Nasdaq OUCH 5.0 2024-05-01 The NASDAQ Group, Inc [Orchestra v1.0](https://www.fixtrading.org/packages/fix-orchestra-technical-specification-v1-0/) Copyright 2024 Atomic Wire Technology Limited OUCH is a simple protocol that allows NASDAQ participants to enter, replace, and cancel orders and receive executions. It is intended to allow participants and their software developers to integrate NASDAQ into their proprietary trading systems or to build custom front ends. Order Entry Specification Atomic Wire Technology Limited NASDAQ, OUCH, Order Entry [NASDAQ OUCH 5.0 Order Entry Specification](https://www.nasdaqtrader.com/content/technicalsupport/specifications/TradingProducts/OUCH5.0.pdf) Infrastructure messages for application sequencing, business reject, network and user management. Post trade messages including trade reporting, allocation, collateral, confirmation, position maintenance, registration instruction, and settlement instructions. A description added to the PreTrade section. Session level messages to establish and control a FIX session. Order handling and execution messages. Alpha fields may contain upper and lowercase characters. All fixed-width alpha fields are left-justified and padded on the right with spaces. Alpha fields may contain upper and lowercase characters. All fixed-width alpha fields are left-justified and padded on the right with spaces. All Numeric fields are binary formatted, big-endian numbers. Sizes (shares quantities, field lengths) should be treated as unsigned values. All Numeric fields are binary formatted, big-endian numbers. Sizes (shares quantities, field lengths) should be treated as unsigned values. A numeric value (8 bytes). A numeric value (8 bytes). A numeric value (4 bytes). A numeric value (4 bytes). A numeric value (2 bytes). A numeric value (2 bytes). A numeric value (1 bytes). A numeric value (1 bytes). Prices are numeric fields with an implied 4 decimal places. Prices are to be treated as unsigned numeric fields, unless designated otherwise. The maximum price currently supported is $199,999.9900 (decimal, 7735939C hex). To flag an order as a market order for a cross, use the special price of $214,748.3647 (decimal, 7FFFFFFF hex). Orders entered with a price of $200,000.00 or the max integer value will also be treated as market orders. Prices are numeric fields with an implied 4 decimal places. Prices are to be treated as unsigned numeric fields, unless designated otherwise. The maximum price currently supported is $199,999.9900 (decimal, 7735939C hex). To flag an order as a market order for a cross, use the special price of $214,748.3647 (decimal, 7FFFFFFF hex). Orders entered with a price of $200,000.00 or the max integer value will also be treated as market orders. A signed Price. A signed Price. An optional attribute on an order is communicated via a TagValue element. The set of optional attributes are set on an order via an options appendage. Each of the individual options formatted as a TagValue element, and the options appendage is then constructed by concatenating together the selected set of options. An optional attribute on an order is communicated via a TagValue element. The set of optional attributes are set on an order via an options appendage. Each of the individual options formatted as a TagValue element, and the options appendage is then constructed by concatenating together the selected set of options. A UserRefNum is an unsigned numeric. For a given OUCH port, the UserRefNum is used as a transaction identifier, and must be both unique and strictly increasing throughout the trading day. The system ignores new order requests identified with UserRefNums lower than the last one processed, assuming they are retransmissions. Client however has an option to multiplex their order flow via the use of an optional tag UserRefIdx. When this tag is present the UserRefNum is then assumed to be linked to an “order flow channel” specified by the UserRefIdx and the above rules regarding the use of UserRefNum are applied only within this “order flow channel” instead of the port globally. A UserRefNum is an unsigned numeric. For a given OUCH port, the UserRefNum is used as a transaction identifier, and must be both unique and strictly increasing throughout the trading day. The system ignores new order requests identified with UserRefNums lower than the last one processed, assuming they are retransmissions. Client however has an option to multiplex their order flow via the use of an optional tag UserRefIdx. When this tag is present the UserRefNum is then assumed to be linked to an “order flow channel” specified by the UserRefIdx and the above rules regarding the use of UserRefNum are applied only within this “order flow channel” instead of the port globally. Expressed as nanoseconds since midnight. Expressed as nanoseconds since midnight. Char fields may contain upper and lowercase characters. Char fields may contain upper and lowercase characters. All letters and numbers are allowed, as well as spaces. All letters and numbers are allowed, as well as spaces. 0-0.2% 0.2%-1% 1%-2% Greater than 2% **Presence = Optional** Unspecified (default) Sets the QBBO while joining the NBBO Improves the NBBO upon entry Trade deemed clearly erroneous. Both parties agreed to break the trade. Manually broken by supervisory. Trade broken by an external third party. Indicates the reason a trade was broken. Agency Principal Riskless Other The capacity specified on the order. Continuous market Opening cross Nasdaq only Closing cross Nasdaq only Halt/IPO Nasdaq only Supplemental Nasdaq only Retail BX only Extended life Nasdaq only After hours close Nasdaq only The cross type specified on the order. Retail Designated Order Not Retail Designated (default) Limit (default) Market peg Midpoint peg Primary peg Visible Hidden Attributable Price to Comply Conformant The accepted display type for the order. Indicating that exchange is open and is ready to accept orders. Indicating that the exchange is closed and will no longer accept new orders. Note that it is still possible to receive breaks and cancels after this event. Imbalance only (CrossType O and C) Retail order type 1 (CrossType R) Retail order type 2 (CrossType R) Retail price improvement (CrossType R) Extended Life + Continuous (CrossType E) Direct Listing Capital Raise (CrossType H) Retail Price Improvement, Hidden Price Improvement Indicator (CrossType R) Eligible Not eligible Added (All markets) Closing Cross (Nasdaq only) Retail designated execution that added displayed liquidity (Nasdaq/BX only) Halt/IPO Cross (Nasdaq only) After hours closing cross (Nasdaq only) Non-displayed adding liquidity (All markets) RPI (Retail Price Improving) order provides liquidity (BX only) Added liquidity via a midpoint order (All markets) Halt Cross (Nasdaq only) Closing Cross (imbalance-only) (Nasdaq only) Opening Cross (imbalance-only) (Nasdaq only) Removed liquidity at a midpoint (All markets) Passive midpoint execution (Nasdaq/BX only) Midpoint Extended Life Order execution (Nasdaq only) Opening Cross (Nasdaq only) Removed price improving non-displayed liquidity (BX only) RMO Retail Order removes non-RPI midpoint liquidity (BX only) Removed (All markets) Retail Order removes RPI liquidity (BX only) Retail Order removes price improving non-displayed liquidity other than RPI liquidity (BX only) Added non-displayed liquidity via a Reserve order (All markets) Supplemental order execution (Nasdaq only) Displayed, liquidity-adding order improves the NBBO (Nasdaq/BX only) Displayed, liquidity-adding order sets the QBBO while joining the NBBO (Nasdaq/BX only) RPI order provides liquidity, No RPII (BX only) This order cannot be executed because of a regulatory restriction (e.g.: trade through restrictions). Any DAY order that was received after the closing cross is complete in a given symbol will receive this cancel reason. This Post Only order was cancelled because it would have been price slid for NMS. This Post Only order was cancelled because it would have been price slid due to a contra side displayed order on the book. The on-open order was canceled because the symbol remained halted after the opening cross completed. Immediate or Cancel Order. This order cannot be executed because of Market Collars. The order was cancelled because it would have executed with an existing order entered by the same MPID. The order was manually canceled or reduced by an NASDAQ supervisory terminal. The Time In Force for this order has expired. Sent in response to a Cancel Request Message. Orders that are cancelled as a result of the Opening Price Protection Threshold. This order was cancelled by the system. Order exceeds allowable shares offered. Indicates the reason an order was canceled. Quote Unavailable Destination Closed Invalid Display Invalid Max Floor Invalid Peg Type Fat Finger Halted ISO Not Allowed Invalid Side Processing Error Cancel Pending Firm Not Authorized Invalid Min Quantity No Closing Reference Price Other Cancel Not Allowed Pegging Not Allowed Crossed Market Invalid Quantity Invalid Cross Order Replace Not Allowed Routing Not Allowed Invalid Symbol Test Late LOC Too Aggressive Retail Not Allowed Invalid Midpoint Post Only Price Invalid Destination Invalid Price Shares Exceeded Threshold Exceeds Maximum Allowed Notional Value Risk Aggregate Exposure Exceeded Risk Market Impact Risk Restricted Stock Risk Short Sell Restricted Risk Order Type Restricted Risk Exceeds ADV Limit Risk Fat Finger Risk Locate Required Risk Symbol Message Rate Restriction Risk Port Message Rate Restriction Risk Duplicate Message Rate Restriction Indicates the reason an order was rejected. Refresh of display (on an order with reserves). Update of displayed price. Indicates the reason an order was restated. Order live Order dead Post Only (Mid-point Post Only not available on BX) No (default) Limit (default) Market peg Midpoint peg Primary peg Market maker peg Midpoint Shares are located for short sell order Shared are not located for short sell order For short sell orders, indicates whether shares are located. Buy Sell Sell short Sell short exempt Day (Market Hours) IOC GTX (Extended Hours) GTT (Expire time needs to be specified) After hours Corresponds to TimeInForce (59) in Nasdaq FIX. Yes No (default) The Replace Order Message allows you to alter most of the attributes of an order in a single message. This is more efficient than canceling an existing order and immediately succeeding it with a new order. Replacing an order always gives it a new timestamp for its time priority on the book. If you wish you simply partially cancel an order and retain its time priority, send a Cancel Order Message instead. The Cancel Order Message is used to request that an order be canceled or reduced. In the Cancel Order Message, you must specify the new "intended order size" for the order. The "intended order size" is the maximum number of shares that can be executed in total after the cancel is applied. The Modify Order Message is used to request modifications that will not affect order priority on the book. Since priority of the order does not change (exception noted), allowed modifications are restricted to only the ones specified in the message details below. Increasing share amount is not allowed and requests to do so will be ignored. The Mass Cancel Request message allows firms to initiate the cancellation of one or more orders that are currently booked at the exchange if they match the criteria specified in the request. If no optional criteria are specified then all orders for the specified firm on the account will be cancelled. Optional criteria can be specified in the Appendage field using the tags described below. The Disable Order Entry Request allows firms the ability to initiate the following requests to block submissions of new orders on a particular account. The Enable Order Entry Request allows firms the ability to initiate the following requests to unblock submission of new orders on a particular account. The Account Query Request message can be used when recovering state to request the next available UserRefNum that can be used for identifying new transactions. System Event Messages signal events that affect the entire NASDAQ system. This message acknowledges the receipt and acceptance of a valid Enter Order Message. The data fields from the Enter Order Message are echoed back in this message. Note that the accepted values may differ from the entered values for some fields. This message acknowledges the receipt and acceptance of a valid Replace Order Message. The data fields from the Replace Order Message are echoed back in this message. Note that the accepted values may differ from the entered values for some fields. You will receive one and only one of these two for each replacement. A Canceled Message informs you that an order has been reduced or canceled. This could be acknowledging a Cancel Order Message, or it could be the result of the order timing out or being canceled automatically. An Executed Order Message informs you that all or part of an order has been executed. A Broken Trade Message informs you that an execution has been broken. The trade is no longer good and will not clear. The reason for the break is given. A Rejected Message may be sent in response to an Enter Order Message or Replace Order Message if the order or replace cannot be accepted at this time. The reason for the rejection is given. A Cancel Pending Message is sent in response to a cancel request for a cross order during a pre-cross late period signifying that it cannot be canceled at this time, but any unexecuted portion of this order will automatically be canceled immediately after the cross completes. A Cancel Reject Message is sent in response to a partial cancel request (with non-zero “intended order size”) for a cross order during a pre-cross late period signifying that it cannot be partially canceled at this time. No automatic cancel will be scheduled for this order. Clients could repeat their request for any unexecuted portion of the order after the cross completes. A Priority Update Message is sent whenever priority of the order has been changed by the system. An Order Modified Message is sent in response to an order modify request. The Order Restated Message is sent to indicate that the system has modified an order as part of its order management. This message acknowledges the receipt of a valid Mass Cancel Request message. The data fields from the Mass Cancel Request message are echoed back in this message. This message acknowledges the receipt of the Disable Order Entry Request message. The data fields from the Enter Order Message are echoed back in this message. This message acknowledges the receipt of the Enable Order Entry Request message. The data fields from the Enable Order Entry Request message are echoed back in this message. The Account Query Response message in sent in response to an Account Query Request to indicate the next available UserRefNum that can be used to identify new transactions. Identifies the message type. **Inbound Messages** Inbound messages are sent from the participant's application to the OUCH host. They are not sequenced. All Inbound Messages may be repeated benignly. This gives the client the ability to re-send any Inbound message if it is uncertain whether NASDAQ received it in the case of a connection loss or an application error. The idea of benign inbound message retransmission with end-to-end acknowledgement is fundamental to NASDAQ's fail-over redundancy. If your connection ever fails, there is no way for you to know if pending messages actually made it over the link before the failure. A robust OUCH client can safely re- send any pending messages over a mirrored link without worrying about generating duplicates. This applies to NASDAQ's disaster fail over capability as well; if NASDAQ ever needs to fail over to the backup site, some messages sent at the moment of the failure may be lost. A robust application can simply re- send the pending messages, making the fail over seamless to the end user. All inbound messages on an OUCH port are processed sequentially. This guarantees that if two orders are entered consecutively on the same connection, the first order entered will always be accepted first. **Outbound Messages** Outbound messages are generated by the OUCH host port and received by your client application. AIQ strategy used on the cancelled order. The length of the remaining Optional Appendage field. 0 = 0-0.2% 1 = 0.2%-1% 2 = 1%-2% 3 = greater than 2% space = unspecified (default) S = Sets the QBBO while joining the NBBO N = Improves the NBBO upon entry **Default** Not applicable Reason a trade was broken. The capacity specified on the order. Customer order identifier. ClOrdID will not be checked for day-uniqueness for each OUCH account. The cross type as entered. R = Retail Designated Order N = Not Retail Designated (default) **Default** Space, use port default The number of shares just decremented from the order. This number is incremental, not cumulative. Offset amount for the pegged value of the Discretionary Price. **Default** 0 (zero), no offset Discretion price for Discretionary Order. **Default** 0 (zero), no discretion price L = limit (default) P = market peg M = midpoint peg R = primary peg **Default** ‘L’, limit The accepted display type for the order. Used in the Order Restated Message only. Represents an update of an order’s displayed price. **Default** Not applicable Used in the Order Restated Message only. Represents an update of an order’s displayed quantity (i.e. an order with reserves). **Default** Not applicable Indicates if the exchange is open and ready to accept orders. Price at which the trade occurred. Seconds to live. Must be less than 86400 (number of seconds in a day). **Default** 0 (zero), no expire time This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. If this field is blank-filled, the default firm for the OUCH account will be used. **Default** Blank-filled (spaces), use the default firm Customer Group ID – identifies specific entity within customer firm. **Default** 0 (zero), no Group ID I = imbalance only (CrossType O and C) O = retail order type 1 (CrossType R) T = retail order type 2 (CrossType R) Q = retail price improvement (CrossType R) B = Extended Life + Continuous (CrossType E) D = Direct Listing Capital Raise (CrossType H) R = Retail Price Improvement, Hidden Price Improvement Indicator (CrossType R) **Default** Space, no handling instructions Liquidity flag the order would have received. Broker code from which the locate has been acquired for short sale orders. **Default** Not applicable Assigned by the exchange to identify the trade. Both the buy and the sell executions participating in the trade will share the same match number. Represents the portion of your order that you wish to have displayed. **Default** 0 (zero), no Max Floor MinQty must be a round lot. **Default** 0 (zero), no minimum quantity The next available UserRefNum The available options supported. Reason the order was canceled. The day-unique Order Reference Number assigned by NASDAQ to this order. Reason the order was rejected. Reason the order was reduced. Used to denote that an order entry or replace was accepted and then automatically canceled and that no further messages will be received for that order. This must be filled out with the Order UserRefNum sent on the Enter Order Message or last Replace Order Message. Offset amount for the pegged value. **Default** 0 (zero), no peg offset P = Post Only (Mid-point Post Only not available on BX) N = No (default) **Default** ‘N’, no post only The price of the order. L = limit (default) P = market peg M = midpoint peg R = primary peg Q = market maker peg m = midpoint **Default** ‘L’, limit Total number of shares. Must be greater than zero and less than 1,000,000. Shares that would have executed if the trade would have occurred. Shares to do random reserve with. **Default** 0 (zero), no random reserves **Default** Not applicable An alternative order reference number used when publishing the order on the Nasdaq market data feeds (identifying, for example, the displayed portion of a reserve order). **Default** Not applicable Shares located for short sale order. Y = yes N = no (default) **Default** ‘N’, no B = buy S = sell T = sell short E = sell short exempt **Default** Not applicable Stock Symbol. Corresponds to TimeInForce (59) in Nasdaq FIX. Expressed as nanoseconds since midnight. Y = yes N = no (default) **Default** Space, use port default Identifies the message type. User Reference Index - identifies the channel within the given port. **Default** Not applicable UserRefNum must be day-unique and strictly increasing for each OUCH account. 1 Identifies this message as Enter Order Message type. 2 UserRefNum must be day-unique and strictly increasing for each OUCH account. 3 B = buy S = sell T = sell short E = sell short exempt 4 Total number of shares. Must be greater than zero and less than 1,000,000. 5 Stock Symbol. 6 The price of the order. Please refer to the Data Types section for more clarification. 7 Corresponds to TimeInForce (59) in Nasdaq FIX. 0 = Day (Market Hours) 3 = IOC 5 = GTX (Extended Hours) 6 = GTT (ExpireTime needs to be specified) E = After hours 8 Y = visible N = hidden A = attributable 9 A = agency P = principal R = riskless O = other 10 Y = eligible N = not eligible 11 N = continuous market O = opening cross (Nasdaq only) C = closing cross (Nasdaq only) H = halt/IPO (Nasdaq only) S = supplemental (Nasdaq only) R = retail (BX only) E = extended life (Nasdaq only) A = after hours close (Nasdaq only) 12 Customer order identifier. ClOrdID will not be checked for day-uniqueness for each OUCH account. 13 The length of the remaining Optional Appendage field. 14 The available options supported on this message are: Firm MinQty CustomerType MaxFloor PriceType PegOffset Discretion DiscretionPrice DiscretionPriceType DiscretionPegOffset PostOnly RandomReserves Route ExpireTime TradeNow HandleInst GroupID SharesLocated UserRefIdx 1 Identifies this message as Replace. 2 This must be filled out with the Order UserRefNum sent on the Enter Order Message or last Replace Order Message. 3 The replacement Order UserRefNum must be unique and strictly increasing for each OUCH account. 4 Total number of shares liable, inclusive of previous executions and Self Match Prevention decremented shares on this order chain. Must be greater than zero and less than 1,000,000. 5 The price of the replacement order. Please refer to the section in Data Types for more clarification. 6 Corresponds to TimeInForce (59) in Nasdaq FIX. 0 = Day (Market Hours) 3 = IOC 5 = GTX (Extended Hours) 6 = GTT (ExpireTime needs to be specified) 7 Y = visible N = hidden A = attributable 8 Y = eligible N = not eligible 9 Customer order identifier for replacement order. 10 The length of the remaining Optional Appendage field. 11 The available options supported on this message are: MinQty MaxFloor PriceType PostOnly ExpireTime TradeNow HandleInst RandomReserves PegOffset DiscretionPrice DiscretionPriceType DiscretionOffset CustomerType GroupID SharesLocated UserRefIdx The Replace Order Message allows you to alter most of the attributes of an order in a single message. This is more efficient than canceling an existing order and immediately succeeding it with a new order. Replacing an order always gives it a new timestamp for its time priority on the book. If you wish you simply partially cancel an order and retain its time priority, send a Cancel Order Message instead. There are two Order UserRefNums in the Replace Order Message. The first must be filled out with the Order UserRefNum of the existing order; the second must be a new Order UserRefNum for the replacement. The replacement Order UserRefNum must be unique in the same way as Order UserRefNums are in the Enter Order Message, and replacement Order UserRefNums may not be the same as the UserRefNum sent in Enter Order Messages. Any replacement Order UserRefNum that has already been used in another Enter Order Message or Replace Order Message will be ignored. NASDAQ may respond to the Replace Order Message in several ways: 1. If the order for the existing Order UserRefNum is no longer live or if the replacement Order UserRefNum was already used, the replacement will be silently ignored. The replacement Order UserRefNum will not be consumed and may be reused in this case. 2. If the order for the existing Order UserRefNum is live but the details of the replace are invalid (e.g.: new Shares >= 1,000,000), a Cancel Order Message will take the existing order out of the book. The replacement Order UserRefNum will not be consumed, and may be reused in this case. 3. If the order for the existing Order UserRefNum is live but the existing order cannot be canceled (e.g. the existing Order is a cross order in the late period), there will be an Order Reject Message. This reject message denotes that no change has occurred to the existing order; the existing order remains fully intact with its original instructions. The Order Reject Message consumes the replacement Order UserRefNum, so the replacement Order UserRefNum may not be reused. 4. If the order for the existing Order UserRefNum is live and can be replaced, you will receive either a Replaced Message or an Atomically Replaced and Canceled Message. Replace Order Messages may be chained together, so that a single order is replaced over and over again. There is no limit to the number of replaces; however no single order/replace chain may execute more than 999,999 shares cumulatively. The Shares on the replace denote the total number of shares liable for the whole chain. Here is an example: * Enter Order Message for 500 shares * Accepted Message for 500 shares * Executed Message for 100 shares At this point, you decide to replace the order. If you want to be exposed for * the remaining 400 shares, send the Replace Order Message with 500 Shares. This 500 equals the 400 exposed plus the 100 previously executed. * a new 500 shares, send the Replace Order Message with 600 Shares. This 600 equals the 500 new shares plus the 100 previously executed. This may seem a bit confusing at first, but it inhibits the risk of double-liability throughout the order/replace chain. 1 Cancel Order Message. 2 The Order UserRefNum as was originally transmitted in an Enter Order Message. 3 This is the new intended order size. This limits the maximum number of shares that can potentially be executed in total after the cancel is applied. Entering a zero here will cancel any remaining open shares on this order. 4 The length of the remaining Optional Appendage field. 5 The available options supported on this message are: UserRefIdx The Cancel Order Message is used to request that an order be canceled or reduced. In the Cancel Order Message, you must specify the new "intended order size" for the order. The "intended order size" is the maximum number of shares that can be executed in total after the cancel is applied. To cancel the entire balance of an order, you would enter a Cancel Order Message with a Shares field of zero. Note that the only acknowledgement to a Cancel Order Message is the resulting Canceled Order Message. There is no “too late to cancel” message since by the time you received it, you would already have gotten the execution. Superfluous Cancel Order Messages are silently ignored. 1 Modify Order Message. 2 The Order UserRefNum as was originally transmitted in an Enter Order Message. 3 The new side to be associated with the order. B = buy S = sell T = sell short E = sell short exempt Only the following modifications are allowed: S <-> E S <-> T E <-> T 4 This is the new intended order size. This limits the maximum number of shares that can potentially be executed in total after the cancel is applied. Entering a zero here will cancel any remaining open shares on this order. 5 The length of the remaining Optional Appendage field. 6 The available options supported on this message are: UserRefIdx The Modify Order Message is used to request modifications that will not affect order priority on the book. Since priority of the order does not change (exception noted), allowed modifications are restricted to only the ones specified in the message details below. Increasing share amount is not allowed and requests to do so will be ignored. 1 Identifies this message as a Mass Cancel Request message type. 2 User Reference Numbers must be day-unique and strictly increasing for each Order Port. 3 This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. 4 **Presence = Optional**Optional, Space filled if not specified Symbol to mass cancel orders on. 5 Length of entire optional appendage. Zero (0) if no appendage follows. 6 The available options supported on this message are: Side GroupID UserRefIdx The Mass Cancel Request message allows firms to initiate the cancellation of one or more orders that are currently booked at the exchange if they match the criteria specified in the request. If no optional criteria are specified then all orders for the specified firm on the account will be cancelled. Optional criteria can be specified in the Appendage field using the tags described below. 1 Identifies this message as a Disable Order Entry Request message type. 2 User Reference Numbers must be day-unique and strictly increasing for each Order Port. 3 This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. 4 The length of the remaining Optional Appendage field. 5 The available options supported on this message are: UserRefIdx The Disable Order Entry Request allows firms the ability to initiate the following requests to block submissions of new orders on a particular account. 1 Identifies this message as a Enable Order Entry Request message type. 2 User Reference Numbers must be day-unique and strictly increasing for each Order Port. 3 This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. 4 The length of the remaining Optional Appendage field. 5 The available options supported on this message are: UserRefIdx The Enable Order Entry Request allows firms the ability to initiate the following requests to unblock submission of new orders on a particular account. 1 Account Query Request Message. 2 The length of the remaining Optional Appendage field. 3 The available options supported on this message are: UserRefIdx The Account Query Request message can be used when recovering state to request the next available UserRefNum that can be used for identifying new transactions. 1 System Event Message. 2 Expressed as nanoseconds since midnight. 3 **S = Start Of Day**, indicating that exchange is open and is ready to accept orders. **E = End Of Day**, indicating that the exchange is closed and will no longer accept new orders. Note that it is still possible to receive breaks and cancels after this event. System Event Messages signal events that affect the entire NASDAQ system. 1 Accepted Message Identifier. 2 Expressed as nanoseconds since midnight. 3 The order UserRefNum as entered. 4 The side as entered. 5 Total number of shares accepted. 6 Stock symbol as entered. 7 The accepted price of the order. Please note that the accepted price could potentially be different than the entered price if the order was re-priced by the exchange on entry. The accepted price will always be better than or equal to the entered price. 8 The accepted Time in Force of the order. Please note that the accepted Time in Force may potentially be different than the entered Time in Force. The accepted Time in Force will always be equal to or shorter in scope than the entered Time in Force. 9 Y = visible N = hidden A = attributable Z = conformant 10 The day-unique Order Reference Number assigned by NASDAQ to this order. 11 The capacity specified on the order. 12 Y = eligible N = not eligible 13 The cross type as entered. 14 L = Order Live D = Order Dead 15 Customer order identifier. 16 The length of the remaining Optional Appendage field. 17 The available options supported on this message are: Firm MinQty CustomerType MaxFloor PriceType PegOffset Discretion DiscretionPrice DiscretionPegType DiscretionPegOffset PostOnly RandomReserves Route ExpireTime TradeNow HandleInst BBOWeightIndicator GroupID SharesLocated UserRefIdx This message acknowledges the receipt and acceptance of a valid Enter Order Message. The data fields from the Enter Order Message are echoed back in this message. Note that the accepted values may differ from the entered values for some fields. Accepted Messages normally come before any Executed Messages or Canceled Messages for an order. However, when the Order State field of an Accepted Message is Order Dead (“D”), no additional messages will be received for that order, as Order Dead means that the order was accepted and automatically canceled. 1 Replaced Message Identifier. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order being replaced. 3 The UserRefNum of the replacement order, as entered. 4 The side indicator as entered on the original order in the chain. 5 Total number of shares outstanding. 6 Stock symbol as entered. 7 The accepted price of the replacement. Please note that the accepted price could potentially be different than the entered price if the order was re-priced by NASDAQ on entry. The accepted price will always be better than or equal to the entered. 8 The accepted Time in Force of the replacement. Please note that the accepted Time in Force may potentially be different than the entered Time in Force. The accepted Time in Force will always be equal to or shorter in scope than the entered Time in Force. 9 The accepted display type for the order. Y = visible N = hidden A = attributable Z = conformant 10 The day-unique Order Reference Number assigned by NASDAQ to this order. 11 The capacity specified on the order. 12 Y = eligible N = not eligible 13 The cross type as entered. 14 L = Order Live D = Order Dead 15 Customer order identifier for replacement order. 16 The length of the remaining Optional Appendage field. 17 The available options supported on this message are: Firm MinQty MaxFloor PriceType PostOnly ExpireTime TradeNow HandleInst BBOWeightIndicator UserRefIdx This message acknowledges the receipt and acceptance of a valid Replace Order Message. The data fields from the Replace Order Message are echoed back in this message. Note that the accepted values may differ from the entered values for some fields. You will receive one and only one of these two for each replacement. Like Accepted Messages, Replaced Messages use the Order State field to denote that a replace was accepted and then automatically canceled when the Order State is Order Dead (“D”). No further Executed Messages nor Canceled Messages will be received for the replaced order unless the Order State is not Order Dead. The Shares field on the replace indicates how many shares were left exposed when the replacement completed. E.g.: * Enter Order Message for 500 shares * Accepted Message for 500 shares * Executed Messages for 100 shares * Replace Order Message for 500 shares * Replaced Messages with 400 shares The 400 shares in the Replace Message indicate that 400 shares exist on the book. This same scenario could happen if the execution was in flight back to you while the Replace Order Message was traveling to NASDAQ as follows: * Enter Order Message for 500 shares * Accepted Message for 500 shares * Replace Order Message for 500 shares * Executed Messages for 100 shares on original order * Replaced Messages with 400 shares 1 Canceled Order Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order being (partially) canceled. 4 The number of shares being decremented from the order. This number is incremental, not cumulative. 5 Reason the order was reduced or canceled. 6 The length of the remaining Optional Appendage field. 7 The available options supported on this message are: UserRefIdx A Canceled Message informs you that an order has been reduced or canceled. This could be acknowledging a Cancel Order Message, or it could be the result of the order timing out or being canceled automatically. Please note that a Canceled Message does not necessarily mean the entire order is dead; some portion of the order may still be alive. 1 Canceled Order Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order being reduced. 4 The number of shares just decremented from the order. This number is incremental, not cumulative. 5 Reason the order was reduced or canceled. For an AIQ Cancel message, this value will always be “Q”. 6 Shares that would have executed if the trade would have occurred. Depending on AIQ type and the sizes of orders in question the value for this field could either be the same or different than the Decrement Shares field. For “Decrement both” they are always the same. For “Cancel oldest” they will be different if the incoming order is smaller than the resting order. 7 Price at which the trade would have occurred. 8 Liquidity flag the order would have received. 9 AIQ strategy used on the cancelled order. 10 The length of the remaining Optional Appendage field. 11 The available options supported on this message are: UserRefIdx 1 Order Executed Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order being executed. 4 The incremental number of shares just executed. 5 The price at which the shares were executed. 6 Liquidity flag the order would have received. 7 Assigned by the exchange to identify the trade. Both the buy and the sell executions participating in the trade will share the same match number. 8 The length of the remaining Optional Appendage field. 9 **Field is missing from the PDF spec** The available options supported on this message are: UserRefIdx An Executed Order Message informs you that all or part of an order has been executed. 1 Broken Trade Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order whose execution corresponding to given Match Number is being broken. 4 Match Number as transmitted in the Executed Order Message being broken. 5 The reason the trade was broken. The values currently supported are: E = Erroneous (trade deemed clearly erroneous) C = Consent (both parties agreed to break the trade) S = Supervisory (manually broken by supervisory) X = External (trade broken by an external third party) 6 Customer order identifier. 7 The length of the remaining Optional Appendage field. 8 The available options supported on this message are: UserRefIdx A Broken Trade Message informs you that an execution has been broken. The trade is no longer good and will not clear. The reason for the break is given. You will always get an Executed Order Message prior to getting a Broken Trade Message for a given execution. 1 Rejected Order Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order being rejected. 4 The reason the order was rejected. 5 Customer order identifier for order being rejected. 6 The length of the remaining Optional Appendage field. 7 The available options supported on this message are: UserRefIdx A Rejected Message may be sent in response to an Enter Order Message or Replace Order Message if the order or replace cannot be accepted at this time. The reason for the rejection is given. The Order UserRefNum of a Rejected Message cannot be re-used. 1 Cancel Pending Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order suffering the pending cancel. 4 The length of the remaining Optional Appendage field. 5 The available options supported on this message are: UserRefIdx A Cancel Pending Message is sent in response to a cancel request for a cross order during a pre-cross late period signifying that it cannot be canceled at this time, but any unexecuted portion of this order will automatically be canceled immediately after the cross completes. This message will only be sent once for a given UserRefNum. Duplicate cancel requests for the same UserRefNum will be ignored by OUCH. 1 Cancel Reject Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order that was cancel-rejected. 4 The length of the remaining Optional Appendage field. 5 The available options supported on this message are: UserRefIdx A Cancel Reject Message is sent in response to a partial cancel request (with non-zero “intended order size”) for a cross order during a pre-cross late period signifying that it cannot be partially canceled at this time. No automatic cancel will be scheduled for this order. Clients could repeat their request for any unexecuted portion of the order after the cross completes. This message will only be sent once for a given UserRefNum. Duplicate cancel requests for the same UserRefNum will be ignored by OUCH. 1 Order Priority Update Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order whose priority was updated. 4 The limit price of the order. 5 The new display for the order. Y = Anonymous - Price to Comply 6 The day-unique Order Reference Number assigned by NASDAQ to this order. As a result of the updated priority, a new order reference number will be assigned. 7 The length of the remaining Optional Appendage field. 8 The available options supported on this message are: UserRefIdx A Priority Update Message is sent whenever priority of the order has been changed by the system. 1 Order Modified Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order that was modified. 4 The side as entered in the Order Modify Request. 5 Total number of shares outstanding. 6 The length of the remaining Optional Appendage field. 7 The available options supported on this message are: UserRefIdx An Order Modified Message is sent in response to an order modify request. 1 Order Restated Message. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum of the order being restated. 4 The reason for this order being restated. R = Refresh of display (on an order with reserves) P = Update of displayed price 5 The length of the remaining Optional Appendage field. 6 The available options supported on this message are: DisplayQuantity DisplayPrice SecondaryOrdRefNum UserRefIdx The Order Restated Message is sent to indicate that the system has modified an order as part of its order management. 1 Identifies this message as a Mass Cancel Request message type. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum from the inbound message. 4 This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. 5 **Presence = Optional**Optional, Space filled if not specified. Symbol to mass cancel orders on. 6 Length of entire optional appendage. Zero (0) if no appendage follows. 7 The available options supported on this message are: Side GroupID UserRefIdx This message acknowledges the receipt of a valid Mass Cancel Request message. The data fields from the Mass Cancel Request message are echoed back in this message. 1 Identifies this message as a Disable Order Entry Request message type. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum from the inbound message. 4 This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. 6 The length of the remaining Optional Appendage field. 7 The available options supported on this message are: UserRefIdx This message acknowledges the receipt of the Disable Order Entry Request message. The data fields from the Enter Order Message are echoed back in this message. 1 Identifies this message as a Disable Order Entry Request message type. 2 Expressed as nanoseconds since midnight. 3 The UserRefNum from the inbound message. 4 This field should contain all caps. Firm identifier for the order entry firm. One logical OUCH account can potentially enter orders for multiple firms in a Service Bureau configuration. 6 The length of the remaining Optional Appendage field. 7 The available options supported on this message are: UserRefIdx This message acknowledges the receipt of the Enable Order Entry Request message. The data fields from the Enable Order Entry Request message are echoed back in this message. 1 Account Query Response Message. 2 Expressed as nanoseconds since midnight. 3 The next available UserRefNum. 4 The length of the remaining Optional Appendage field. 5 The available options supported on this message are: UserRefIdx The Account Query Response message in sent in response to an Account Query Request to indicate the next available UserRefNum that can be used to identify new transactions.