Trade Report Modifiers and Applicability of Limit Up/Limit Down (LULD) Price Bands


Pursuant to the Regulation NMS Plan to Address Extraordinary Market Volatility (Plan) (see Section VI(A)(1)), transactions that both (1) do not update the last sale price (except if solely because the transaction was reported late) and (2) are excepted or exempt from the SEC's trade-through rule (Reg NMS Rule 611) can be executed outside the price bands. To qualify, a trade must satisfy both prongs of the exclusion.

 

Sale Condition DescriptionFINRA/Nasdaq TRF CTCI Code1FINRA/Nasdaq TRF FIX Code1FINRA/NYSE TRF FIX Code1Does a trade with this modifier update Last Sale?Can a trade with this modifier be executed outside the LULD price band?
Trade Modifier 1 – Settlement
Regular Trade@0BlankYesNo
Cash Trade (Same Day Clearing)CC0NoYes (if the transaction qualifies as Not Regular Way under SEC Rule 611(b)(2))
Next Day Trade (Next Day Clearing)NJ1NoYes (if the transaction qualifies as Not Regular Way under SEC Rule 611(b)(2))
SellerRL2NoYes (if the transaction qualifies as Not Regular Way under SEC Rule 611(b)(2))
Trade Modifier 2 – Trade Through Exempt reasons
Self Help (SEC Rule 611(b)(1))22100YesNo
Intermarket Sweep Order – Inbound (SEC Rule 611(b)(5))F614YesNo
Intermarket Sweep Order – Outbound (SEC Rule 611(b)(6))33101YesNo
Benchmark/Derivatively Priced (SEC Rule 611(b)(7))4411No2Yes
Error Correction (SEC Rule 611(d))71980NoYes (this does not update last sale because the Trade Modifier 4 Average Price Trade Modifier is appended when reporting to FINRA)
Print Protection (SEC Rule 611(d))82081NoYes (this does not update last sale because the Trade Modifier 4 Average Price Trade Modifier is appended when reporting to FINRA)
Qualified Contingent Trade (SEC Rule 611(d))V7102NoYes (this does not update last sale because the Trade Modifier 4 Average Price Trade Modifier is appended when reporting to FINRA)
Sub-penny Trade Through (SEC Rule 611(d))J8103YesNo
Trade Modifier 3 – Extended Hours or Sold
Executed During Normal Market Hours and Trade Reported LateZI10No2No3
Executed Outside Normal Market HoursT59NoN/A (this modifier is only used when execution time occurs when LULD is not in effect)
Executed Outside Normal Market Hours and Trade Reported LateU141NoN/A (this modifier is only used when execution time occurs when LULD is not in effect)
Trade Modifier 4 – Audit Trail
Stop Stock1N54NoYes (if the transaction qualifies as Benchmark/Derivatively Priced (SEC Rule 611(b)(7) or Stopped Order (SEC Rule 611(b)(9))
Prior Reference PriceP939No2Yes (if the transaction qualifies as Benchmark/Derivatively Priced (SEC Rule 611(b)(7))
Average Weighting or Other Special Pricing FormulaWB37NoYes (if the transaction qualifies as Benchmark/Derivatively Priced (SEC Rule 611(b)(7))

 

1. These CTCI and FIX codes are current as of the posting of this chart, but are subject to change at any time. For the most recent specifications, please go the FINRA TRF Documentation page on FINRA.org.
 

2. This trade will update the Last Sale only if it is the only qualifying trade; otherwise, it will not.
 

3. The price must be within the LULD price bands in effect at the time of execution, not at the time the trade is reported.

 

Note: If a trade is modified with multiple modifiers and any of the modifiers allow an execution outside the LULD price bands, then the trade can be executed.