OATS Report - June 29, 2001

June 29, 2001

Below is a list of fields and accepted values that are reported to OATS on the New Order Reports. Please compare the accepted values listed for the fields below with your traders and technical staff to verify that your procedures and systems comply with the information provided below.

Received Method Codes

Indicate whether the order was received electronically or non-electronically.

E Electronic non-ECN
N Non-electronic non-ECN
M Non-Member firm
C Electronic ECN
X Not Known

Note: The value "C" should be used only by ECNs receiving or originating an order. The value "X" is an accepted value for non-wholesale orders only; however, the actual method of receipt always should be provided if available.


Special Handling Codes

Indicate additional order instructions directed to the trader, which serve to qualify the pricing, quantity, execution timing, or execution method of an order. There may be up to five special handling codes used for a single order. The firm should provide as many special handling instructions as possible.

FOK Fill or Kill – Indicates the order is intended for immediate execution in its entirety, and if not executed in its entirety, the order is canceled.
AON All or None – Requires that if an order cannot be filled in its entirety, the order should not be executed.
NH Not Held – Requires that the trader use best judgment as to the time of execution and the issue price.
IOC Immediate or Cancel – Requires all or part of the order be executed immediately, and any remaining shares be canceled.
MKO Market at Open – Instructs the trader to execute the order for market price as close as possible to the beginning of the trading day.
MOC Market at Close – Instructs the trader to execute the order for the market price as close as possible to the end of the trading day.
OVD Over the Day – Requires that a trader break up an order into several partial executions. The customer may specify the number of executions.
SCL Scale – Requires partial executions that are not more than a specified price increment apart (e.g., 1/8 of a point).
WRK Work – Leaves the time of execution to the trader’s discretion; either a full execution or partial executions are accepted.
PEG Peg – Indicates that the customer's limit price should be derived from a designated market condition, such as the current bid or offer price, the bid/offer midpoint, the last sale price, or the inside price.
MQT Minimum Quantity – Instruction to cancel the order if a specified minimum quantity cannot be executed.
RSV Reserved Size – Required for orders having a displayed size and a reserved size. A reserved-size order consists of a portion of the full size of the order that is displayed publicly with the remainder held in reserve on an un-displayed basis to be displayed in whole or in part as the displayed part is executed.

Limit Order Display Flag

For Limit Orders that are less than 10,000 shares, this field should only be populated with a "Y" if the customer requests that the order not be displayed.

For Limit Orders that are 10,000 shares or more, this field should only be populated with a "Y" if the customer requests that the order BE displayed.

Note: This field must be populated if either a Limit Price or a Limit Price and a Stop Price is provided. A value of "N" should be reported whenever the customer has not provided any specific instructions regarding display.

Arbitrage Field

Indicates if the order is part of an arbitrage trading strategy involving the purchase or sale of a "basket" or group of securities. This is in conjunction with the purchase or sale (or intended purchase or sale) of one or more cash-settled options or futures contracts on index stock groups, or options on any such futures contracts in an attempt to profit by the price difference. Valid values are:

Y Part of an arbitrage strategy
N Not part of an arbitrage strategy
X Not known (not an accepted value for retail or employee orders)

Account Type Code

The account type for which an order is placed. Valid values are:

R Retail – An order received for the account of an investor, including institutional orders (i.e., a customer, a non-broker/dealer).
W Wholesale – An order received for the account of a broker or a dealer (Members and Non-Members).
P Proprietary – An order placed by a firm for a proprietary account.
E Employee – An order received for the account of an employee or associated person of a member firm.
C Combined – An order placed for more than one type of account.

Note: Account Type Code must be populated by all firms with the exception of ECNs.