| Term |
Definition |
Used in |
| Accrued Interest Rate |
The amount the buyer compensates the seller for the portion of the next coupon interest payment the seller has earned but will not receive from the issuer because the issuer will send the next coupon payment to the buyer. Accrued
Interest Rate is the annualized Accrued Interest amount divided by the purchase price of the bond. |
|
| After Tax Yield |
Municipals. The yield on the bond net of any tax consequences from holding the bond. The discount on municipal securities can be subject to both capital gains taxes and ordinary income taxes. Calculated from dollar price. |
YieldType <235> |
| All or None |
A round-lot market or limit-price order that must be executed in its entirety or not at all; unlike Fill or Kill orders,
AON orders are not treated as canceled if they are not executed as soon as represented in the Trading Crowd. |
ExecInst <18> |
| Annual Yield |
The annual interest or dividend income an investment earns, expressed as a percentage of the investment’s total value. |
YieldType <235> |
| As defined |
Sides of the legs are the same as defined in the multileg instrument. |
Side <54> |
| At the close |
Indicated price is to be around the closing price, however, not held to the closing price. |
IOIQualifier <104> |
| At the Opening |
A market or limit-price order to be executed at the opening of the stock or notat all; all or part of any order not executed at the opening is treated as canceled. |
TimeInForce <59> |
| Basis Price |
A price established by joint agreement of odd-lot dealers in 100-share-unit stocks when:
- no round-lot has occurred during the trading session,
- the spread between the closing bid and offer is two points or more, and
- on odd-lot the dealer has been given a "basis-price" order.
|
OrdType <40> |
| Book Yield |
The yield of a security calculated by using its book value instead of the current market price. This term is typically used in the US domestic market. |
YieldType <235> |
| Broker Execution |
According to US futures markets (CFTC):
Time at which a broker executed the order for another broker.
|
TrdRegTimestampType <770> |
| Broker of Credit |
Broker to receive trade credit. |
PartyRole <452> |
| Broker Receipt |
According to US futures markets (CFTC):
Time at which broker received the order.
|
TrdRegTimestampType <770> |
| Buy Minus |
A round-lot market order to buy "minus" is an order to buy a stated amount of a stock provided that its price is:
- not higher than the last sale if the last sale was a "minus" or "zero minus" tick and
- not higher than the last sale minus the minimum fractional change in the stock if the last sale was a "plus" or "zero plus" tick.
A limit price order to buy "minus" also states the highest price at which it can be executed.
|
Side <54> |
| Cabinet Trade |
An off-market transaction to close out a nearly worthless out-of-the-money option contract. |
|
| Call Date |
The date on which the issuer of a security has the right but not the obligation to repurchase the security at a predetermined price. |
EventType <865> |
| Call First |
Refer to client before trading. |
ExecInst <18> |
| Cancel if Not Best |
Indicates that an order should be cancelled if it is no longer the best bid if buying, or the best offer if selling. If the order is cancelled due to this instruction, the message cancelling it must carry
ExecRestatementReason <378>='9' (Canceled, Not Best). |
ExecInst <18> |
| Cancel on System Failure |
If a system failure interrupts trading or order routing, attempt to cancel this order. Note that depending on the type and severity of the failure, this might not be possible. |
ExecInst <18> |
| Cancel on Trading Halt |
If trading in this instrument is halted, cancel this order and do not reinstate it when/if trading resumes. |
ExecInst <18> |
| CIV ("Collective Investment Vehicle") |
Collective investment vehicle ("CIV") are set up for the purposes of collecting and pooling investor funds and issuing shares (or their equivalent). "Open-ended" CIVs entitle the holder to receive, on demand, an amount in value which
is proportionate to the whole net asset value of the vehicle. Coversely "Closed-ended" CIVs do not grant this right to investors.
CIVs are more commonly known as Mutual Funds, Unit Trusts, OEICS (Open Ended Investment Companies), SICAVs etc.
A CIV may be legally constituted as a Limited Company with variable capital, a Trust or a Limited Partnership - depending on local legislation & tax regimes.
CIVs typically invest in equities, bonds, derivatives etc. - as described in their prospectus. Other CIVs are Umbrella Fund (made up of sub-funds investing in equities, gilts etc), Fund Of Funds (invests only in other funds),
Master-Feeder Fund (marketed to a specific group for investment in a central master fund), Multi- Manager Fund (whose asset management is divied between several managers), Side By Side (onshore and offshore funds with the same
investment strategy)
|
CFICode <461> |
| Clearing Firm |
Firm that will clear the trade. Used if different from the executing firm. |
PartyRole <452> |
| Clearing Organization |
Identifies the Clearing Organization where the position is maintained. |
PartyRole <452> |
| Client ID |
Firm identifier used in third party-transactions or for investor identification in intermediary transactions. (should not be a substitute for
OnBehalfOfCompID <115>/DeliverToCompID <128>). |
PartyRole <452> |
| Closing Yield |
The yield of a bond based on the closing price. |
YieldType <235> |
| Closing Yield Most Recent Month |
The yield of a bond based on the closing price as of the most recent month's end. |
YieldType <235> |
| Closing Yield Most Recent Quarter |
The yield of a bond based on the closing price as of the most recent quarter’s end. |
YieldType <235> |
| Closing Yield Most Recent Year |
The yield of a bond based on the closing price as of the most recent year’s end. |
YieldType <235> |
| Compound Yield |
The yield of certain Japanese bonds based on its price. Certain Japanese bonds have irregular first or last coupons, and the yield is calculated compound for these irregular periods. |
YieldType <235> |
| Contra Firm |
The broker or other firm which is the contra side of the trade. |
PartyRole <452> |
| Contra Clearing Firm |
Clearing firm of the broker or other firm which is the contra side of the trade. |
PartyRole <452> |
| Contra Trader |
Individual usually identified by a trading badge number or initials that takes the opposite side of a trade. |
PartyRole <452> |
| Contract For Difference (CFD) |
A single stock total return swap, combining financing and synthetic equity exposure in one transaction. |
BookingType <775> |
| Correspondent Broker |
Identifies a correspondent broker. |
PartyRole <452> |
| Correspondent Clearing Firm |
ClearingFirm that is going to carry the position on their books at another clearing house (exchanges). |
PartyRole <452> |
| Correspondent Clearing Organization |
Identifies a correspondent clearing organization |
PartyRole <452> |
| Counter-Order Selection |
A model where the user selects which order to hit by providing the order ID in the order being submitted against it (also know as Hit/Take orders). |
OrdType <40> |
| Specifies that the source matching mechanism for a trade is a Hit/Take. |
MatchType <574> |
| Coupon Rate |
The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment. The coupon is always cited, along with maturity, in any quotation of a
bond's price. |
|
| Cross |
Client sends Broker a buy or sell order. Broker wishes to take the other side and cross with the client. Broker sends an order with Side <54>='8' (Cross) to an exchange. |
Side <54> |
| Cross Short |
Client wants to establish a short position, and so sends a Sell Short to Broker. Broker wants to cross with the Client, so Broker sends a Cross Short order to an exchange. Cross Short is crucial here because many exchanges have tick
rules needing to be enforced, and the order getting converted from Sell Short to Cross (instead of Cross Short) could result in an illegal short sell. |
Side <54> |
| Cross Short Exempt |
Client wants to establish a short position, and is exempt from the uptick restriction. So Client sends a Sell Short Exempt to Broker. Broker wants to cross with the Client, so Broker needs a way to send "Cross Short Exempt" to the
exchange so that an audit trail traces back indicating that the party selling short was exempt from the uptick rule. |
Side <54> |
| Currency swap |
"An agreement to exchange future cash flows. There are two fundamental types: the cross-currency swap and the interest rate (single currency) swap."
Source: A Foreign Exchange Primer. by Shani Shamah |
|
| Current Yield |
Annual interest on a bond divided by the market value. The actual income rate of return as opposed to the coupon rate expressed as a percentage. |
YieldType <235> |
| Customer Account |
Identifies the customer account associated with the message. |
PartyRole <452> |
| Dated Date |
The effective date of a new securities issue determined by its underwriters.
Often but not always the same as the Issue Date and the Interest Accrual Date |
|
| Day Order |
A buy or sell order that, if not executed expires at the end of the trading day on which it was entered. |
TimeInForce <59> |
| Dealt currency |
In a foreign exchange transaction, 'dealt currency' indicates which currency was orginally specified. For example, An invesment manager may 'buy 100M USD against EUR'. This has USD as the 'dealt currency' and EUR as the 'counter
currency'. Note that when viewed from the sell-side's (or broker's) perspective, this is a 'Sell 100M USD against EUR' the 'dealt currency' remains the same. |
Currency <15> |
| Discount |
When a bond sells below its par value, it is said to be selling at a discount. A price with a PriceType of "discount" is the difference between 100 and the bond's percent-of-par price. |
PriceType <423> |
| Do Not Increase |
A limit order to buy, a stop order to sell, or a stop-limit order to sell which is not to be increased in shares on the ex-dividend date as a result of a stock dividend or distribution. |
ExecInst <18> |
| Do Not Reduce |
A limit order to buy, a stop order to sell, or a stop-limit order to sell that is not to be reduced in price by the amount of an ordinary cash dividend on the ex-dividend date. A do-not-reduce order applies only to ordinary cash
dividends; it should be reduced for other distributions - such as when a stock goes "ex" stock dividend or "ex" rights. |
ExecInst <18> |
| Dollar Price |
See Percent of Par |
PriceType <423> |
| Entering Firm |
Broker who has recorded or reported an execution. This field is particularly useful where the trade is entered into a trade recording system by a broker who is not a party to the trade, as it allows any inquiries or problem resolution
to be directed to the appropriate source. |
PartyRole <452> |
| Entering Trader |
Individual usually identified by a trading badge number or initials that actually enters an order to a market (especially in open outcry markets). Usually the Entering Trader is the same as the Executing Trader. However, under some
circumstances the Entering Trader will have the trade executed by another trader who is then identified as the Executing Trader. |
PartyRole <452> |
| Even swap |
An FX Swap where the given amount to be bought and sold is the same on the near and far legs.
See Uneven swap. |
|
| Exchange |
Exchange associated with the position. |
PartyRole <452> |
| Execution Time |
According to US futures markets (CFTC):
Non-qualified reporting time of order execution.
|
TrdRegTimestampType <770> |
| Executing Firm |
Identifies executing / give-up broker. |
PartyRole <452> |
| Executing System |
System Identifier where execution took place (e.g. some markets have multiple execution location such as an electronic book or automatic execution system). |
PartyRole <452> |
| Executing Trader |
Trader or broker id associated with Executing Firm who actually executes the trade. |
PartyRole <452> |
| External Routing Allowed |
Indicates that an order sent to one market may be routed by that market to other external markets, especially in cases where the order locks or crosses the market and it can be executed against another market’s superior price.
Note: The absence of this instruction does not imply that an order should not be routed externally; rather, the order receiver’s default will apply.
|
ExecInst <18> |
| External Routing Not Allowed |
Indicates that an order sent to one market may never be routed by that market to other external markets. Should the order lock or cross the market but be unable to execute due to price protection reasons, a market may have to take
alternate action, which might include rejecting the order, depending on the market’s rules.
Note: The absence of this instruction does not imply that an order should be routed externally; rather, the order receiver’s default will apply.
|
ExecInst <18> |
| Fill or Kill |
A market or limit-price order that is to be executed in its entirety as soon as it is represented in the Trading Crowd; if not so executed, the order is to be canceled. Not to be confused with Immediate or Cancel. |
TimeInForce <59> |
| FIX Connection |
A FIX Connection is comprised of three parts: logon, message exchange, and logout. |
|
| FIX Session |
A FIX Session is comprised of one or more FIX Connections, meaning that a FIX Session spans multiple logins. |
|
| Fixed Price Cabinet Trade |
Cabinet Trade executed at a price equal to the minimum tick size (or smallest possible price) .
See Cabinet Trade. |
PriceType <423> |
| Floating Price Cabinet Trade |
Cabinet Trade executed at a price that can be different than the minimal price.
See Cabinet Trade. |
PriceType <423> |
| Forex - Swap |
A "Swap" order for Foreign Exchange (currency trading). |
OrdType <40> |
| Foreign exchange swap |
The transaction of exchanging two currencies at an agreed upon rate at an agreed upon time. The transaction is reversed at a future rate and time, with no payment streams between the points in time.
Source: A paraphrase of definition from http://joxo.co.uk/SummaryGuideToFXForFinancialandITProfessionals.html
|
|
| Funari |
Japanese term for an order to buy or sell a stated amount of a security at the specified limit price with any unexecuted (leftover) quantity becoming a Market On Close order. |
OrdType <40> |
| Fund manager Client ID |
For CIV:
An identifier for an Investor or a broker or funds supermarket’s nominee/custodian company which is recognized by the Fund manager.
|
PartyRole <452> |
| Giveup Clearing Firm |
Firm to which the trade is given up (carries the position that results from a trade). |
PartyRole <452> |
| Good Till Canceled |
An order to buy or sell that remains in effect until it is either executed or canceled; sometimes called an "open order". |
TimeInForce <59> |
| Government Equivalent Yield |
Ask yield based on semi-annual coupons compounding in all periods and actual/actual calendar. |
YieldType <235> |
| Held |
The firm executing the order is held to best execution requirements, and may not make discretionary decisions. Opposite of Not Held |
ExecInst <18> |
| Ignore Price Validity Checks |
Disables validity checking of price fields for an order or change request. |
ExecInst <18> |
| Immediate or Cancel |
A market or limit-price order that is to be executed in whole or in part as soon as it is represented in the Trading Crowd; any portion not so exexecuted is to be canceled. Not to be confused with Fill or Kill. |
TimeInForce <59> |
| Initiator |
An "initiator" may be one of the following:
- an institutional client
- a financial planner
- a retail broker representing a retail customer
- a broker/dealer
- an inter-dealer broker (or broker’s broker)
- an issuer
|
Quoting and other messages |
| Institutions Only |
Broker is restricted to dealing with other buy side firms. |
ExecInst <18> |
| Interest Accrual Date |
The start date used for calculating accrued interest on debt instruments which are being sold between interest payment dates.
Often but not always the same as the Issue Date and the Dated Date. |
|
| Intermarket sweep |
An order that is an intermarket sweep as defined by the SEC in Regulation NMS. This value is used on Immediate or Cancel limit orders (or other order type and time in force). It indicates that the party sending the order has taken
responsibility for price protection, and the recipient of the order should execute it, if possible, without regard to protection of other markets’ prices. While the term "Intermarket sweep" is specific to the United States, the ExecInst
value that represents it may be used in other markets, where appropriate, to indicate an order that should be executed without regard to price protection. |
ExecInst <18> |
| Introducing Firm |
The broker or other intermediary with the closest association with the investor. |
PartyRole <452> |
| Inverse Floater Bond Yield |
Inverse floater semi-annual bond equivalent rate. |
YieldType <235> |
| Investor ID |
For Equities:
Identifies beneficiary or broker acting on behalf of beneficiary. This field is mandatory for various exchanges either pre or post trade.
Numerical entry containing no dashes.
|
PartyRole <452> |
|
For CIV:
An Investor identifier such as a taxpayer reference (NINO, NPN, DSS, SSN number etc) for an individual investor or a registration number (EIN, etc.) for a company.
May contain alphanumeric and dashes.
|
PartyRole <452> |
| Issue Date |
The date on which a bond or stock offering is issued.
It may or may not be the same as the effective date (Dated Date)
or the date on which interest begins to accrue (Interest Accrual Date) |
|
| Limit |
An order to buy a security at or below a stated price, or to sell a security at or above a stated price. |
OrdType <40> |
| Limit or Better |
Indicates an order to
- buy a security at the indicated limit price or lower, or to
- sell a security at the indicated limit price or higher.
|
OrdType <40> |
| Limit With or Without |
An order to be executed at a limit price, with or without round-lot sales; valid only for odd lot orders. |
OrdType <40> |
| Liquidity Provider |
Identifies the individual that provided liquidity, e.g. was the market maker (specialist) involved in a trade. Used to identify the liquidity provider involved in a block of EFP trade for listed futures markets. |
PartyRole <452> |
| Locate/Lending Firm |
Identity of the firm which is loaning the security in a short sale. |
PartyRole <452> |
| Marked To Market Yield |
An adjustment in the valuation of a securities portfolio to reflect the current market values of the respective securities in the portfolio. |
YieldType <235> |
| Market |
Indicates an order to buy or sell a stated amount of a security at the most advantageous price obtainable after the order is represented in the Trading Crowd. |
OrdType <40> |
| Market If Touched |
Indicates an order to buy or sell a stated amount of a security or commodity as soon as a preset market price is reached, at which point it becomes a Market order. |
OrdType <40> |
| Market On Close |
Indicated price is held to the closing price ("firm" instruction). |
IOIQualifier <104> |
| Market Or Better |
Indicates an order to buy or sell a stated amount of a security at the quoted market or better. |
|
| Market with Leftover as Limit |
Indicates an order to buy or sell a stated amount of a security at the prevailing market price with any unexecuted (leftover) quantity becoming a Limit order at the last executed price. |
OrdType <40> |
| Most Recent Closing Yield |
The last available yield stored in history, computed using price. |
YieldType <235> |
| Next Fund Valuation Point |
For CIV orders - indicates that the Investor wishes the order to be dealt at the unit price determined at the next Valuation Point, a.k.a. a Forward price. |
OrdType <40> |
| No Cross |
The broker executing this trade is forbidden from taking the other side of the trade. Opposite of OK to Cross. |
ExecInst <18> |
| Not Held |
The firm executing the order is not held to best execution requirements, and may be able to make some discretionary decisions. Opposite of Held. |
ExecInst <18> |
| OK to Cross |
The broker executing this trade is allowed to take the other side of the trade. Opposite of No Cross. |
ExecInst <18> |
| Omnibus Account |
An account where the positions for multiple entities (usually customers) are maintained. The omnibus accounting is usually done on a gross basis where long and short positions are not netted together. |
PartyRole <452> |
| On Basis |
An order to buy or sell at the basis price. The basis price is established by joint agreement of odd lot dealers in 100 share unit stocks when no round lot sale has occurred during the trading session, the spread between the closing
bid and offer is two points or more, and an odd lot dealer has been given a basis price order. |
OrdType <40> |
| Opposite |
Sides of the legs are the opposite of their definition in the multileg instrument. |
Side <54> |
| Open Average Yield |
The average yield of the respective securities in the portfolio. |
YieldType <235> |
| Order Origination Firm |
Buyside firm associated with Order Origination Firm which originates/submits the order. |
PartyRole <452> |
| Order Origination Trader |
Buyside trader id associated with Order Origination Firm which originates/submits the order. |
PartyRole <452> |
| Order Originator |
ID of the party entering the trade into the system (data entry, userid, buy side trader, etc.). |
PartyRole <452> |
| Par |
Equal to the face value (nominal) of a security, i.e. A bond selling at par is worth an equivalent to its original issue value, typically $1000/bond. |
QuantityType <465>
QtyType <854> |
| Participate Don’t Initiate |
An order that may participate in a transaction initiated by another party, but may not initiate a transaction. For example, on US ECNs / Exchanges, this may represent an order that will be quoted to the marketplace and will trade if
another party initiates a trade (i.e. hits the posted quote), but cannot be routed to initiate a trade with another market or market maker. |
ExecInst <18> |
| Per Unit |
The currency price per unit, i.e. per equity share or per contract. |
PriceType <423> |
| Percent of Par |
The ratio between the current price of a bond and its par value adjusted for amortization or indexing and expressed as a percent. For example if a EUR1,000 bond is trading at EUR1032.50 its price is expressed as 103.25 or 103¼. In the
US this is usually referred to as the "dollar price" even in scholarly material and handbooks. |
PriceType <423> |
| Percent of Volume |
The sender does not want to be all of the volume on the floor. |
ExecInst <18> |
| Position Account |
Account for positions resulting from derivatives trades.
Each position account has a long and short quantity. Position quantities stored in the long and short quantity fields can be kept net or gross.
Accounts that are kept gross are usually omnibus accounts. |
PartyRole <452> |
| Premium |
When a bond sells above its par value, it is said to be selling at a premium. A price with a PriceType of "premium" is the difference between the bond's percent-of-par price and 100. |
PriceType <423> |
| Previous Close Yield |
The yield of a bond based on the closing price 1 day ago. |
YieldType <235> |
| Previous Fund Valuation Point |
For CIV orders - indicates that the Investor prefers that the order be dealt at the unit price determined at the immediately preceding Valuation Point, a.k.a. a Historic price. (This can be overridden by the constitution of the fund
or, in certain circumstances, by the Fund Manager.) |
OrdType <40> |
| Previously indicated |
An order sent in response to an Indication of Interest <6> message. |
OrdType <40> |
| Previously quoted |
An order sent in response to an Quote<S> message. |
OrdType <40> |
| Proceeds Yield |
The CD equivalent yield when the remaining time to maturity is less than two years. |
YieldType <235> |
| Put Date |
The date on which the buyer of a security has the right but not the obligation to sell the security back to the issuer at a predetermined price. |
EventType <865> |
| Redeem |
For CIV:
A "sell" order for CIV units which must be forwarded to the fund manager (or their transfer agent) rather than being matched / crossed with a "buy" order, e.g. by an intermediary, funds supermarket, broker/dealer etc. This would be
used in markets where the originator requires specific tax treatment and/or dealing charges.
|
Side <54> |
| Reinstate on System Failure |
If a system failure interrupts trading or order routing, attempt to reinstate this order, subject to time in force limitations. Note that depending on the type and severity of the failure, this might not be possible. |
ExecInst <18> |
| Reinstate on Trading Halt |
If trading in this instrument is halted, reinstate this order when/if trading resumes, subject to time in force limitations. |
ExecInst <18> |
| Request to Intermediary |
Used in a model where an intermediary, i.e.clearing house is involved in communicating allocation details and actions between two parties |
AllocType <626> |
| Respondent |
A "respondent" may be one of the following:
- a broker/dealer
- an inter-dealer broker (or broker’s broker)
- an electronic service
- bid or offer prices provided by one or more market makers
- bid or offer prices provided by an inter-dealer broker
- matching system with limit orders entered by customers (dealers or institutions)
- an issuer
|
Quoting and other messages |
| Riskless Principal |
"Riskless" principal transactions are generally described as trades in which, after receiving an order to buy (or sell) from a customer, the broker-dealer purchases (or sells) the security from (or to) another person in a
contemporaneous offsetting transaction.
Above from the SEC web-site http://www.sec.gov/rules/final/34-44291.htm
See Exchange Act Rule 10b-10(a)(2)(ii)(A) [17 CFR 240. 10b-10(a)(2)(ii)(A)]; Exchange Act Rel. No. 33743 (Mar. 9, 1994) at n.11.
|
OrderCapacity <528> |
| Sell Plus |
A round-lot market order to sell "plus" is an order to sell a stated amount of a stock provided that its price is:
- not lower than the last sale if the last sale was a "plus" or "zero plus" tick and
- not lower than the last sale minus the minimum fractional change in the stock if the last sale was a "minus" or "zero minus" tick.
A limit-price order to sell "plus" also states the lowest price at which it can be executed.
|
Side <54> |
| Sell Short |
An order to sell a security that the seller does not own; a sale effected by delivering a security borrowed by, or for the account of, the seller. Can only be executed on a "plus" or "zero plus" tick. |
Side <54> |
| Sell Short Exempt |
Short sale exempt from short-sale rules. |
Side <54> |
| Semi-annual Yield |
The yield of a bond whose coupon payments are reinvested semiannually. |
YieldType <235> |
| Settlement currency |
Commonly referred to as "counter currency" in FX nomenclature.
For non-NDF deals (FX swaps, spot and forward) the term "settlement currency" can only mean one thing: the currency that is on the opposite from the dealt currency (expressed in FIX using Currency <15> field). For example: Symbol <55> is EUR/USD, and the dealt is EUR then SettlCurrency <120> is USD.
For NDF deals the term "settlement currency" could be either the dealt currency or the "counter currency" or a third currency. For example: In a USD/KRW NDF deal where the dealt currency is KRW, the settlement currency is USD, if the
dealt currency is USD then the settlement currency can also be USD. In a GBP/KRW NDF deal where the deal typically settles in a third currency, USD in this case, then the settlement currency is USD. (NDFs will be discussed in detail
in Phase 2 gap analysis).
For FX OTC Spot Options, the settlement currency can refer to either the counter currency or the currency of the option premium (or premia). However, for the purposes of FIX usage, it will refer to the currency of the option premium.
|
|
| Settlement Location |
Identifies Settlement Depository or, if local settlement, the ISO Country Code. |
PartyRole <452> |
| Sponsoring Firm |
A member of the exchange that is sponsoring an Entering Entity to send orders to the exchange. The Sponsoring Member Firm permits sponsorees (i.e. Entering Entities) to trade thereby allowing them to enter orders directly to the
exchange via automated means. (e.g. NYSE allowing direct access via Anonymous DOT service). |
PartyRole <452> |
| Spread |
A "spread" price is one of four things all denominated in basis points:
- For an outright security trade, the "spread" price is the difference in yield between the object security and its benchmark - implied or explicit.
- For a swap (or switch) of two issued securities the "spread" price is the difference in yield between the security being sold and the one being bought.
- For a roll of a futures contract with a contract in the same commodity but having a different contract settlement month the "spread" price is the price difference between the contract being sold and the one being bought.
- For a floating-rate Financing transaction the "spread" is the difference in yield extended above or below the yield of the stated benchmark.
All four types are expressed in basis points (the price or yield difference times 100) and may be negative.
|
PriceType <423> |
| Stop |
A stop order to buy which becomes a market order when the security trades at - or above - the stop price after the order is represented in the Trading Crowd. A stop order to sell which becomes a market order when the
security trades at - or below - the stop price after the order is represented in the Trading Crowd. |
OrdType <40> |
| Stop Limit |
A stop order to buy which becomes a limit order at the limit price when the security trades at - or above - the stop price after the order is represented in the Trading Crowd. A stop order to sell which becomes a limit order at the
limit price when the security trades at - or below - the stop price after the order is represented in the Trading Crowd. |
OrdType <40> |
| Stopped |
A trade is guaranteed for the order, usually at a stated price or better, but has not yet occurred. For example, a specialist on an exchange may "stop" an order while searching for a better price. |
OrdStatus <39> |
| Streetside Trade Capture Reporting |
Reporting of completed trades for clearance and settlement or compliance purposes. Reports may be originated by Exchanges or by clearing firms and sent to clearing firms directly or via a clearing corporation or central counterparty
such as DTCC in the US. |
See Appendix F |
| Simple Yield |
The yield of a bond assuming no reinvestment of coupon payments. (Act/360 day count) |
YieldType <235> |
| Strict Limit (No Price Improvement) |
A limit order that must be traded at the exact limit price specified without any price improvement. Requires OrdType <40>='2' (Limit). |
ExecInst <18> |
| Subscribe |
For CIV:
A "buy" order for CIV units which must be forwarded to the fund manager (or their transfer agent) rather than being matched / crossed with a "sell" order, e.g. by an intermediary funds supermarket, broker/dealer etc. This would be
used in markets where the originator requires specific tax treatment and/or dealing charges.
|
Side <54> |
| Suspended |
The order is not eligible for trading. This usually happens as a result of a verbal or otherwise out of band request to suspend the order, or because the order was submitted, or modified via a Cancel/Replace Request <G>, with ExecInst <18>='S' (Suspend). |
OrdStatus <39> |
| Tax Equivalent Yield |
The after tax yield grossed up by the maximum federal tax rate of 39.6%. For comparison to taxable yields. |
YieldType <235> |
| TED Price |
The price spread between the active 3 month treasury bill futures contract and the 3 month Eurodollar futures contract. Used as an indicator of investor confidence in the U.S. markets. |
PriceType <423> |
| TED Yield |
The difference in basis points between the yield-to-maturity of the bond / note and the yield-to-maturity of a Hypothetical Euromarket bond with identical coupon and maturity. |
PriceType <423> |
| Time In |
According to US futures markets (CFTC):
Timestamp of when order was received on the trading floor (booth).
|
TrdRegTimestampType <770> |
| Time Out |
According to US futures markets (CFTC):
Timestamp when the trade was received from the pit.
|
TrdRegTimestampType <770> |
| Trade Along |
Clients who specify "Trade Along" give brokers permission to handle and place their order in the market even if the broker already has its own proprietary orders for the same security placed in the market. |
ExecInst <18> |
| Trailing Stop Peg |
A pegged order representing a stop order with a stop price pegged to trail a specified distance behind the last sale price. The price of a trailing stop to buy can never increase, and the price of a trailing stop to sell can never
decrease. |
ExecInst <18>
PegPriceType <1094>
|
| True Gross Yield |
Yield calculated using the price including accrued interest, where coupon dates are moved from holidays and weekends to the next trading day. |
YieldType <235> |
| True Yield |
The yield calculated with coupon dates moved from a weekend or holiday to the next valid settlement date. |
YieldType <235> |
| Try to Stop |
Used in specialist-driven markets to direct the specialist to try and stop the order. |
ExecInst <18> |
| Underlying Contra Firm |
The broker or other firm which is the contra side of the trade for the underlying security. |
PartyRole <452> |
| Uneven swap |
An FX Swap where the given amount to be bought and sold is different on the near and far legs. |
|
| URI (Uniform Resource Identifier) |
W3C standard defined as "the generic set of all names/addresses that are short strings that refer to resources". Note that "URL" (Uniform Resource Locator), commonly referred to by web browsers, is a subset of the URI standard. The
W3C standards body considers URL an "informal term (no longer used in technical specifications)". |
See Appendix 6-B |
| Value date |
The delivery or settlement date of a foreign exchange trade transaction. |
|
| With or Without |
An odd lot order filled on an effective round lot transaction, or on an effective bid or offer, whichever occurs first after the specialist receives the order. (e.g. NYSE order type) |
OrdType <40> |
| Yield At Issue |
Municipals. The yield of the bond offered on the issue date. |
YieldType <235> |
| Yield Change Since Close |
The change in the yield since the previous day's closing yield. |
YieldType <235> |
| Yield To Average Maturity |
The yield achieved by substituting a bond's average maturity for the issue's final maturity date. |
YieldType <235> |
| Yield To Next Call |
The yield of a bond to the next possible call date. |
YieldType <235> |
| Yield To Longest Average Life |
The yield assuming only mandatory sinks are taken. This results in a lower paydown of debt; the yield is then calculated to the final payment date. |
YieldType <235> |
| Yield To Maturity |
The yield of a bond to its maturity date. |
YieldType <235> |
| Yield To Next Put |
The yield to the date at which the bond holder can next put the bond to the issuer. |
YieldType <235> |
| Yield To Next Refund |
Sinking Fund Bonds. Yield assuming all bonds are redeemed at the next refund date at the redemption price. |
YieldType <235> |
| Yield To Shortest Average Life |
The yield assuming that all sinks (mandatory and voluntary) are taken at par. This results in a faster paydown of debt; the yield is then calculated to the final payment date. |
YieldType <235> |
| Yield To Tender Date |
The yield on a Municipal bond to its mandatory tender date. |
YieldType <235> |
| Yield To Worst |
The lowest yield to all possible redemption date scenarios. |
YieldType <235> |
| Yield Value of 1/32 |
The amount that the yield will change for a 1/32nd change in price. |
YieldType <235> |
| Yield with Inflation Assumption |
Based on price, the return an investor would require on a normal bond that would make the real return equal to that of the inflationindexed bond, assuming a constant inflation rate. |
YieldType <235> |
