information used in the determination of whether or not a credit event has occurred.

Name | Mult. | Type | Description
NoUnderlyingProtectionTermEventNewsSources | [1..1] | NumInGroup |
UnderlyingProtectionTermEventNewsSource | [0..1] | String | Required if NoUnderlyingProtectionTermEventNewsSources(42090) > 0.

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermEventPeriod

Time unit multiplier for protection term events.

Type: int

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventQualifier

Protection term event qualifier. Used to further qualify UnderlyingProtectionTermEventType(43078).

Type: char

Allowed values in ProtectionTermEventQualifierCodeSet:

Code
Name
Description

H
RestructuringMultipleHoldingObligations
Retructuring - multiple holding obligations. In relation to a restructuring credit event, unless multiple holder obligation is not specified restructurings are limited to multiple holder obligations. A multiple holder obligation means an obligation that is held by more than three holders that are not affiliates of each other and where at least two thirds of the holders must agree to the event that constitutes the restructuring credit event. ISDA 2003 Term: Multiple Holder Obligation.

E
RestructuringMultipleCreditEventNotices
Restructuring - multiple credit event notices. Presence of this element and value set to 'true' indicates that Section 3.9 of the 2003 Credit Derivatives Definitions shall apply. Absence of this element indicates that Section 3.9 shall not apply. NOTE: Not allowed under ISDA Credit 1999.

C
FloatingRateInterestShortfall
Floating rate interest shortfall. Indicates compounding.

Used in groups: UnderlyingProtectionTermEventQualifierGrp

UnderlyingProtectionTermEventQualifierGrp

The UnderlyingProtectionTermEventQualifierGrp is a repeating component within the UnderlyingProtectionTermEventGrp component used to specify qualifying attributes to the event.

Name | Mult. | Type | Description
NoUnderlyingProtectionTermEventQualifiers | [1..1] | NumInGroup |
UnderlyingProtectionTermEventQualifier | [0..1] | CodeSet | Required if NoUnderlyingProtectionTermEventQualifiers(42085) > 0.

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventRateSource

Rate source for events that specify a rate source, e.g. Floating rate interest shortfall.

Type: String

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventType

Specifies the type of credit event applicable to the protection terms.

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for code list of applicable event types.

Type: String

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventUnit

Time unit associated with protection term events.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermEventValue

Protection term event value appropriate to UnderlyingProtectionTermEventType(42078).

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Event_Types for applicable event type values.

Type: String

Used in groups: UnderlyingProtectionTermEventGrp

UnderlyingProtectionTermGrp

The UnderlyingProtectionTermGrp is a repeating component within the UnderlyingInstrument component used to report contract protection term details.

Name | Mult. | Type | Description
NoUnderlyingProtectionTerms | [1..1] | NumInGroup |
UnderlyingProtectionTermNotional | [0..1] | Amt | Required if NoUnderlyingProtectionTerms(42068) > 0.
UnderlyingProtectionTermCurrency | [0..1] | Currency |
UnderlyingProtectionTermSellerNotifies | [0..1] | Boolean |
UnderlyingProtectionTermBuyerNotifies | [0..1] | Boolean |
UnderlyingProtectionTermEventBusinessCenter | [0..1] | String |
UnderlyingProtectionTermStandardSources | [0..1] | Boolean |
UnderlyingProtectionTermEventMinimumSources | [0..1] | int |
UnderlyingProtectionTermEventNewsSourceGrp | [0..*] | Group |
UnderlyingProtectionTermEventGrp | [0..*] | Group |
UnderlyingProtectionTermObligationGrp | [0..*] | Group |
UnderlyingProtectionTermXID | [0..1] | XID |

Used in components: UnderlyingInstrument

UnderlyingProtectionTermNotional

The notional amount of protection coverage for a floating rate.

Type: Amt

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermObligationGrp

The UnderlyingProtectionTermObligationGrp is a repeating component within the UnderlyingProtectionTermGrp component used to report applicable CDS obligations.

Name | Mult. | Type | Description
NoUnderlyingProtectionTermObligations | [1..1] | NumInGroup |
UnderlyingProtectionTermObligationType | [0..1] | String | Required if NoUnderlyingProtectionTermObligations(42087) > 0.
UnderlyingProtectionTermObligationValue | [0..1] | String |

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermObligationType

Specifies the type of obligation applicable to the protection terms.

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for code list of applicable obligation types.

Type: String

Used in groups: UnderlyingProtectionTermObligationGrp

UnderlyingProtectionTermObligationValue

Protection term obligation value appropriate to UnderlyingProtectionTermObligationType(42088).

See http://www.fixtradingcommunity.org/codelists#Protection_Term_Obligation_Types for applicable obligation type values.

Type: String

Used in groups: UnderlyingProtectionTermObligationGrp

UnderlyingProtectionTermSellerNotifies

The notifying party is the party that notifies the other party when a credit event has occurred by means of a credit event notice. If more than one party is referenced as being the notifying party then either party may notify the other of a credit event occurring.

UnderlyingProtectionTermSellerNotifies(42071)=Y indicates that the seller notifies.

Type: Boolean

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermStandardSources

Indicates whether ISDA defined Standard Public Sources are applicable (UnderlyingProtectionTermStandardSources(42074)=Y) or not.

Type: Boolean

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermXID

A named string value referenced by UnderlyingProtectionTermXIDRef(41314).

Type: XID

Used in groups: UnderlyingProtectionTermGrp

UnderlyingProtectionTermXIDRef

Reference to the protection terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the ProtectionTerms repeating group that applies to this Underlying.

Type: XIDREF

Used in components: UnderlyingInstrument

UnderlyingProvisionBreakFeeElection

Type of fee elected for the break provision.

Type: int

Allowed values in ProvisionBreakFeeElectionCodeSet:

Code | Name | Description
0 | FlatFee | Flat fee
1 | AmortizedFee | Amortized fee
2 | FundingFee | Funding fee
3 | FlatAndFundingFee | Flat fee and funding fee
4 | AmortizedAndFundingFee | Amortized fee and funding fee

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionBreakFeeRate

Break fee election rate when the break fee is proportional to the notional. A fee rate of 5% would be represented as "0.05".

Type: Percentage

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCalculationAgent

Used to identify the calculation agent. The calculation agent may be identified in UnderlyingProvisionCalculationAgent(42156) or in the underlying provision parties component.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlCurrency

Specifies the currency of settlement. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlCurrency2

Specifies the currency of settlement for a cross-currency provision. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlMethod

An ISDA defined cash settlement method used for the determination of the applicable cash settlement amount. The method is defined in the 2006 ISDA Definitions, Section 18.3. Cash Settlement Methods, paragraph (e).

Type: int

Allowed values in ProvisionCashSettlMethodCodeSet:

Code | Name | Description
0 | CashPrice | Cash price
1 | CashPriceAlternate | Cash price alternate
2 | ParYieldCurveAdjusted | Par yield curve adjusted
3 | ZeroCouponYieldCurveAdjusted | Zero coupon yield curve adjusted
4 | ParYieldCurveUnadjusted | Par yield curve unadjusted
5 | CrossCurrency | Cross currency
6 | CollateralizedPrice | Collateralized price

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlPaymentDate

The cash settlement payment date, unadjusted or adjusted depending on UnderlyingProvisionCashSettlPaymentDateType(42101).

Type: LocalMktDate

Used in groups: UnderlyingProvisionCashSettlPaymentFixedDateGrp

UnderlyingProvisionCashSettlPaymentDateBusinessCenter

The business center calendar used to adjust the provision's cash settlement payment's termination, or relative termination, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProvisionCashSettlPaymentDateBusinessCenterGrp

UnderlyingProvisionCashSettlPaymentDateBusinessCenterGrp

UnderlyingProvisionCashSettlPaymentDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionCashSettlPaymentDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingProvisionCashSettlPaymentDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingProvisionCashSettlPaymentDateBusinessCenter | [0..1] | String | Required if NoUnderlyingProvisionCashSettlPaymentDateBusinessCenters(42180) > 0.

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateBusinessDayConvention

The business day convention used to adjust the provisional cash settlement payment's termination, or relative termination, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateOffsetDayType

Specifies the day type of the provision's relative cash settlement payment date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateOffsetPeriod

Time unit multiplier for the relative cash settlement payment date offset.

Type: int

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateOffsetUnit

Time unit associated with the relative cash settlement payment date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateRangeFirst

First date in range when a settlement date range is provided.

Type: LocalMktDate

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateRangeLast

Last date in range when a settlement date range is provided.

Type: LocalMktDate

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDateRelativeTo

Specifies the anchor date when the cash settlement payment date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlPaymentDates

The UnderlyingProvisionCashSettlPaymentDates component is a sub-component within the UnderlyingProvisionGrp component used to report the cash settlement payment dates defined in the provision.

Name | Mult. | Type | Description
UnderlyingProvisionCashSettlPaymentDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional cash settlement payment date.
UnderlyingProvisionCashSettlPaymentDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional cash settlement payment date.
UnderlyingProvisionCashSettlPaymentDateRelativeTo | [0..1] | int |
UnderlyingProvisionCashSettlPaymentDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionCashSettlPaymentDateOffsetUnit(42095) is specified.
UnderlyingProvisionCashSettlPaymentDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionCashSettlPaymentDateOffsetPeriod(42094) is specified.
UnderlyingProvisionCashSettlPaymentDateOffsetDayType | [0..1] | CodeSet |
UnderlyingProvisionCashSettlPaymentDateRangeFirst | [0..1] | LocalMktDate |
UnderlyingProvisionCashSettlPaymentDateRangeLast | [0..1] | LocalMktDate |
UnderlyingProvisionCashSettlPaymentFixedDateGrp | [0..*] | Group |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlPaymentDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in ProvisionCashSettlPaymentDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingProvisionCashSettlPaymentFixedDateGrp

UnderlyingProvisionCashSettlPaymentFixedDateGrp

The UnderlyingProvisionCashSettlPaymentFixedDateGrp is a repeating component within the UnderlyingProvisionCashSettlPaymentDates component used to report fixed cash settlement payment dates defined in the provision.

Name | Mult. | Type | Description
NoUnderlyingProvisionCashSettlPaymentDates | [1..1] | NumInGroup |
UnderlyingProvisionCashSettlPaymentDate | [0..1] | LocalMktDate | Required if NoUnderlyingProvisionCashSettlPaymentDates (42099) > 0.
UnderlyingProvisionCashSettlPaymentDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingProvisionCashSettlPaymentDates

UnderlyingProvisionCashSettlQuoteReferencePage

Identifies the reference "page" from the quote source.

Type: String

Used in components: UnderlyingProvisionCashSettlQuoteSource

UnderlyingProvisionCashSettlQuoteSource

Identifies the source of quote information.

Type: int

Allowed values in PaymentStreamRateIndexSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
99 | Other | Other

Used in components: UnderlyingProvisionCashSettlQuoteSource

UnderlyingProvisionCashSettlQuoteSource

The UnderlyingProvisionCashSettlQuoteSource is a subcomponent of the UnderlyingProvisionGrp component used to specify the reference source for currency or rate quote for cash settlement purposes.

Name | Mult. | Type | Description
UnderlyingProvisionCashSettlQuoteSource | [0..1] | CodeSet |
UnderlyingProvisionCashSettlQuoteReferencePage | [0..1] | String |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlQuoteType

Identifies the type of quote to be used.

Type: int

Allowed values in ProvisionCashSettlQuoteTypeCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer
3 | ExercisingPartyPays | Exercising party pays. See 2000 ISDA Definitions, Section 17.2, Certain Definitions Relating to Cash Settlement, paragraph (j) for definition of "exercising party pays".

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlValueDateAdjusted

The adjusted cash settlement value date.

Type: LocalMktDate

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDateBusinessCenter

The business center calendar used to adjust the cash settlement valuation date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProvisionCashSettlValueDateBusinessCenterGrp

UnderlyingProvisionCashSettlValueDateBusinessCenterGrp

UnderlyingProvisionCashSettlValueDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionCashSettlValueDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingProvisionCashSettlValueDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingProvisionCashSettlValueDateBusinessCenter | [0..1] | String | Required if NoUnderlyingProvisionCashSettlValueDateBusinessCenters(42182) > 0.

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDateBusinessDayConvention

The business day convention used to adjust the cash settlement valuation date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDateOffsetDayType

Specifies the day type of the provision's relative cash settlement value date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDateOffsetPeriod

Time unit multiplier for the relative cash settlement value date offset.

Type: int

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDateOffsetUnit

Time unit associated with the relative cash settlement value date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDateRelativeTo

Specifies the anchor date when the cash settlement value date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueDates

The UnderlyingProvisionCashSettlValueDates is a subcomponent within the UnderlyingProvisionGrp component used to report the cash settlement value date and time defined in the provision.

Name | Mult. | Type | Description
UnderlyingProvisionCashSettlValueTime | [0..1] | LocalMktTime |
UnderlyingProvisionCashSettlValueTimeBusinessCenter | [0..1] | String |
UnderlyingProvisionCashSettlValueDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional cash settlement value date.
UnderlyingProvisionCashSettlValueDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional cash settlement value date.
UnderlyingProvisionCashSettlValueDateRelativeTo | [0..1] | int |
UnderlyingProvisionCashSettlValueDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionCashSettlValueDateOffsetUnit(42109) is specified.
UnderlyingProvisionCashSettlValueDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionCashSettlValueDateOffsetPeriod(42108) is specified.
UnderlyingProvisionCashSettlValueDateOffsetDayType | [0..1] | CodeSet |
UnderlyingProvisionCashSettlValueDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionCashSettlValueTime

A time specified in 24-hour format, e.g. 11am would be represented as 11:00:00. The time of the cash settlement valuation date when the cash settlement amount will be determined according to the cash settlement method if the parties have not otherwise been able to agree to the cash settlement amount.

Type: LocalMktTime

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionCashSettlValueTimeBusinessCenter

Identifies the business center calendar used with the provision's cash settlement valuation time.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingProvisionCashSettlValueDates

UnderlyingProvisionDateAdjusted

The adjusted date of the provision.

Type: LocalMktDate

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionDateBusinessCenter

The business center calendar used to adjust the underlying instrument's provision's date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProvisionDateBusinessCenterGrp

UnderlyingProvisionDateBusinessCenterGrp

UnderlyingProvisionDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionGrp component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingProvisionDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingProvisionDateBusinessCenter | [0..1] | String | Required if NoUnderlyingProvisionDateBusinessCenters(42190) > 0.

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionDateBusinessDayConvention

The business day convention used to adjust the underlying instrument's provision's date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionDateTenorPeriod

Time unit multiplier for the provision's tenor period.

Type: int

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionDateTenorUnit

Time unit associated with the provision's tenor period.

Type: String

Allowed values in ProvisionDateTenorUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionDateUnadjusted

The unadjusted date of the provision.

Type: LocalMktDate

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionGrp

The UnderlyingProvisionGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail additional terms and conditions associated with the instrument.

Name | Mult. | Type | Description
NoUnderlyingProvisions | [1..1] | NumInGroup |
UnderlyingProvisionType | [0..1] | CodeSet | Required if NoUnderlyingProvisions(42149) > 0.
UnderlyingProvisionDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingProvisionDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the instrument provisions.
UnderlyingProvisionDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the instrument provisions.
UnderlyingProvisionDateAdjusted | [0..1] | LocalMktDate |
UnderlyingProvisionDateTenorPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionDateTenorUnit(42155) is specified.
UnderlyingProvisionDateTenorUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionDateTenorPeriod(42154) is specified.
UnderlyingProvisionBreakFeeElection | [0..1] | CodeSet |
UnderlyingProvisionBreakFeeRate | [0..1] | Percentage |
UnderlyingProvisionCalculationAgent | [0..1] | CodeSet |
UnderlyingProvisionOptionSinglePartyBuyerSide | [0..1] | CodeSet |
UnderlyingProvisionOptionSinglePartySellerSide | [0..1] | CodeSet |
UnderlyingProvisionCashSettlValueDates | [0..1] | Component |
UnderlyingProvisionOptionExerciseDates | [0..1] | Component |
UnderlyingProvisionOptionExpirationDate | [0..1] | Component |
UnderlyingProvisionOptionRelevantUnderlyingDate | [0..1] | Component |
UnderlyingProvisionOptionExerciseStyle | [0..1] | CodeSet |
UnderlyingProvisionOptionExerciseMultipleNotional | [0..1] | Amt |
UnderlyingProvisionOptionExerciseMinimumNotional | [0..1] | Amt |
UnderlyingProvisionOptionExerciseMaximumNotional | [0..1] | Amt |
UnderlyingProvisionOptionMinimumNumber | [0..1] | int |
UnderlyingProvisionOptionMaximumNumber | [0..1] | int |
UnderlyingProvisionOptionExerciseConfirmation | [0..1] | Boolean |
UnderlyingProvisionCashSettlPaymentDates | [0..1] | Component |
UnderlyingProvisionCashSettlMethod | [0..1] | CodeSet |
UnderlyingProvisionCashSettlCurrency | [0..1] | Currency |
UnderlyingProvisionCashSettlCurrency2 | [0..1] | Currency |
UnderlyingProvisionCashSettlQuoteType | [0..1] | CodeSet |
UnderlyingProvisionCashSettlQuoteSource | [0..1] | Component |
UnderlyingProvisionText | [0..1] | String |
EncodedUnderlyingProvisionTextLen | [0..1] | Length | Must be set if EncodedProvisionText(40987) field is specified and must immediately precede it.
EncodedUnderlyingProvisionText | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingProvisionText(42170) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingProvisionParties | [0..*] | Group |

Used in components: UnderlyingInstrument

UnderlyingProvisionOptionExerciseBoundsFirstDateUnadjusted

The unadjusted first date of a schedule. This can be used to restrict the range of exercise dates when they are relative.

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseBoundsLastDateUnadjusted

The unadjusted last date of a schedule. This can be used to restrict the range of exercise dates when they are relative.

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseBusinessCenter

The business center calendar used to adjust the underlying instrument's provision's option exercise date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProvisionOptionExerciseBusinessCenterGrp

UnderlyingProvisionOptionExerciseBusinessCenterGrp

UnderlyingProvisionOptionExerciseBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionOptionExerciseDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingProvisionOptionExerciseBusinessCenters | [1..1] | NumInGroup |
UnderlyingProvisionOptionExerciseBusinessCenter | [0..1] | String | Required if NoUnderlyingProvisionOptionExerciseBusinessCenters(42184) > 0.

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseBusinessDayConvention

The business day convention used to adjust the underlying instrument's provision's option exercise date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseConfirmation

Used to indicate whether follow-up confirmation of exercise (written or electronic) is required following telephonic notice by the buyer to the seller or seller's agent.

Type: Boolean

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExerciseDates

The UnderlyingProvisionOptionExerciseDates is a subcomponent within the UnderlyingProvisionGrp component used to report the option exercise dates and times defined in the provision.

Name | Mult. | Type | Description
UnderlyingProvisionOptionExerciseBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional option exercise date.
UnderlyingProvisionOptionExerciseBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional option exercise date.
UnderlyingProvisionOptionExerciseFixedDateGrp | [0..*] | Group |
UnderlyingProvisionOptionExerciseEarliestDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionOptionExerciseEarliestDateUnit(42117) is specified.
UnderlyingProvisionOptionExerciseEarliestDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionOptionExerciseEasrliestDatePeriod(42116) is specified.
UnderlyingProvisionOptionExerciseFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionOptionExerciseFrequencyUnit(42119) is specified.
UnderlyingProvisionOptionExerciseFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionOptionExerciseFrequencyPeriod(42118) is specified.
UnderlyingProvisionOptionExerciseStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionExerciseStartDateRelativeTo | [0..1] | int |
UnderlyingProvisionOptionExerciseStartDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionOptionExerciseStartDateOffsetUnit(42123) is specified.
UnderlyingProvisionOptionExerciseStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionOptionExerciseStartDateOffsetPeriod(42122) is specified.
UnderlyingProvisionOptionExerciseStartDateOffsetDayType | [0..1] | CodeSet |
UnderlyingProvisionOptionExerciseStartDateAdjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionExercisePeriodSkip | [0..1] | int |
UnderlyingProvisionOptionExerciseBoundsFirstDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionExerciseBoundsLastDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionExerciseEarliestTime | [0..1] | LocalMktTime |
UnderlyingProvisionOptionExerciseEarliestTimeBusinessCenter | [0..1] | String |
UnderlyingProvisionOptionExerciseLatestTime | [0..1] | LocalMktTime |
UnderlyingProvisionOptionExerciseLatestTimeBusinessCenter | [0..1] | String |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExerciseEarliestDateOffsetPeriod

Time unit multiplier for the interval to the first (and possibly only) exercise date in the exercise period.

Type: int

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseEarliestDateOffsetUnit

Time unit associated with the interval to the first (and possibly only) exercise date in the exercise period.

Type: String

Allowed values in ProvisionOptionExerciseEarliestDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseEarliestTime

The earliest time at which notice of exercise can be given by the buyer to the seller (or seller's agent) i) on the expriation date, in the case of a European style option, (ii) on each bermuda option exercise date and the expiration date, in the case of a Bermuda style option the commencement date to, and including, the expiration date, in the case of an American option.

Type: LocalMktTime

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseEarliestTimeBusinessCenter

Identifies the business center calendar used with the provision's earliest time for notice of exercise.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseFixedDate

A predetermined option exercise date, unadjusted or adjusted depending on UnderlyingProvisionOptionExerciseFixedDateType(42114).

Type: LocalMktDate

Used in groups: UnderlyingProvisionOptionExerciseFixedDateGrp

UnderlyingProvisionOptionExerciseFixedDateGrp

The UnderlyingProvisionOptionExerciseFixedDateGrp is a repeating component within the UnderlyingProvisionOptionExerciseDates component used to report an array of unadjusted or adjusted fixed exercise dates.

Name | Mult. | Type | Description
NoUnderlyingProvisionOptionExerciseFixedDates | [1..1] | NumInGroup |
UnderlyingProvisionOptionExerciseFixedDate | [0..1] | LocalMktDate | Required if NoUnderlyingProvisionOptionExerciseFixedDates(42112) > 0.
UnderlyingProvisionOptionExerciseFixedDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseFixedDateType

Specifies the type of date (e.g. adjusted for holidays).

Type: int

Allowed values in ProvisionOptionExerciseFixedDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingProvisionOptionExerciseFixedDateGrp

UnderlyingProvisionOptionExerciseFrequencyPeriod

Time unit multiplier for the frequency of subsequent exercise dates in the exercise period following the earliest exercise date. An interval of 1 day should be used to indicate an American style exercise frequency.

Type: int

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseFrequencyUnit

Time unit associated with the frequency of subsequent exercise dates in the exercise period following the earliest exercise date.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseLatestTime

For a Bermuda or American style option, the latest time on an exercise business day (excluding the expiration date) within the exercise period that notice can be given by the buyer to the seller or seller's agent. Notice of exercise given after this time will be deemed to have been given on the next exercise business day.

Type: LocalMktTime

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseLatestTimeBusinessCenter

Identifies the business center calendar used with the provision's latest time for notice of exercise.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseMaximumNotional

The maximum notional amount that can be exercised on a given exercise date.

Type: Amt

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExerciseMinimumNotional

The minimum notional amount that can be exercised on a given exercise date.

Type: Amt

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExerciseMultipleNotional

A notional amount which restricts the amount of notional that can be exercised when partial exercise or multiple exercise is applicable. The integral multiple amount defines a lower limit of notional that can be exercised and also defines a unit multiple of notional that can be exercised, i.e. only integer multiples of this amount can be exercised.

Type: Amt

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExercisePeriodSkip

The number of periods in the referenced date schedule that are between each date in the relative date schedule. Thus a skip of 2 would mean that dates are relative to every second date in the referenced schedule. If present this should have a value greater than 1.

Type: int

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStartDateAdjusted

The adjusted first day of the exercise period for an American style option.

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStartDateOffsetDayType

Specifies the day type of the provision's relative option exercise start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStartDateOffsetPeriod

Time unit multiplier for the relative option exercise start date offset.

Type: int

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStartDateOffsetUnit

Time unit associated with the relative option exercise start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStartDateRelativeTo

Specifies the anchor date when the option exercise start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStartDateUnadjusted

The unadjusted first day of the exercise period for an American style option.

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionExerciseDates

UnderlyingProvisionOptionExerciseStyle

The instrument provision's exercise style.

Type: int

Allowed values in ExerciseStyleCodeSet:

Code | Name | Description
0 | European | European
1 | American | American
2 | Bermuda | Bermuda
99 | Other | Other

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExpirationDateAdjusted

The adjusted last date within an exercise period for an American style option. For a European style option it is the only date within the exercise period.

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDateBusinessCenter

The business center calendar used to adjust the underlying instrument's provision's option expiration date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProvisionOptionExpirationDateBusinessCenterGrp

UnderlyingProvisionOptionExpirationDateBusinessCenterGrp

UnderlyingProvisionOptionExpirationDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionOptionExpirationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingProvisionOptionExpirationDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingProvisionOptionExpirationDateBusinessCenter | [0..1] | String | Required if NoUnderlyingProvisionOptionExpirationDateBusinessCenters(42186) > 0.

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDateBusinessDayConvention

The business day convention used to adjust the underlying instrument's provision's option expiration date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDate

The UnderlyingProvisionOptionExerciseDate is a subcomponent within the UnderlyingProvisionGrp component used to report the option expiration date and times defined in the provision.

Name | Mult. | Type | Description
UnderlyingProvisionOptionExpirationDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionExpirationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the busienss day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional option expiration date.
UnderlyingProvisionOptionExpirationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional option expiration date.
UnderlyingProvisionOptionExpirationDateRelativeTo | [0..1] | int |
UnderlyingProvisionOptionExpirationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionOptionExpirationDateOffsetUnit(42137) is specified.
UnderlyingProvisionOptionExpirationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionOptionExpirationDateOffsetPeriod(42136) is specified.
UnderlyingProvisionOptionExpirationDateOffsetDayType | [0..1] | CodeSet |
UnderlyingProvisionOptionExpirationDateAdjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionExpirationTime | [0..1] | LocalMktTime |
UnderlyingProvisionOptionExpirationTimeBusinessCenter | [0..1] | String |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionExpirationDateOffsetDayType

Specifies the day type of the provision's relative option expiration date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDateOffsetPeriod

Time unit multiplier for the relative option expiration date offset.

Type: int

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDateOffsetUnit

Time unit associated with the relative option expiration date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDateRelativeTo

Specifies the anchor date when the option expiration date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationDateUnadjusted

The unadjusted last day within an exercise period for an American style option. For a European style option it is the only day within the exercise period.

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationTime

The latest time for exercise on the expiration date.

Type: LocalMktTime

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionExpirationTimeBusinessCenter

Identifies the business center calendar used with the provision's latest exercise time on expiration date.

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in components: UnderlyingProvisionOptionExpirationDate

UnderlyingProvisionOptionMaximumNumber

The maximum number of options that can be exercised on a given exercise date. If the number is not specified, it means that the maximum number of options corresponds to the remaining unexercised options.

Type: int

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionMinimumNumber

The minimum number of options that can be exercised on a given exercise date.

Type: int

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionRelevantUnderlyingDateAdjusted

The adjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateBizDayConvention

The business day convnetion used to adjust the underlying instrument provision's option underlying date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenter

The business center calendar used to adjust the underlying instrument's provision's option underlying date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp

UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingProvisionOptionRelevantUnderlyingDate component. It is used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenter | [0..1] | String | Required if NoUnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenters(42188) > 0.

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDate

The UnderlyingProvisionOptionRelevantUnderlyingDate is a subcomponent within the UnderlyingProvisionGrp component used to report the option relevant underlying date defined in the provision.

Name | Mult. | Type | Description
UnderlyingProvisionOptionRelevantUnderlyingDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingProvisionOptionRelevantUnderlyingDateBizDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the provisional option relevant underlying date.
UnderlyingProvisionOptionRelevantUnderlyingDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the provisional option relevant underlying date.
UnderlyingProvisionOptionRelevantUnderlyingDateRelativeTo | [0..1] | int |
UnderlyingProvisionOptionRelevantUnderlyingDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingProvisionOptionRelevantUnderlyingDateOffsetUnit(42146) is specified.
UnderlyingProvisionOptionRelevantUnderlyingDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingProvisionOptionRelevantUnderlyingDateOffsetPeriod(42145) is specified.
UnderlyingProvisionOptionRelevantUnderlyingDateOffsetDayType | [0..1] | CodeSet |
UnderlyingProvisionOptionRelevantUnderlyingDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionRelevantUnderlyingDateOffsetDayType

Specifies the day type of the provision's relative option relevant underlying date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateOffsetPeriod

Time unit multiplier for the relative option relevant underlying date offset.

Type: int

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateOffsetUnit

Time unit associated with the relative option relevant underlying date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateRelativeTo

Specifies the anchor date when the date relevant to the underlying trade on exercise is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionRelevantUnderlyingDateUnadjusted

The unadjusted date on the underlying set by the exercise of an option. What this date is depends on the option (e.g. in a swaption it is the swap effective date, in an extendible/cancelable provision it is the swap termination date).

Type: LocalMktDate

Used in components: UnderlyingProvisionOptionRelevantUnderlyingDate

UnderlyingProvisionOptionSinglePartyBuyerSide

If optional early termination is not available to both parties then this component identifies the buyer of the option through its side of the trade.

Type: int

Allowed values in ProvisionOptionSinglePartyBuyerSideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionOptionSinglePartySellerSide

If optional early termination is not available to both parties then this component identifies the seller of the option through its side of the trade.

Type: int

Allowed values in ProvisionOptionSinglePartyBuyerSideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionParties

UnderlyingProvisionParties is a repeating component within the UnderlyingProvisionGrp component used to report the parties identified in the contract provision.

Name | Mult. | Type | Description
NoUnderlyingProvisionPartyIDs | [1..1] | NumInGroup |
UnderlyingProvisionPartyID | [0..1] | String | Required if NoUnderlyingProvisionPartyIDs(42173) > 0.
UnderlyingProvisionPartyIDSource | [0..1] | CodeSet | Required if NoUnderlyingProvisionPartyIDs(42173) > 0.
UnderlyingProvisionPartyRole | [0..1] | CodeSet | Required if NoUnderlyingProvisionPartyIDs(42173) > 0.
UnderlyingProvisionPartyRoleQualifier | [0..1] | CodeSet |
UnderlyingProvisionPtysSubGrp | [0..*] | Group |

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionPartyID

The party identifier for the payment settlement party.

Type: String

Used in groups: UnderlyingProvisionParties

UnderlyingProvisionPartyIDSource

Identifies the class or source of the UnderlyingProvisionPartyID(42174) value.

Type: char

Allowed values in PartyIDSourceCodeSet:

Code | Name | Description
1 | KoreanInvestorID | Korean Investor ID
6 | UKNationalInsuranceOrPensionNumber | UK National Insurance or Pension Number
B | BIC | BIC (Bank Identification Code - SWIFT managed) code (ISO9362 - See "Appendix 6-B")
I | ISITCAcronym | Directed broker three character acronym as defined in ISITC "ETC Best Practice" guidelines document
2 | TaiwaneseForeignInvestorID | Taiwanese Qualified Foreign Investor ID QFII/FID
7 | USSocialSecurityNumber | US Social Security Number
C | GeneralIdentifier | Generally accepted market participant identifier (e.g. NASD mnemonic)
3 | TaiwaneseTradingAcct | Taiwanese Trading Acct
8 | USEmployerOrTaxIDNumber | US Employer or Tax ID Number
D | Proprietary | Proprietary / Custom code. Custom ID schema used between counterparties, trading platforms and repositories.
4 | MalaysianCentralDepository | Malaysian Central Depository (MCD) number
9 | AustralianBusinessNumber | Australian Business Number
E | ISOCountryCode | ISO Country Code
5 | ChineseInvestorID | Chinese Investor ID
A | AustralianTaxFileNumber | Australian Tax File Number
F | SettlementEntityLocation | Settlement Entity Location (note if Local Market Settlement use "E=ISO Country Code") (see "Appendix 6-G" for valid values)
G | MIC | Market Identifier Code (ISO 10383) MIC
J | TaxID | Tax ID
H | CSDParticipant | CSD participant/member code (e.g. Euroclear, DTC, CREST or Kassenverein number
K | AustralianCompanyNumber | Australian Company Number
L | AustralianRegisteredBodyNumber | Australian Registered Body Number
M | CFTCReportingFirmIdentifier | CFTC reporting firm identifier
N | LegalEntityIdentifier | Legal Entity Identifier (ISO 17442) LEI
O | InterimIdentifier | Interim identifier. An interim entity identifier assigned by a regulatory agency prior to an LEI (ISO 17442) being assigned.
P | ShortCodeIdentifier | Short code identifier. A generic means for trading venues, brokers, investment managers to convey a bilaterally agreed upon "short hand" code for an identifier that is a reference to a mapping between the parties.
Q | NationalIDNaturalPerson | National ID of natural person. An identification number generally assigned by a government authority or agency to a natural person which is unique to the person it is assigned to. Examples include, but not limited to, "social security number", "pension number".
R | IndiaPermanentAccountNumber | India Permanent Account Number. Also referred to as PAN ID. An identifier issued by the Income Tax Department of India.
S | FDID | Firm designated identifier. Also referred to as FDID. A unique identifier required by the SEC for each trading account designated by Industry Members for purposes of reporting to CAT (Consolidated Audit Trail).
T | SPSAID | Special Segregated Account ID. Also referred to as SPSA ID. The Special Segregated Account identifier issued by Hong Kong Exchanges and Clearing.
U | MasterSPSAID | Master Special Segregated Account ID. Also referred to as Master SPSA ID. The master identifier issued by Hong Kong Exchanges and Clearing for the aggregation of SPSA IDs.

Used in groups: UnderlyingProvisionParties

UnderlyingProvisionPartyRole

Identifies the type or role of UnderlyingProvisionPartyID(42174) specified.

Type: int

Allowed values in PartyRoleCodeSet:

Code
Name
Description

1
ExecutingFirm
Executing Firm (formerly FIX 4.2 ExecBroker)

2
BrokerOfCredit
Broker of Credit (formerly FIX 4.2 BrokerOfCredit)

3
ClientID
Client ID (formerly FIX 4.2 ClientID)

4
ClearingFirm
Clearing Firm (formerly FIX 4.2 ClearingFirm)

5
InvestorID
Investor ID

6
IntroducingFirm
Introducing Firm

7
EnteringFirm
Entering Firm

8
Locate
Locate / Lending Firm (for short-sales)

9
FundManagerClientID
Fund Manager Client ID (for CIV)

10
SettlementLocation
Settlement Location (formerly FIX 4.2 SettlLocation)

11
OrderOriginationTrader
Order Origination Trader (associated with Order Origination Firm - i.e. trader who initiates/submits the order)

12
ExecutingTrader
Executing Trader (associated with Executing Firm - actually executes)

13
OrderOriginationFirm
Order Origination Firm (e.g. buy-side firm)

14
GiveupClearingFirmDepr
Giveup Clearing Firm (firm to which trade is given up)

15
CorrespondantClearingFirm
Correspondant Clearing Firm

16
ExecutingSystem
Executing System

17
ContraFirm
Contra Firm

18
ContraClearingFirm
Contra Clearing Firm

19
SponsoringFirm
Sponsoring Firm

20
UnderlyingContraFirm
Underlying Contra Firm

21
ClearingOrganization
Clearing Organization

22
Exchange
Exchange. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

24
CustomerAccount
Customer Account

25
CorrespondentClearingOrganization
Correspondent Clearing Organization

26
CorrespondentBroker
Correspondent Broker

27
Buyer
Buyer/Seller (Receiver/Deliverer)

28
Custodian
Custodian

29
Intermediary
Intermediary

30
Agent
Agent

31
SubCustodian
Sub-custodian

32
Beneficiary
Beneficiary

33
InterestedParty
Interested party

34
RegulatoryBody
Regulatory body. In the context of regulatory reporting, this identifies the regulator the trade is being reported to.

35
LiquidityProvider
Liquidity provider

36
EnteringTrader
Entering trader

37
ContraTrader
Contra trader

38
PositionAccount
Position account. The account which positions are maintained. Typically represents the aggregation of one or more customer accounts.

39
ContraInvestorID
Contra Investor ID

40
TransferToFirm
Transfer to Firm

41
ContraPositionAccount
Contra Position Account

42
ContraExchange
Contra Exchange

43
InternalCarryAccount
Internal Carry Account

44
OrderEntryOperatorID
Order Entry Operator ID

45
SecondaryAccountNumber
Secondary Account Number

46
ForeignFirm
Foreign Firm

47
ThirdPartyAllocationFirm
Third Party Allocation Firm

48
ClaimingAccount
Claiming Account

49
AssetManager
Asset Manager

50
PledgorAccount
Pledgor Account

51
PledgeeAccount
Pledgee Account

52
LargeTraderReportableAccount
Large Trader Reportable Account

53
TraderMnemonic
Trader mnemonic

54
SenderLocation
Sender Location

55
SessionID
Session ID

56
AcceptableCounterparty
Acceptable Counterparty

57
UnacceptableCounterparty
Unacceptable Counterparty

58
EnteringUnit
Entering Unit

59
ExecutingUnit
Executing Unit

60
IntroducingBroker
Introducing Broker

61
QuoteOriginator
Quote originator

62
ReportOriginator
Report originator

63
SystematicInternaliser
Systematic internaliser (SI)

64
MultilateralTradingFacility
Multilateral Trading Facility (MTF). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

65
RegulatedMarket
Regulated Market (RM). Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

66
MarketMaker
Market Maker

67
InvestmentFirm
Investment Firm

68
HostCompetentAuthority
Host Competent Authority (Host CA)

69
HomeCompetentAuthority
Home Competent Authority (Home CA)

70
CompetentAuthorityLiquidity
Competent Authority of the most relevant market in terms of liquidity (CAL)

71
CompetentAuthorityTransactionVenue
Competent Authority of the Transaction (Execution) Venue (CATV)

72
ReportingIntermediary
Reporting intermediary. The medium or vendor used to report to a regulator, non-regulatory agency or data repository.

73
ExecutionVenue
Execution Venue. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

74
MarketDataEntryOriginator
Market data entry originator

75
LocationID
Location ID

76
DeskID
Desk ID

77
MarketDataMarket
Market data market

78
AllocationEntity
Allocation Entity

79
PrimeBroker
Prime Broker providing General Trade Services

80
StepOutFirm
Step-Out Firm (Prime Broker)

81
BrokerClearingID
Broker clearing identifier

82
CentralRegistrationDepository
Central Registration Depository (CRD)

83
ClearingAccount
Clearing Account

84
AcceptableSettlingCounterparty
Acceptable Settling Counterparty

85
UnacceptableSettlingCounterparty
Unacceptable Settling Counterparty

86
CLSMemberBank
CLS Member Bank

87
InConcertGroup
In Concert Group

88
InConcertControllingEntity
In Concert Controlling Entity

89
LargePositionsReportingAccount
Large Positions Reporting Account

90
SettlementFirm
Settlement Firm

91
SettlementAccount
Settlement account. The account to which individual payment obligations are aggregated for netting and funds movement. Typically represents the aggregation of many margin (performance bond) accounts.

92
ReportingMarketCenter
Reporting Market Center

93
RelatedReportingMarketCenter
Related Reporting Market Center

94
AwayMarket
Away Market. Identify using PartyIDSource(tag 447) = G (Market Identifier Code) if the MIC exists.

95
GiveupTradingFirm
Give-up (trading) firm

96
TakeupTradingFirm
Take-up (trading) firm

97
GiveupClearingFirm
Give-up clearing firm

98
TakeupClearingFirm
Take-up clearing firm

99
OriginatingMarket
Originating Market. Identifies the Market using PartyIDSource(tag 447) = G (Market Identifier Code) where an order originated in the event that the order is sent to an alternative market for execution. Serves as an inverse of an away market.

100
MarginAccount
Margin account. Also referred to as "performance bond account". The margin account is the calculated margin requirements. Typically represents the aggregation of one or more position accounts.

101
CollateralAssetAccount
Collateral asset account. The account at which individual collateral assets are maintained. Typically, although not always, one-for-one with the settlement account.

102
DataRepository
Data repository. Multiple instances of this PartyRole may appear for reporting purposes.

103
CalculationAgent
Calculation agent

104
ExerciseNoticeSender
Sender of exercise notice

105
ExerciseNoticeReceiver
Receiver of exercise notice

106
RateReferenceBank
Rate reference bank. The bank providing the reference rate. Multiple instance of this PartyRole may appear.

107
Correspondent
Correspondent

109
BeneficiaryBank
Beneficiary's bank or depository institution. The institution in which the beneficiary, a person or an entity, has their account with. The institution may be a bank or non-bank institution.

110
Borrower
Borrower

111
PrimaryObligator
Primary obligator

112
Guarantor
Guarantor

113
ExcludedReferenceEntity
Excluded reference entity

114
DeterminingParty
Determining party

115
HedgingParty
Hedging party

116
ReportingEntity
Reporting entity. The entity that is reporting the information.

117
SalesPerson
Sales person. The person who is involved in the sales activities for their firm.

118
Operator
Operator. The person who has the capabilities and authorization to take certain actions; for example, setting entitlements, etc.

119
CSD
Central Securities Depository (CSD)

120
ICSD
International Central Securities Depository (ICSD)

121
TradingSubAccount
Trading sub-account. Example of sub-accounts include a clearing account that has multiple trading sub-accounts, a trading account that has multiple trading sub-accounts belonging to different trading firms.

122
InvestmentDecisionMaker
Investment decision maker. In the context of ESMA RTS reporting, this is used to specify party responsible for the investment decision. See RTS 24, Annex, Table 2, Field 4.

123
PublishingIntermediary
Publishing intermediary. The medium or vendor used to publish to the market.

124
CSDParticipant
Central Securities Depository (CSD) Participant. In the context of EU SFTR reporting the identifier of the CSD participant or indirect participant of the reporting counterparty. Where both the CSD participant and indirect participant are involved in the transaction this should identify the indirect participant.

125
Issuer
Issuer. The issuer of the security.

126
ContraCustomerAccount
Contra Customer Account. Same as PartyRole(452) = 24 (Customer Account) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

127
ContraInvestmentDecisionMaker
Contra Investment Decision Maker. Same as PartyRole(452) = 122 (Investment Decision Maker) but for the counterparty. Can be used whenever the parties component is not nested in a repeating group representing both sides.

128
AuthorizingPerson
Authorizing person. In the context of MiFIR, this value is used to identify the person authorizing algorithms within a trading firm.

Used in groups: UnderlyingProvisionParties

UnderlyingProvisionPartyRoleQualifier

Used to further qualify the value of UnderlyingProvisionPartyRole(42176).

Type: int

Allowed values in PartyDetailRoleQualifierCodeSet:

Code | Name | Description
0 | Agency | Agency
1 | Principal | Principal
2 | RisklessPrincipal | Riskless principal
3 | GeneralClearingMember | General clearing member
30 | ExchangeOrderSubmitter | Exchange order submitter. Used to identify original or initial exchange order submitting broker when party role "1" (Executing Firm) appears more than once.
4 | IndividualClearingMember | Individual clearing member
5 | PreferredMarketMaker | Preferred market maker. Market maker getting a part of the matched quantity before primary or default market maker.
6 | DirectedMarketMaker | Directed market maker. Single market maker to handle the order provided.
7 | Bank | Bank
8 | Hub | Hub. Indicates that the Intermediary party is a hub system or service provider.
9 | PrimaryTrdRepository | Primary trade repository. Used to differentiate the principal trade repository from the Original or Additional trade repositories when there are multiple trade repositories being reported.
10 | OrigTrdRepository | Original trade repository. Used to identify the trade repository to which the trade was originally reported if different from the current repository to which the trade is being reported.
11 | AddtnlIntlTrdRepository | Additional international trade repository. Used with InternationalSwapIndicator(2526) to identify the trade repository that is in addition to the local swaps data repository as required by U.S. law.
12 | AddtnlDomesticTrdRepository | Additional domestic trade repository. Used with MixedSwapIndicator(1929) to identify the trade repository that is in addition to the current trade repository when the assets in the swap are subject to two different domestic regulators.
13 | RelatedExchange | Related exchange
14 | OptionsExchange | Options exchange
15 | SpecifiedExchange | Specified exchange
16 | ConstituentExchange | Constituent exchange.
17 | ExemptFromTradeReporting | Exempt from trade reporting. In the context of FINRA TRACE reporting requirements, this is used to indicate the ATS has been granted a regulatory exemption from reporting.
18 | Current | Current. Can be used to convey an existing party identifier for the same party role in a single message.
19 | New | New. Can be used to convey a future party identifier for the same party role in a single message.
20 | DesignatedSponsor | Designated sponsor. Market maker jointly providing liquidity for the same security with other market makers.
21 | Specialist | Specialist. Market maker being the only one providing liquidity for a security.
22 | Algorithm | Algorithm
23 | FirmOrLegalEntity | Firm or legal entity
24 | NaturalPerson | Natural person
25 | RegularTrader | Regular trader. Standard trader profile.
26 | HeadTrader | Head trader. Senior trader leading a group of regular traders.
27 | Supervisor | Supervisor. Administrative user that has only limited rights for normal trading but possibly special rights for emergency actions.
28 | TriParty | Tri-party. In the context of EU SFTR reporting, identifies the third party, not necessarily the custodian, to which the reporting counterparty has outsourced the post-trade processing of an SFT (if applicable).
29 | Lender | Lender. In the context of EU SFTR reporting, identifies the agent lender involved in the securities lending transaction.

Used in groups: UnderlyingProvisionParties

UnderlyingProvisionPartySubID

Underlying provision party sub-identifier, if applicable for UnderlyingProvisionPartyID(42174).

Type: String

Used in groups: UnderlyingProvisionPtysSubGrp

UnderlyingProvisionPartySubIDType

The type of UnderlyingProvisionPartySubID(42178).

Type: int

Allowed values in PartySubIDTypeCodeSet:

Code
Name
Description

1
Firm
Firm

2
Person
Person

3
System
System

4
Application
Application

5
FullLegalNameOfFirm
Full legal name of firm

6
PostalAddress
Postal address

7
PhoneNumber
Phone number

8
EmailAddress
Email address

9
ContactName
Contact name

10
SecuritiesAccountNumber
Securities account number (for settlement instructions)

11
RegistrationNumber
Registration number (for settlement instructions and confirmations)

12
RegisteredAddressForConfirmation
Registered address (for confirmation purposes)

13
RegulatoryStatus
Regulatory status (for confirmation purposes)

14
RegistrationName
Registration name (for settlement instructions)

15
CashAccountNumber
Cash account number (for settlement instructions)

16
BIC
BIC

17
CSDParticipantMemberCode
CSD participant member code

18
RegisteredAddress
Registered address

19
FundAccountName
Fund account name

20
TelexNumber
Telex number

21
FaxNumber
Fax number

22
SecuritiesAccountName
Securities account name

23
CashAccountName
Cash account name

24
Department
Department

25
LocationDesk
Location desk

26
PositionAccountType
Position account type

27
SecurityLocateID
Security locate ID

28
MarketMaker
Market maker

29
EligibleCounterparty
Eligible counterparty

30
ProfessionalClient
Professional client

31
Location
Location

32
ExecutionVenue
Execution venue

33
CurrencyDeliveryIdentifier
Currency delivery identifier

34
AddressCity
Address City

35
AddressStateOrProvince
Address State/Province

36
AddressPostalCode
Address Postal Code

37
AddressStreet
Address Street

38
AddressISOCountryCode
Address Country (ISO country code)

39
ISOCountryCode
ISO country code

40
MarketSegment
Market segment

41
CustomerAccountType
Customer account type

42
OmnibusAccount
Omnibus account

43
FundsSegregationType
Funds segregation type

44
GuaranteeFund
Guarantee fund. Identifies a guarantee fund related to an account. Used when one account has multiple funds of collateral, each guaranteeing different positions. Can be used for PartyRole(452) = Customer Account(24).

45
SwapDealer
Swap dealer. The US regulator's defined term for identifying the trade counterparty as "any person who holds itself out as a dealer in swaps, makes a market in swaps, regularly enters into swaps with counterparties as an ordinary course of business for its own account, or engages in activity causing itself to be commonly known in the trade as a dealer or market maker in swaps".

46
MajorParticipant
Major participant. When PartySubID(523)=Y the counterparty is not the swap dealer but is a major swap participant as defined in the regulations.

47
FinancialEntity
Financial entity. When PartySubID(523)=Y the counterparty is neither a swap dealer nor a major swap participant but is a financial entity as defined in the regulations.

48
USPerson
U.S. person. A legal term referring to any U.S. person or legal entity anywhere in the world that should be taxed under U.S. law.

49
ReportingEntityIndicator
Reporting entity indicator. Indicates the entity obligated or delegated to report to their regulator, a non-regulatory agency or data repository. Set PartySubID(523)=Y if true.

50
ElectedClearingRequirementException
Elected clearing requirement exception

51
BusinessCenter
Business center.

52
ReferenceText
Reference text

53
ShortMarkingExemptAccount
Short-marking exempt account

54
ParentFirmIdentifier
Parent firm identifier. Implementation-specific identifier of this party's parent entity.

55
ParentFirmName
Parent firm name. Full name of this party's parent entity.

56
DealIdentifier
Deal identifier. The internal identifier assigned to the trade by this party, particularly by a Clearing Organization.

57
SystemTradeID
System trade identifier

58
SystemTradeSubID
System trade sub-identifier

59
FCMCode
Futures Commission Merchant (FCM) code. The FCM's code or identifier in relation to the PartyRole(452). For example, if PartyRole(452) is the exchange or clearinghouse, the FCM code/ID specified in PartySubID(523) is the FCM's identifier at the exchange or clearinghouse.

60
DlvryTrmlCode
Delivery terminal customer account/code. Usually used for gas delivery to identify whose account the gas is allocated to at the delivery terminal. Often referred to as "HUB" code.

61
VolntyRptEntity
Voluntary reporting entity. The entity voluntarily reporting the trade to the regulator. Set PartySubID(523)=Y if true.

62
RptObligJursdctn
Reporting obligation jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the reporting jurisdiction to which the party is obligated to report.

63
VolntyRptJursdctn
Voluntary reporting jurisdiction. For a trade that falls under multiple jurisdictions this may be used to identify, through PartySubID(523), the regulatory jurisdiction to which the party is submitting a voluntary report.

64
CompanyActivities
Company activities. For regulatory reporting. ID values include: A = Assurance undertaking authorized in accordance with Directive 2002/83/EC C=Credit institution authorized in accordance with Directive 2006/48/EC F=Investment firm in accordance with Directive 2004/39/EC I=Insurance undertaking authorized in accordance with Directive 73/239/EC L=Alternative investment fund managed by AIFMs authorized or registered in accordance with Directive 2011/61/EC O=Institution for occupational retirement provision within the meaning of Article 6(a0 of Directive 2003/41/EC R=Reinsurance undertaking authorized in accordance with Directive 2005/68/EC U=UCITS and its management company, authorized in accordance with Directive 2009/65/EC or blank in case of coverage by LEI or in case of non-financial counterparties. In the context of EU SFTR reporting use the appropriate 4- or 1-character code noted in the regulations. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

65
EEAreaDomiciled
European Economic Area domiciled. ID values: Y or N

66
ContractLinked
Contract linked to commercial or treasury financing for this counterparty. ID values: Y or N

67
ContractAbove
Contract above clearing threshold for this counterparty. ID values: Y or N

68
VolntyRptPty
Voluntary reporting party. When PartySubID(523)=Y, identifies that the trading party is reporting voluntarily when VoluntaryRegulatoryReport(1935)=Y.

69
EndUser
End user. When PartySubID(523)=Y, the counterparty is neither the swap dealer, major swap participant nor financial entity as defined in the regulations.

70
LocationOrJurisdiction
Location or jurisdiction. One or more instances may be used in combination with PartySubIDType(803) = 49 (Reporting entity indicator) or 102 (Data repository) to identify the jurisdiction, countries, regions or provinces for which the party is a reporting entity or data repository when that characteristic is ambiguous or where there are multiple locations. The party sub-ID value is either a jurisdiction acronym, a 2-character ISO 3166 country code, or a hyphenated combination of the country code and the standard post-office abbreviation for province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

71
DerivativesDealer
Derivatives dealer. Indicates whether the party is a derivatives dealer or not (Y/N). The Canadian regulator's defined term for identifying the trade counterparty as "a person or company engaging in or holding himself, herself or itself out as engaging in the business of trading in derivatives in Ontario as principal or agent".

72
Domicile
Domicile. Country and optionally province, state or region of domicile. The party sub-ID value is either a 2-character ISO 3166 country code or a hyphenated combination of the country code and the standard post-office abbreviation of province, state or region if necessary. E.g. "US" for United States or "CA-QC" for Quebec Canada.

73
ExemptFromRecognition
Exempt from recognition. Used with party role 21 "Clearing Organization" to indicate exemption (Y/N). Identifies a clearing agency as exempt from oversight in Ontario, i.e. one that 1) only provides limited services and does not present significant risks or 2) is foreign-based, indends to operate in Ontario but is subject to regulatory oversight in another jurisdiction.

74
Payer
Payer. Identifies the party as the payer of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

75
Receiver
Receiver. Identifies the party as the receiver of a particular payment stream or bullet payment by quoting the stream's StreamDesc(40051) (or LegStreamDesc(40243) or UnderlyingStreamDesc(40542)) or payment's PaymentDesc(43087) in the associated party sub-identifier field.

76
SystematicInternaliser
Systematic Internaliser (SI). In the context of ESMA reporting, this is used to indicate whether the specified party is a Systematic Internaliser or not for the security defined in the Instrument component (Y/N).

77
PublishingEntityIndicator
Publishing entity indicator. Indicates the entity obligated or delegated to publish to the market. Set PartySubID(523)=Y if true.

78
FirstName
First name. The first name(s) of a natural person. If multiple names, separate entries by a comma.

79
Surname
Surname. The surname(s) or lastname(s) of a natural person. If multiple names, separate entries by a comma.

80
DateOfBirth
Date of birth. The date of birth of a natural person in the format YYYYMMDD.

81
OrderTransmittingFirm
Order transmitting firm. Identifies whether the party specified in PartyID(448) is the firm that transmitted the order. In the context of RTS 22 Article 4, when "true" the PartySubID(523)=Y shall be set "by the transmitting firm within the transmitting firm's report where conditions for transmission specified in Article 4 were not satisfied."

82
OrderTransmittingFirmBuyer
Order transmitting firm for buyer. Identifies the firm that transmitted the order for the buyer. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the buyer. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

83
OrderTransmitterSeller
Order transmitter for seller. Identifies the order transmitting firm for the seller. In the context of ESMA RTS 22, PartySubID(523)=Y is used to indicate the firm identified in PartyID(448) is the firm that transmitted the order for the seller. "This shall be populated by the receiving firm within the receiving firm's report with the identification code provided by the transmitting firm."

84
LegalEntityIdentifier
Legal Entity Identifier (ISO 17442) LEI

85
SubSectorClassification
Sub-sector classification. Supplemental to party sub-ID type "64" (Company activities) for regulatory reporting. For EU SFTR reporting use the appropriate 4-character code noted in the regulations applying the conditional association rules. See SFTR ITS "Commission Implementing Regulation (EU) 2019/363" Annexes 1 and 2 for values.

86
PartySide
Party side. May be used, when appropriate, to explicitly indicate the transaction side of the party, e.g. Buyer, Seller, Lender, Borrower, Maker, Taker, etc. in the ID. In the context of EU SFTR reporting, use values as required by SFTR, "GIVE" and "TAKE" in the ID, to identify collateral giver and taker.

87
LegalRegistrationCountry
Legal registration country. ISO Country Code where the registered office of the party is located as specified in the LEI reference data.

Used in groups: UnderlyingProvisionPtysSubGrp

UnderlyingProvisionPtysSubGrp

UnderlyingProvisionPtysSubGrp is a repeating component within the UnderlyingProvisionParties component used to extend information to be reported for the party.

Name | Mult. | Type | Description
NoUnderlyingProvisionPartySubIDs | [1..1] | NumInGroup |
UnderlyingProvisionPartySubID | [0..1] | String | Required if NoUnderlyingProvisionPartySubIDs(42177) > 0.
UnderlyingProvisionPartySubIDType | [0..1] | CodeSet | Required if NoUnderlyingProvisionPartySubIDs(42177) > 0.

Used in groups: UnderlyingProvisionParties

UnderlyingProvisionText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: UnderlyingProvisionGrp

UnderlyingProvisionType

Type of provision.

Type: int

Allowed values in ProvisionTypeCodeSet:

Code | Name | Description
0 | MandatoryEarlyTermination | Mandatory early termination
1 | OptionalEarlyTermination | Optional early termination
2 | Cancelable | Cancelable
3 | Extendable | Extendable. The contract can be extended by either party usually with a specific time notice prior to the expiry date. In the context of EU SFTR reporting this corresponds to "termination optionality" code "ETSB".
4 | MutualEarlyTermination | Mutual early termination
5 | Evergreen | Evergreen. The contract automatically renews after the expiry date until one party gives the other notice to terminate. In the context of EU SFTR reporting this corresponds to "termination optionality" code "EGRN".
6 | Callable | Callable. Contract is callable.
7 | Puttable | Puttable. Contract is puttable.

Used in groups: UnderlyingProvisionGrp

UnderlyingPutOrCall

Indicates whether an underlying option contract is a put, call, chooser or undetermined.

Type: int

Allowed values in PutOrCallCodeSet:

Code | Name | Description
0 | Put | Put. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate receiver or into a CDS contract as a seller of protection or for the case of a Floor.
1 | Call | Call. Also used for the case in which the buyer of a Swaption has the right to enter into an IRS contract as a fixed-rate payer or into a CDS contract as a buyer of protection or for the case of a Cap.
2 | Other | Other. In the context of ESMA RTS 22 reporting, this value may be used when, at the time of execution, the option right cannot be determined.
3 | Chooser | Chooser. Indicates that the option buyer may choose to buy or sell the underlying security on exercise or if a Swaption to pay or receive the underlying IRS cash flow stream or to buy or sell CDS protection.

Used in components: UnderlyingInstrument

UnderlyingPx

Underlying price associate with a derivative instrument.

Type: Price

Used in components: UnderlyingInstrument

UnderlyingQty

Unit amount of the underlying security (par, shares, currency, etc.)

Type: Qty

Used in components: UnderlyingInstrument

UnderlyingRateSpreadInitialValue

Specifies the initial rate spread for a basket underlier.

Type: float

Used in components: UnderlyingRateSpreadSchedule

UnderlyingRateSpreadSchedule

UnderlyingRateSpreadSchedule is a subcomponent of UnderlyingInstrument used to specify the rate spread schedule for a basket underlier.

Name | Mult. | Type | Description
UnderlyingRateSpreadInitialValue | [0..1] | float |
UnderlyingRateSpreadStepGrp | [0..*] | Group |

Used in components: UnderlyingInstrument

UnderlyingRateSpreadStepDate

The date that the rate spread step takes affect.

Type: LocalMktDate

Used in groups: UnderlyingRateSpreadStepGrp

UnderlyingRateSpreadStepGrp

UnderlyingRateSpreadStepGrp is a repeating subcomponent of UnderlyingRateSpreadSchedule used to specify the step dates and amounts of a basket spread schedule.

Name | Mult. | Type | Description
NoUnderlyingRateSpreadSteps | [1..1] | NumInGroup |
UnderlyingRateSpreadStepDate | [0..1] | LocalMktDate | Required if NoUnderlyingRateSpreadSteps(43005) > 0.
UnderlyingRateSpreadStepValue | [0..1] | float | Required if NoUnderlyingRateSpreadSteps(43005) > 0.

Used in components: UnderlyingRateSpreadSchedule

UnderlyingRateSpreadStepValue

The the value of the new rate spread as of the UnderlyingRateSpreadStepDate(43006).

Type: float

Used in groups: UnderlyingRateSpreadStepGrp

UnderlyingRedemptionDate

Underlying security's RedemptionDate. See RedemptionDate (240) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3) (prior to FIX 4.4 field was of type UTCDate)

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingReferenceEntityType

Specifies the type of reference entity for first-to-default CDS basket contracts.

Type: int

Allowed values in ReferenceEntityTypeCodeSet:

Code | Name | Description
1 | Asian | Asian
2 | AustralianNewZealand | Australian and New Zealand
3 | EuropeanEmergingMarkets | European emerging markets
4 | Japanese | Japanese
5 | NorthAmericanHighYield | North American high yield
6 | NorthAmericanInsurance | North American insurance
7 | NorthAmericanInvestmentGrade | North American investment grade
8 | Singaporean | Singaporean
9 | WesternEuropean | Western European
10 | WesternEuropeanInsurance | Western European insurance

Used in components: UnderlyingInstrument

UnderlyingRefID

Identifies the underlying instrument the entity applies to by referencing the underlying instrument's UnderlyingID(2874).

Type: String

Used in groups: CollateralAmountGrp

UnderlyingRefTickTableID

Spread table code referred by the security or symbol.

Type: int

Used in components: UnderlyingInstrument

UnderlyingRepoCollateralSecurityType

Underlying security's RepoCollateralSecurityType. See RepoCollateralSecurityType (239) field for description.(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Used in components: UnderlyingInstrument

UnderlyingRepurchaseRate

Underlying security's RepurchaseRate. See RepurchaseRate (227) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingRepurchaseTerm

Underlying security's RepurchaseTerm. See RepurchaseTerm (226) field for description (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: int

Used in components: UnderlyingInstrument

UnderlyingRestructuringType

See RestructuringType(1449)

Type: String

Allowed values in RestructuringTypeCodeSet:

Code | Name | Description
FR | FullRestructuring | Full Restructuring
MR | ModifiedRestructuring | Modified Restructuring
MM | ModifiedModRestructuring | Modified Mod Restructuring
XR | NoRestructuringSpecified | No Restructuring specified

Used in components: UnderlyingInstrument

UnderlyingReturnRateAmountRelativeTo

Specifies the reference amount when the return rate amount is relative to another amount in the trade.

See http://www.fixtradingcommunity.org/codelists#Payment_Amount_Relative_To for code list of relative amounts.

Type: int

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateCashFlowType

Specifies the type of cash flows, e.g. coupon payment, premium fee, settlement fee, etc.

See http://www.fpml.org/coding-scheme/cashflow-type for values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateCommissionAmount

The commission amount.

Type: Amt

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateCommissionBasis

Specifies the basis or unit used to calculate the commission.

Type: char

Allowed values in CommTypeCodeSet:

Code | Name | Description
1 | PerUnit | Amount per unit. Implying shares, par, currency, physical unit etc. Use CommissionUnitOfMeasure(1238) to clarify for commodities.
2 | Percent | Percent
3 | Absolute | Absolute. Total monetary amount.
4 | PercentageWaivedCashDiscount | Percentage waived, cash discount basis. For use with CIV buy orders.
5 | PercentageWaivedEnhancedUnits | Percentage waived, enhanced units basis. For use with CIV buy orders.
6 | PointsPerBondOrContract | Points per bond or contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention, e.g. 1000 par for bonds.
7 | BasisPoints | Basis points. The commission is expressed in basis points in reference to the gross price of the reference asset.
8 | AmountPerContract | Amount per contract. Specify ContractMultiplier(231) in the Instrument component if the security is denominated in a size other than the market convention.

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateCommissionCurrency

Specifies the currency the commission amount is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateDateGrp

UnderlyingReturnRateDateGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the equity and dividend valuation dates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRateDates | [1..1] | NumInGroup |
UnderlyingReturnRateDateMode | [0..1] | CodeSet | Required if NoUnderlyingReturnRateDates(43008) > 0.
UnderlyingReturnRateValuationDateGrp | [0..*] | Group |
UnderlyingReturnRateValuationDateRelativeTo | [0..1] | int |
UnderlyingReturnRateValuationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingReturnRateValuationDateOffsetUnit(43012) is specified.
UnderlyingReturnRateValuationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingReturnRateValuationDateOffsetPeriod(43011) is specified.
UnderlyingReturnRateValuationDateOffsetDayType | [0..1] | CodeSet |
UnderlyingReturnRateValuationStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingReturnRateValuationStartDateRelativeTo | [0..1] | int |
UnderlyingReturnRateValuationStartDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingReturnRateValuationStartDateOffsetUnit(43017) is specified.
UnderlyingReturnRateValuationStartDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingReturnRateValuationStartDateOffsetPeriod(43016) is specified.
UnderlyingReturnRateValuationStartDateOffsetDayType | [0..1] | CodeSet |
UnderlyingReturnRateValuationStartDateAdjusted | [0..1] | LocalMktDate |
UnderlyingReturnRateValuationEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingReturnRateValuationEndDateRelativeTo | [0..1] | int |
UnderlyingReturnRateValuationEndDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingReturnRateValuationEndDateOffsetUnit(43023) is specified.
UnderlyingReturnRateValuationEndDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingReturnRateValuationEndDateOffsetPeriod(43022) is specified.
UnderlyingReturnRateValuationEndDateOffsetDayType | [0..1] | CodeSet |
UnderlyingReturnRateValuationEndDateAdjusted | [0..1] | LocalMktDate |
UnderlyingReturnRateValuationFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingReturnRateValuationFrequencyUnit(43027) is specified.
UnderlyingReturnRateValuationFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingReturnRateValuationFrequencyPeriod(43026) is specified.
UnderlyingReturnRateValuationFrequencyRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the return rate dates.
UnderlyingReturnRateValuationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to payment stream return rate valuation dates.
UnderlyingReturnRateValuationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to payment stream return rate valuation dates.

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateDateMode

Specifies the valuation type applicable to the return rate date.

Type: int

Allowed values in ReturnRateDateModeCodeSet:

Code | Name | Description
0 | PriceValuation | Price valuation
1 | DividendValuation | Dividend valuation

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateDeterminationMethod

Specifies the method by which the underlier prices are determined.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateFinalPriceFallback

Specifies the fallback provision for the hedging party in the determination of the final price.

Type: int

Allowed values in ComplexEventPVFinalPriceElectionFallbackCodeSet:

Code | Name | Description
0 | Close | Close. In respect of the "early final valuation date", the provisions for "future present value close" shall apply.
1 | HedgeElection | Hedge election. In respect of the "early final valuation date", the provisions for "future present value hedge execution" shall apply.

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateFXConversionGrp

UnderlyingReturnRateFXConversionGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the FX conversion rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRateFXConversions | [1..1] | NumInGroup |
UnderlyingReturnRateFXCurrencySymbol | [0..1] | String | Required if NoUnderlyingReturnRateFXConversions(43030) > 0.
UnderlyingReturnRateFXRate | [0..1] | float | Required if NoUnderlyingReturnRateFXConversions(43030) > 0.
UnderlyingReturnRateFXRateCalc | [0..1] | CodeSet |

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateFXCurrencySymbol

Specifies the currency pair for the FX conversion expressed using the CCY1/CCY2 convention. Uses ISO 4217 currency codes.

Type: String

Used in groups: UnderlyingReturnRateFXConversionGrp

UnderlyingReturnRateFXRate

The rate of exchange between the two currencies specified in UnderlyingReturnRateFXCurrencySymbol(43031).

Type: float

Used in groups: UnderlyingReturnRateFXConversionGrp

UnderlyingReturnRateFXRateCalc

Specifies whether UnderlyingReturnRateFXRate(43032) should be multiplied or divided.

Type: char

Allowed values in SettlCurrFxRateCalcCodeSet:

Code | Name | Description
M | Multiply | Multiply
D | Divide | Divide

Used in groups: UnderlyingReturnRateFXConversionGrp

UnderlyingReturnRateGrp

UnderlyingReturnRateGrp is a repeating subcomponent within the UnderlyingPaymentStreamFloatingRate component. It is used to specify the multiple return rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRates | [1..1] | NumInGroup |
UnderlyingReturnRatePriceSequence | [0..1] | CodeSet | Required if NoUnderlyingReturnRates(43034) > 0.
UnderlyingReturnRateCommissionBasis | [0..1] | CodeSet |
UnderlyingReturnRateCommissionAmount | [0..1] | Amt |
UnderlyingReturnRateCommissionCurrency | [0..1] | Currency | If not specified, this is defaulted to the reporting currency.
UnderlyingReturnRateTotalCommissionPerTrade | [0..1] | Amt |
UnderlyingReturnRateDeterminationMethod | [0..1] | String |
UnderlyingReturnRatePriceGrp | [0..*] | Group |
UnderlyingReturnRateFXConversionGrp | [0..*] | Group |
UnderlyingReturnRateAmountRelativeTo | [0..1] | int |
UnderlyingReturnRateQuoteMeasureType | [0..1] | String |
UnderlyingReturnRateQuoteUnits | [0..1] | String |
UnderlyingReturnRateQuoteMethod | [0..1] | CodeSet |
UnderlyingReturnRateQuoteCurrency | [0..1] | Currency |
UnderlyingReturnRateQuoteCurrencyType | [0..1] | String |
UnderlyingReturnRateQuoteTimeType | [0..1] | CodeSet | Mutually exclusive with UnderlyingReturnRateQuoteTime(43048).
UnderlyingReturnRateQuoteTime | [0..1] | LocalMktDate | Mutually exclusive with UnderlyingReturnRateQuoteTimeType(43047).
UnderlyingReturnRateQuoteDate | [0..1] | LocalMktDate |
UnderlyingReturnRateQuoteExpirationTime | [0..1] | LocalMktTime |
UnderlyingReturnRateQuoteBusinessCenter | [0..1] | String |
UnderlyingReturnRateQuoteExchange | [0..1] | Exchange |
UnderlyingReturnRateInformationSourceGrp | [0..*] | Group |
UnderlyingReturnRateQuotePricingModel | [0..1] | String |
UnderlyingReturnRateCashFlowType | [0..1] | String |
UnderlyingReturnRateDateGrp | [0..*] | Group |
UnderlyingReturnRateValuationTimeType | [0..1] | CodeSet | Mutually exclusive with UnderlyingReturnRateValuationTime(43056)
UnderlyingReturnRateValuationTime | [0..1] | LocalMktTime | Mutually exclusive with UnderlyingReturnRateValuationTimeType(43055).
UnderlyingReturnRateValuationTimeBusinessCenter | [0..1] | String |
UnderlyingReturnRateValuationPriceOption | [0..1] | CodeSet |
UnderlyingReturnRateFinalPriceFallback | [0..1] | CodeSet |

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingReturnRateInformationSource

Identifies the source of rate information. For FX the references source to be used for the FX spot rate.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in groups: UnderlyingReturnRateInformationSourceGrp

UnderlyingReturnRateInformationSourceGrp

UnderlyingReturnRateInformationSourceGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the information sources for equity prices and FX rates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRateInformationSources | [1..1] | NumInGroup |
UnderlyingReturnRateInformationSource | [0..1] | CodeSet | Required if NoUnderlyingReturnRateInformationSources(43060) > 0.
UnderlyingReturnRateReferencePage | [0..1] | String |
UnderlyingReturnRateReferencePageHeading | [0..1] | String |

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateNotionalReset

Indicates whether the term "Equity Notional Reset" as defined in the ISDA 2002 Equity Derivatives Definitions is applicable ("Y") or not.

Type: Boolean

Used in components: UnderlyingPaymentStreamFloatingRate

UnderlyingReturnRatePrice

Specifies the price of the underlying swap asset.

Type: Price

Used in groups: UnderlyingReturnRatePriceGrp

UnderlyingReturnRatePriceBasis

The basis of the return price.

Type: int

Allowed values in ReturnRatePriceBasisCodeSet:

Code | Name | Description
0 | Gross | Gross.
1 | Net | Net
2 | Accrued | Accrued
3 | CleanNet | Clean net

Used in groups: UnderlyingReturnRatePriceGrp

UnderlyingReturnRatePriceCurrency

Specifies the currency of the price of the underlying swap asset. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingReturnRatePriceGrp

UnderlyingReturnRatePriceGrp

UnderlyingReturnRatePriceGrp is a repeating subcomponent within the UnderlyingReturnRateGrp component. It is used to specify the return rate prices for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRatePrices | [1..1] | NumInGroup |
UnderlyingReturnRatePriceBasis | [0..1] | CodeSet | Required if NoUnderlyingReturnRatePrices(43064) > 0.
UnderlyingReturnRatePrice | [0..1] | Price |
UnderlyingReturnRatePriceCurrency | [0..1] | Currency |
UnderlyingReturnRatePriceType | [0..1] | CodeSet |

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRatePriceSequence

Specifies the type of price sequence of the return rate.

Type: int

Allowed values in ReturnRatePriceSequenceCodeSet:

Code | Name | Description
0 | Initial | Initial
1 | Interim | Interim
2 | Final | Final

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRatePriceType

Specifies whether the UnderlyingReturnRatePrice(43066) is expressed in absolute or relative terms.

Type: int

Allowed values in ReturnRatePriceTypeCodeSet:

Code | Name | Description
0 | AbsoluteTerms | Absolute terms
1 | PercentageOfNotional | Percentage of notional

Used in groups: UnderlyingReturnRatePriceGrp

UnderlyingReturnRateQuoteBusinessCenter

The business center calendar used for adjustments associated with UnderlyingReturnRateQuoteTimeType(43047) or UnderlyingReturnRateQuoteTime(43048) and UnderlyingReturnRateQuoteDate(43049), e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteCurrency

Specifies the currency the return rate quote is denominated in. Uses ISO 4217 Currency Code.

Type: Currency

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteCurrencyType

Specifies the type of currency, e.g. settlement currency, base currency, etc., that the quote is reported in.

See http://www.fpml.org/coding-scheme/reporting-currency-type for values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteDate

The date when the quote is to be generated.

Type: LocalMktDate

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteExchange

Specifies the exchange (e.g. stock or listed futures/options exchange) from which the quote is obtained.

Type: Exchange

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteExpirationTime

The time when the quote ceases to be valid.

Type: LocalMktTime

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteMeasureType

Specifies the type of the measure applied to the return rate's asset, e.g. valuation, sensitivity risk. This could be an NPV, a cash flow, a clean price, etc.

See http://www.fpml.org/coding-scheme/asset-measure for values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteMethod

Specifies the type of quote used to determine the return rate of the swap.

Type: int

Allowed values in CashSettlQuoteMethodCodeSet:

Code | Name | Description
0 | Bid | Bid
1 | Mid | Mid
2 | Offer | Offer

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuotePricingModel

Specifies the pricing model used to evaluate the underlying asset price.

See http://www.fpml.org/coding-scheme/pricing-model for values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteTime

The time when the quote is to be generated.

Type: LocalMktDate

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteTimeType

Specifies how or the timing when the quote is to be obtained.

Type: int

Allowed values in ReturnRateQuoteTimeTypeCodeSet:

Code | Name | Description
0 | Open | Open. The official opening time of the exchange on valuation date.
1 | OfficialSettlPx | Official settlement price time. The time at which the official settlement price is determined.
2 | Xetra | XETRA. The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
3 | Close | Close. The official closing time of the exchange on valuation date.
4 | DerivativesClose | Derivatives close. The official closing time for derivative trading of the exchange on valuation date.
5 | High | High. The high price for the day.
6 | Low | Low. The low price for the day.
7 | AsSpecifiedInMasterConfirmation | As specified in the master confirmation

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateQuoteUnits

Specifies the units that the measure is expressed in. If not specified, the default is a price/value in currency units.

See http://www.fpml.org/coding-scheme/price-quote-units for values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateReferencePage

Identifies the reference "page" from the rate source.

For FX, the reference page to the spot rate to be used for the reference FX spot rate.

When UnderlyingReturnRateInformationSource(43061) = 3 (ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions.

See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in groups: UnderlyingReturnRateInformationSourceGrp

UnderlyingReturnRateReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in groups: UnderlyingReturnRateInformationSourceGrp

UnderlyingReturnRateTotalCommissionPerTrade

The total commission per trade.

Type: Amt

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateValuationDate

The return rate valuation date. Type of date is specified in UnderlyingReturnRateValuationDateType(43073).

Type: LocalMktDate

Used in groups: UnderlyingReturnRateValuationDateGrp

UnderlyingReturnRateValuationDateBusinessCenter

The business center calendar used for date adjustment of the return rate valuation unadjusted or relative dates, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingReturnRateValuationDateBusinessCenterGrp

UnderlyingReturnRateValuationDateBusinessCenterGrp

UnderlyingReturnRateValuationDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingReturnRateValuationDateGrp component. It is used to specify the valuation date business center adjustments for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRateValuationDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingReturnRateValuationDateBusinessCenter | [0..1] | String | Required if NoUnderlyingReturnRateValuationDateBusinessCenters(43069) > 0.

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateBusinessDayConvention

The return rate valuation dates business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateGrp

UnderlyingReturnRateValuationDateGrp is a repeating subcomponent within the UnderlyingReturnRateDateGrp component. It is used to specify the fixed valuation dates for an equity return swap payment stream.

Name | Mult. | Type | Description
NoUnderlyingReturnRateValuationDates | [1..1] | NumInGroup |
UnderlyingReturnRateValuationDate | [0..1] | LocalMktDate | Required if NoUnderlyingReturnRateValuationDates(43071) > 0.
UnderlyingReturnRateValuationDateType | [0..1] | CodeSet | When specified it applies not only to the current date instance but to all subsequent date instances in the group until overridden when a new type is specified.

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateOffsetDayType

Specifies the day type of the relative return rate valuation date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateOffsetPeriod

Time unit multiplier for the relative return rate valuation date offset.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateOffsetUnit

Time unit associated with the relative return rate valuation date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateRelativeTo

Specifies the anchor date when the return rate valuation dates are relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationDateType

Specifies the type of return rate valuation date (e.g. adjusted for holidays).

Type: int

Allowed values in NonDeliverableFixingDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingReturnRateValuationDateGrp

UnderlyingReturnRateValuationEndDateAdjusted

The adjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationEndDateOffsetDayType

Specifies the day type of the relative return rate valuation end date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationEndDateOffsetPeriod

Time unit multiplier for the relative return rate valuation end date offset.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationEndDateOffsetUnit

Time unit associated with the relative return rate valuation end date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationEndDateRelativeTo

Specifies the anchor date when the return rate valuation end date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationEndDateUnadjusted

The unadjusted end date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationFrequencyPeriod

Time unit multiplier for the frequency at which return rate valuation dates occur.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationFrequencyRollConvention

The convention for determining the sequence of return rate valuation dates. It is used in conjunction with a specified frequency.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationFrequencyUnit

Time unit associated with the frequency at which return rate valuation dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationPriceOption

Indicates whether an ISDA price option applies, and if applicable which type of price.

Type: int

Allowed values in ReturnRateValuationPriceOptionCodeSet:

Code | Name | Description
0 | None | None (the default)
1 | FuturesPrice | Futures price. The official settlement price as announced by the related futures exchange is applicable.
2 | OptionsPrice | Options price. The official settlement price as announced by the related options exchange is applicable.

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateValuationStartDateAdjusted

The adjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationStartDateOffsetDayType

Specifies the day type of the relative return rate valuation start date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationStartDateOffsetPeriod

Time unit multiplier for the relative return rate valuation start date offset.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationStartDateOffsetUnit

Time unit associated with the relative return rate valuation start date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationStartDateRelativeTo

Specifies the anchor date when the return rate valuation start date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationStartDateUnadjusted

The unadjusted start date for return rate valuation. This can be used to restrict the range of dates when they are relative.

Type: LocalMktDate

Used in groups: UnderlyingReturnRateDateGrp

UnderlyingReturnRateValuationTime

The time at which the calculation agent values the underlying asset.

Type: LocalMktTime

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateValuationTimeBusinessCenter

The business center calendar used for adjustments associated with UnderlyingReturnRateValuationTimeType(43055) or UnderlyingReturnRateValuationTime(43056) , e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnRateValuationTimeType

Specifies the timing at which the calculation agent values the underlying.

Type: int

Allowed values in ReturnRateQuoteTimeTypeCodeSet:

Code | Name | Description
0 | Open | Open. The official opening time of the exchange on valuation date.
1 | OfficialSettlPx | Official settlement price time. The time at which the official settlement price is determined.
2 | Xetra | XETRA. The time at which the official settlement price (following the auction by the exchange) is determined by the exchange.
3 | Close | Close. The official closing time of the exchange on valuation date.
4 | DerivativesClose | Derivatives close. The official closing time for derivative trading of the exchange on valuation date.
5 | High | High. The high price for the day.
6 | Low | Low. The low price for the day.
7 | AsSpecifiedInMasterConfirmation | As specified in the master confirmation

Used in groups: UnderlyingReturnRateGrp

UnderlyingReturnTrigger

Indicates the type of return or payout trigger for the swap or forward.

Type: int

Allowed values in ReturnTriggerCodeSet:

Code | Name | Description
1 | Dividend | Dividend
2 | Variance | Variance
3 | Volatility | Volatility
4 | TotalReturn | Total return
5 | ContractForDifference | Contract for difference
6 | CreditDefault | Credit default
7 | SpreadBet | Spread bet
8 | Price | Price
9 | ForwardPriceUnderlyingInstrument | Forward price of underlying instrument
99 | Other | Other

Used in components: UnderlyingInstrument

UnderlyingSecondaryAssetClass

The broad asset category for assessing risk exposure for a multi-asset trade.

Type: int

Allowed values in AssetClassCodeSet:

Code | Name | Description
1 | InterestRate | Interest rate
2 | Currency | Currency
3 | Credit | Credit
4 | Equity | Equity
5 | Commodity | Commodity
6 | Other | Other
7 | Cash | Cash
8 | Debt | Debt
9 | Fund | Fund. Such as mutual fund, collective investment vehicle, investment program, specialized account program.
10 | LoanFacility | Loan facility
11 | Index | Index. A main index identified as a security type, for example under EU SFTR reporting.

Used in groups: UnderlyingSecondaryAssetGrp

UnderlyingSecondaryAssetGrp

UnderlyingSecondaryAssetGrp is a repeating subcomponent of the UnderlyingInstrument component used to specify secondary assets of a multi-asset swap.

Name | Mult. | Type | Description
NoUnderlyingSecondaryAssetClasses | [1..1] | NumInGroup |
UnderlyingSecondaryAssetClass | [0..1] | CodeSet | Required if NoUnderlyingSecondaryAssetClasses(2080) > 0.
UnderlyingSecondaryAssetSubClass | [0..1] | CodeSet | Required if UnderlyingSecondaryAssetType(2083) is specified.
UnderlyingSecondaryAssetType | [0..1] | String | Required if UnderlyingSecondaryAssetSubType(2745) is specified.
UnderlyingSecondaryAssetSubType | [0..1] | String |

Used in components: UnderlyingInstrument

UnderlyingSecondaryAssetSubClass

An indication of the general description of the asset class.

Type: int

Allowed values in AssetSubClassCodeSet:

Code
Name
Description

1
SingleCurrency
Single currency

2
CrossCurrency
Cross currency

3
Basket
Basket [for multi-currency]

4
SingleName
Single name

5
CreditIndex
Credit index

6
IndexTranche
Index tranche

7
CreditBasket
Credit basket

8
Exotic
Exotic

9
Common
Common

10
Preferred
Preferred

11
EquityIndex
Equity index

12
EquityBasket
Equity basket

13
Metals
Metals

14
Bullion
Bullion

15
Energy
Energy

16
CommodityIndex
Commodity index

17
Agricultural
Agricultural

18
Environmental
Environmental

19
Freight
Freight

20
Government
Government

21
Agency
Agency

22
Corporate
Corporate

23
Financing
Financing

24
MoneyMarket
Money market

25
Mortgage
Mortgage

26
Municipal
Municipal

27
MutualFund
Mutual fund

28
CollectiveInvestmentVehicle
Collective investment vehicle

29
InvestmentProgram
Investment program. A generalized fund for major investors.

30
SpecializedAccountProgram
Specialized account program. A specialized fund setup for a particular account or group of accounts.

31
TermLoan
Term loan

32
BridgeLoan
Bridge loan

33
LetterOfCredit
Letter of credit

34
DividendIndex
Dividend index

35
StockDividend
Stock dividend

36
ExchangeTradedFund
Exchange traded fund

37
VolatilityIndex
Volatility index

38
FXCrossRates
FX cross rates

39
FXEmergingMarkets
FX emerging markets

40
FXMajors
FX Majors

41
Fertilizer
Fertilizer

42
IndustrialProduct
Industrial product

43
Inflation
Inflation

44
Paper
Paper

45
Polypropylene
Polypropylene

46
OfficialEconomicStatistics
Official economic statistics

47
OtherC10
Other C10. Defined under MiFID II (Directive 2014/65/EU) Section C(10) of Annex I and paraphrased in ESMA RTS 2 Annex III Section 10, "Other C10" is a financial instrument "which is not a 'Freight derivative', any of the following interest rate derivatives sub-asset classes: 'Inflation multi-currency swap or cross-currency swap', a 'Future/forward on inflation multi-currency swaps or cross-currency swaps', an 'Inflation single currency swap', a 'Future/forward on inflation single currency swap' and any of the following equity derivatives sub-asset classes: a 'Volatility index option', a 'Volatility index future/forward', a swap with parameter return variance, a swap with parameter return volatility, a portfolio swap with parameter return variance, a portfolio swap with parameter return volatility".

48
Other
Other. May be used with any AssetClass(1938) values.

Used in groups: UnderlyingSecondaryAssetGrp

UnderlyingSecondaryAssetSubType

May be used to provide a more specific description of the asset specified in UnderlyingSecondaryAssetType(2083).

See https://www.fixtrading.org/codelists/AssetSubType for code list of applicable values.

Type: String

Used in groups: UnderlyingSecondaryAssetGrp

UnderlyingSecondaryAssetType

Used to provide more specific description of the asset specified in UnderlyingSecondaryAssetSubClass(2082).

See https://www.fixtrading.org/codelists/AssetType for code list of applicable values. ISO 4721 Currency Code values are to be used when specific currency as an asset type is to be expressed.

Other values may be used by mutual agreement of the counterparties.

Type: String

Used in groups: UnderlyingSecondaryAssetGrp

UnderlyingSecurityAltID

Alternate Security identifier value for this underlying security of UnderlyingSecurityAltIDSource (459) type (e.g. CUSIP, SEDOL, ISIN, etc). Requires UnderlyingSecurityAltIDSource.

Type: String

Used in groups: UndSecAltIDGrp

UnderlyingSecurityAltIDSource

Identifies class or source of the UnderlyingSecurityAltID(458) value.

Required if UnderlyingSecurityAltID is specified.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in groups: UndSecAltIDGrp

UnderlyingSecurityDesc

Description of the underlying security.

Can be used by the venue or one of the trading parties to provide an optional non-normative textual description of the financial instrument.

Type: String

Used in components: UnderlyingInstrument

UnderlyingSecurityExchange

Underlying security's SecurityExchange. Can be used to identify the underlying security.

Valid values: see SecurityExchange (207)

Type: Exchange

Used in components: UnderlyingInstrument

UnderlyingSecurityGroup

An exchange specific name assigned to a group of related securities which may be concurrently affected by market events and actions.

Type: String

Used in components: UnderlyingInstrument

UnderlyingSecurityID

Underlying security's SecurityID.

See SecurityID (48) field for description

Type: String

Used in components: UnderlyingInstrument

UnderlyingSecurityIDSource

Identifies class or source of the UnderlyingSecurityID(309) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingSecurityStatus

Indicates the current state of the underlying instrument.

Type: String

Allowed values in SecurityStatusCodeSet:

Code
Name
Description

1
Active
Active. Instrument is active, i.e. trading is possible.

2
Inactive
Inactive. Instrument has previously been active and is now no longer traded but has not expired yet. The instrument may become active again.

3
ActiveClosingOrdersOnly
Active, closing orders only. Instrument is active but only orders closing positions (reducing risk) are allowed.

4
Expired
Expired. Instrument has expired. E.g. An instrument may expire due to reaching maturity or expired based on contract definitions or exchange rules.

5
Delisted
Delisted. Instrument has been removed from securities reference data. Delisting rules varies from exchange to exchange, which may include non-compliance of capitalization, revenue, consecutive minimum closing price. The instrument may become listed again once the instrument is back in compliance. A delisted instrument would not trade on the exchange but it may still be traded over-the-counter (e.g. OTCBB) or on Pink Sheets, or other similar trading service.

6
KnockedOut
Knocked-out. Instrument has breached a pre-defined price threshold.

7
KnockOutRevoked
Knock-out revoked. Instrument reinstated, i.e. threshold has not been breached.

8
PendingExpiry
Pending Expiry. Instrument is currently still active but will expire after the current business day. For example, a contract that expires intra-day (e.g. at noon time) and is no longer tradeable but will still show up in the current day's order book with related statistics.

9
Suspended
Suspended. Instrument has been temporarily disabled for trading (i.e. halted).

10
Published
Published. Instrument information is provided prior to its first activation.

11
PendingDeletion
Pending Deletion. Instrument is awaiting deletion from security reference data.

Used in components: UnderlyingInstrument

UnderlyingSecuritySubType

Underlying security's SecuritySubType.

See SecuritySubType (762) field for description

Type: String

Used in components: UnderlyingInstrument

UnderlyingSecurityType

Underlying security's SecurityType.

Valid values: see SecurityType (167) field

(see below for details concerning this fields use in conjunction with SecurityType=REPO)

The following applies when used in conjunction with SecurityType=REPO

Represents the general or specific type of security that underlies a financing agreement

Valid values for SecurityType=REPO:

If bonds of a particular issuer or country are wanted in an Order or are in the basket of an Execution and the SecurityType is not granular enough, include the UnderlyingIssuer (306), UnderlyingCountryOfIssue (592), UnderlyingProgram, UnderlyingRegType and/or < UnderlyingStipulations > block e.g.:

Type: String

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
ABS | AssetBackedSecurities | Asset-backed Securities
AN | OtherAnticipationNotes | Other Anticipation Notes (BAN, GAN, etc.)
BA | BankersAcceptance | Bankers Acceptance
BRADY | BradyBond | Brady Bond
CORP | CorporateBond | Corporate Bond
CS | CommonStock | Common Stock
EUSUPRA | EuroSupranationalCoupons | Euro Supranational Coupons. Identify the issuer name in Issuer(106).
FOR | ForeignExchangeContract | Foreign Exchange Contract
MF | MutualFund | Mutual Fund
REPO | Repurchase | Repurchase
TERM | TermLoan | Term Loan
BDN | BankDepositoryNote | Bank Depository Note
CAN | CanadianTreasuryNotes | Canadian Treasury Notes
CAP | Cap | Cap. In an interest rate cap, the buyer receives payments at the end of each period in which the rate indec exceeds the agreed strike rate.
CMB | CanadianMortgageBonds | Canadian Mortgage Bonds
COFO | CertificateOfObligation | Certificate Of Obligation
CPP | CorporatePrivatePlacement | Corporate Private Placement
FAC | FederalAgencyCoupon | Federal Agency Coupon
FORWARD | Forward | Forward
FXNDF | NonDeliverableForward | Non-deliverable forward
MLEG | MultilegInstrument | Multileg Instrument
PS | PreferredStock | Preferred Stock
RVLV | RevolverLoan | Revolver Loan
BN | BankNotes | Bank Notes
BUYSELL | BuySellback | Buy Sellback
CB | ConvertibleBond | Convertible Bond
CDS | CreditDefaultSwap | Credit Default Swap
CMBS | Corp | Corp. Mortgage-backed Securities
COFP | CertificateOfParticipation | Certificate Of Participation
CTB | CanadianTreasuryBills | Canadian Treasury Bills
DR | DepositoryReceipts | Depository Receipts
FADN | FederalAgencyDiscountNote | Federal Agency Discount Note
FXSPOT | FXSpot | FX Spot
NONE | NoSecurityType | No Security Type
RVLVTRM | Revolver | Revolver/Term Loan
BOX | BillOfExchanges | Bill Of Exchanges
BRIDGE | BridgeLoan | Bridge Loan
CLLR | Collar | Collar. In an interest rate collar, this is a combination of a cap and a floor.
CMO | CollateralizedMortgageObligation | Collateralized Mortgage Obligation
DUAL | DualCurrency | Dual Currency
EUSOV | EuroSovereigns | Euro Sovereigns. Identify the issuer name in Issuer(106).
FXFWD | FXForward | FX Forward
GO | GeneralObligationBonds | General Obligation Bonds
PEF | PrivateExportFunding | Private Export Funding. Identify the issuer name in Issuer(106).
SECLOAN | SecuritiesLoan | Securities Loan
UST | USTreasuryNoteOld | US Treasury Note (Deprecated Value Use TNOTE)
CAMM | CanadianMoneyMarkets | Canadian Money Markets
CMDTYSWAP | CommoditySwap | Commodity swap
EUCORP | EuroCorporateBond | Euro Corporate Bond
FXSWAP | FXSwap | FX Swap
IET | IOETTEMortgage | IOETTE Mortgage
LOFC | LetterOfCredit | Letter Of Credit
MT | MandatoryTender | Mandatory Tender
PROV | CanadianProvincialBonds | Canadian Provincial Bonds
SECPLEDGE | SecuritiesPledge | Securities Pledge
SUPRA | USDSupranationalCoupons | USD Supranational Coupons. Identify the issuer name in Issuer(106).
USTB | USTreasuryBillOld | US Treasury Bill (Deprecated Value Use TBILL)
? | Wildcard | Wildcard entry for use on Security Definition Request
CD | CertificateOfDeposit | Certificate Of Deposit
DVPLDG | DeliveryVersusPledge | Delivery versus pledge
EUFRN | EuroCorporateFloatingRateNotes | Euro Corporate Floating Rate Notes
EXOTIC | Exotic | Exotic
FXNDS | NonDeliverableSwap | Non-deliverable Swap
MBS | MortgageBackedSecurities | Mortgage-backed Securities
RAN | RevenueAnticipationNote | Revenue Anticipation Note
SWING | SwingLineFacility | Swing Line Facility
TB | TreasuryBill | Treasury Bill - non US
CASH | Cash | Cash
CL | CallLoans | Call Loans
COLLBSKT | CollateralBasket | Collateral basket. A collection of securities held as collateral in the customer's collateral fund. The collateral fund is usually managed by a custodian.
DINP | DebtorInPossession | Debtor In Possession
FLR | Floor | Floor. In an interest rate floor, the buyer receives payments at the end of each period in which the rate index is below the agreed strike rate.
FRN | USCorporateFloatingRateNotes | US Corporate Floating Rate Notes
FXBN | FXBankNote | FX Bank Note
MIO | MortgageInterestOnly | Mortgage Interest Only
OOC | OptionsOnCombo | Options on Combo
REV | RevenueBonds | Revenue Bonds
TBOND | USTreasuryBond | US Treasury Bond
CP | CommercialPaper | Commercial Paper
DEFLTED | Defaulted | Defaulted
FRA | FRA | Forward Rate Agreement
FXDN | ForeignCurrencyDiscountNote | Foreign Currency Discount Note. Discount notes issued in foreign currency by Fannie Mae.
MPO | MortgagePrincipalOnly | Mortgage Principal Only
Other | Other | Other
SFP | StructuredFinanceProduct | Structured finance product
SPCLA | SpecialAssessment | Special Assessment
TINT | InterestStripFromAnyBondOrNote | Interest Strip From Any Bond Or Note
XLINKD | IndexedLinked | Indexed Linked
DN | DepositNotes | Deposit Notes
ETN | ExchangeTradedNote | Exchange traded note
FUT | Future | Future
MPP | MortgagePrivatePlacement | Mortgage Private Placement
SPCLO | SpecialObligation | Special Obligation
STRUCT | StructuredNotes | Structured Notes
TBILL | USTreasuryBill | US Treasury Bill
TIPS | TreasuryInflationProtectedSecurities | Treasury Inflation Protected Securities
WITHDRN | Withdrawn | Withdrawn
EUCD | EuroCertificateOfDeposit | Euro Certificate Of Deposit
FWD | DerivativeForward | Derivative forward
MPT | MiscellaneousPassThrough | Miscellaneous Pass-through
MRGNLOAN | MarginLoan | Margin loan
REPLACD | Replaced | Replaced
SPCLT | SpecialTax | Special Tax
TCAL | PrincipalStripOfACallableBondOrNote | Principal Strip Of A Callable Bond Or Note
YANK | YankeeCorporateBond | Yankee Corporate Bond
DIMSUMCORP | OffshoreIssuedChineseYuanCorporateBond | Offshore issued Chinese Yuan (CNY) denominated corporate bond
EUCP | EuroCommercialPaper | Euro Commercial Paper
IRS | InterestRateSwap | Interest Rate Swap
MATURED | Matured | Matured
PFAND | Pfandbrief | Pfandbrief. Identify the issuer name in Issuer(106).
SECDERIV | SecuritizedDerivative | Securitized derivative
TAN | TaxAnticipationNote | Tax Anticipation Note
TPRN | PrincipalStripFromANonCallableBondOrNote | Principal Strip From A Non-Callable Bond Or Note
TRS | TotalReturnSwap | Total return swap
AMENDED | Amended | Amended and restated
ETF | ExchangeTradedFund | Exchange Traded Fund
LOANLEASE | LoanLease | Loan/lease
LQN | LiquidityNote | Liquidity Note
PRCORP | PreferredCorporateBond | Preferred Corporate Bond
TAXA | TaxAllocation | Tax Allocation
TBA | ToBeAnnounced | To Be Announced
TNOTE | USTreasuryNote | US Treasury Note
DIGITAL | DigitalAsset | Digital Asset. Asset that exists only in digital form or which is the digital representation of another asset (Source: ISO 24165 - Terms and Definitions).
DIMSUMSOV | OffshoreIssuedChineseYuanSovereignBond | Offshore issued Chinese Yuan (CNY) denominated sovereign bond
MTN | MediumTermNotes | Medium Term Notes
RETIRED | Retired | Retired
TECP | TaxExemptCommercialPaper | Tax Exempt Commercial Paper
ONITE | Overnight | Overnight
OOF | OptionsOnFutures | Options on Futures
SOV | SovereignBond | Sovereign Bond. Sovereign or government bond other than Euro and US issuer. Specify sovereign issuer in Issuer(106).
TMCP | TaxableMunicipalCP | Taxable Municipal CP
OOP | OptionsOnPhysical | Options on Physical - use not recommended
PN | PromissoryNote | Promissory Note
STN | ShortTermLoanNote | Short Term Loan Note
TFRN | USTreasuryFloatingRateNote | US Treasury Floating Rate Note
TRAN | TaxRevenueAnticipationNote | Tax Revenue Anticipation Note
OPT | Option | Option
PZFJ | PlazosFijos | Plazos Fijos
VRDN | VariableRateDemandNote | Variable Rate Demand Note
SLQN | SecuredLiquidityNote | Secured Liquidity Note
SPOTFWD | SpotForward | Spot forward
WAR | Warrant | Warrant
MCPIB | MunicipalInterestBearingCommercialPaper | Municipal Interest Bearing Commercial Paper
SWAPTION | SwapOption | Swap option
TD | TimeDeposit | Time Deposit
TMB | TaxableMunicipalBond | Taxable Municipal Bond
XMISSION | Transmission | Transmission
INDEX | Index | General type for a contract based on an established index
TLQN | TermLiquidityNote | Term Liquidity Note
VRDO | VariableRateDemandObligation | Variable Rate Demand Obligation
BDBSKT | BondBasket | Bond basket
XCN | ExtendedCommNote | Extended Comm Note
CFD | ContractForDifference | Contract for difference
YCD | YankeeCertificateOfDeposit | Yankee Certificate Of Deposit
BAB | BankAcceptedBill | Bank Accepted Bill. Also known as Bank Bill.
CRLTNSWAP | CorrelationSwap | Correlation swap
BNST | ShortTermBankNote | Short Term Bank Note
DVDNDSWAP | DiviendSwap | Dividend swap
CLCP | CallableCommercialPaper | Callable Commercial Paper
EQBSKT | EquityBasket | Equity basket
CN | CommercialNote | Commercial Note
EQFWD | EquityForward | Equity forward
CPIB | InterestBearingCommercialPaper | Interest Bearing Commercial Paper
RTRNSWAP | ReturnSwap | Return swap
EUMTN | EuroMediumTermNote | Euro Medium Term Note
VARSWAP | VarianceSwap | Variance swap
EUNCP | EuroNegotiableCommercialPaper | Euro Negotiable Commercial Paper
PRTFLIOSWAP | PortfolioSwaps | Portfolio swap
EUSTLQN | EuroStructuredLiquidityNote | Euro Structured Liquidity Note
FUTSWAP | FuturesOnASwap | Futures on a Swap
EUTD | EuroTimeDeposit | Euro Time Deposit
FWDSWAP | ForwardsOnASwap | Forwards on a Swap
FWDFRTAGMT | ForwardFreightAgreement | Forward Freight Agreement
JCD | JumboCertificateOfDeposit | Jumbo Certificate of Deposit
MMF | MoneyMarketFund | Money Market Fund
SPREADBET | SpreadBetting | Spread Betting
ETC | ExchangeTradedCommodity | Exchange traded commodity
MN | MasterNote | Master Note. Short term notes issued by Federal Farm Credit Banks Funding Corporation to provide loans and funding under Federal Farm Credit System (FFCS).
NCD | NegotiableCertificateOfDeposit | Negotiable Certificate of Deposit
NCP | NegotiableCommercialPaper | Negotiable Commercial Paper
RCD | RetailCertificateOfDeposit | Retail Certificate of Deposit
TDR | TermDepositReceipt | Term Deposit Receipt

Used in components: UnderlyingInstrument

UnderlyingSecurityXML

XML definition for the underlying security.

Type: XMLData

Used in components: UnderlyingSecurityXML

UnderlyingSecurityXML

The UnderlyingSecurityXML component is used to provide a definition in an XML format for the underlying instrument.

Name | Mult. | Type | Description
UnderlyingSecurityXMLLen | [0..1] | Length | Must be provided if UnderlyingSecurityXML(1875) field is specified and must immediately precede it.
UnderlyingSecurityXML | [0..1] | XMLData |
UnderlyingSecurityXMLSchema | [0..1] | String |

Used in components: UnderlyingInstrument

UnderlyingSecurityXMLLen

The length of the UnderlyingSecurityXML(1875) data block.

Type: Length

Used in components: UnderlyingSecurityXML

UnderlyingSecurityXMLSchema

The schema used to validate the contents of UnderlyingSecurityXML(1875).

Type: String

Used in components: UnderlyingSecurityXML

UnderlyingSeniority

See Seniority(1450)

Type: String

Allowed values in SeniorityCodeSet:

Code | Name | Description
SD | SeniorSecured | Senior Secured
SR | Senior | Senior
SB | Subordinated | Subordinated
JR | Junior | Junior. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
MZ | Mezzanine | Mezzanine. In the context of MiFID II this value is used as identified in RTS 23 Annex I Table 3 Field 23 "Seniority of the bond".
SN | SeniorNonPreferred | Senior Non-Preferred. For CDS reference obligations of non-preferred senior debt issued by European Financials that constitute a layer of debt ranking between the bank's normal senior debt but above the bank's normal tier 2 subordinated debt (reference: ISDA Credit Market Infrastructure Group).

Used in components: UnderlyingInstrument

UnderlyingSettlDisruptionProvision

Specifies the consequences of settlement disruption events.

Type: int

Allowed values in SettlDisruptionProvisionCodeSet:

Code | Name | Description
1 | Negotiation | Negotiation
2 | Cancellation | Cancellation and payment

Used in components: UnderlyingInstrument

UnderlyingSettledEntityMatrixPublicationDate

Specifies the publication date of the applicable version of the matrix. If not specified, the Standard Terms Supplement defines rules for which version of the matrix is applicable.

Type: LocalMktDate

Used in components: UnderlyingInstrument

UnderlyingSettledEntityMatrixSource

Relevant settled entity matrix source.

Type: String

Used in components: UnderlyingInstrument

UnderlyingSettlementDate

Date the underlying instrument will settle. Used for derivatives that deliver into more than one underlying instrument. Settlement dates can vary across underlying instruments.

Type: LocalMktDate

Used in groups: UnderlyingAmount

Used in messages: TradeCaptureReport

UnderlyingSettlementStatus

Settlement status of the underlying instrument. Used for derivatives that deliver into more than one underlying instrument. Settlement can be delayed for an underlying instrument.

Type: String

Used in groups: UnderlyingAmount

UnderlyingSettlementType

Indicates order settlement period for the underlying instrument.

Type: int

Allowed values in UnderlyingSettlementTypeCodeSet:

Code | Name | Description
2 | TPlus1 | T+1
4 | TPlus3 | T+3
5 | TPlus4 | T+4

Used in components: UnderlyingInstrument

UnderlyingSettleOnOpenFlag

Indicator to determine if Instrument is Settle on Open.

Type: String

Used in components: UnderlyingInstrument

UnderlyingSettlMethod

Settlement method for a contract or instrument. Additional values may be used with bilateral agreement.

Type: String

Allowed values in SettlMethodCodeSet:

Code | Name | Description
C | CashSettlementRequired | Cash settlement required
P | PhysicalSettlementRequired | Physical settlement required
E | Election | Election at exercise. The settlement method will be elected at the time of contract exercise.

Used in components: UnderlyingInstrument

UnderlyingSettlMethodElectingPartySide

Side value of the party electing the settlement method.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in components: UnderlyingOptionExercise

UnderlyingSettlMethodElectionDateAdjusted

The adjusted settlement method election date.

Type: LocalMktDate

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateBusinessCenter

The business center calendar used for date adjustment of the settlement method election unadjusted or relative date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingSettlMethodElectionDateBusinessCenterGrp

UnderlyingSettlMethodElectionDateBusinessCenterGrp

UnderlyingSettlMethodElectionDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingSettlMethodElectionDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingSettlMethodElectionDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingSettlMethodElectionDateBusinessCenter | [0..1] | String | Required if NoUnderlyingSettlMethodElectionDateBusinessCenters(43074) > 0.

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateBusinessDayConvention

The settlement method election date adjustment business day convention.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDate

The UnderlyingSettlMethodElectionDate component is a subcomponent within the UnderlyingOptionExercise component used to report the settlement method election date.

Name | Mult. | Type | Description
UnderlyingSettlMethodElectionDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingSettlMethodElectionDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to UnderlyingOptionExercise.
UnderlyingSettlMethodElectionDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to UnderlyingOptionExercise.
UnderlyingSettlMethodElectionDateRelativeTo | [0..1] | int |
UnderlyingSettlMethodElectionDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingSettlMethodElectionDateOffsetUnit(43080) is specified.
UnderlyingSettlMethodElectionDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingSettlMethodElectionDateOffsetPeriod(43079) is specified.
UnderlyingSettlMethodElectionDateOffsetDayType | [0..1] | CodeSet |
UnderlyingSettlMethodElectionDateAdjusted | [0..1] | LocalMktDate |

Used in components: UnderlyingOptionExercise

UnderlyingSettlMethodElectionDateOffsetDayType

Specifies the day type of the relative settlement method election date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateOffsetPeriod

Time unit multiplier for the relative settlement method election date offset.

Type: int

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateOffsetUnit

Time unit associated with the relative settlement method election date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateRelativeTo

Specifies the anchor date when the settlement method election date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlMethodElectionDateUnadjusted

The unadjusted settlement method election date.

Type: LocalMktDate

Used in components: UnderlyingSettlMethodElectionDate

UnderlyingSettlPrice

Underlying security's SettlPrice.

See SettlPrice (730) field for description

Type: Price

Used in groups: PosUndInstrmtGrp

Used in messages: AssignmentReport

UnderlyingSettlPriceType

Underlying security's SettlPriceType.

See SettlPriceType (731) field for description

Type: int

Allowed values in SettlPriceTypeCodeSet:

Code | Name | Description
1 | Final | Final
2 | Theoretical | Theoretical

Used in groups: PosUndInstrmtGrp

UnderlyingSettlRateDisruptionFallbackGrp

The UnderlyingSettlRateDisruptionFallbackGrp is a repeating subcomponent of the UnderlyingPaymentStreamNonDeliverableSettlTermGrp component used to specify the method, prioritized by the order it is listed, to get a replacement rate for a disrupted settlement rate option for a non-deliverable settlement currency.

Name | Mult. | Type | Description
NoUnderlyingSettlRateFallbacks | [1..1] | NumInGroup |
UnderlyingSettlRatePostponementMaximumDays | [0..1] | int | Required if NoUnderlyingSettlRateFallbacks(40659) > 0.
UnderlyingSettlRateFallbackRateSource | [0..1] | Component |
UnderlyingSettlRatePostponementSurvey | [0..1] | Boolean |
UnderlyingSettlRatePostponementCalculationAgent | [0..1] | CodeSet |

Used in components: UnderlyingPaymentStreamNonDeliverableSettlTerms

UnderlyingSettlRateFallbackRateSource

Identifies the source of rate information.

Type: int

Allowed values in RateSourceCodeSet:

Code | Name | Description
0 | Bloomberg | Bloomberg
1 | Reuters | Reuters
2 | Telerate | Telerate
3 | ISDARateOption | ISDA Settlement Rate Option. The source of the currency conversion as specified by the ISDA terms in Annex A to the 1998 FX and Currency Option Definitions. See http://www.fpml.org/coding-scheme/settlement-rate-option
99 | Other | Other

Used in components: UnderlyingSettlRateFallbackRateSource

UnderlyingSettlRateFallbackRateSource

UnderlyingSettlRateFallbackRateSource is a subcomponent of the UnderlyingSettlRateDisruptionFallbackGrp component used to specify the rate source in the event of rate disruption fallback.

Name | Mult. | Type | Description
UnderlyingSettlRateFallbackRateSource | [0..1] | CodeSet |
UnderlyingSettlRateFallbackReferencePage | [0..1] | String | Conditionally required when UnderlyingSettlRateFallbackRateSource(40904) = 3 (ISDA Settlement Rate Option) or 99 (Other).

Used in groups: UnderlyingSettlRateDisruptionFallbackGrp

UnderlyingSettlRateFallbackReferencePage

Identifies the reference "page" from the rate source.

When UnderlyingSettlRateFallbackRateSource(40904) = 3(ISDA Settlement Rate Option) this contains the value from the scheme that reflects the terms of the Annex A to the ISDA 1998 FX and Currency Option Definitions. See: http://www.fpml.org/coding-scheme/settlement-rate-option

Type: String

Used in components: UnderlyingSettlRateFallbackRateSource

UnderlyingSettlRateIndex

In an outright or forward commodity trade that is cash settled this is the index used to determine the cash payment.

Type: String

Used in components: UnderlyingInstrument

UnderlyingSettlRateIndexLocation

This is an optional qualifying attribute of UnderlyingSettlementRateIndex(2284) such as the delivery zone for an electricity contract.

Type: String

Used in components: UnderlyingInstrument

UnderlyingSettlRatePostponementCalculationAgent

Used to identify the settlement rate postponement calculation agent.

Type: int

Allowed values in ProvisionCalculationAgentCodeSet:

Code | Name | Description
0 | ExercisingParty | Exercising party
1 | NonExercisingParty | Non-exercising party
2 | MasterAgreeent | As specified in the master agreement
3 | Supplement | As specified in the standard terms supplement

Used in groups: UnderlyingSettlRateDisruptionFallbackGrp

UnderlyingSettlRatePostponementMaximumDays

The maximum number of days to wait for a quote from the disrupted settlement rate option before proceding to this method.

Type: int

Used in groups: UnderlyingSettlRateDisruptionFallbackGrp

UnderlyingSettlRatePostponementSurvey

Indicates whether to request a settlement rate quote from the market.

Type: Boolean

Used in groups: UnderlyingSettlRateDisruptionFallbackGrp

UnderlyingSettlTermXIDRef

Reference to the cash or physical settlement terms applicable to this entity or obligation. Contains the same XID named string value of the instance in the appropriate repeating group that applies to this Underlying.

Type: XIDREF

Used in components: UnderlyingInstrument

UnderlyingShortSaleRestriction

Indicates whether a restriction applies to short selling a security.

Type: int

Allowed values in ShortSaleRestrictionCodeSet:

Code | Name | Description
0 | NoRestrictions | No restrictions
1 | SecurityNotShortable | Security is not shortable
2 | SecurityNotShortableAtOrBelowBestBid | Security not shortable at or below the best bid
3 | SecurityNotShortableWithoutPreBorrow | Security is not shortable without pre-borrow

Used in components: UnderlyingInstrument

UnderlyingSpecialDividendsIndicator

Indicates whether special dividends are applicable.

Type: Boolean

Used in components: UnderlyingDividendConditions

UnderlyingStartValue

Currency value attributed to this collateral at the start of the agreement

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingStateOrProvinceOfIssue

Underlying security's StateOrProvinceOfIssue.

See StateOrProvinceOfIssue (471) field for description

Type: String

Used in components: UnderlyingInstrument

UnderlyingStipType

Type of stipulation.

Same values as StipulationType (233)

Type: String

Allowed values in StipulationTypeCodeSet:

Code
Name
Description

ABS
AbsolutePrepaymentSpeed
Absolute Prepayment Speed

AMT
AlternativeMinimumTax
Alternative Minimum Tax (Y/N)

INCURRCVY
IncurredRecovery
Incurred recovery (Y/N). Specifies whether incurred recovery is applicable (Y) or not (N). Outstanding Swap Notional Amount is defined at any time on any day, as the greater of: (a) Zero; If Incurred Recovery Amount Applicable: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts and all Incurred Recovery Amounts (if any) determined under this Confirmation at or prior to such time.Incurred Recovery Amount not populated: (b) The Original Swap Notional Amount minus the sum of all Incurred Loss Amounts determined under this Confirmation at or prior to such time. 2009 CDX Tranche Terms.

ADDTRM
AdditionalTerm
Additional term. Used for representing information contained in the Additional Terms field of the 2003 Master Credit Derivatives confirm.

AUTOREINV
AutoReinvestment
Auto Reinvestment at <rate> or better

CPP
ConstantPrepaymentPenalty
Constant Prepayment Penalty

BANKQUAL
BankQualified
Bank qualified (Y/N)

CPR
ConstantPrepaymentRate
Constant Prepayment Rate

MODEQTYDLVY
ModifiedEquityDelivery
Modified equity delivery. Indicates whether delivery of selected obligationshaving an amountgreater than the reference entity notional amount is allowed (Y) or (N). 2005 iTraxx tranched Transactions Standard Terms Supplement.

BGNCON
BargainConditions
Bargain conditions (see StipulationValue (234) for values)

CPY
ConstantPrepaymentYield
Constant Prepayment Yield

NOREFOBLIG
NoReferenceOblication
No reference obligation (Y/N). When specified as "Y" this indicates that there is no Reference Obligation associated with this Credit Default Swap and that there will never be one. 2003 ISDA Credit Derivatives Definitions.

COUPON
CouponRange
Coupon range

HEP
FinalCPROfHomeEquityPrepaymentCurve
final CPR of Home Equity Prepayment Curve

UNKREFOBLIG
UnknownReferenceObligation
Unknown reference obligation (Y/N). When specified as "Y" this indicates that the Reference obligation associated with the Credit Default Swap is currently not known. This is not valid for Legal Confirmation purposes, but is valid for earlier stages in the trade life cycle (e.g. Broker Confirmation). 2003 FpML-CD-4.0.

ALLGUARANTEES
AllGuarantees
All guarantees (Y/N). Indicates whether an obligation of the Reference Entity, guaranteed by the Reference Entity on behalf of a non-Affiliate, is to be considered an Obligation for the purpose of the transaction (Y) or (N). ISDA 2003 Term: All Guarantees.

CURRENCY
ISOCurrencyCode
ISO Currency Code

MHP
PercentOfManufacturedHousingPrepaymentCurve
Percent of Manufactured Housing Prepayment Curve

CUSTOMDATE
CustomStart
Custom start/end date

MPR
MonthlyPrepaymentRate
Monthly Prepayment Rate

REFPX
ReferencePrice
Reference price (Y/N). Specifies the reference price expressed as a percentage between 0 and 1 (e.g. 0.05 is 5%). The reference price is used to determine (a) for physically settled trades, the Physical Settlement Amount, which equals the Floating Rate Payer Calculation Amount times the Reference Price and (b) for cash settled trades, the Cash Settlement Amount, which equals the greater of (i) the difference between the Reference Price and the Final Price and (ii) zero. ISDA 2003 Term: Reference Price.

GEOG
Geographics
Geographics and % range (ex. 234=CA 0-80 [minimum of 80% California assets])

PPC
PercentOfProspectusPrepaymentCurve
Percent of Prospectus Prepayment Curve

REFPOLICY
ReferencePolicy
Reference policy (Y/N). Indicates whether the reference obligation is guaranteed (Y), or not (N), under a reference policy. If the Reference Obligation is guaranteed under a Reference Policy, and such Reference Policy by its terms excludes any component of the Expected Principal Amount for purposes of determining the liability of the relevant Insurer, or the Insurer is otherwise not required to pay any such amounts under the terms of the Reference Policy, the relevant component or amount shall also be excluded for purposes of determining the Expected Principal Amount with respect to any determination of Principal Shortfall hereunder. 2006 ISDA CDS on MBS Terms.

HAIRCUT
ValuationDiscount
Valuation Discount

PSA
PercentOfBMAPrepaymentCurve
Percent of BMA Prepayment Curve

SECRDLIST
SecuredList
Secured list (Y/N). Specifies whether a list of Syndicated Secured Obligations (also known as the Relevant Secured List) exists (Y), or not (N), for the Reference Entity. With respect to any day, the list of Syndicated Secured Obligations of the Designated Priority of the Reference Entity published by Markit Group Limited or any successor thereto appointed by the Specified Dealers (the "Secured List Publisher") on or most recently before such day, which list is currently available at [http://www.markit.com]. ISDA 2003 Term: Relevant Secured List.

INSURED
Insured
Insured (Y/N)

SMM
SingleMonthlyMortality
Single Monthly Mortality

ISSUE
IssueDate
Year Or Year/Month of Issue (ex. 234=2002/09)

ISSUER
Issuer
Issuer's ticker

ISSUESIZE
IssueSizeRange
issue size range

LOOKBACK
LookbackDays
Lookback Days

LOT
ExplicitLotIdentifier
Explicit lot identifier

LOTVAR
LotVariance
Lot Variance (value in percent maximum over- or under-allocation allowed)

MAT
MaturityYearAndMonth
Maturity Year And Month

MATURITY
MaturityRange
Maturity range

MAXSUBS
MaximumSubstitutions
Maximum substitutions (Repo)

MINDNOM
MinimumDenomination
Minimum denomination

MININCR
MinimumIncrement
Minimum increment

MINQTY
MinimumQuantity
Minimum quantity

PAYFREQ
PaymentFrequency
Payment frequency, calendar

PIECES
NumberOfPieces
Number Of Pieces

PMAX
PoolsMaximum
Pools Maximum

PPL
PoolsPerLot
Pools per Lot

PPM
PoolsPerMillion
Pools per Million

PPT
PoolsPerTrade
Pools per Trade

PRICE
PriceRange
Price Range

PRICEFREQ
PricingFrequency
Pricing frequency

PROD
ProductionYear
Production Year

PROTECT
CallProtection
Call protection

PURPOSE
Purpose
Purpose

PXSOURCE
BenchmarkPriceSource
Benchmark price source

RATING
RatingSourceAndRange
Rating source and range

REDEMPTION
TypeOfRedemption
Type Of Redemption - values are: NonCallable, Prefunded, EscrowedToMaturity, Putable, Convertible

RESTRICTED
Restricted
Restricted (Y/N)

SECTOR
MarketSector
Market Sector

SECTYPE
SecurityTypeIncludedOrExcluded
Security Type included or excluded

STRUCT
Structure
Structure

SUBSFREQ
SubstitutionsFrequency
Substitutions frequency (Repo)

SUBSLEFT
SubstitutionsLeft
Substitutions left (Repo)

TEXT
FreeformText
Freeform Text

TRDVAR
TradeVariance
Trade Variance (value in percent maximum over- or under-allocation allowed)

WAC
WeightedAverageCoupon
Weighted Average Coupon - value in percent (exact or range) plus "Gross" or "Net" of servicing spread (the default) (ex. 234=6.5-Net [minimum of 6.5% net of servicing fee])

WAL
WeightedAverageLifeCoupon
Weighted Average Life Coupon - value in percent (exact or range)

WALA
WeightedAverageLoanAge
Weighted Average Loan Age - value in months (exact or range)

WAM
WeightedAverageMaturity
Weighted Average Maturity - value in months (exact or range)

WHOLE
WholePool
Whole Pool (Y/N)

YIELD
YieldRange
Yield Range

AVFICO
AverageFICOScore
Average FICO Score

ORIGAMT
OriginalAmount
Original amount. The original issued amount of a mortgage backed security or other loan/asset backed security.

AVSIZE
AverageLoanSize
Average Loan Size

POOLEFFDT
PoolEffectiveDate
Pool effective date

MAXBAL
MaximumLoanBalance
Maximum Loan Balance

POOLINITFCTR
PoolInitialFactor
Pool initial factor. For morttgage backed securities, the part of the mortgage that is outstanding on trade inception, i.e. has not been repaid yet as principal. It is expressed as a multiplier factor to the mortgage: where 1 means that the whole mortage amount is outstanding, 0.8 means that80% remains to be repaid and 20% has been repaid.

POOL
PoolIdentifier
Pool Identifier

TRANCHE
Tranche
Tranche identifier. Identifies the tranche of a mortgage backed security, loan, collateralized mortgage obligation or similar securities that can be split into different risk or maturity (for example) classes.

ROLLTYPE
TypeOfRollTrade
Type of Roll trade

SUBSTITUTION
Substitution
Substitution (Y/N). Indicates whether substitution is applicable (Y) or (N).

MULTEXCHFLLBCK
MULTEXCHFLLBCK
Multiple exchange fallback (Y/N). For an index option transaction, indicates whether a relevant "Multiple Exchange Index Annex" is applicable (Y) to the transaction or not (N). This annex defines additional provisions which are applicable where an index is comprised of component securities that are traded on multiple exchanges.

REFTRADE
ReferenceToRollingOrClosingTrade
Reference to rolling or closing trade

COMPSECFLLBCK
COMPSECFLLBCK
Component security fallback (Y/N). For an index option transaction, indicates whether a relevant "Component Security Index Annex" is applicable (Y) to the transaction or not (N).

REFPRIN
PrincipalOfRollingOrClosingTrade
Principal to rolling or closing trade

LOCLJRSDCTN
LOCLJRSDCTN
Local jurisdiction (Y/N). "Local Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties, and similar charges) imposed by the taxing authority of the local jurisdiction.

REFINT
InterestOfRollingOrClosingTrade
Interest of rolling or closing trade

AVAILQTY
AvailableOfferQuantityToBeShownToTheStreet
Available offer quantity to be shown to the street

RELVJRSDCTN
RELVJRSDCTN
Relevant jurisdiction (Y/N). "Relevant Jurisdiction" is used in the AEJ Master Confirmation to determine applicability (Y), or not (N), of local taxes (including taxes, duties and similar charges) that would be imposed by the taxing authority of the "country of underlier" on a "hypothetical broker dealer" assuming that the applicable hedge positions are held by its office in the Relevant Jurisdiction.

BROKERCREDIT
BrokerCredit
Broker's sales credit

INTERNALPX
OfferPriceToBeShownToInternalBrokers
Offer price to be shown to internal brokers

INTERNALQTY
OfferQuantityToBeShownToInternalBrokers
Offer quantity to be shown to internal brokers

LEAVEQTY
TheMinimumResidualOfferQuantity
The minimum residual offer quantity

MAXORDQTY
MaximumOrderSize
Maximum order size

ORDRINCR
OrderQuantityIncrement
Order quantity increment

PRIMARY
PrimaryOrSecondaryMarketIndicator
Primary or Secondary market indicator

SALESCREDITOVR
BrokerSalesCreditOverride
Broker sales credit override

TRADERCREDIT
TraderCredit
Trader's credit

DISCOUNT
DiscountRate
Discount Rate (when price is denominated in percent of par)

YTM
YieldToMaturity
Yield to Maturity (when YieldType(235) and Yield(236) show a different yield)

PAYOFF
InterestPayoffOfRollingOrAmendingTrade
Interest payoff of rolling or amending trade

Used in groups: UnderlyingStipulations

UnderlyingStipulations

The UnderlyingStipulations component block has the same usage as the Stipulations component block, but for an underlying security.

Name | Mult. | Type | Description
NoUnderlyingStips | [1..1] | NumInGroup |
UnderlyingStipType | [0..1] | CodeSet | Required if NoUnderlyingStips >0
UnderlyingStipValue | [0..1] | String |

Used in components: UnderlyingInstrument

UnderlyingStipValue

Value of stipulation.

Same values as StipulationValue (234)

Type: String

Used in groups: UnderlyingStipulations

UnderlyingStrategyType

Specifies the type of trade strategy.

Type: String

Allowed values in StrategyTypeCodeSet:

Code | Name | Description
STD | Straddle | Straddle
STG | Strangle | Strangle
BF | Butterfly | Butterfly
CNDR | Condor | Condor
CISN | CallableInversibleSnowball | Callable inversible snowball
OTHER | Other | Other

Used in components: UnderlyingInstrument

UnderlyingStreamAssetAttributeGrp

The UnderlyingStreamAssetAttributeGrp is a repeating subcomponent of the UnderlyingStreamCommodity component used to detail commodity attributes, quality standards and reject limits.

Name | Mult. | Type | Description
NoUnderlyingStreamAssetAttributes | [1..1] | NumInGroup |
UnderlyingStreamAssetAttributeType | [0..1] | String | Required if NoUnderlyingStreamAssetAttributes(41800) > 0.
UnderlyingStreamAssetAttributeValue | [0..1] | String |
UnderlyingStreamAssetAttributeLimit | [0..1] | String |

Used in components: UnderlyingStreamCommodity

UnderlyingStreamAssetAttributeLimit

The limit or lower acceptable value of the attribute.

Type: String

Used in groups: UnderlyingStreamAssetAttributeGrp

UnderlyingStreamAssetAttributeType

Specifies the name of the attribute.

See http://www.fixtradingcommunity.org/codelists#Asset_Attribute_Types for code list of applicable asset attribute types.

Type: String

Used in groups: UnderlyingStreamAssetAttributeGrp

UnderlyingStreamAssetAttributeValue

Specifies the value of the attribute.

Type: String

Used in groups: UnderlyingStreamAssetAttributeGrp

UnderlyingStreamCalculationBalanceOfFirstPeriod

When specified and set to 'Y', it indicates that the first calculation period should run from the effective date to the end of the calendar period in which the effective date falls (e.g. Jan 15 - Jan 31 if the calculation periods are one month long and effective date is Jan 15.). If 'N' or not specified, it indicates that the first calculation period should run from the effective date for one whole period (e.g. Jan 15 to Feb 14 if the calculation periods are one month long and the effective date is Jan 15.).

Type: Boolean

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationCorrectionPeriod

Time unit multiplier for the length of time after the publication of the data when corrections can be made.

Type: int

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationCorrectionUnit

Time unit associated with the length of time after the publication of the data when corrections can be made.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationFrequencyPeriod

Time unit multiplier for the frequency at which calculation period end dates occur.

Type: int

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationFrequencyUnit

Time unit associated with the frequency at which calculation period end dates occur.

Type: String

Allowed values in CouponFrequencyUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
T | Term | Term

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodBusinessCenter

The business center calendar used to adjust the calculation periods, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingStreamCalculationPeriodBusinessCenterGrp

UnderlyingStreamCalculationPeriodBusinessCenterGrp

UnderlyingStreamCalculationPeriodBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingStreamCalculationPeriodBusinessCenters | [1..1] | NumInGroup |
UnderlyingStreamCalculationPeriodBusinessCenter | [0..1] | String | Required if NoUnderlyingStreamCalculationPeriodBusinessCenters(40973) > 0.

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodBusinessDayConvention

The business day convention used to adjust the calculation periods. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodDate

The adjusted or unadjusted fixed calculation period date.

Type: LocalMktDate

Used in groups: UnderlyingStreamCalculationPeriodDateGrp

UnderlyingStreamCalculationPeriodDateGrp

The UnderlyingStreamCalculationPeriodDateGrp is a repeating subcomponent of the UnderlyingStreamCalculationPeriodDates component used to detail fixed dates for the swap stream.

Name | Mult. | Type | Description
NoUnderlyingStreamCalculationPeriodDates | [1..1] | NumInGroup |
UnderlyingStreamCalculationPeriodDate | [0..1] | LocalMktDate | Required if NoUnderlyingStreamCalculationPeriodDates(41954) > 0.
UnderlyingStreamCalculationPeriodDateType | [0..1] | CodeSet | When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodDates is a subcomponent of the UnderlyingStreamGrp component used to specify the calculation period dates of the stream.

Name | Mult. | Type | Description
UnderlyingStreamCalculationPeriodDatesXID | [0..1] | XID |
UnderlyingStreamCalculationPeriodDatesXIDRef | [0..1] | XIDREF |
UnderlyingStreamCalculationPeriodBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's calculation period dates.
UnderlyingStreamCalculationPeriodBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's calculation period dates.
UnderlyingStreamCalculationPeriodDateGrp | [0..*] | Group |
UnderlyingStreamFirstPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamFirstPeriodStartDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's calculation period dates.
UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's calculation period dates.
UnderlyingStreamFirstPeriodStartDateAdjusted | [0..1] | LocalMktDate |
UnderlyingStreamFirstRegularPeriodStartDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamFirstCompoundingPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamLastRegularPeriodEndDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamCalculationFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingStreamCalculationFrequencyUnit(40566) is specified.
UnderlyingStreamCalculationFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamCalculationFrequencyPeriod(40565) is specified.
UnderlyingStreamCalculationRollConvention | [0..1] | CodeSet | When specified, this overrides the date roll convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the stream payment dates.
UnderlyingStreamCalculationBalanceOfFirstPeriod | [0..1] | Boolean |
UnderlyingStreamCalculationCorrectionPeriod | [0..1] | int | Conditionally required when UnderlyingStreamCalculationCorrectionUnit(41961) is specified.
UnderlyingStreamCalculationCorrectionUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamCalculationCorrectionPeriod(41960) is specified.

Used in groups: UnderlyingStreamGrp

UnderlyingStreamCalculationPeriodDatesXID

Identifier of this calculation period for cross referencing elsewhere in the message.

Type: XID

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodDatesXIDRef

Cross reference to another calculation period for duplicating its properties.

Type: XIDREF

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCalculationPeriodDateType

Specifies the type of fixed calculation period date. When specified it applies not only to the current date but to all subsequent dates in the group until overridden with a new type.

Type: int

Allowed values in OptionExerciseDateTypeCodeSet:

Code | Name | Description
0 | Unadjusted | Unadjusted
1 | Adjusted | Adjusted

Used in groups: UnderlyingStreamCalculationPeriodDateGrp

UnderlyingStreamCalculationRollConvention

The convention for determining the sequence of end dates. It is used in conjunction with a specified frequency. Used only to override the roll convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: String

Allowed values in DateRollConventionCodeSet:

Code | Name | Description
1 | FirstDay | 1st day of the month
2 | SecondDay | 2nd day of the month
3 | ThirdDay | 3rd day of the month
4 | FourthDay | 4th day of the month
5 | FifthDay | 5th day of the month
6 | SixthDay | 6thd day of the month
7 | SeventhDay | 7th day of the month
8 | EighthDay | 8th day of the month
9 | NinthDay | 9th day of the month
10 | TenthDay | 10th day of the month
11 | EleventhDay | 11th day of the month
12 | TwelvthDay | 12th day of the month
13 | ThirteenthDay | 13th day of the month
14 | ForteenthDay | 14th day of the month
15 | FifteenthDay | 15th day of the month
16 | SixteenthDay | 16th day of the month
17 | SeventeenthDay | 17th day of the month
18 | EighteenthDay | 18th day of the month
19 | NineteenthDay | 19th day of the month
20 | TwentiethDay | 20th day of the month
21 | TwentyFirstDay | 21st day of the month
22 | TwentySecondDay | 22nd day of the month
23 | TwentyThirdDay | 23rd day of the month
24 | TwentyFourthDay | 24th day of the month
25 | TwentyFifthDay | 25th day of the month
26 | TwentySixthDay | 26th day of the month
27 | TwentySeventhDay | 27th day of the month
28 | TwentyEigthDa28y | 28th day of the month
29 | TwentyNinthDay | 29th day of the month
30 | ThirtiethDay | 30th day of the month
EOM | EOM | The end of the month. Use EOM for 31st day of the month.
FRN | FRN | The floating rate note convention or Eurodollar convention.
IMM | IMM | The International Money Market settlement date, i.e. the 3rd Wednesday of the month.
IMMCAD | IMMCAD | The last trading day/expiration day of the Canadian Derivatives Exchange.
IMMAUD | IMMAUD | The last trading day of the Sydney Futures Exchange Australian 90-day bank accepted bill futures contract.
IMMNZD | IMMNZD | The last trading day of the Sydney Futures Exchange New Zealand 90-day bank bill futures contract.
SFE | SFE | The Sydney Futures Exchange 90-day bank accepted bill futures settlement dates.
NONE | NONE | No adjustment
TBILL | TBILL | The 13-week and 26-week U.S. Treasury Bill auction dates.
MON | MON | Monday
TUE | TUE | Tuesday
WED | WED | Wednesday
THU | THU | Thursday
FRI | FRI | Friday
SAT | SAT | Saturday
SUN | SUN | Sunday

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamCommodityAltID

Alternate security identifier value for the commodity.

Type: String

Used in groups: UnderlyingStreamCommodityAltIDGrp

UnderlyingStreamCommodityAltIDGrp

UnderlyingStreamCommodityAltIDGrp is a subcomponent of the UnderlyingStreamCommodity component used to specify alternate identifiers.

Name | Mult. | Type | Description
NoUnderlyingStreamCommodityAltIDs | [1..1] | NumInGroup |
UnderlyingStreamCommodityAltID | [0..1] | String | Required if NoUnderlyingStreamCommodityAltIDs(41990) > 0.
UnderlyingStreamCommodityAltIDSource | [0..1] | String | Required if NoUnderlyingStreamCommodityAltIDs(41990) > 0.

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityAltIDSource

Identifies the class or source of the alternate commodity security identifier.

Type: String

Used in groups: UnderlyingStreamCommodityAltIDGrp

UnderlyingStreamCommodityBase

Specifies the general base type of the commodity traded. Where possible, this should follow the naming convention used in the 2005 ISDA Commodity Definitions.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodity

UnderlyingStreamCommodity is a subcomponent of the UnderlyingStream component used to identify and describe the underlying commodity.

Name | Mult. | Type | Description
UnderlyingStreamCommodityBase | [0..1] | String |
UnderlyingStreamCommodityType | [0..1] | String |
UnderlyingStreamCommoditySecurityID | [0..1] | String | Conditionally required when UnderlyingStreamCommoditySecurityIDSource(41967) is specified.
UnderlyingStreamCommoditySecurityIDSource | [0..1] | CodeSet | Conditionally required when UnderlyingStreamCommoditySecurityID(41966) is specified.
UnderlyingStreamCommodityAltIDGrp | [0..*] | Group |
UnderlyingStreamCommodityDesc | [0..1] | String |
EncodedUnderlyingStreamCommodityDescLen | [0..1] | Length | Must be set if EncodedUnderlyingStreamCommodityDesc(41970) field is specified and must immediately precede it.
EncodedUnderlyingStreamCommodityDesc | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingStreamCommodityDesc(41968) field in the encoded format specified via the MessageEncoding(347) field.
UnderlyingStreamCommodityDeliveryPricingRegion | [0..1] | String | May be used to specify the delivery or pricing region of a non-standard commodity swap contract (e.g. when InstrAttribType(871)=38 (US standard contract indicator) and InstrAttribValue(872)=N).
UnderlyingStreamAssetAttributeGrp | [0..*] | Group |
UnderlyingStreamCommodityUnitOfMeasure | [0..1] | CodeSet |
UnderlyingStreamCommodityCurrency | [0..1] | Currency |
UnderlyingStreamCommodityExchange | [0..1] | Exchange |
UnderlyingStreamCommodityRateSource | [0..1] | int |
UnderlyingStreamCommodityRateReferencePage | [0..1] | String |
UnderlyingStreamCommodityRateReferencePageHeading | [0..1] | String |
UnderlyingStreamDataProvider | [0..1] | String |
UnderlyingStreamCommodityDataSourceGrp | [0..*] | Group |
UnderlyingStreamCommodityPricingType | [0..1] | String |
UnderlyingStreamCommodityNearbySettlDayPeriod | [0..1] | int | Conditionally required when UnderlyingStreamCommodityNearbySettlDayUnit(41980) is specified.
UnderlyingStreamCommodityNearbySettlDayUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamCommodityNearbySettlDayPeriod(41979) is specified.
UnderlyingStreamCommoditySettlDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamCommoditySettlDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to the underlying settlement dates.
UnderlyingStreamCommoditySettlBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to the settlement dates.
UnderlyingStreamCommoditySettlDateAdjusted | [0..1] | LocalMktDate |
UnderlyingStreamCommoditySettlMonth | [0..1] | int |
UnderlyingStreamCommoditySettlDateRollPeriod | [0..1] | int | Conditionally required when UnderlyingStreamCommoditySettlDateRollUnit(41986) is specified.
UnderlyingStreamCommoditySettlDateRollUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamCommoditySettlDateRollPeriod(41985) is specified.
UnderlyingStreamCommoditySettlDayType | [0..1] | CodeSet |
UnderlyingStreamCommoditySettlPeriodGrp | [0..*] | Group |
UnderlyingStreamCommodityXID | [0..1] | XID |
UnderlyingStreamCommodityXIDRef | [0..1] | XIDREF |

Used in groups: UnderlyingStreamGrp

UnderlyingStreamCommodityCurrency

Identifies the currency of the commodity asset. Uses ISO 4217 currency codes.

Type: Currency

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityDataSourceGrp

UnderlyingStreamCommodityDataSourceGrp is a subcomponent of the UnderlyingStreamCommodity component used to specify sources of data, e.g. weather stations. The order of entry determines priority – first is the main source, second is fallback, third is second fallback.

Name | Mult. | Type | Description
NoUnderlyingStreamCommodityDataSources | [1..1] | NumInGroup |
UnderlyingStreamCommodityDataSourceID | [0..1] | String | Required if NoUnderlyingStreamCommodityDataSources(41993) > 0.
UnderlyingStreamCommodityDataSourceIDType | [0..1] | CodeSet | Required if NoUnderlyingStreamCommodityDataSources(41993) > 0.

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityDataSourceID

Data source identifier.

Type: String

Used in groups: UnderlyingStreamCommodityDataSourceGrp

UnderlyingStreamCommodityDataSourceIDType

Specifies the type of data source identifier.

Type: int

Allowed values in StreamCommodityDataSourceIDTypeCodeSet:

Code | Name | Description
0 | City | City (4 character business center code)
1 | Airport | Airport (IATA standard)
2 | WeatherStation | Weather station WBAN (Weather Bureau Army Navy)
3 | WeatherIndex | Weather index WMO (World Meteorological Organization)

Used in groups: UnderlyingStreamCommodityDataSourceGrp

UnderlyingStreamCommodityDeliveryPricingRegion

The delivery or pricing region associated with the commodity swap. See http://www.ecfr.gov/cgi-bin/text-idx?SID=660d6a40f836aa6ddf213cba080c5b22&node=ap17.2.43_17.e&rgn=div9 for the external code list.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityDesc

Description of the commodity asset.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityExchange

Identifies the exchange where the commodity is traded.

Type: Exchange

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityNearbySettlDayPeriod

Time unit multiplier for the nearby settlement day.

Type: int

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityNearbySettlDayUnit

Time unit associated with the nearby settlement day.

Type: String

Allowed values in StreamCommodityNearbySettlDayUnitCodeSet:

Code | Name | Description
Wk | Week | Week
Mo | Month | Month

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityPricingType

Specifies how the pricing or rate setting of the trade is to be determined or based upon.

See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Pricing_Type for code list of applicable commodity pricing types.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityRateReferencePage

Identifies the reference "page" from the rate source.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityRateReferencePageHeading

Identifies the page heading from the rate source.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityRateSource

Identifies the source of rate information used for commodities.

See http://www.fixtradingcommunity.org/codelists#Commodity_Rate_Source for code list of applicable sources.

Type: int

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySecurityID

Specifies the market identifier for the commodity.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySecurityIDSource

Identifies the class or source of the UnderlyingStreamCommoditySecurityIDSource(41966) value.

Type: String

Allowed values in SecurityIDSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
3 | QUIK | QUIK
4 | ISINNumber | ISIN
5 | RICCode | RIC
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
7 | ISOCountryCode | ISO Country Code
8 | ExchangeSymbol | Exchange symbol
9 | ConsolidatedTapeAssociation | Consolidated Tape Association (CTA) Symbol (SIAC CTS/CQS line format)
A | BloombergSymbol | Bloomberg Symbol
B | Wertpapier | Wertpapier
C | Dutch | Dutch
D | Valoren | Valoren
E | Sicovam | Sicovam
F | Belgian | Belgian
G | Common | "Common" (Clearstream and Euroclear)
H | ClearingHouse | Clearing house / Clearing organization
I | ISDAFpMLSpecification | ISDA/FpML product specification (XML in SecurityXML(1185))
J | OptionPriceReportingAuthority | Option Price Reporting Authority
K | ISDAFpMLURL | ISDA/FpML product URL (URL in SecurityID(48))
L | LetterOfCredit | Letter of credit
M | MarketplaceAssignedIdentifier | Marketplace-assigned Identifier
N | MarkitREDEntityCLIP | Markit RED entity CLIP
P | MarkitREDPairCLIP | Markit RED pair CLIP
Q | CFTCCommodityCode | CFTC commodity code
R | ISDACommodityReferencePrice | ISDA Commodity Reference Price
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
T | LegalEntityIdentifier | Legal entity identifier
U | Synthetic | Synthetic. Used to specify that the security identifier is synthetic for linking nested underliers when there is no market identifier for the collection.
V | FidessaInstrumentMnemonic | Fidessa Instrument Mnemonic (FIM)
W | IndexName | Index name. Standard name of the index or rate index, e.g. "LIBOR" or "iTraxx Australia".
X | UniformSymbol | Uniform Symbol (UMTF Symbol)
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlBusinessCenter

The business center calendar used to adjust the commodity delivery date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingStreamCommoditySettlBusinessCenterGrp

UnderlyingStreamCommoditySettlBusinessCenterGrp

UnderlyingStreamCommoditySettlBusinessCenterGrp is a repeating subcomponent of the UnderlyingStreamCommodity component used to specify the set of business centers whose calendars drive date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument.

Name | Mult. | Type | Description
NoUnderlyingStreamCommoditySettlBusinessCenters | [1..1] | NumInGroup |
UnderlyingStreamCommoditySettlBusinessCenter | [0..1] | String | Required if NoUnderlyingStreamCommoditySettlBusinessCenters(41962) > 0.

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlCountry

Specifies the country where delivery takes place. Uses ISO 3166 2-character country code.

Type: Country

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlDateAdjusted

The adjusted commodity delivery date.

Type: LocalMktDate

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlDateBusinessDayConvention

The business day convention used to adjust the commodity delivery date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlDateRollPeriod

Time unit multiplier for the commodity delivery date roll.

Type: int

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlDateRollUnit

Time unit associated with the commodity delivery date roll.

Type: String

Allowed values in StreamCommoditySettlDateRollUnitCodeSet:

Code | Name | Description
D | Day | Day

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlDateUnadjusted

The unadjusted commodity delivery date.

Type: LocalMktDate

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlDay

Specifies the day or group of days for delivery.

Type: int

Allowed values in DeliveryScheduleSettlDayCodeSet:

Code | Name | Description
1 | Monday | Monday
2 | Tuesday | Tuesday
3 | Wednesday | Wednesday
4 | Thursday | Thursday
5 | Friday | Friday
6 | Saturday | Saturday
7 | Sunday | Sunday
8 | AllWeekdays | All weekdays
9 | AllDays | All days
10 | AllWeekends | All weekends

Used in groups: UnderlyingStreamCommoditySettlDayGrp

UnderlyingStreamCommoditySettlDayGrp

The UnderlyingStreamCommoditySettlDayGrp is a repeating subcomponent of the UnderlyingStreamCommoditySettlPeriodGrp component used to define the settlement days associated with the commodity contract.

Name | Mult. | Type | Description
NoUnderlyingStreamCommoditySettlDays | [1..1] | NumInGroup |
UnderlyingStreamCommoditySettlDay | [0..1] | CodeSet | Required if NoUnderlyingStreamCommoditySettlDays(41996) > 0.
UnderlyingStreamCommoditySettlTotalHours | [0..1] | int |
UnderlyingStreamCommoditySettlTimeGrp | [0..*] | Group |

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlDayType

Specifies the commodity delivery roll day type.

Type: int

Allowed values in ComplexEventDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlEnd

The end time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.

Type: String

Used in groups: UnderlyingStreamCommoditySettlTimeGrp

UnderlyingStreamCommoditySettlFlowType

Specifies the commodity delivery flow type.

Type: int

Allowed values in DeliveryScheduleSettlFlowTypeCodeSet:

Code | Name | Description
0 | AllTimes | All times
1 | OnPeak | On peak
2 | OffPeak | Off peak
3 | Base | Base
4 | BlockHours | Block hours
5 | Other | Other

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlHolidaysProcessingInstruction

Indicates whether holidays are included in the settlement periods. Required for electricity contracts.

Type: int

Allowed values in DeliveryScheduleSettlHolidaysProcessingInstructionCodeSet:

Code | Name | Description
0 | DoNotIncludeHolidays | Do not include holidays
1 | IncludeHolidays | Include holidays

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlMonth

Specifies a fixed single month for commodity delivery.

Type: int

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlPeriodFrequencyPeriod

Time unit multiplier for the settlement period frequency.

Type: int

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodFrequencyUnit

Time unit associated with the settlement period frequency.

Type: String

Allowed values in ProtectionTermEventUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodGrp

The UnderlyingStreamCommoditySettlPeriodGrp is a repeating subcomponent of the UnderlyingStreamCommodiry component used to defined the settlement period details associated with the commodity contract.

Name | Mult. | Type | Description
NoUnderlyingStreamCommoditySettlPeriods | [1..1] | NumInGroup |
UnderlyingStreamCommoditySettlCountry | [0..1] | Country | Required if NoUnderlyingStreamCommoditySettlPeriods(42002) > 0.
UnderlyingStreamCommoditySettlTimeZone | [0..1] | String |
UnderlyingStreamCommoditySettlFlowType | [0..1] | CodeSet |
UnderlyingStreamCommoditySettlPeriodNotional | [0..1] | Qty |
UnderlyingStreamCommoditySettlPeriodNotionalUnitOfMeasure | [0..1] | CodeSet |
UnderlyingStreamCommoditySettlPeriodFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingStreamCommoditySettlPeriodFrequencyUnit(42009) is specified.
UnderlyingStreamCommoditySettlPeriodFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamCommoditySettlPeriodFrequencyPeriod(42008) is specified.
UnderlyingStreamCommoditySettlPeriodPrice | [0..1] | Price |
UnderlyingStreamCommoditySettlPeriodPriceUnitOfMeasure | [0..1] | CodeSet |
UnderlyingStreamCommoditySettlPeriodPriceCurrency | [0..1] | Currency |
UnderlyingStreamCommoditySettlHolidaysProcessingInstruction | [0..1] | CodeSet |
UnderlyingStreamCommoditySettlDayGrp | [0..*] | Group |
UnderlyingStreamCommoditySettlPeriodXID | [0..1] | XID |
UnderlyingStreamCommoditySettlPeriodXIDRef | [0..1] | XIDREF |

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommoditySettlPeriodNotional

Specifies the delivery quantity associated with this settlement period.

Type: Qty

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodNotionalUnitOfMeasure

Specifies the unit of measure (UOM) of the delivery quantity associated with this settlement period.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodPrice

The settlement period price.

Type: Price

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodPriceCurrency

The currency of the settlement period price. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodPriceUnitOfMeasure

Specifies the settlement period price unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodXID

Identifier of this settlement period for cross referencing elsewhere in the message.

Type: XID

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlPeriodXIDRef

Cross reference to another settlement period for duplicating its properties.

Type: XIDREF

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlStart

The start time for commodity settlement where delivery occurs over time. The time format is specified by the settlement time type.

Type: String

Used in groups: UnderlyingStreamCommoditySettlTimeGrp

UnderlyingStreamCommoditySettlTimeGrp

The UnderlyingStreamCommoditySettlTimeGrp is a repeating subcomponent of the UnderlyingStreamCommoditySettlDayGrp component used to define the settlement time periods associated with the commodity contract.

Name | Mult. | Type | Description
NoUnderlyingStreamCommoditySettlTimes | [1..1] | NumInGroup |
UnderlyingStreamCommoditySettlStart | [0..1] | String | Required if NoUnderlyingStreamCommoditySettlTimes(41999) > 0.
UnderlyingStreamCommoditySettlEnd | [0..1] | String | Required if NoUnderlyingStreamCommoditySettlTimes(41999) > 0.
UnderlyingStreamCommoditySettlTimeType | [0..1] | CodeSet | May be defaulted to market convention or bilaterally agreed if not specified.

Used in groups: UnderlyingStreamCommoditySettlDayGrp

UnderlyingStreamCommoditySettlTimeType

Specifies the format of the commodity settlement start and end times.

Type: int

Allowed values in DeliveryScheduleSettlTimeTypeCodeSet:

Code
Name
Description

0
Hour
Hour of the day. Applicable for electricity contracts. Time value is expressed as an integer hour of the day (1-24). The delivery start/end hour is specified as the end of the included hour. For example, a start hour of "4" begins at 3 a.m.; an end hour of "20" ends at 8 p.m.; a start hour of "1" and end hour of "24" indicates midnight to midnight delivery.

1
Timestamp
HH:MM time format. Applicable for gas contracts. Time value is expressed using a 24-hour time format. For example, a time value of "13:30" is 1:30 p.m.

Used in groups: UnderlyingStreamCommoditySettlTimeGrp

UnderlyingStreamCommoditySettlTimeZone

Commodity delivery timezone specified as "prevailing" rather than "standard" or "daylight".

See http://www.fixtradingcommunity.org/codelists#Prevailing_Timezones for code list of applicable prevailing timezones.

Type: String

Used in groups: UnderlyingStreamCommoditySettlPeriodGrp

UnderlyingStreamCommoditySettlTotalHours

Sum of the hours specified in UnderlyingStreamCommoditySettlTimeGrp.

Type: int

Used in groups: UnderlyingStreamCommoditySettlDayGrp

UnderlyingStreamCommodityType

Specifies the type of commodity product.

For coal see http://www.fpml.org/coding-scheme/commodity-coal-product-type for values.

For metals see http://www.fpml.org/coding-scheme/commodity-metal-product-type for values.

For bullion see http://www.fixtradingcommunity.org/codelists#Bullion_Types for the external code list of bullion types.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityUnitOfMeasure

The unit of measure (UOM) of the commodity asset.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityXID

Identifier of this stream commodity for cross referencing elsewhere in the message.

Type: XID

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCommodityXIDRef

Reference to a stream commodity elsewhere in the message.

Type: XIDREF

Used in components: UnderlyingStreamCommodity

UnderlyingStreamCurrency

Specifies the currency the UnderlyingStreamNotional(40545) is denominated in. Uses ISO 4217 currency codes.

Type: Currency

Used in groups: UnderlyingStreamGrp

UnderlyingStreamDataProvider

Specifies the commodity data or information provider.

See http://www.fpml.org/coding-scheme/commodity-information-provider for values.

Type: String

Used in components: UnderlyingStreamCommodity

UnderlyingStreamDesc

A short descriptive name given to payment stream. Eg. CDS, Fixed, Float, Float2, GBP. The description has no intrinsic meaning but should be arbitrarily chosen by the remitter as a reference.

Type: String

Used in groups: UnderlyingStreamGrp

UnderlyingStreamEffectiveDateAdjusted

The adjusted effective date.

Type: LocalMktDate

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateBusinessCenter

The business center calendar used to adjust the underlying instrument's stream's effective, or relative effective, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingStreamEffectiveDateBusinessCenterGrp

UnderlyingStreamEffectiveDateBusinessCenterGrp

UnderlyingStreamEffectiveDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamEffectiveDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingStreamEffectiveDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingStreamEffectiveDateBusinessCenter | [0..1] | String | Required if NoUnderlyingStreamEffectiveDateBusinessCenters(40975) > 0.

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateBusinessDayConvention

The business day convention used to adjust the underlying instrument's stream's effective, or relative effective, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDate

UnderlyingStreamEffectivedDate is a subcomponent of the UnderlyingStreamGrp component used to specify the effective date of the stream.

Name | Mult. | Type | Description
UnderlyingStreamEffectiveDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamEffectiveDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's stream effective dates.
UnderlyingStreamEffectiveDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's stream effective dates.
UnderlyingStreamEffectiveDateRelativeTo | [0..1] | int |
UnderlyingStreamEffectiveDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingStreamEffectiveDateOffsetUnit(40062) is specified.
UnderlyingStreamEffectiveDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamEffectiveDateOffsetPeriod(40061) is specified.
UnderlyingStreamEffectiveDateOffsetDayType | [0..1] | CodeSet |
UnderlyingStreamEffectiveDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingStreamGrp

UnderlyingStreamEffectiveDateOffsetDayType

Specifies the day type of the relative effective date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateOffsetPeriod

Time unit multiplier for the relative effective date offset.

Type: int

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateOffsetUnit

Time unit associated with the relative effective date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateRelativeTo

Specifies the anchor date when the effective date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamEffectiveDateUnadjusted

The unadjusted effective date.

Type: LocalMktDate

Used in components: UnderlyingStreamEffectiveDate

UnderlyingStreamFirstCompoundingPeriodEndDateUnadjusted

The unadjusted end date of the initial compounding period.

Type: LocalMktDate

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamFirstPeriodStartDateAdjusted

The adjusted first calculation period start date, if it is before the effective date.

Type: LocalMktDate

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamFirstPeriodStartDateBusinessCenter

The business center calendar used to adjust the underlying instrument's stream's first calculation period start date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp

UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp

UnderlyingStreamFirstPeriodStartDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamCalculationPeriodDates component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingStreamFirstPeriodStartDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingStreamFirstPeriodStartDateBusinessCenter | [0..1] | String | Required if NoUnderlyginstreamFirstPeriodStartDateBusinessCenters(40974) > 0.

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamFirstPeriodStartDateBusinessDayConvention

The business day convention used to adjust the underlying instrument's stream's first calculation period start date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamFirstPeriodStartDateUnadjusted

The unadjusted first calculation period start date if before the effective date.

Type: LocalMktDate

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamFirstRegularPeriodStartDateUnadjusted

The unadjusted first start date of the regular calculation period, if there is an initial stub period.

Type: LocalMktDate

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamGrp

The UnderlyingStreamGrp is a repeating subcomponent of the UnderlyingInstrument component used to detail the swap streams associated with the instrument.

Name | Mult. | Type | Description
NoUnderlyingStreams | [1..1] | NumInGroup |
UnderlyingStreamType | [0..1] | CodeSet | Required if NoUnderlyingStreams(40540) > 0.
UnderlyingStreamXID | [0..1] | XID |
UnderlyingStreamDesc | [0..1] | String |
UnderlyingStreamVersion | [0..1] | String |
UnderlyingStreamVersionEffectiveDate | [0..1] | LocalMktDate |
UnderlyingStreamPaySide | [0..1] | CodeSet |
UnderlyingStreamReceiveSide | [0..1] | CodeSet |
UnderlyingStreamNotionalXIDRef | [0..1] | XIDREF |
UnderlyingStreamNotional | [0..1] | Amt |
UnderlyingStreamCurrency | [0..1] | Currency |
UnderlyingStreamNotionalDeterminationMethod | [0..1] | String |
UnderlyingStreamNotionalAdjustments | [0..1] | CodeSet |
UnderlyingStreamNotionalFrequencyPeriod | [0..1] | int | Conditionally required when UnderlyingStreamNotionalFrequencyUnit(42020) is specified.
UnderlyingStreamNotionalFrequencyUnit | [0..1] | CodeSet | Conditionally required when UnderlyingStreamNotionalFrequencyPeriod(42019) is specified.
UnderlyingStreamNotionalCommodityFrequency | [0..1] | CodeSet |
UnderlyingStreamNotionalUnitOfMeasure | [0..1] | CodeSet |
UnderlyingStreamTotalNotional | [0..1] | Qty |
UnderlyingStreamTotalNotionalUnitOfMeasure | [0..1] | CodeSet |
UnderlyingStreamCommodity | [0..1] | Component |
UnderlyingStreamEffectiveDate | [0..1] | Component |
UnderlyingStreamTerminationDate | [0..1] | Component |
UnderlyingStreamCalculationPeriodDates | [0..1] | Component |
UnderlyingPaymentStream | [0..1] | Component |
UnderlyingPaymentScheduleGrp | [0..*] | Group |
UnderlyingPaymentStubGrp | [0..*] | Group |
UnderlyingDeliveryStream | [0..1] | Component |
UnderlyingDeliveryScheduleGrp | [0..*] | Group |
UnderlyingStreamText | [0..1] | String |
EncodedUnderlyingStreamTextLen | [0..1] | Length | Must be set if EncodedUnderlyingStreamText(40989) field is specified and must immediately precede it.
EncodedUnderlyingStreamText | [0..1] | data | Encoded (non-ASCII characters) representation of the UnderlyingStreamText(40547) field in the encoded format specified via the MessageEncoding(347) field.

Used in components: UnderlyingInstrument

UnderlyingStreamLastRegularPeriodEndDateUnadjusted

The unadjusted last regular period end date if there is a final stub period.

Type: LocalMktDate

Used in components: UnderlyingStreamCalculationPeriodDates

UnderlyingStreamNotional

Notional, or initial notional value for the payment stream. Use SwapSchedule for steps.

Type: Amt

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalAdjustments

For equity swaps this specifies the conditions that govern the adjustment to the number of units of the swap.

Type: int

Allowed values in StreamNotionalAdjustmentsCodeSet:

Code | Name | Description
0 | Execution | Execution. The adjustments to the number of units are governed by an execution clause.
1 | PortfolioRebalancing | Portfolio rebalancing. The adjustments to the number of units are governed by a portfolio rebalancing clause.
2 | Standard | Standard. The adjustments to the number of units are not governed by any specific clause.

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalCommodityFrequency

The commodity's notional or quantity delivery frequency.

Type: int

Allowed values in StreamNotionalCommodityFrequencyCodeSet:

Code | Name | Description
0 | Term | Term
1 | PerBusinessDay | Per business day
2 | PerCalculationPeriod | Per calculation period
3 | PerSettlPeriod | Per settlement period
4 | PerCalendarDay | Per calendar day
5 | PerHour | Per hour
6 | PerMonth | Per month

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalDeterminationMethod

Specifies the method for determining the floating notional value for equity swaps.

See http://www.fpml.org/coding-scheme/determination-method for values.

Type: String

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalFrequencyPeriod

Time unit multiplier for the swap stream's notional frequency.

Type: int

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalFrequencyUnit

Time unit associated with the swap stream's notional frequency.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalUnitOfMeasure

Specifies the delivery quantity unit of measure (UOM).

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingStreamGrp

UnderlyingStreamNotionalXIDRef

Cross reference to another UnderlyingStream notional for duplicating its properties.

Type: XIDREF

Used in groups: UnderlyingStreamGrp

UnderlyingStreamPaySide

The side of the party paying the stream.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingStreamGrp

UnderlyingStreamReceiveSide

The side of the party receiving the stream.

Type: int

Allowed values in PaymentPaySideCodeSet:

Code | Name | Description
1 | Buy | Buy
2 | Sell | Sell

Used in groups: UnderlyingStreamGrp

UnderlyingStreamTerminationDateAdjusted

The adjusted termination date.

Type: LocalMktDate

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateBusinessCenter

The business center calendar used to adjust the underlying instrument's stream's termination, or relative termination, date, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in groups: UnderlyingStreamTerminationDateBusinessCenterGrp

UnderlyingStreamTerminationDateBusinessCenterGrp

UnderlyingStreamTerminationDateBusinessCenterGrp is a repeating subcomponent within the UnderlyingStreamTerminationDate component. It is used to specify the set of business centers whose calendars drive the date adjustment. Used only to override the business centers defined in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Name | Mult. | Type | Description
NoUnderlyingStreamTerminationDateBusinessCenters | [1..1] | NumInGroup |
UnderlyingStreamTerminationDateBusinessCenter | [0..1] | String | Required if NoUnderlyingStreamTerminationDateBusinessCenters(40976) > 0.

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateBusinessDayConvention

The business day convention used to adjust the underlying instrument's stream's termination, or relative termination, date. Used only to override the business day convention specified in the UnderlyingDateAdjustment component within the UnderlyingInstrument component.

Type: int

Allowed values in BusinessDayConventionCodeSet:

Code | Name | Description
0 | NotApplicable | Not applicable. Business day convention is not applicable.
1 | None | None (current day)
2 | FollowingDay | Following day. The following business day.
3 | FloatingRateNote | Floating rate note. The FRN business day convention.
4 | ModifiedFollowingDay | Modified following day. The modified following business day.
5 | PrecedingDay | Preceding day. The preceding business day.
6 | ModifiedPrecedingDay | Modified preceding day. The modified preceding business day.
7 | NearestDay | Nearest day. The nearest applicable business day.

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDate is a subcomponent of the UnderlyingStreamGrp component used to specify the termination date of the stream.

Name | Mult. | Type | Description
UnderlyingStreamTerminationDateUnadjusted | [0..1] | LocalMktDate |
UnderlyingStreamTerminationDateBusinessDayConvention | [0..1] | CodeSet | When specified, this overrides the business day convention defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified value would be specific to this instance of the underlying instrument's termination date of the stream.
UnderlyingStreamTerminationDateBusinessCenterGrp | [0..*] | Group | When specified, this overrides the business centers defined in the UnderlyingDateAdjustment component in UnderlyingInstrument. The specified values would be specific to this instance of the underlying instrument's termination date of the stream.
UnderlyingStreamTerminationDateRelativeTo | [0..1] | int |
UnderlyingStreamTerminationDateOffsetPeriod | [0..1] | int | Conditionally required when UnderlyingStreamTerminationDateOffsetUnit(40553) is specified.
UnderlyingStreamTerminationDateOffsetUnit | [0..1] | CodeSet | Conditionally required when UnderlyingPaymentTerminationDateOffsetPeriod(40552) is specified.
UnderlyingStreamTerminationDateOffsetDayType | [0..1] | CodeSet |
UnderlyingStreamTerminationDateAdjusted | [0..1] | LocalMktDate |

Used in groups: UnderlyingStreamGrp

UnderlyingStreamTerminationDateOffsetDayType

Specifies the day type of the relative termination date offset.

Type: int

Allowed values in PaymentStreamPaymentDateOffsetDayTypeCodeSet:

Code | Name | Description
0 | Business | Business
1 | Calendar | Calendar
2 | CommodityBusiness | Commodity business
3 | CurrencyBusiness | Currency business
4 | ExchangeBusiness | Exchange business
5 | ScheduledTradingDay | Scheduled trading day

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateOffsetPeriod

Time unit multiplier for the relative termination date offset.

Type: int

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateOffsetUnit

Time unit associated with the relative termination date offset.

Type: String

Allowed values in PaymentStreamPaymentDateOffsetUnitCodeSet:

Code | Name | Description
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateRelativeTo

Specifies the anchor date when the termination date is relative to an anchor date.

See http://www.fixtradingcommunity.org/codelists#Relative_To_Date for values.

Type: int

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamTerminationDateUnadjusted

The unadjusted termination date.

Type: LocalMktDate

Used in components: UnderlyingStreamTerminationDate

UnderlyingStreamText

Free form text to specify additional information or enumeration description when a standard value does not apply.

Type: String

Used in groups: UnderlyingStreamGrp

UnderlyingStreamTotalNotional

Specifies the total notional or delivery quantity over the term of the contract.

Type: Qty

Used in groups: UnderlyingStreamGrp

UnderlyingStreamTotalNotionalUnitOfMeasure

Specifies the unit of measure (UOM) for the total notional or delivery quantity over the term of the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in groups: UnderlyingStreamGrp

UnderlyingStreamType

Type of swap stream.

Type: int

Allowed values in StreamTypeCodeSet:

Code | Name | Description
0 | PaymentCashSettlement | Payment / cash settlement
1 | PhysicalDelivery | Physical delivery

Used in groups: UnderlyingStreamGrp

UnderlyingStreamVersion

The stream version identifier when there have been modifications to the contract over time. Helps signal when there are embedded changes.

Type: String

Used in groups: UnderlyingStreamGrp

UnderlyingStreamVersionEffectiveDate

The effective date of the UnderlyingStreamVersion(43083).

Type: LocalMktDate

Used in groups: UnderlyingStreamGrp

UnderlyingStreamXID

Identifier of this UnderlyingStream for cross referencing elsewhere in the message.

Type: XID

Used in groups: UnderlyingStreamGrp

UnderlyingStrikeCurrency

Currency in which the strike price of an underlying instrument is denominated

Type: Currency

Used in components: UnderlyingInstrument

UnderlyingStrikeCurrencyCodeSource

Identifies class or source of the UnderlyingStrikeCurrency(941) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingStrikeIndex

Specifies the index used to calculate the strike price.

Type: String

Used in components: UnderlyingInstrument

UnderlyingStrikeIndexCurvePoint

The point on the floating rate index curve. Sample values:

M = combination of a number between 1-12 and an "M" for month, e.g. 3M

Y = combination of number between 1-100 and a "Y" for year, e.g. 10Y

10Y-OLD = see above, then add "-OLD" when appropriate

INTERPOLATED = the point is mathematically derived

2/2031 5 3/8 = the point is stated via a combination of maturity month / year and coupon.

Type: String

Used in components: UnderlyingInstrument

UnderlyingStrikeIndexQuote

The quote side from which the index price is to be determined.

Type: int

Allowed values in StrikeIndexQuoteCodeSet:

Code | Name | Description
0 | Bid | Bid.
1 | Mid | Mid
2 | Offer | Offer

Used in components: UnderlyingInstrument

UnderlyingStrikeIndexSpread

Specifies the strike price offset from the named index.

Type: PriceOffset

Used in components: UnderlyingInstrument

UnderlyingStrikeMultiplier

Used for derivatives. Multiplier applied to the strike price for the purpose of calculating the settlement value.

Type: float

Used in components: UnderlyingInstrument

UnderlyingStrikePrice

Underlying security's StrikePrice.

See StrikePrice (202) field for description

Type: Price

Used in components: UnderlyingInstrument

UnderlyingStrikePriceBoundaryMethod

Specifies the boundary condition to be used for the strike price relative to the underlying price at the point of option exercise.

Type: int

Allowed values in StrikePriceBoundaryMethodCodeSet:

Code | Name | Description
1 | LessThan | Less than underlying price is in-the-money (ITM)
2 | LessThanOrEqual | Less than or equal to the underlying price is in-the-money(ITM)
3 | Equal | Equal to the underlying price is in-the-money(ITM)
4 | GreaterThanOrEqual | Greater than or equal to underlying price is in-the-money(ITM)
5 | GreaterThan | Greater than underlying is in-the-money(ITM)

Used in components: UnderlyingInstrument

UnderlyingStrikePriceBoundaryPrecision

Used in combination with StrikePriceBoundaryMethod(1479) to specify the percentage of the strike price in relation to the underlying price. The percentage is generally 100 or greater for puts and 100 or less for calls.

Type: Percentage

Used in components: UnderlyingInstrument

UnderlyingStrikePriceDeterminationMethod

Specifies how the strike price is determined at the point of option exercise. The strike may be fixed throughout the life of the option, set at expiration to the value of the underlying, set to the average value of the underlying , or set to the optimal value of the underlying.

Type: int

Allowed values in StrikePriceDeterminationMethodCodeSet:

Code | Name | Description
1 | FixedStrike | Fixed strike (default if not specified)
2 | StrikeSetAtExpiration | Strike set at expiration to underlying or other value (lookback floating)
3 | StrikeSetToAverageAcrossLife | Strike set to average of underlying settlement price across the life of the option
4 | StrikeSetToOptimalValue | Strike set to optimal value

Used in components: UnderlyingInstrument

UnderlyingStrikeUnitOfMeasure

Used to express the unit of measure (UOM) of the price if different from the contract.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingInstrument

UnderlyingStrikeValue

Used for derivatives. The number of shares/units for the financial instrument involved in the option trade.

Type: float

Used in components: UnderlyingInstrument

UnderlyingSwapClass

The type or classification of swap. Additional values may be used by mutual agreement of the counterparties.

Type: String

Allowed values in SwapClassCodeSet:

Code | Name | Description
BS | BasisSwap | Basis swap
IX | IndexSwap | Index swap
BB | BroadBasedSecuritySwap | Broad-based security swap
SK | BasketSwap | Basket swap

Used in components: UnderlyingInstrument

UnderlyingSwapSubClass

The sub-classification or notional schedule type of the swap.

Type: String

Allowed values in SwapSubClassCodeSet:

Code | Name | Description
AMTZ | Amortizing | Amortizing notional schedule
COMP | Compounding | Compounding
CNST | ConstantNotionalSchedule | Constant notional schedule
ACRT | AccretingNotionalSchedule | Accreting notional schedule
CUST | CustomNotionalSchedule | Custom notional schedule

Used in components: UnderlyingInstrument

UnderlyingSymbol

Underlying security's Symbol.

See Symbol (55) field for description

Type: String

Used in components: UnderlyingInstrument

UnderlyingSymbolPositionNumber

Reference to the first or second currency or digital asset in UnderlyingSymbol(311) for FX-style trading.

Conditionally required when one or both symbols in UnderlyingSymbol(311) represent a digital asset.

Type: int

Used in groups: UndSecAltIDGrp

UnderlyingSymbolSfx

Underlying security's SymbolSfx.

See SymbolSfx (65) field for description

Type: String

Allowed values in SymbolSfxCodeSet:

Code | Name | Description
CD | EUCPWithLumpSumInterest | EUCP with lump-sum interest rather than discount price
WI | WhenIssued | "When Issued" for a security to be reissued under an old CUSIP or ISIN

Used in components: UnderlyingInstrument

UnderlyingTimeUnit

See TimeUnit(997) for complete definition.

Type: String

Allowed values in TimeUnitCodeSet:

Code | Name | Description
H | Hour | Hour
Min | Minute | Minute
S | Second | Second
D | Day | Day
Wk | Week | Week
Mo | Month | Month
Yr | Year | Year
Q | Quarter | Quarter
EOM | EndOfMonth | End of Month. End of Month identifies a relative time unit, e.g. until the third Friday of each month.
F | Flexible | Flexible. A flexible time unit indicates that a specific time unit for the contract is currently undetermined.

Used in components: UnderlyingInstrument

UnderlyingTotalIssuedAmount

Specifies the total amount of the issue. Corresponds to the par value multiplied by the number of issued security.

Type: Amt

Used in components: UnderlyingInstrument

UnderlyingTradingSessionID

Trading Session in which the underlying instrument trades

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

UnderlyingTradingSessionSubID

Trading Session sub identifier in which the underlying instrument trades

Type: String

Used in messages: TradeCaptureReport, TradeCaptureReportAck

UnderlyingTradingUnitPeriodMultiplier

Indicates the number of contract periods associated with the minimum trading unit for a given contract duration resulting in the number of total traded contracts.

Type: int

Used in components: UnderlyingInstrument

UnderlyingUnitOfMeasure

Underlying unit of measure.

See UnitOfMeasure(996) for complete definition.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: UnderlyingInstrument

UnderlyingUnitOfMeasureCurrency

Indicates the currency of the underlying unit of measure. Conditionally required when UnderlyingUnitOfMeasure(998) = Ccy

Type: Currency

Used in components: UnderlyingInstrument

UnderlyingUnitOfMeasureCurrencyCodeSource

Identifies class or source of the UnderlyingUnitOfMeasureCurrency(1718) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: UnderlyingInstrument

UnderlyingUnitOfMeasureQty

Refer to definition of UnitOfMeasureQty(1147)

Type: Qty

Used in components: UnderlyingInstrument

UnderlyingUPICode

Uniquely identifies the product of an underlying instrument using ISO 4914. See UPICode(2891) for further detail.

Type: String

Used in components: UnderlyingInstrument

UnderlyingValuationMethod

Indicates type of valuation method used.

Type: String

Allowed values in ValuationMethodCodeSet:

Code | Name | Description
EQTY | PremiumStyle | premium style
FUT | FuturesStyleMarkToMarket | futures style mark-to-market
FUTDA | FuturesStyleWithAnAttachedCashAdjustment | futures style with an attached cash adjustment
CDS | CDSStyleCollateralization | CDS style collateralization of market to market and coupon
CDSD | CDSInDeliveryUseRecoveryRateToCalculate | CDS in delivery - use recovery rate to calculate obligation

Used in components: UnderlyingInstrument

UnderlyingValuationReferenceModel

Specifies the methodology and/or assumptions used to generate the trade value.

Type: String

Used in components: UnderlyingInstrument

UnderlyingValuationSource

Specifies the source of trade valuation data.

Type: String

Used in components: UnderlyingInstrument

UndInstrmtCollGrp

Name | Mult. | Type | Description
NoUnderlyings | [1..1] | NumInGroup | Number of legs that make up the Security
UnderlyingInstrument | [0..1] | Component | Insert here the set of "Underlying Instrument" fields defined in "Common Components of Application Messages". Required if NoUnderlyings > 0
CollAction | [0..1] | CodeSet | Required if NoUnderlyings > 0

Used in messages: CollateralAssignment, CollateralRequest, CollateralResponse

UndInstrmtGrp

Name | Mult. | Type | Description
NoUnderlyings | [1..1] | NumInGroup | Number of underlyings
UnderlyingInstrument | [0..1] | Component | Required if NoUnderlyings(711) > 0.

Used in groups: InstrmtMDReqGrp, InstrmtMatchSideGrp, InstrmtStrkPxGrp, ListOrdGrp, MDIncGrp, QuotCxlEntriesGrp, QuotReqGrp, QuotReqRjctGrp, RFQReqGrp, SecListGrp, SecLstUpdRelSymGrp, SecMassStatGrp

Used in messages: Advertisement, AllocationInstruction, AllocationInstructionAlert, AllocationReport, AssignmentReport, CollateralInquiry, CollateralInquiryAck, CollateralReport, Confirmation, ContraryIntentionReport, CrossOrderCancelReplaceRequest, CrossOrderCancelRequest, DontKnowTrade, Email, ExecutionAck, ExecutionReport, IOI, MarketDataSnapshotFullRefresh, MarketDataStatisticsReport, MarketDataStatisticsRequest, MultilegOrderCancelReplace, NewOrderCross, NewOrderMultileg, NewOrderSingle, News, OrderCancelReplaceRequest, OrderCancelRequest, OrderStatusRequest, PartyRiskLimitCheckRequest, PartyRiskLimitCheckRequestAck, PositionMaintenanceReport, PositionMaintenanceRequest, PositionTransferInstruction, PositionTransferReport, Quote, QuoteResponse, QuoteStatusReport, QuoteStatusRequest, RequestForPositions, RequestForPositionsAck, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, SecurityListRequest, SecurityStatus, SecurityStatusRequest, TradeCaptureReport, TradeCaptureReportAck, TradeCaptureReportRequest, TradeCaptureReportRequestAck

UndlyInstrumentParties

The use of this component block is restricted to instrument definition only and is not permitted to contain transactional information. Only a specified subset of party roles will be supported within the InstrumentParty block.

Name | Mult. | Type | Description
NoUndlyInstrumentParties | [1..1] | NumInGroup | Repeating group below should contain unique combinations of UnderlyingInstrumentPartyID(1059), UnderlyingInstrumentPartyIDSource(1060) and UnderlyingInstrumentPartyRole(1061).
UnderlyingInstrumentPartyID | [0..1] | String | Used to identify the source of PartyID. Required if UnderlyingInstrumentPartyIDSource(1060) is specified. Required if NoUndlyInstrumentParties(1058) > 0.
UnderlyingInstrumentPartyIDSource | [0..1] | CodeSet | Used to identify class source of UnderlyingInstrumentPartyID(1059) value (e.g. BIC). Required if UnderlyingInstrumentPartyID(1059) is specified. Required if NoUndlyInstrumentParties(1058) > 0.
UnderlyingInstrumentPartyRole | [0..1] | CodeSet | Identifies the type of UnderlyingInstrumentPartyID(1059) (e.g. Executing Broker). Required if NoUndlyInstrumentParties(1058) > 0.
UnderlyingInstrumentPartyRoleQualifier | [0..1] | CodeSet |
UndlyInstrumentPtysSubGrp | [0..*] | Group | Repeating group of party sub-identifiers.

Used in components: UnderlyingInstrument

UndlyInstrumentPtysSubGrp

Name | Mult. | Type | Description
NoUndlyInstrumentPartySubIDs | [1..1] | NumInGroup |
UnderlyingInstrumentPartySubID | [0..1] | String |
UnderlyingInstrumentPartySubIDType | [0..1] | CodeSet |

Used in groups: UndlyInstrumentParties

UndSecAltIDGrp

Name | Mult. | Type | Description
NoUnderlyingSecurityAltID | [1..1] | NumInGroup |
UnderlyingSecurityAltID | [0..1] | String |
UnderlyingSecurityAltIDSource | [0..1] | CodeSet |
UnderlyingSymbolPositionNumber | [0..1] | int |

Used in components: UnderlyingInstrument

UnencodedAttachmentLen

Unencoded content length in bytes. Can be used to validate successful unencoding.

Type: int

Used in groups: AttachmentGrp

UnitOfMeasure

The unit of measure of the underlying commodity upon which the contract is based. Two groups of units of measure enumerations are supported.

Fixed Magnitude UOMs are primarily used in energy derivatives and specify a magnitude (such as, MM, Kilo, M, etc.) and the dimension (such as, watt hours, BTU's) to produce standard fixed measures (such as MWh - Megawatt-hours, MMBtu - One million BTUs).

The second group, Variable Quantity UOMs, specifies the dimension as a single unit without a magnitude (or more accurately a magnitude of one) and uses the UnitOfMeasureQty(1147) field to define the quantity of units per contract. Variable Quantity UOMs are used for both commodities (such as lbs of lean cattle, bushels of corn, ounces of gold) and financial futures.

Examples:

For lean cattle futures contracts, a UnitOfMeasure of 'lbs' with a UnitOfMeasureQty(1147) of 40,000, means each lean cattle futures contract represents 40,000 lbs of lean cattle.

For Eurodollars futures contracts, a UnitOfMeasure of Ccy with a UnitOfMeasureCurrency(1716) of USD and a UnitOfMeasureQty(1147) of 1,000,000, means a Eurodollar futures contract represents 1,000,000 USD.

For gold futures contracts, a UnitOfMeasure is oz_tr (Troy ounce) with a UnitOfMeasureQty(1147) of 1,000, means each gold futures contract represents 1,000 troy ounces of gold.

Type: String

Allowed values in UnitOfMeasureCodeSet:

Code | Name | Description
Alw | Allowances | Allowances
Bcf | BillionCubicFeet | Billion cubic feet
Bbl | Barrels | Barrels. Equal to 42 US gallons
CBM | CubicMeters | Cubic Meters
BDFT | BoardFeet | Board feet. Equal to 144 cubic inches
GJ | Gigajoules | gigajoules
Bu | Bushels | Bushels
kHR | HeatRate | Heat rate. The number of BTUs required to produce one kilowatt hour of electricity, typically 3,412.14 BTUs per 1 kWh.
Ccy | Currency | Amount of currency
kWh | KilowattHours | Kilowatt hours
CDD | CoolingDegreeDay | Cooling degree day
MHR | MegaHeatRate | Mega heat rate. The number of million BTUs required to produce one megawatt hour of electricity, typically 3.41214 million BTUs per 1 MWh.
CER | CertifiedEmissionsReduction | Certified emissions reduction
MMBtu | OneMillionBTU | One Million BTU
CPD | CriticalPrecipDay | Critical precipitation day
MWh | MegawattHours | Megawatt hours
CRT | ClimateReserveTonnes | Climate reserve tonnes
thm | Therms | therms. Equal to 100,000 BTU
cwt | Hundredweight | Hundredweight(US). Equal to 100 lbs
tnCO2 | TonsOfCarbonDioxide | Tons of carbon dioxide
day | Day | Days
dt | DryMetricTons | Dry metric tons
EnvAllwnc | EnvAllwncCert | Environmental allowance certificates
EnvCrd | EnvironmentalCredit | Environmental credit
EnvOfst | EnvironmentalOffset | Environmental Offset
g | Grams | Grams
Gal | Gallons | Gallons
GT | GrossTons | Gross tons. Also known as long tons or imperial tons, equal to 2240 lbs
HDD | HeatingDegreeDay | Heating degree day
IPNT | IndexPoint | Index point
kg | Kilograms | Kilograms
kL | Kiloliters | kiloliters
kW-a | KilowattYear | Kilowatt year (electrical capacity)
kW-d | KilowattDay | Kilowatt day (electrical capacity)
kW-h | KilowattHour | Kilowatt hour (electrical capacity)
kW-M | KilowattMonth | Kilowatt month (electrical capacity)
kW-min | KilowattMinute | Kilowatt-Minute (electrical capacity)
L | Liters | liters
lbs | Pounds | pounds
MW-a | MegawattYear | Megawatt year (electrical capacity)
MW-d | MegawattDay | Megawatt day (electrical capacity)
MW-h | MegawattHour | Megawatt hour (electrical capacity)
MW-M | MegawattMonth | Megawatt month (electrical capacity)
MW-min | MegawattMinute | Megawatt minute (electrical capacity)
oz_tr | TroyOunces | Troy ounces
PRINC | PrincipalWithRelationToDebtInstrument | Principal with relation to debt instrument
t | MetricTons | Metric tons. Also known as Tonnes, equal to 1000 kg
tn | Tons | Tons (US). Equal to 2000 lbs
a | Are | Are
ac | Acre | Acre
cL | Centiliter | Centiliter
cM | Centimeter | Centimeter
DGE | DieselGallonEquivalent | Diesel gallon equivalent
ft | Foot | Foot
Gal_gb | GBGallon | GB Gallon
GGE | GasolineGallonEquivalent | Gasonline gallon equivalent
ha | Hectare | Hectare
in | Inch | Inch
kM | Kilometer | Kilometer
M | Meter | Meter
mi | Mile | Mile
mL | Milliliter | Milliliter
mM | Millimeter | Millimeter
oz | USOunce | US ounce
pc | Piece | Piece
pt | USPint | US Pint
pt_gb | GBPint | GB pint
qt | USQuart | US Quart
qt_gb | GBQuart | GB Quart
SqcM | SquareCentimeter | Square centimeter
Sqft | SquareFoot | Square foot
Sqin | SquareInch | Square inch
SqkM | SquareKilometer | Square kilometer
SqM | SquareMeter | Square meter
Sqmi | SquareMile | Square mile
SqmM | SquareMillimeter | Square millimeter
Sqyd | SquareYard | Square yard
yd | Yard | Yard
MMbbl | MillionBarrels | Million Barrels
USD | USDollars | US Dollars

Used in components: Instrument

UnitOfMeasureCurrency

Indicates the currency of the unit of measure. Conditionally required when UnitOfMeasure(996) = Ccy

Type: Currency

Used in components: Instrument

UnitOfMeasureCurrencyCodeSource

Identifies class or source of the UnitOfMeasureCurrency(1716) value.

Type: String

Allowed values in CurrencyCodeSourceCodeSet:

Code | Name | Description
1 | CUSIP | CUSIP
2 | SEDOL | SEDOL
4 | ISINNumber | ISIN
6 | ISOCurrencyCode | ISO Currency Code (ISO 4217)
S | FinancialInstrumentGlobalIdentifier | Financial Instrument Global Identifier. An Object Management Group (OMG) standard. Also referred to as FIGI. Formerly known as "Bloomberg Open Symbology BBGID".
Y | DigitalTokenIdentifier | Digital Token Identifier (ISO 24165)

Used in components: Instrument

UnitOfMeasureQty

Used to indicate the quantity of the underlying commodity unit of measure on which the contract is based, such as, 2500 lbs of lean cattle, 1000 barrels of crude oil, 1000 bushels of corn, etc. UnitOfMeasureQty is required for UnitOfMeasure(996) Variable Quantity UOMs enumerations. Refer to the definition of UnitOfMeasure(996) for more information on the use of UnitOfMeasureQty.

Type: Qty

Used in components: Instrument

UnsolicitedIndicator

Indicates whether or not message is being sent as a result of a subscription request or not.

Type: Boolean

Allowed values in UnsolicitedIndicatorCodeSet:

Code | Name | Description
N | MessageIsBeingSentAsAResultOfAPriorRequest | Message is being sent as a result of a prior request
Y | MessageIsBeingSentUnsolicited | Message is being sent unsolicited

Used in groups: TrdSessLstGrp

Used in messages: MarginRequirementReport, MarketDataStatisticsReport, PartyRiskLimitsReport, PositionReport, RequestForPositionsAck, SecurityMassStatus, SecurityStatus, TradeCaptureReport, TradingSessionStatus

UpfrontPrice

Price used to determine upfront payment for swaps contracts.

Type: Price

Used in messages: ExecutionReport, NewOrderMultileg, NewOrderSingle

UpfrontPriceType

Type of price used to determine upfront payment for swaps contracts.

Type: int

Allowed values in UpfrontPriceTypeCodeSet:

Code | Name | Description
1 | Percentage | Percentage (i.e. percent of par) (often called "dollar price" for fixed income)
3 | FixedAmount | Fixed amount (absolute value)

Used in messages: ExecutionReport, NewOrderMultileg, NewOrderSingle, TradeCaptureReport

UPICode

Uniquely identifies the product of a security using ISO 4914 standard, Unique Product Identifier (UPI). The DSB (Derivative Service Bureau Ltd) is acting as designated service provider for UPI System.

Type: String

Used in components: Instrument

Used in groups: SecTypesGrp, SettlInstGrp

Used in messages: SettlementInstructionRequest

Urgency

Urgency flag

Type: char

Allowed values in UrgencyCodeSet:

Code | Name | Description
0 | Normal | Normal
1 | Flash | Flash
2 | Background | Background

Used in messages: News

URLLink

A URI (Uniform Resource Identifier) or URL (Uniform Resource Locator) link to additional information (i.e. http://www.XYZ.com/research.html)

See "Appendix 6-B FIX Fields Based Upon Other Standards"

Type: String

Used in messages: Advertisement, IOI, News

Username

Userid or username.

Type: String

Used in groups: UsernameGrp

Used in messages: Logon, UserRequest, UserResponse

UsernameGrp

Name | Mult. | Type | Description
NoUsernames | [1..1] | NumInGroup | Number of usernames
Username | [0..1] | String | Recipient of the notification

Used in messages: UserNotification

UserRequestID

Unique identifier for a User Request.

Type: String

Used in messages: UserRequest, UserResponse

UserRequestType

Indicates the action required by a User Request Message

Type: int

Allowed values in UserRequestTypeCodeSet:

Code | Name | Description
1 | LogOnUser | Log On User
2 | LogOffUser | Log Off User
3 | ChangePasswordForUser | Change Password For User
4 | RequestIndividualUserStatus | Request Individual User Status
5 | RequestThrottleLimit | Request Throttle Limit

Used in messages: UserRequest

UserStatus

Indicates the status of a user

Type: int

Allowed values in UserStatusCodeSet:

Code | Name | Description
1 | LoggedIn | Logged In
2 | NotLoggedIn | Not Logged In
3 | UserNotRecognised | User Not Recognised
4 | PasswordIncorrect | Password Incorrect
5 | PasswordChanged | Password Changed
6 | Other | Other
7 | ForcedUserLogoutByExchange | Forced user logout by Exchange
8 | SessionShutdownWarning | Session shutdown warning
9 | ThrottleParametersChanged | Throttle parameters changed

Used in messages: UserNotification, UserResponse

UserStatusText

A text description associated with a user status.

Type: String

Used in messages: UserResponse

ValidUntilTime

Indicates expiration time of indication message (always expressed in UTC (Universal Time Coordinated, also known as "GMT")

Type: UTCTimestamp

Used in groups: QuotEntryAckGrp, QuotEntryGrp, QuotReqGrp

Used in messages: IOI, Quote, QuoteResponse, QuoteStatusReport

ValuationBusinessCenter

Identifies the business center whose calendar is used for valuation, e.g. "GBLO".

See http://www.fpml.org/coding-scheme/business-center for standard 4-character code values.

Type: String

Used in messages: PositionMaintenanceReport, PositionReport, TradeCaptureReport

ValuationDate

The valuation date of the trade.

Type: LocalMktDate

Used in messages: PositionMaintenanceReport, PositionReport, TradeCaptureReport

ValuationMethod

Specifies the type of valuation method applied.

Type: String

Allowed values in ValuationMethodCodeSet:

Code | Name | Description
EQTY | PremiumStyle | premium style
FUT | FuturesStyleMarkToMarket | futures style mark-to-market
FUTDA | FuturesStyleWithAnAttachedCashAdjustment | futures style with an attached cash adjustment
CDS | CDSStyleCollateralization | CDS style collateralization of market to market and coupon
CDSD | CDSInDeliveryUseRecoveryRateToCalculate | CDS in delivery - use recovery rate to calculate obligation

Used in components: Instrument

ValuationReferenceModel

Specifies the methodology and/or assumptions used to generate the trade value.

Type: String

Used in components: Instrument

ValuationSource

Specifies the source of trade valuation data.

Type: String

Used in components: Instrument

ValuationTime

The valuation time of the trade.

Type: LocalMktTime

Used in messages: PositionMaintenanceReport, PositionReport, TradeCaptureReport

ValueCheckAction

Action to be taken for the ValueCheckType(1869).

Type: int

Allowed values in ValueCheckActionCodeSet:

Code | Name | Description
0 | DoNotCheck | Do not check. Checks will not be done for the specified ValueCheckType(1869).
1 | Check | Check. Checks will be done for the specificed ValueCheckType(1869)
2 | BestEffort | Best effort. The market may or may not check the specified ValueCheckType(1869) depending on availability of reference data.

Used in groups: ValueChecksGrp

ValueChecksGrp

This component can be used by the message submitter to provide a list of value types to be checked by the counterparty or message recipient.

Name | Mult. | Type | Description
NoValueChecks | [1..1] | NumInGroup |
ValueCheckType | [0..1] | CodeSet | Required if NoValueChecks(1868) > 0.
ValueCheckAction | [0..1] | CodeSet | Required if NoValueChecks(1868) > 0.

Used in messages: ExecutionReport, MultilegOrderCancelReplace, NewOrderMultileg, NewOrderSingle, OrderCancelReplaceRequest, Quote

ValueCheckType

Type of value to be checked.

Type: int

Allowed values in ValueCheckTypeCodeSet:

Code
Name
Description

1
PriceCheck
Price check. In the context of ESMA RTS 6 Article 15(1)(a) investment firms are required to perform pre-trade controls using "price collars, which automatically block or cancel orders that do not meet set price parameters, differentiating between different financial instruments, both on an order-by-order basis and over a specified period of time".

2
NotionalValueCheck
Notional value check. In the context of ESMA RTS 6 Article 15(1)(b) investment firms are required to perform pre-trade controls using "maximum order values, which prevent orders with an uncommonly large order value from entering the order book".

3
QuantityCheck
Quantity check. In the context of ESMA RTS 6 Article 15(1)(c) investment firms are required to perform pre-trade controls using "maximum order volumes, which prevent orders with an uncommonly large order quantity from entering the order book".

Used in groups: ValueChecksGrp

ValueOfFutures

Used in EFP trades

Type: Amt

Used in groups: BidDescReqGrp

Vega

The security's price sensitivity to change in volatility of the underlying asset price.

Type: float

Used in groups: SecurityRiskMetricGrp

VegaMultiplier

Constant value required for the calculation of the clearing quantity, e.g. for variance futures.

Type: float

Used in groups: ClearingPriceParametersGrp

VenueType

Identifies the type of venue where a trade was executed.

Type: char

Allowed values in VenueTypeCodeSet:

Code | Name | Description
E | Electronic | Electronic exchange
P | Pit | Pit
X | ExPit | Ex-pit
C | ClearingHouse | Clearinghouse
R | RegisteredMarket | Registered market. Markets registered with regulators such as exchange, multilateral trading facility (MTF), swap execution facility (SEF). In the context of regulatory reporting (e.g. CFTC reporting), this is used for regulated markets, e.g. swap markets.
O | OffMarket | Off-market. Off-book, off-facility. In the context of regulatory reporting (e.g. CFTC reporting) this identifies trades conducted away from a regulated market.
B | CentralLimitOrderBook | Central limit order book
Q | QuoteDrivenMarket | Quote driven market
D | DarkOrderBook | Dark order book
A | AuctionDrivenMarket | Auction driven market. Markets where matching occurs only in scheduled auctions.
N | QuoteNegotiation | Quote negotiation. Discretionary quoting on request or "request for quote" market.
V | VoiceNegotiation | Voice negotiation. A trading system where transactions between members are arranged through voice negotiation.
H | HybridMarket | Hybrid market. A hybrid system falling into two or more types of trading systems. In the context of ESMA reporting, this is for "Hybrid system." In the context of FCA reporting, this is for "Any other, including hybrid."
z | OtherMarket | Other market (lowercase "z"). A market that does not fall under any of the market types defined for VenueType(1430). In the context of ESMA reporting, this is for "Any other, excluding hybrid."

Used in messages: AllocationInstruction, AllocationReport, ExecutionReport, TradeCaptureReport, TradeCaptureReportAck, TradeMatchReport

VerificationMethod

Indication of how a trade was verified.

Type: int

Allowed values in VerificationMethodCodeSet:

Code | Name | Description
0 | NonElectronic | Non-electronic
1 | Electronic | Electronic

Used in messages: TradeCaptureReport

VersusPurchaseDate

The effective acquisition date of the lot that would be used for gain-loss trade lot reporting. The versus purchase date used to identify the lot in situations where a custodial lot identifier is not available.

Type: LocalMktDate

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

VersusPurchasePrice

The versus purchase price used to identify the lot in situations where a custodial lot identifier is not available. The value should be calculated based on current cost basis / quantity held.

Type: Price

Used in groups: AllocAckGrp, AllocGrp, PreAllocGrp, PreAllocMlegGrp, TrdAllocGrp

Volatility

Annualized volatility for option model calculations

Type: float

Used in groups: ClearingPriceParametersGrp, SecurityRiskMetricGrp

Used in messages: ExecutionReport, TradeCaptureReport

VolatilityTime

Time at which volatility was computed.

Type: UTCTimestamp

Used in groups: SecurityRiskMetricGrp

VoluntaryRegulatoryReport

Used in conjunction with RegulatoryReportType(1934) to indicate whether the trade report is a voluntary regulatory report. If not specified, the default for a regulatory report is "N".

When VoluntaryRegulatoryReport(1935)=Y it is recommended that one of the parties to the trade be identified as the voluntary reporting party through PartySubIDType(803) = 63 (Voluntary reporting entity).

Type: Boolean

Used in messages: TradeCaptureReport

WarningText

Communicates the underlying condition when the request response indicates "warning".

Type: String

Used in messages: CollateralResponse

WireReference

The reference to a wire transfer associated with the transaction. Wire references done via wire services such as Fedwire Output Message Accountabilitty Data "OMAD" or SWIFT Output Sequence Number "OSN".

Type: String

Used in messages: CollateralAssignment, CollateralReport, CollateralResponse

WorkingIndicator

Indicates if the order is currently being worked. Applicable only for OrdStatus = "New". For open outcry markets this indicates that the order is being worked in the crowd. For electronic markets it indicates that the order has transitioned from a contingent order to a market order.

Type: Boolean

Allowed values in WorkingIndicatorCodeSet:

Code | Name | Description
N | NotWorking | Order has been accepted but not yet in a working state
Y | Working | Order is currently being worked

Used in groups: OrdListStatGrp

Used in messages: ExecutionReport, OrderCancelReject

WtAverageLiquidity

Overall weighted average liquidity expressed as a % of average daily volume. Represented as a percentage.

Type: Percentage

Used in messages: BidRequest

XmlData

Actual XML data stream (e.g. FIXML). See appropriate XML reference (e.g. FIXML). Note: may contain embedded SOH characters.

Type: XMLData

Used in components: StandardHeader

XmlDataLen

Length of the XmlData data block.

Type: Length

Used in components: StandardHeader

Yield

Yield percentage.

(Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: Percentage

Used in components: YieldData

YieldCalcDate

Include as needed to clarify yield irregularities associated with date, e.g. when it falls on a non-business day.

Type: LocalMktDate

Used in components: YieldData

YieldData

The YieldData component block conveys yield information for a given Fixed Income security.

Name | Mult. | Type | Description
YieldType | [0..1] | CodeSet |
Yield | [0..1] | Percentage |
YieldCalcDate | [0..1] | LocalMktDate |
YieldRedemptionDate | [0..1] | LocalMktDate |
YieldRedemptionPrice | [0..1] | Price |
YieldRedemptionPriceType | [0..1] | CodeSet |

Used in groups: ListOrdGrp, MDFullGrp, MDIncGrp, QuotReqGrp, QuotReqRjctGrp, SecListGrp, SecLstUpdRelSymGrp

Used in messages: AllocationInstruction, AllocationInstructionAlert, AllocationReport, Confirmation, CrossOrderCancelReplaceRequest, ExecutionReport, IOI, NewOrderCross, NewOrderSingle, OrderCancelReplaceRequest, Quote, QuoteResponse, QuoteStatusReport, SecurityDefinition, SecurityDefinitionRequest, SecurityDefinitionUpdateReport, TradeCaptureReport

YieldRedemptionDate

Date to which the yield has been calculated (i.e. maturity, par call or current call, pre-refunded date).

Type: LocalMktDate

Used in components: YieldData

YieldRedemptionPrice

Price to which the yield has been calculated.

Type: Price

Used in components: YieldData

YieldRedemptionPriceType

The price type of the YieldRedemptionPrice (697)

See PriceType (423) for description and valid values.

Type: int

Allowed values in PriceTypeCodeSet:

Code
Name
Description

1
Percentage
Percentage (i.e. percent of par) (often called "dollar price" for fixed income)

2
PerUnit
Per unit (i.e. per share or contract)

3
FixedAmount
Fixed amount (absolute value)

4
Discount
Discount - percentage points below par

5
Premium
Premium - percentage points over par

6
Spread
Spread (basis points spread). Usually the difference in yield between two switched bonds or a corporate bond traded spread-to-benchmark.

7
TEDPrice
TED Price

8
TEDYield
TED Yield

9
Yield
Yield

10
FixedCabinetTradePrice
Fixed cabinet trade price (primarily for listed futures and options)

11
VariableCabinetTradePrice
Variable cabinet trade price (primarily for listed futures and options)

12
PriceSpread
Price spread. Price spread is expressed based on market convention for the asset being priced or traded. For example, the difference between the prices of a multileg switch or strategy expressed in basis points for a CDS or TBA roll; a price value to be added to a reference price, such as a "pay up" for specified pools

13
ProductTicksInHalves
Product ticks in halves

14
ProductTicksInFourths
Product ticks in fourths

15
ProductTicksInEighths
Product ticks in eighths

16
ProductTicksInSixteenths
Product ticks in sixteenths

17
ProductTicksInThirtySeconds
Product ticks in thirty-seconds

18
ProductTicksInSixtyFourths
Product ticks in sixty-fourths

19
ProductTicksInOneTwentyEighths
Product ticks in one-twenty-eighths

20
NormalRateRepresentation
Normal rate representation (e.g. FX rate)

21
InverseRateRepresentation
Inverse rate representation (e.g. FX rate)

22
BasisPoints
Basis points. When the price is not spread based.

23
UpfrontPoints
Up front points. Used specifically for CDS pricing.

24
InterestRate
Interest rate. When the price is an interest rate. For example, used with benchmark reference rate.

25
PercentageNotional
Percentage of notional

Used in components: YieldData

YieldType

Type of yield. (Note tag # was reserved in FIX 4.1, added in FIX 4.3)

Type: String

Allowed values in YieldTypeCodeSet:

Code | Name | Description
AFTERTAX | AfterTaxYield | After Tax Yield (Municipals)
ANNUAL | AnnualYield | Annual Yield
ATISSUE | YieldAtIssue | Yield At Issue (Municipals)
AVGMATURITY | YieldToAverageMaturity | Yield To Avg Maturity
BOOK | BookYield | Book Yield
CALL | YieldToNextCall | Yield to Next Call
CHANGE | YieldChangeSinceClose | Yield Change Since Close
CLOSE | ClosingYield | Closing Yield
COMPOUND | CompoundYield | Compound Yield
CURRENT | CurrentYield | Current Yield
GOVTEQUIV | GvntEquivalentYield | Gvnt Equivalent Yield
GROSS | TrueGrossYield | True Gross Yield
INFLATION | YieldWithInflationAssumption | Yield with Inflation Assumption
INVERSEFLOATER | InverseFloaterBondYield | Inverse Floater Bond Yield
LASTCLOSE | MostRecentClosingYield | Most Recent Closing Yield
LASTMONTH | ClosingYieldMostRecentMonth | Closing Yield Most Recent Month
LASTQUARTER | ClosingYieldMostRecentQuarter | Closing Yield Most Recent Quarter
LASTYEAR | ClosingYieldMostRecentYear | Closing Yield Most Recent Year
LONGAVGLIFE | YieldToLongestAverageLife | Yield to Longest Average Life
MARK | MarkToMarketYield | Mark to Market Yield
MATURITY | YieldToMaturity | Yield to Maturity
NEXTREFUND | YieldToNextRefund | Yield to Next Refund (Sinking Fund Bonds)
OPENAVG | OpenAverageYield | Open Average Yield
PREVCLOSE | PreviousCloseYield | Previous Close Yield
PROCEEDS | ProceedsYield | Proceeds Yield
PUT | YieldToNextPut | Yield to Next Put
SEMIANNUAL | SemiAnnualYield | Semi-annual Yield
SHORTAVGLIFE | YieldToShortestAverageLife | Yield to Shortest Average Life
SIMPLE | SimpleYield | Simple Yield
TAXEQUIV | TaxEquivalentYield | Tax Equivalent Yield
TENDER | YieldToTenderDate | Yield to Tender Date
TRUE | TrueYield | True Yield
VALUE1_32 | YieldValueOf32nds | Yield Value Of 1/32
WORST | YieldToWorst | Yield To Worst

Used in components: YieldData