New Order, Combined Order/Route, Execution and Combined Order/Execution Reports

July 9, 2004

 

Below are the order report formats for the New Order Report, Execution Report, Combined Order/Route Report and Combined Order/Execution Report, which will be effective in the OATS Testing environment on September 20, 2004 and in the OATS Production environment on October 4, 2004. Further details will be forthcoming in the OATS Reporting Technical Specifications. If you have any questions regarding the order report formats or on OATS in general, please contact the OATS Helpdesk at 1-800-321-NASD.

 

New Order Report

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M ‘#OE#’—identifies an order event record. Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M ‘NW’—identifies the order event record type as a new order. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values: ‘N,’ ‘C,’ ‘D,’,or ‘R’. Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter.
5 Correction/ Deletion Timestamp Numeric (14) C Required if the Action Type Code is ‘C,’ ‘D,’ or ‘R.’ Format: YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been rejected by OATS and has been corrected for resubmission. Value: ‘Y’. Case sensitive, must be a capital letter.
7 Order Receiving Firm MPID Alphanumeric(4) C Must be supplied if the MPID in effect on the Order Received Date is different from the MPID in the Header Record. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format: YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter. Must be unique for the firm within the Order Received Date.
10 Routing Firm MPID Alphanumeric (4) C Required if a wholesale order is received from another member firm. ECNs are required to include this value for all orders received from NASD members. Must be a valid MPID for the Order Received Timestamp. Required if the Account Type Code is ‘W’, and the Member Type Code is ‘C’ or ‘M’. If the Account Type Code is ‘W’ and the Member Type Code is ‘N’, this field must contain a non-member firm MPID for the Order Received Timestamp or must be blank. If the Member Type Code is ‘M’ and the Account Type Code is ‘P’, this field must be blank. Case sensitive, must be capital letters.
11 Routed Order ID Alphanumeric (20) C Required if the order received is an electronic wholesale order from a member firm. Not required if the order is received by an ECN, a non-member firm, or if the order is a non-electronic order. Values: Any alphanumeric not containing a delimiter. Required when the Account Type Code is ‘W’, the Received Method Code is ‘E’, and the Member Type Code is ‘M’. If the Member Type Code is ‘M’ and the Account Type Code is ‘P’, this field must be blank. 
12 Order Received Timestamp Numeric (14) M Format: YYYYMMDDHHMMSS.‡
13 Received Method Code Alphanumeric (1) M Values: ‘E’ (Electronic), ‘N’ (Non-Electronic). Case sensitive, must be a capital letter.
14 Issue Symbol ID Alphanumeric (14 ) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Order Received Date. Case sensitive, must be capital letters.
15 Buy/Sell Code Alphanumeric (2) M Values: ‘B,’ ‘SL,’ ‘SS,’ or ‘SX.’ ECNs are not required to differentiate between Short Sale Exempt ('SX') and Short Sale ('SS') when reporting a Sell order. Case sensitive, must be capital letters.
16 Shares Quantity Numeric (9) M For reserved size orders, must be the sum of displayed size and reserved size. Values are any integer greater than zero.
17 Limit Price Numeric (18,8) C If entered, must be greater than 0.If entered, a Time in Force Code must be provided.
18 Limit Order Display Indicator Alphanumeric (1) C For Non-ECNs, must exist if either a Limit Price, or a Limit Price and a Stop Price, is provided. Not mandatory for orders received by an ECN. Values are ‘Y’ or ‘N.’ Case sensitive, must be a capital letter.
19 Stop Price Numeric (18,8) C If entered, a Time in Force Code must be provided.
20 Time in Force Code Alphanumeric (3) C Values: ‘DAY,’ ‘GTD,’ ‘GTT,’ ‘GTC,’or ‘GTM.’ blank is interpreted by OATS as a market order. Case sensitive, must be capital letters.
21 Expiration Date Date (8) C Required if the Time in Force is ‘GTD.’ If the Time in Force Code is ‘DAY,’ an Expiration Date, if entered, must be equal to or one day greater than the Order Received Date. If the Time in Force code is ‘GTM’ the expiration date will be derived by OATS as the last business day of the month. Format: YYYYMMDD.
22 Expiration Time Numeric (6) C Required if the Time in Force is ‘GTT.’ The format is HHMMSS. Must be greater than the time in the Order Received Timestamp.
23 Do Not Reduce/Do Not Increase Code Alphanumeric (3) C Values: ‘DNR’, ‘DNI’, or ‘DIR.’ Case sensitive, must be capital letters.
24 First Special Handling Code Alphanumeric (3) C Values: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’,‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. NOTE: Any other special handling codes should not be reported to OATS. Case sensitive, must be capital letters.
25 Second Special Handling Code Alphanumeric (3) C Values: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
26 Third Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
27 Fourth Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
28 Fifth Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’.Case sensitive, must be capital letters.
29 Receiving Terminal ID Alphanumeric (12) C Either the Receiving Terminal ID or the Receiving Department ID must be provided when an order received directly from a customer is captured electronically. Not required for ECNs or non-electronic orders. Format: Any alphanumeric not containing a delimiter.
30 Receiving Department ID Alphanumeric (12) C Either the Receiving Terminal ID or the Receiving Department ID must be provided when an order received directly from a customer is captured electronically. Not required for ECNs or non-electronic orders. Values: Any alphanumeric not containing a delimiter.
31 Originating Department ID Alphanumeric (12) C Must be provided when an Account Type Code value exists and is ‘P.’ Not required for ECNs or non-electronic orders. Values: Any alphanumeric not containing a delimiter.*
32 Account Type Code Alphanumeric (1) C Required if an electronic order submitted by a non-ECN. Values: 'R' (Retail), 'W' (Wholesale), 'P' (Proprietary), 'E' (Employee), or 'C' (Combined). If an order is an electronic order and is submitted by an ECN, this must be blank or a valid value. 'W' may be used for orders received from both NASD member and non-member broker/dealers. Case sensitive, must be a capital letter.
33 Program Trading Code Alphanumeric (1) M Values: ‘Y’, ‘N’, or ‘X’. ECNs are not required to report this information under the Rules; therefore, they may always provide a value of ‘X’ (unknown). Case sensitive, must be a capital letter.
34 Arbitrage Code Alphanumeric (1) M Values: ‘Y’, ‘N’, ‘X’. ECNs are not required to report this information under the Rules; therefore, they may always provide a value of ‘X’ (unknown). Case sensitive, must be a capital letter.
35 Member Type Code Alphanumeric (1) M Values: ‘C’ (ECN), ‘M’ (Member Firm), ‘N’ (Non-Member Firm). Case sensitive, must be a capital letter.
36 ECN Flag Alphanumeric (1) C Required if the submitting organization is an ECN. Valid value is ‘Y’. Case sensitive, must be a capital letter.
37 Order Cancel Timestamp Numeric (14) C Format:YYYYMMDDHHMMSS. As of 11/1/04, required for orders fully canceled within 60 seconds of order receipt. As of 12/1/04, required for orders fully canceled on the same day the order was received.
38 Canceled by Flag Alphanumeric (1) C Values are: ‘C’ or ‘F’. Case sensitive, must be a capital letter. As of 11/1/04, required for orders fully canceled within 60 seconds of order receipt. As of 12/1/04, required for orders fully canceled on the same day the order was received.  
39 End of Record Marker (1 or 2) M Values: LF (Line Feed) or CR/LF (Carriage Return/Line Feed).

 

Execution Report

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M ‘#OE#’ Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M ‘EX’ is the value for this report. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values are: ‘N,’ ‘C,’ ‘D,’ or ‘R.’ Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Any alphanumeric not containing a delimiter.
5 Correction/ Deletion Timestamp Numeric (14) C Required if the Action Type Code is ‘C,’ ‘D,’ or ‘R.’ The format is YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been Rejected by OATS and has been corrected for resubmission. Value is: ‘Y’. Case sensitive, must be a capital letter.
7 Order Receiving Firm MPID Alphanumeric (4) C Must be supplied if the MPID in effect on the Execution Date is different from the MPID in the Header Record. Must be a valid MPID for the Execution Date. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter.
10 Execution Timestamp Numeric (14) M The format is YYYYMMDDHHMMSS.
11 Branch/Sequence Number Alphanumeric (8) C Must be provided when a trade is reported to ACT or TRACS. Not required if a Reporting Exception Code value or a Market Center ID of A, B, C, M, P, or X is supplied.
12 Execution Quantity Numeric (9) M The number of shares executed. Values are any integer greater than zero.
13 Trader Terminal ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter. Required for electronic orders that were executed by a trader. Optional for trades made through an automated system without trader intervention.*
14 Reporting Exception Code Alphanumeric (1) C Values: ‘P’, ‘M’, ‘C’, ‘O’, ‘S’, ‘R’, ‘A’. Must be provided if the execution is not required to be reported to ACT or TRACS. Case sensitive, must be a capital letter.
15 Issue Symbol ID Alphanumeric(14) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Execution Date. Case sensitive, must be capital letters.
16 Execution Type Indicator Alphanumeric (1) M Values: ‘F’ or ‘P’. Case sensitive, must be a capital letter.
17 Leaves Quantity Numeric (9) C Must be provided when the Execution Type Indicator value is ‘P.’ If the partial execution reported results in the sum of all executions equaling the order quantity, the value should be zero.
18 Market Center ID Alphanumeric (1) C Values: ‘A’, ‘B’, ‘C’, ‘D’, ‘M’, ‘P’, ‘Q’, or ‘X’. Case sensitive, must be a capital letter.
19 Originating MPID Alphanumeric (4) C Must be provided if this ROE needs to link to a previously submitted ROE with a different Order Receiving Firm MPID. Case sensitive, must be capital letters.
20 Execution Price Numeric (18,8) M Must be the same price that is reported to the applicable transaction reporting association for trade reporting purposes.
21 Capacity Code Alphanumeric (1) M Values: ‘A’, ‘P’, ‘R’. Case sensitive, must be a capital letter.
22 End of Record Marker (1 or 2) M Values: LF (Line Feed) or CR/LF (Carriage Return/Line Feed).

 

Combined Order/Route Report

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M ‘#OE#’—identifies an order event record. Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M ‘OR’—identifies the order event record type as a combined new/routing order. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values: ‘N,’ ‘C,’ ‘D,’,or ‘R.’ Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter.
5 Correction/ Deletion Timestamp Numeric (14) C Required if the Action Type Code is ‘C,’ ‘D,’ or ‘R.’ Format: YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been rejected by OATS and has been corrected for resubmission. Value: ‘Y’. Case sensitive, must be a capital letter.
7 Order Receiving Firm MPID Alphanumeric(4) C Must be supplied if the MPID in effect on the Order Received Date is different from the MPID in the Header Record. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Numeric (14) M Format: YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter. Must be unique for the firm within the Order Received Date.
10 Routing Firm MPID Alphanumeric (4) C Required if a wholesale order is received from another member firm. ECNs are required to include this value for all orders received from NASD members. Must be a valid MPID for the Order Received Timestamp. Required if the Account Type Code is ‘W’, and the Member Type Code is ‘C’ or ‘M’. If the Account Type Code is ‘W’ and the Member Type Code is ‘N’, this field must contain a non-member firm MPID for the Order Received Timestamp or must be blank. If the Member Type Code is ‘M’ and the Account Type Code is ‘P’, this field must be blank. Case sensitive, must be capital letters.
11 Routed Order ID Alphanumeric (20) C Required if the order received is an electronic wholesale order from a member firm. Not required if the order is received by an ECN, a non-member firm, or if the order is a non-electronic order. Values: Any alphanumeric not containing a delimiter. Required when the Account Type Code is ‘W’, the Received Method Code is ‘E’, and the Member Type Code is ‘M’. If the Member Type Code is ‘M’ and the Account Type Code is ‘P’, this field must be blank.
12 Order Received Timestamp Numeric (14) M Format: YYYYMMDDHHMMSS.‡
13 Received Method Code Alphanumeric (1) M Values: ‘E’ (Electronic), ‘N’ (Non-Electronic). Case sensitive, must be a capital letter.
14 Issue Symbol ID Alphanumeric (14 ) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Order Received Date. Case sensitive, must be capital letters.
15 Buy/Sell Code Alphanumeric (2) M Values: ‘B,’ ‘SL,’ ‘SS,’ or ‘SX.’ ECNs are not required to differentiate between Short Sale Exempt ('SX') and Short Sale ('SS') when reporting a Sell order. Case sensitive, must be capital letters.
16 Limit Price Numeric (18,8) C If entered, must be greater than 0. If entered, a Time in Force Code must be provided.
17 Limit Order Display Indicator Alphanumeric (1) C For Non-ECNs, must exist if either a Limit Price, or a Limit Price and a Stop Price, is provided. Not mandatory for orders received by an ECN. Values are ‘Y’ or ‘N.’ Case sensitive, must be a capital letter.
18 Stop Price Numeric (18,8) C If entered, a Time in Force Code must be provided.
19 Time in Force Code Alphanumeric (3) C Values: ‘DAY,’ ‘GTD,’ ‘GTT,’ ‘GTC,’ or ‘GTM.’ Blank is interpreted by OATS as a market order. Case sensitive, must be capital letters.
20 Expiration Date Date (8) C Required if the Time in Force is ‘GTD.’ If the Time in Force Code is ‘DAY,’ an Expiration Date, if entered, must be equal to or one day greater than the Order Received Date. If the Time in Force code is ‘GTM’ the expiration date will be derived by OATS as the last business day of the month. Format: YYYYMMDD.
21 Expiration Time Numeric (6) C Required if the Time in Force is ‘GTT.’ The format is HHMMSS. Must be greater than the time in the Order Received Timestamp.
22 Do Not Reduce/Do Not Increase Code Alphanumeric (3) C Values: ‘DNR’, ‘DNI’, or ‘DIR.’ Case sensitive, must be capital letters.
23 First Special Handling Code Alphanumeric (3) C Values: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’,‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. NOTE: Any other special handling codes should not be reported to OATS. Case sensitive, must be capital letters.
24 Second Special Handling Code Alphanumeric (3) C Values: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
25 Third Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
26 Fourth Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
27 Fifth Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
28 Receiving Terminal ID Alphanumeric (12) C Either the Receiving Terminal ID or the Receiving Department ID must be provided when an order received directly from a customer is captured electronically. Not required for ECNs or non-electronic orders. Format: Any alphanumeric not containing a delimiter.
29 Receiving Department ID Alphanumeric (12) C Either the Receiving Terminal ID or the Receiving Department ID must be provided when an order received directly from a customer is captured electronically. Not required for ECNs or non-electronic orders. Values: Any alphanumeric not containing a delimiter.
30 Originating Department ID Alphanumeric (12) C Must be provided when an Account Type Code value exists and is ‘P.’ Not required for ECNs or non-electronic orders. Values: Any alphanumeric not containing a delimiter.*
31 Account Type Code Alphanumeric (1) C Required if an electronic order submitted by a non-ECN. Values: 'R' (Retail), 'W' (Wholesale), 'P' (Proprietary), 'E' (Employee), or 'C' (Combined). If an order is an electronic order and is submitted by an ECN, this must be blank or a valid value. 'W' may be used for orders received from both NASD member and non-member broker/dealers. Case sensitive, must be a capital letter.
32 Program Trading Code Alphanumeric (1) M Values: ‘Y’, ‘N’, or ‘X’. ECNs are not required to report this information under the Rules; therefore, they may always provide a value of ‘X’ (unknown). Case sensitive, must be a capital letter.
33 Arbitrage Code Alphanumeric (1) M Values: ‘Y’, ‘N’, ‘X’. ECNs are not required to report this information under the Rules; therefore, they may always provide a value of ‘X’ (unknown). Case sensitive, must be a capital letter.
34 Sent To Routed Order ID Alphanumeric (20) C Required if an electronic order is routed to a member firm or Nasdaq execution system. If an order is routed to the same destination within the same second, the Routed Order ID passed to the receiving firm must be different for each route having the same shares quantity. Values: Any alphanumeric not containing a delimiter.
35 Sent to Firm MPID Alphanumeric (4) C Required if the order was routed to a member firm or ECN. Optional if the order was routed to a Nasdaq execution system or to a non-member firm. Must be a valid MPID for the Order Sent Timestamp. Should not be a valid MPID if the order was routed to a non-member firm. Case sensitive, must be capital letters.
36 Order Sent Timestamp Numeric (14) M Format: YYYYMMDDHHMMSS.
37 Routed Shares Quantity Numeric (9) M The number of shares routed. If the order was bunched, this would be the total number of bunched shares routed. Values are any integer greater than zero.
38 Routing Method Code Alphanumeric (1) M Values: ‘E’ (Electronic), ‘N’ (Non-Electronic). Case sensitive, must be a capital letter.
39 Bunched Order Indicator Alphanumeric (1) C Required for orders when the identified order is bunched with other orders and routed to another firm or ECN. Values: Y or blank. Case sensitive, must be a capital letter.
40 Member Type Code Alphanumeric (1) M Values: ‘C’ (ECN), ‘M’ (Member Firm), ‘N’ (Non-Member Firm). Case sensitive, must be a capital letter.
41 Destination Code Alphanumeric (1) M Values: ‘E’ (ECN), ‘L’ (SelectNet), ‘M’ (Member Firm), ‘N’ (Non-Member Firm), ‘P’ (Primex), ‘U’ (SuperMontage), ‘X’ (Exchange). Case sensitive, must be a capital letter.
42 ECN Flag Alphanumeric (1) C Required if the submitting organization is an ECN. Valid value is ‘Y’. Case sensitive, must be a capital letter.
37 Order Cancel Timestamp Numeric (14) C Format: YYYYMMDDHHMMSS. As of 11/1/04, required for orders fully canceled within 60 seconds of order receipt. As of 12/1/04, required for orders fully canceled on the same day the order was received.
38 Canceled by Flag Alphanumeric (1) C Values are: ‘C’ or ‘F’. Case sensitive, must be a capital letter. As of 11/1/04, required for orders fully canceled within 60 seconds of order receipt. As of 12/1/04, required for orders fully canceled on the same day the order was received.
43 End of Record Marker (1 or 2) M Values: LF (Line Feed) or CR/LF (Carriage Return/Line Feed).

 

Combined Order/Execution Report

 

Seq. Name Data Type (Length) M/C Permissible Values and Instructions
1 Record Type Alphanumeric (4) M ‘#OE#’ Case sensitive, must be capital letters.
2 Order Event Type Code Alphanumeric (2) M ‘OE’ is the value for this report. Case sensitive, must be capital letters.
3 Action Type Code Alphanumeric (1) M Values are: ‘N’, ‘C’, ‘D’, or ‘R.” Case sensitive, must be a capital letter.
4 Firm ROE ID Alphanumeric (12) C Any alphanumeric not containing a delimiter.
5 Correction/ Deletion Timestamp Numeric (14) C Required if the Action Type Code is ‘C’ ‘D’ or ‘R’. Format is YYYYMMDDHHMMSS.
6 Rejected ROE Resubmit Flag Alphanumeric (1) C Required when the ROE has been Rejected by OATS and has been corrected for resubmission. Value is: ‘Y’. Case sensitive, must be a capital letter.
7 Order Receiving Firm MPID Alphanumeric (4) C Must be supplied if the MPID in effect on the Order Received Date is different from the MPID in the Header Record. Case sensitive, must be capital letters.
8 Order Receiving Firm Order Received Date Date (14) M Format is YYYYMMDDHHMMSS.
9 Order Receiving Firm Order ID Alphanumeric (20) M Values: Any alphanumeric not containing a delimiter. Must be unique for the firm within the Order Received Date.
10 Routing Firm MPID Alphanumeric (4) C Required if a wholesale order is received from another member firm. ECNs are required to include this value for all orders received from NASD members. Must be a valid MPID for the Order Received Timestamp. Required if the Account Type Code is ‘W’, and the Member Type Code is ‘C’ or ‘M’. If the Account Type Code is ‘W’ and the Member Type Code is ‘N’, this field must contain a non-member firm MPID for the Order Received Timestamp or must be blank. If the Member Type Code is ‘M’ and the Account Type Code is ‘P’, this field must be blank. Case sensitive, must be capital letters.
11 Routed Order ID Alphanumeric (20) C Required if the order received is an electronic wholesale order from a member firm. Not required if the order is received by an ECN, a non-member firm, or if the order is a non-electronic order. Values: Any alphanumeric not containing a delimiter. Required when the Account Type Code is ‘W’, the Received Method Code is ‘E’, and the Member Type Code is ‘M’. If the Member Type Code is ‘M’ and the Account Type Code is ‘P’, this field must be blank.
12 Order Received Timestamp Numeric (14) M The format is YYYYMMDDHHMMSS. If a contemporaneous execution, will be identical to the Execution Timestamp. ‡
13 Received Method Code Alphanumeric (1) M Values: ‘E’ (Electronic), ‘N’ (Non-Electronic). Case sensitive, must be a capital letter.
14 Issue Symbol ID Alphanumeric (14 ) M Must be a symbol for a valid Nasdaq security, including convertible bonds, for the Order Received Date. Case sensitive, must be capital letters.
15 Buy/Sell Code Alphanumeric (2) M Values are: ‘B’, ‘SL’, ‘SS’, or ‘SX’. ECNs are not required to differentiate between Short Sale Exempt ('SX') and Short Sale ('SS') when reporting a Sell order. Case sensitive, must be capital letters.
16 Limit Price Numeric (18,8) C If entered, must be greater than 0. If entered, a Time in Force Code must be provided.
17 Limit Order Display Indicator Alphanumeric (1) C For Non-ECNs, must exist if either a Limit Price, or a Limit Price and a Stop Price, is provided. Not mandatory for orders received by an ECN. Values are ‘Y’ or ‘N’. Case sensitive, must be a capital letter.
18 Stop Price Numeric (18,8) C If entered, a Time in Force Code must be provided.
19 Time in Force Code Alphanumeric (3) C Values are ‘DAY,’ ‘GTD,’ ‘GTT,’ ‘GTC’ or ‘GTM’. A blank is interpreted by OATS as a market order. If the Time in Force code is ‘GTM’ the expiration date will be derived by OATS as the last business day of the month. Case sensitive, must be capital letters.
20 Expiration Date Date (8) C Required if the Time in Force is ‘GTD.’ If the Time in Force Code is ‘DAY,’ an Expiration Date, if entered, must be equal to or one day greater than the Order Received Date. If the Time in Force code is ‘GTM’ the expiration date will be derived by OATS as the last business day of the month. The format is YYYYMMDD.
21 Expiration Time Numeric (6) C Required if the Time in Force is ‘GTT.’ The format is HHMMSS. Must be greater than the time in the Order Received Timestamp.
22 Do Not Reduce/Do Not Increase Code Alphanumeric (3) C Values are: ‘DNR’, ‘DNI’, or ‘DIR’. Case sensitive, must be capital letters.
23 First Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. NOTE: Any other special handling codes should not be reported to OATS. Case sensitive, must be capital letters.
24 Second Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’,‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
25 Third Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’ ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
26 Fourth Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
27 Fifth Special Handling Code Alphanumeric (3) C Values are: ‘FOK’, ‘AON’, ‘NH’, ‘IOC’, ‘MAO’, ‘LOC’, ‘MAC’, ‘MOO’, ‘MOC’, ‘OVD’, ‘SCL’, ‘WRK’, ‘PEG’, ‘MQT’, ‘TS’, ‘RSV’, ‘IO’, ‘LOO’, ‘E.W’, or ‘S.W’. Case sensitive, must be capital letters.
28 Receiving Terminal ID Alphanumeric (12) C Either the Receiving Terminal ID or the Receiving Department ID must be provided when an order received directly from a customer is captured electronically. Not required for ECNs or non-electronic orders. Values: Any alphanumeric not containing a delimiter.
29 Receiving Department ID Alphanumeric (12) C Either the Receiving Terminal ID or the Receiving Department ID must be provided when an order received directly from a customer is captured electronically. Values: Any alphanumeric not containing a delimiter.
30 Originating Department ID Alphanumeric (12) C Must be provided when an Account Type Code value exists and is ‘P’. Not required for ECNs or non-electronic orders. Values: Any alphanumeric not containing a delimiter.*
31 Account Type Code Alphanumeric (1) C Required if an electronic order submitted by a non-ECN. Values: 'R' (Retail), 'W' (Wholesale), 'P' (Proprietary), 'E' (Employee), or 'C' (Combined). If an order is an electronic order and is submitted by an ECN, this must be blank or a valid value. 'W' may be used for orders received from both NASD member and non-member broker/dealers. Case sensitive, must be a capital letter.
32 Program Trading Code Alphanumeric (1) M Values are: ‘Y’, ‘N’, or ‘X’. ECNs are not required to report this information under the Rules; therefore, they may always provide a value of ‘X’ (unknown). Case sensitive, must be a capital letter.
33 Arbitrage Code Alphanumeric (1) M Values are: ‘Y’, ‘N’, ‘X’. ECNs are not required to report this information under the Rules; therefore, they may always provide a value of ‘X’ (unknown). Case sensitive, must be a capital letter.
34 Execution Timestamp Numeric (14) M The format is YYYYMMDDHHMMSS. If a contemporaneous execution, will be identical to the Order Received Timestamp.
35 Branch/
Sequence Number
Alphanumeric (8) C Must be provided when a trade is reported to ACT or TRACS. Not required if a Reporting Exception Code value or a Market Center ID of A, B, C, M, P, or X is supplied.
36 Execution Quantity Numeric (9) M The number of shares executed. Values are any integer greater than zero.
37 Trader Terminal ID Alphanumeric (12) C Values: Any alphanumeric not containing a delimiter. Required for electronic orders that were executed by a trader. Optional for trades made through an automated system without trader intervention.*
38 Reporting Exception Code Alphanumeric (1) C Values: ‘P’, ‘M’, ‘C’, ‘O’, ‘S’, ‘R’, ‘A’. Must be provided if the execution is not required to be reported to ACT or TRACS.
39 Market Center ID Alphanumeric (1) C Values: ‘A’, ‘B’, ‘C’, ‘D’, ‘M’, ‘P’, ‘Q’, or ‘X’. Case sensitive, must be a capital letter.
40 Member Type Code Alphanumeric (1) M Values: ‘C’ (ECN), ‘M’ (Member Firm), ‘N’ (Non-Member Firm). Case sensitive, must be a capital letter.
41 ECN Flag Alphanumeric (1) C Required if the submitting organization is an ECN. Valid value is ‘Y’. Case sensitive, must be a capital letter.
42 Execution Price Numeric (18,8) M Must be the same price that is reported to the applicable transaction reporting association for trade reporting purposes.
43 Capacity Code Alphanumeric (1) M Values: ‘A’, ‘P’, ‘R’. Case sensitive, must be a capital letter.
44 End of Record Marker (1 or 2) M Values: LF (Line Feed), or CR/LF (Carriage Return/Line Feed)
Last Updated: 7/9/2004