FINRA Guidance on Linking Market Maker Transaction Data

As described in the FINRA Tick Size Pilot Program Market Maker Transaction Reporting Specifications, FINRA will attempt to link each trade record that was routed away for execution to the corresponding OATS or exchange order. This report provides guidance on the fields used in the linkage process and the specific criteria FINRA will use to identify links between the Market Maker Transaction Data record and the corresponding OATS or exchange record.

Guidance on Fields Used in Linkage

As described in Section 4.2.2 in the FINRA Tick Size Pilot Program Market Maker Transaction Reporting Specifications, FINRA will use the following fields to link trade records that were submitted with a Trading Center Type of "R" (routed away for execution) to the related OATS new order event submitted by the receiving FINRA member or the related exchange order.

  • Trade Date or Order Sent Date, if different than Trade Date
  • Exchange Code or Sent to Firm MPID
  • Order Entry Firm Identifier
  • Issue Symbol ID
  • Routed Order ID
  • Connection ID

The following describes each field required for Market Maker Transaction linkage:

Trade Date or Order Sent Date

The date the trade was executed. If the corresponding order was routed on a date prior to the Trade Date, FINRA will use the Order Sent Date.

Exchange Code or Sent to Firm MPID

For orders routed to a U.S. exchange, the Market Maker must report the Exchange Code of the exchange to which the order was routed. For orders routed to a FINRA member broker-dealer, the Market Maker must report the MPID of the broker-dealer to whom the order was routed. For orders routed to a US non-FINRA member, the Market Maker must report an SRO assigned identifier that represents the US non-member. For orders routed to a foreign broker-dealer, the Market Maker must report a value of "F".

If the order was routed to an Exchange, the Sent to Firm MPID should be left blank. And, if the order was routed to a broker-dealer, the Exchange Code field should be left blank.

Order Entry Firm Identifier

For orders routed to an exchange, the Market Maker must report the unique participant identifier assigned to the Market Maker by the exchange. If a Market Maker has multiple participant identifiers that it uses to enter orders into a single exchange, the firm must report the same identifier used to route the order to the exchange. For orders routed to another broker-dealer, the Market Maker must report the market participant identifier that was passed to the receiving broker-dealer.

Issue Symbol ID

Market Makers must report the symbol in the format of the primary listing exchange.

Routed Order ID

The corresponding trade's order identifier used when routing to another broker-dealer or an exchange. Market Makers should be aware of any broker-dealer or exchange requirements on special characters. FINRA will remove any leading spaces or zeroes when linking between the Market Maker record and the corresponding broker-dealer or exchange order.

Connection ID

The Connection ID field is an optional field that Market Makers may use to augment the Routed Order ID, if necessary, to guarantee uniqueness of the Routed Order ID at the order level. If populated, will be used in the matching criteria for routes to an exchange.

Linkage Criteria for Routes to a FINRA member

FINRA will attempt to link Market Maker transactions to OATS New Type order reports (NW, OR, CR, OE) when the Trading Center Code = 'R' and the Sent to Firm MPID is populated with an MPID assigned to a FINRA member.

Market Maker Transaction Data Record Field OATS New Type Order Report

Trade Date or Order Sent Date, if different than Trade Date

Order Received Timestamp (Date Portion only)

Sent to Firm MPID

Order Receiving Firm MPID

Order Entry Firm Identifier

Routing Firm MPID

Routed Order ID

Routed Order ID

Issue Symbol ID

Issue Symbol ID

Linking Criteria for Exchange Trades:

FINRA will attempt to link Market Maker transactions to U.S. exchange orders when the Trading Center Code = 'R' and the Exchange Code is populated. The tables below contain a field-by-field mapping for each exchange to which FINRA will link.

Linking to BATS BYX, BATS BZX, EDGA and EDGX Exchanges

The below matrix describes the specific fields FINRA will use to link to the BATS BYX Exchange (Exchange Code 'Y'), BATS BZX Exchange (Exchange Code 'Z'), EDGA Exchange (Exchange Code 'J'), or EDGX Exchange (Exchange Code 'K'):

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date

Order Entry Firm Identifier

Clearing Firm (Tag 439)

  • FIX Users (except Service Bureau)

OnBehalfofCompId (Tag 115)

  • FIX Users (Service Bureau)

ClearingFirm

  • BATS BOE Users

Routed Order ID

CIOrdID (Tag 11)

  • FIX Users

CIOrdID

  • BATS BOE Users

Issue Symbol ID

Symbol

Connection ID

senderSubId (Tag 50)

  • FIX Users

sessionSubId

  • BATS BOE Users

Linking to The NASDAQ Stock Market, NASDAQ OMX BX and NASDAQ OMX PSX

The below matrix describes the specific fields FINRA will use to link to The NASDAQ Stock Market (Exchange Code of 'Q'), NASDAQ OMX BX (Exchange Code of 'B') and NASDAQ OMX PSX (Exchange Code of 'X'):

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date

Order Entry Firm Identifier

Market Participant Identifier (MPID)

Routed Order ID

CIOrdID (Tag 11)

  • FIX Users

Order Token/Client Order ID

  • RASHport Users

Order Token

  • DROP Users
  • OUCH Users

User Order ID

  • QIX Users

UID

  • CTCI Users

Issue Symbol ID

Symbol

  • FIX Users

Stock

  • DROP Users
  • OUCH

Stock Symbol

  • RASHport

Connection ID

SenderCompID (Tag 49)

  • FIX Users

OUCHAcct

  • NASDAQ INET OUCH

QIXAcct

  • NASDAQ QIX

RASHAcct

  • RASHPort

Source

  • OUCH Drop

Deliver ToSubID (Tag 128)

  • FIX/RASH Drop

Linking to the New York Stock Exchange

The below matrix describes the specific fields FINRA will use to link to the New York Stock Exchange (Exchange Code of 'N'):

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date

Order Entry Firm Identifier

Entering Firm Trading Mnemonic

  • The New York Stock Exchange

Routed Order ID

CIOrdID (Tag 11)

  • NYSE FIX Users

ClientOrderID

  • NYSE UTP Direct Users

Issue Symbol ID

Symbol

  • NYSE UTP Direct Users
  • NYSE FIX Users

Connection ID

SenderCompID (Tag 49)

  • NYSE FIX Users
  • NYSE UTP Direct Users

Linking to the NYSE American1 and NYSE Arca2

The below matrix describes the specific fields FINRA will use to link to the NYSE American (Exchange Code of ‘A’) and NYSE Arca (Exchange Code of ‘P’) upon migration to the NYSE Pillar gateways:

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date
Order Entry Firm Identifier Firm Identifier - MPID
Routed Order ID

CIOrdID (Tag 11)

  • FIX Users
Issue Symbol ID Symbol
Connection ID

SenderCompID 

  • FIX Users

Linking to NYSE Arca and NYSE MKT3 prior to the migration to the NYSE Pillar Gateway:

Firms will be required to migrate to the NYSE Pillar gateway as per the schedule provided on the below website: https://www.nyse.com/pillar . The below matrix describes the specific fields FINRA will use to link the market maker transaction record to the related order, prior to migration to the NYSE Pillar gateway,

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date
Order Entry Firm Identifier

Equity Trading Permit ID (ETPID)

  • NYSE Arca

Entering Firm Trading Mnemonic

  • NYSE MKT
Routed Order ID

CIOrdID (Tag 11)

  • Arca FIX Users
  • NYSE FIX Users

ClientOrderID

  • NYSE UTP Direct Users

Client Order ID

  • Arca Direct Users
Issue Symbol ID

Symbol

  • Arca FIX Users
  • NYSE UTP Direct Users
  • Arca Direct Users
  • NYSE FIX Users
Connection ID

SenderCompID (Tag 49)

  • FIX Users

Login ID

  • ARCA Direct GCCD

Linking to Investors Exchange

The below matrix describes the specific fields FINRA will use to link to IEX (Exchange Code of 'V'):

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date
Order Entry Firm Identifier

OnBehalfOfCompID (Tag 115)

  • FIX Users (Service Bureau)

SenderCompID (Tag 49)

  • FIX Users (except Service Bureau)
Routed Order ID

ClOrdID (Tag 11)

  • FIX Users
Issue Symbol ID Symbol
Connection ID

SenderCompID (Tag 49)

  • FIX Users

Linking to Chicago Stock Exchange

The below matrix describes the specific fields FINRA will use to link to CHX (Exchange Code of 'M):

Market Maker Transaction Data Record Field Exchange Related Field
Trade Date or Order Sent Date Trade Date
Order Entry Firm Identifier OnBehalfofCompId (Tag 115)
  • FIX Users
Routed Order ID ClOrdID (Tag 11)
  • FIX Users
Connection ID SenderCompID (Tag 49)
  • FIX Users
Issue Symbol ID Symbol (Tag 55)
  • FIX Users

1. Pending SEC approval, NYSE MKT will transition to NYSE American as per the schedule provided on https://www.nyse.com/pillar. NYSE American will remain in the old platform until the launch of the NYSE Pillar gateway for NYSE American. Firms will be required to migrate to the NYSE Pillar gateway as per the schedule provided on the below website: https://www.nyse.com/pillar

2. Parallel Period for NYSE Arca
NYSE Arca UGW gateways will remain in production for a six month transition period following the launch of the NYSE Pillar gateways as per the schedule provided on https://www.nyse.com/pillar. Firms will be able to enter orders via either type of gateway during that time. Firms submitting orders via the NYSE Arca UGW gateways must continue to use the ETPID as the Firm Identifier, while those submitted via NYSE Pillar must use the firm MPID. At the conclusion of the parallel period, firms will be required to migrate to the NYSE Pillar gateways. The parallel period schedule may be viewed at https://www.nyse.com/pillar

3. Pending transition to NYSE American