Glossary

Term Definition Field were it's used
Acceptable Counterparty A counterparty eligible for trading with the order or quote Initiatior. PartyRole <452>
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.
ACPN Accrued Coupon (ACPN) is a pro-rated amount from the prior coupon date to the current business date which is collateralized by the clearing house
[from EP83]
PosAmtTyp <707>
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>
Allowances Under an emissions cap and trade program, each allowance entitles the holder to emit some amount of gas such as carbon. Sources that emit less than their emissions cap can sell allowances to those sources needing to purchase additional allowances to comply with the cap. Emission sources can then decide whether to control emissions through control technology or through allowance surrender to meet compliance.
[from EP89]
UnitOfMeasure <996>
American style option

An option that can be exercised at anytime before its expiration date.

Source: www.investopedia.com and www.investorwords.com

ExerciseStyle <1194>
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 Crossing An order that is valid only during crossing (auction) phases. The order is valid during the day or up to and including a specified trading (sub) session. Also see Good Till Crossing (GTX), Good Through Crossing, At the Opening and At the Close. TimeInForce <59>
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>
Auto-match Specifies that the source matching mechanism for a trade is automatic matching (of orders and/or quotes) MatchType <574>
Automated Floor Order Routing The use of electronic devices or systems to capture orders and route the resulting trades to downstream system for matching and post-trade activities. TradeHandlingInstr <1123>
Average Price Guarantee A limit order instruction that order allows fills against worse prices if this is compensated with higher prices so the volume weighted average is at the limit price or better. Applies to each execution round in automatic matching. DiscretionInst <388>
Average Price (Asian) Option The underlying price is an average of the daily settlement prices over a specified period
[from EP92]
Average Strike The strike price is an average of the daily settlement prices over a specified period
[from EP92]
BANK Total Banked Amount (BANK) represents the summation of all banked amounts (ICPN+TVAR+IACPN+ICMTM+CPN+DLV)
[from EP83]
PosAmtTyp <707>
Barrier Option The option becomes active (knock-in) or inactive (knock-out) based on a predetermined price level
[from EP92]
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>
Bermuda style option A type of option that can only be exercised on predetermined dates, usually every month.
Source: www.investopedia.com
ExerciseStyle <1194>
Binary All or None Option Fixed pay out if the underlying settles on a predefined trigger price.
[from EP92]
Binary Barrier Option A digital option which becomes active or inactive based on the crossing of a barrier. Events are linked through "And" condition.
[from EP92]
Binary One Touch Option Immediate fixed pay out if the underlying reaches the predefined trigger price at any point during the life of the instrument.
[from EP92]
Binary Option A binary option is a cash settled option that has a discontinuous payoff. Binary options come in many forms, but the two most basic are: cash-or-nothing and asset-or-nothing. Each can be European or American style and can be structured as a put or call.
Also called a "digital option" or "all-or-nothing option".
Source: www.risk.net/glossary
Binary Range Option Fixed pay out if the underlying settles between an upper and lower trigger price.
[from EP92]
Block Lot A lot size that is larger than the Round Lot and associated with special block trading rules as bilaterally agreed between parties. LotType <1093>
Block Trade A Block Trade is a privately negotiated futures transaction executed apart from the public auction market, either on or off the exchange trading floor.
[from EP84]
TrdType <828>
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>
Capped Asian Option A capped option which pays out based on the average price of the underlying.
[from EP92]
Capped Barrier Option A capped option which becomes active or inactive based on the crossing of a barrier.
[from EP92]
Capped Call Option The option has a linear payout (like a vanilla) up to a capped amount as specified by a cap price.
[from EP92]
Capped Payout Option The payout amount is capped based on the difference between the strike and a cap price for call options and a floor price for put options.
[from EP92]
CEA Credit Event Adjustment quantity (CEA) is used to represent the position movement associated with a credit event on processing date.
[from EP83]
PosType <703>
Central Registration Depository (CRD) "The Central Registration Depository is a computerized database that contains information about most brokers, their representatives, and the firms they work for."
From SEC website: www.sec.gov/investor/brokers.htm
[from EP79]
PartyRole <452>
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>
Close An instruction to position keeping that the trade should bring the position towards zero, i.e. close as much as possible of any existing position and open an opposite position for any remainder. PositionEffect <77>
Close but Notify on Open An instruction to position keeping that the trade should close an existing position. If the position is closed out and an opposite position is opened a notification is sent out. PositionEffect <77>
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>
CMTM Collateralized mark-to-market (CMTM) is determined by marking from coupon rate to settlement price. The resulting amount is collateralized meaning the holder of the position must post acceptable collateral to cover the obligation.
[from EP83]
PosAmtTyp <707>
COLAT Total Collateralized Amount (COLAT) represents the summation of all collateralized amounts (ACPN+CMTM).
[from EP83]
PosAmtTyp <707>
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>
Confirmed Trade Report (reporting from recognized markets) A trade that is completed (both sides are reported) and matched. The receiver confirms the completed trade. MatchType <574>
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>
Contract Weighted Average Price Relevant for multileg orders (Energy Specific). The price of the strategy is given as an average price of all legs in the multileg, including adjustment for differences in contract sizes between the legs. MultilegPriceMethod <1378>
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.
CPN Coupon (CPN) is the payment as determined by coupon rate paid on coupon date.
[from EP83]
PosAmtTyp <707>
CRES Cash Residual Amount (CRES) is used to represent a residual amount associated with migrated trades and succession events
[from EP83]
PosAmtTyp <707>
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>
Crossed Generally indicates that the current offer price is better than the bid one - a situation where a trade normally should have occurred. The rules for crossed book situations are bilaterally agreed between counterparties.
[See Market Data for usage notes]
QuoteCondition <276>
Cross Auction

Crossing session, for example to open or close a market. Rules governing this type of session usually differ from those effective during continuous trading. For example, price determination could be subject to the principle of most executable volume. Visibility of the order book is typically restricted (e.g. top-of-book only, indicative crossing price) compared to continuous trading. The session itself might be separated into different phases governed by different rules, all of which are defined by the marketplace offering this type of matching mechanism.

Specifies that the source matching mechanism for a trade report is Call Auction (a crossing session like the onnes often used to open or close a market).

MatchType <574>
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>
Default Position Effect An instruction to use the default position keeping rules assigned to the account. For Options and Futures the default is normally "net" position, while for Forwards the deafault is usally "open" position. PositionEffect <77>
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>
Derivative Related Transaction Exercise or expiration of options, forwards or futures contracts that imply an exchange of securities or a trade that relates to a derivatives trade and that forms an unconditional part of a combination together with a derivative trade. TrdType <828>
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>
DLV 1) Delivery Amount (DLV) represents the amount paid or collected in association with a credit event.
[from EP83]
PosAmtTyp <707>
2) Delivery quantity (DLV) is used on the target CDS position to represent the delivery of the underlying bonds.
[from EP83]
PosType <703>
Do Not Increase (DNI) 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 (DNR) 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>
Double Barrier Option An option that has a combination of activation/inactivation conditions. Specifies multiple price levels at which the option becomes active (knock-in) or inactive (knock-out).
[from EP92]
Down and In Option The option becomes active if the underlying price drops below the specified barrier.
[from EP92]
Down and Out Option The option becomes inactive if the underlying price drops below the specified barrier.
[from EP92]
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>
Entering Unit Individual unit within an Entering Firm, e.g. trading desk, branch office or similar, that actually enters an order to a market. Usually the Entering Unit is the same as the Executing Unit that is responsible for the transction. The Executing Unit can delegate the entry but not the responsibility to another unit who is then identified as the Entering Unit. PartyRole <452>
European style option

An option that can only be exercised at the end of its life or for a short, specified period of time just prior to expiration (usually on a single day).

Source: www.investopedia.com and www.investorwords.com

ExerciseStyle <1194>
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>
Exchange for Physical EFP trades involve a futures contract and a cash position. The parties involved agree privately upon a price for a simultaneous exchange or transfer "cash for futures" and then report the terms of this agreement to the clearing house.
[from EP84]
TrdType <828>
Exchange for Risk EFR trades involve a futures contract and a spot commodity. The parties involved agree privately upon a price for a simultaneous exchange or transfer of "spot for futures" and then report the terms of this agreement to the clearing house.
[from EP84]
TrdType <828>
Exchange granted trade A trade done according to an individual or general authorisation, obtainedprior to theconsumation ofthe trade, from the marketplace for the specific case and/or kind of trade. TrdType <828>
Execute as delta neutral using volatility provided Indicates that the quantity of a strategy leg is to be (or was) calculated as delta neutral using provided volatility parameters ExecInst <18>
Execute as duration neutral Indicates that the quantity of a strategy leg is to be (or was) calculated as duration neutral ExecInst <18>
Execute as FX neutral Indicates that the quantity of a strategy FX leg is to be (or was) calculated as neutral with regards to the security traded for the other legs of the strategy ExecInst <18>
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>
Executing Unit Identifies executing unit within an Executing Firm, e.g. trading desk, branch office or similar. PartyRole <452>
Exhaust A reserve order refresh method where the displayed quantity is not refreshed until exhausted (filled). DisplayWhen <1083>
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>
Final Inventory Due Date Specifies the last date on which purchase dates for a contract must be provided to the service provider. EventType <865>
First Delivery Date Specifies the first delivery date of the delivery period for a physically delivered instrument. EventType <865>
First Intent Date Specifies the first date of the delivery period on which intents may be submitted for a physically delivered instrument. EventType <865>
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 Payout Option The payout amount is specified at inception. Associated with Binary options (Yes, it pays or No, it doesn’t pay).
[from EP92]
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>
Fixed Tick Rule A fixed cabinet trade price set to a minimum tick amount TickRuleType <1209>
Fixing Date The date on which the rate is used for which the settlement amount is calculated. Every NDF has a fixing date. The fixing date is the day the comparison between the NDF rate and the prevailing spot rate is made. Depending on the currencies dealt, there are variations. For some currencies the fixing date is one good business day before the settlement date and for other currencies the fixing date is two good business days before the settlement date.
[from EP82]
Fixing Price Imputed price based on VWAP/TWAP algorithm. Used especially to price FX futures.
[from EP84]
MDEntryType <269>
Fixing Time The time on the fixing date on which the rate is used for which the settlement amount is calculated for NDFs. See Fixing Date. Fixing time for NDFs typically follows market conventions and is set by the central bank of the currency's country.
[from EP82]
Flat Default Curve Price calculation method that uses a flat credit curve to establish future probability of defaults for pricing a specific CDS contract.
[from EP83]
QuoteCondition <276>
Flexible Instrument An exchange-listed instrument for which a set of pre-defined attributes such as strike price, expiration date and underlying instrument may be provided by the user at the time of creation (creating a new instrument). Can be an option or future.
Floating Price Cabinet Trade Cabinet Trade executed at a price that can be different than the minimal price. See Cabinet Trade. PriceType <423>
Floored Put Option The option has a linear payout (like a vanilla) up to a capped amount as specified by a floor price.
[from EP92]
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

Full Default Curve Price calculation method that uses a complete credit curve to establish future probability of defaults for pricing a specific CDS contract.
[from EP83]
QuoteCondition <276>
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>
Good Till Crossing (GTX) An order to buy or sell that is canceled prior to the market entering into an auction, or crossing phase. Typically, markets that support continuous trading will have an auction phase at the beginning and sometimes also at the end of trading to match up orders that have been entered into the exchange's order book during the pre- or post-trading phase (i.e. where no continuous trading was available). A GTX order automatically expires immediately prior to the commencement of a crossing session, i.e. the party originating the order wants to make sure it gets filled during the current continuous auction, and any remaining open quantity should be discarded at the end of the current continuous auction period. TimeInForce <59>
Good Through Crossing An order that is valid up till and including a crossing phase. Also see Good Till Crossing (GTX), At Crossing, At the Opening and At the Close. 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>
IACPN Incremental Accrued Coupon (IACPN) represents the incremental accrued coupon which is banked each day.
[from EP83]
PosAmtTyp <707>
ICMTM Incremental Collateralized Mark to Market (ICMTM)
[from EP83]
PosAmtTyp <707>
ICPN Initial coupon (ICPN) is an amount paid to the buyer as a pro-rated portion of the coupon from the prior coupon through trade date. The buyer will be responsible for the full coupon on the next coupon date.
[from EP83]
PosAmtTyp <707>
Ignore Price Validity Checks Disables validity checking of price fields for an order or change request. ExecInst <18>
Imbalance Only Indicates than order is an "Imbalance" order. Exchanges often use this type of (often unpriced) order to allow certain trading participants to remove imbalances in call auctions. ExecInst <18>
Immediate A reserve order refresh method where the displayed quantity stays the same until the remaining executable quantity of the order goes below. DisplayWhen <1083>
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>
Individual Prices The price of a multileg order strategy is given using individual prices for the legs. MultilegPriceMethod <1378>
Initial A reserve order instruction to refresh using the initially displayed quantity. DisplayMethod <1084>
Initial Inventory Due Date Specifies the first date on which purchase dates for a contract must be provided to the service provider. EventType <865>
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>
Instrument Denominator Specifies the price denominator of a fractionally quoted instrument such as treasure note futures or corn futures. Values are whole numbers. Examples are Quarters (4), Eights (8), Sixteenths (16), Thirty-seconds (32), etc. InstrAttribType <871>
Instrument Numerator Specifies the denominator for the fractional portion of a numerator for a fractionally quoted price. For example, a price 5 3¼ / 32 has an Instrument Numerator of 4. Values are whole numbers. InstrAttribType <871>
Instrument Price Precision Specifies the number of decimal places that are provided in order to correctly format a price. Generally, used for the formatting of fractional prices. Values are whole numbers. InstrAttribType <871>
Instrument Strike Price Precision Specifies the number of decimal places that are provided in order to correctly format a strike price. Generally, used for the formatting of fractional prices. Values are whole numbers. InstrAttribType <871>
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>
Internalized Trade A trade done internally at a marketplace member. Often restricted to the inside of the current spread. In cases where the trade must be offered to the market for price improvement it is often called Cross Trade. TradeCondition <277>
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 Dates) or the date on which interest begins to accrue (Interest Accrual Date)
Issue Price Stabilization This indication must, according to certain regulation, be used when a broker is contracted by the issuer to stabilize the price before an issue of new stock of a security that is already traded (or a buy-back/buy-out). OrderRestrictions <529>
Issuer Holding Certain regulation requires this indicator to be attached when an issuer is buying back its own stock (or units of other instruments). It can also be used in cases when a new issue is auctioned out over the exchange. OrderRestrictions <529>
Issuing/Buy-back Auction A call auction with the purpose of issuing new or buying back stock, bonds or other security. MatchType <574>
Last Delivery Date Specifies the last delivery date of the delivery period for a physically delivered instrument. EventType <865>
Last Intent Date Specifies the last date of the delivery period on which intents may be submitted for a physically delivered instrument. EventType <865>
Last Peg A pegged order specifying that the order should be priced relative to the last sale price. PegPriceType <1094>
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>
Locked Generally indicates that the current bid and offer prices are the same, a situation where a trade normally should have occurred. The rules for locked book situations are bilaterally agreed between counterparties. Also see Crossed. QuoteCondition <276>
Look-back Option The underlying price is set to the optimal value of the daily settlement prices over a specified period.
[from EP92]
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 operations Entered Trade Identifies an OTC (privately negotiated) trade is entered by a marketplace official on behalf of the reporting party. TradeCondition <277>
Market Or Better Indicates an order to buy or sell a stated amount of a security at the quoted market or better.
Market Peg A pegged order specifying that the order should be priced relative to the offer price if buying or bid price if selling. PegPriceType <1094>
Market Segment A subdivision of a market or marketplace that is setup and operates within that market. A market segment may be setup for a variety of reasons including (examples):
  • regulatory - e.g. separate derivatives trading from stock trading
  • membership - e.g. requiring separate membership or trading authorization
  • geographical - e.g. separate segments for various countries
  • separate venues - e.g. floor/pit trading vs. electronic
  • trading rules - e.g. different rules and behaviours that a market needs to support for the entities it offers to trade
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>
Median Price One type of average, found by arranging the values in order and then selecting the one in the middle. If the total number of values in the sample is even, then the median is the mean of the two middle numbers. The median is a useful number in cases where the distribution has very large extreme values which would otherwise skew the data. (Source: http://www.investorwords.com/). QuoteCondition <276>
Mid Price The average of a set of prices (not taking quantity into account). Also see Trading Session VWAP Price MDEntryType <269>
Mid-Price Peg (Midprice of inside quote) A pegged order specifying that the order should be priced relative to the mid-price of the inside quotes. PegPriceType <1094>
Most Recent Closing Yield The last available yield stored in history, computed using price. YieldType <235>
Multi asset class Multileg Trade Identifies that the trade occurred due to an equity / derivatives (or other multi asset class) combination, either in the legs or in a multileg order book. TradeCondition <277>
Multileg-to-Multileg Trade Identifies that a multileg order has executed against another multileg order in a multileg order book (i.e. the legs were not involved). TradeCondition <277>
Net Price Relevant for multileg orders. The price is given as the sum of the Price * Ratio for all legs.
  • If buying the strategy, the price of a bought leg (which is a buy-leg in the multileg definition) is added, and the price of a sold leg is subtracted.
  • If selling the strategy, the price of a bought leg (which is a sell-leg in the multileg definition) is subtracted, and the price of a sold leg is added.
MultilegPriceMethod <1378>
New A reserve order instruction to refresh using a quantity defined separately from the initial display quantity. DisplayMethod <1084>
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>
Next Roll Date Next roll date for a swap EventType <865>
No Cross The broker executing this trade is forbidden from taking the other side of the trade. Opposite of OK to Cross. ExecInst <18>
Non-standard settlement A Trade that deviates from the standard settlement and delivery period. TrdType <828>
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>
Odd Lot An amount of a security that is less than the normal unit of trading for that particular security. For stocks, any transaction less than 100 shares is usually considered to be an odd lot. (Source: Investopedia) LotType <1093>
Off Hours Trade A trade that occurs outside normal trading hours. Used to qualify privately negotiated trades (subject to regulations) TrdSubType <829>
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>
On Hours Trade A trade that occurs during normal trading hours. Used to qualify privately negotiated trades (subject to regulations) TrdSubType <829>
One Cancels the Other (OCO) An OCO order is an order whose execution results in the immediate cancellation of another order linked to it. Cancellation of the Contingent Order happens on a best efforts basis. In an OCO order, both orders are live in the marketplace at the same time. The execution of either order triggers an attempt to cancel the unexecuted order. Partial executions will also trigger an attempt to cancel the other order. ContingencyType <1385>
One-Party Report for Matching A trade report for one side of a privately negotiated trade. When both sides are reported the receiver matches and confirms the trade. TradeHandlingInstr <1123>
One-Party Report for Pass Through A trade report for one side of a privately negotiated trade. The receiver forwards a request to the counterparty who declines or accepts the trade. TradeHandlingInstr <1123>
One Triggers the Other (OTO) An OTO orders involves two orders—a primary order and a secondary order. The primary order is a live marketplace order. The secondary order, held in a separate order file, is not. If the primary order executes in full, the secondary order is released to the marketplace and becomes live. An OTO order can be made up of stock orders, option orders, or a combination of both. ContingencyType <1385>
One Touch Option One Touch further defines the terms, usually specific dates and times, for when the option will pay out in the context of a trigger price.
[from EP92]
One Updates the Other (OUO)

An OUO order is an order whose execution results in the immediate reduction of quantity in another order linked to it. The quantity reduction happens on a best effort basis. In an OUO order both orders are live in the marketplace at the same time. The execution of either order triggers an attempt to reduce the remaining quantity of the other order, partial executions included.

There are two sub-types of OUO orders:

  1. In the Proportional Quantity Reduction model, the quantity of the unfilled order is reduced proportionally to size of the order that got filled. Example:
    • Order A is for 100; Order B is for 50.
    • When order B is partially filled for 25 (50 %), order A is restated to a quantity of 50 (50 %).
  2. In the Absolute Quantity Reduction model, the quantity of the unfilled order is reduced with the fill size of the order that got filled. Example:
    • Order A is for 100; Order B is for 50.
    • When order B is partially filled for 25, order A is restated to a quantity of 75.

ContingencyType <1385>
Open An instruction to position keeping that the trade should open a new position. PositionEffect <77>
Open Average Yield The average yield of the respective securities in the portfolio. YieldType <235>
Opening Peg A pegged order specifying that the order should be priced relative to the opening price. PegPriceType <1094>
Opposite Sides of the legs are the opposite of their definition in the multileg instrument. Side <54>
Order imbalance, auction is extended Sides of the legs are the opposite of their definition in the multileg instrument. SecurityTradingEvent <1174>
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>
OTC Used to report into an exchange trades or prices that were agreed directly, outside of the exchange rules, between the counterparties ("over the counter") TrdType <828>
OTC Privately Negotiated A privately negotiated trade in a non-regulated product.
[from EP84]
TradeCondition <277>
OTC Quote A OTC trade that occurs as the result of a Quote Negotiation. Used to qualify privately negotiated trades (subject to regulations) TrdSubType <829>
Outside Spread A trade done outside the current spread of the book. Often allowed due to special considerations only. TradeCondition <277>
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>
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>
Peg to VWAP A pegged order specifying that the order should be priced relative to the VWAP price. PegPriceType <1094>
Peg Refresh An execution restatement reason indicating that the order is restated only because the pegged price was refreshed. ExecRestatementReason <378>
Pegged Order An order that acts like a limit order except that the limit price is set relativeto another price, such as the last sale price, midpoint price, opening price, bid, offer or VWAP (Volume Weighted Average Price).
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>
Portfolio Trade The reporting of the portfolio trade should be executed when the final leg of the transaction is completed. Used for trading an index vs. a cash basket. Certain market regulations require that participants repot a portfolio trade when the final leg of the transaction is completed. TrdType <828>
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>
Position Removal Date Specifies the date the firm positions will be removed for a financially (cash settled) delivered instrument. EventType <865>
Post-Close Trading status which denotes trading outside of normal hours for the security.
[from EP84]
SecurityTradingStatus <326>
Pre-listed only Instruments must be pre-listed ListMethod <1198>
Predefined Multileg Security An order for a multileg security that is already defined at the marketplace or with the receiver of the order.
Note: see Multileg Order section on predefined multileg security models.
MultilegModel <1377>
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>
Price Band Range (from-to or high-low) within which a valid price needs to be specified.
Price Volatility Interruption To ensure price continuity, continuous trading is interrupted by a volatility interruption whenever the potential execution price of an order lies outside the dynamic and/or static price range around a reference price. A volatility interruption triggers a change of trading form: e.g. continuous trading is interrupted and an auction is initiated. SecurityTradingEvent <1174>
Primary Peg A pegged order specifying that the order should be priced relative to the bid price if buying or offer price if selling. PegPriceType <1094>
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>
Random A reserve order instruction to refresh using a randomized display quantity. DisplayMethod <1084>
Recovery Rate The recovery rate for the underlying bond on a CDS in the case of a credit event.
[from EP83]
MDEntryType <269>
Recovery Rate Long In the case of a credit event the recovery rate on a long position for the bond underlying a CDS.
[from EP83]
MDEntryType <269>
Recovery Rate Short In the case of a credit event the recovery rate on a short position for the underlying bond on a CDS.
[from EP83]
MDEntryType <269>
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>
Repurchase Agreement Used to report both the initial deal and the repurchase. Allows regulators to connect the two.
Note that this "definition" is not for the standard business term. See online resources below.
TrdType <828>
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
Reset Barrier Option After hitting the barrier the next specified barrier goes into effect. The payoff depends on the maximum or minimum of the underlying price over the look-back period. The option becomes active (knock-in) or inactive (knock-out) based on a predetermined price level.
[from EP92]
Reversed Net Price

Relevant for multileg orders. This pricing convention is often used at commodities markets. The price is given as the sum of the Price * Ratio for all legs.

  • If buying the strategy, the price of a bought leg (which is a buy-leg in the multileg definition) is subtracted, and the price of a sold leg is added.
  • If selling the stategy, the price of a bought leg (which is a sell-leg in the multileg definition) is added, and the price of a sold leg is subtracted.

MultilegPriceMethod <1378>
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>
Rolling/Ratchet Barrier Option The option is issued with a sequence of barriers either all below (roll-down calls) or all above (roll-up puts) the current underlying price. Upon reaching each barrier the options strike is lowered for calls or raised for puts. The option is knocked-out at the last barrier.
[from EP92]
Round Lot Also known as as "Board Lot" or "Trade Lot". A standardized number of shares defined by a stock exchange as a trading unit. In most cases, this means 100 shares.
Source: www.investopedia.com
LotType <1093>
SEA Succession Event Adjustment quantity (SEA) is used to represent the position transferred from the source CDS position to the target CDS position due to a succession event on processing date.
[from EP83]
PosType <703>
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 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>
Simple Yield The yield of a bond assuming no reinvestment of coupon payments. (Act/360 day count) YieldType <235>
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:
  1. For an outright security trade, the "spread" price is the difference in yield between the object security and its benchmark - implied or explicit.
  2. 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.
  3. 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.
  4. 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 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. 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 above - 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
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>
Submission to Clearing The timestamp when the trade was officially acknowledged by the Clearing House
[from EP77]
SideTrdRegTimestampType <1013> TrdRegTimestampType <770>
Substitution of futures for forwards An OTC deal where the participants have agreed that the OTC deal will immediately be extinguished and replaced with a transaction in a regulated future.
[from EP84]
TrdType <828>
Succession Event An event in which one entity succeeds to the obligations of another entity due to a corporate action (as a result of operation or law or pursuant to any agreement), which may include events such as a merger, consolidation, an amalgamation, a transfer of assets or liabilities, a de-merger, a spin-off. CorporateAction <292>
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>
Swap Start Date Starting date of an interest rate swap. Corresponds to the roll date date EventType <865>
Swap End Date End date of an interest rate swap. Corresponds to the termination date EventType <865>
Swap Next Start Date Next starting date of an interest rate swap subsequent to the roll date EventType <865>
Swap Roll date Date on which a swap contract is rolled to the next period or start date. Corresponds to the Fixing Date on which the floating rate of the swap is set. EventType <865>
Swap Value Factor The daily change in Net Present Value of a swap trade or position. Used in calculating the mark-to-market amount. MDEntryType <269>
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>
Tradeable Indicator Specifies whether an instrument can be traded or not. InstrAttribType <871>
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>
Trade Confirmation A trade report confirming that a trade has been made. TradeHandlingInstr <1123>
Trading Session VWAP Price The volume weighted average price for a trading session. MDEntryType <269>
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>
Triggered or Activated by System An execution instruction that indicates that the sending system activated or updated the order. The triggering or activation is normally based on instructions provided in the original order – e.g. Stop order instructions. ExecType <150>
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>
Two-Party Report A trade report requesting the receiver to register both sides of a privately negotiated trade. TradeHandlingInstr <1123>
Two-Party Trade Report (privately negotiated trade) Specifies that the source for a trade report is a privately negotiated Two-Party Trade Report. MatchType <574>
Unacceptable Counterparty A counterparty not eligible for trading with the order or quote Initiatior. PartyRole <452>
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.
Up and In Option The option becomes active if the underlying price exceeds the specified barrier.
[from EP92]
Up and Out Option The option becomes inactive if the underlying price exceeds the specified barrier.
[from EP92]
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
User-defined Multileg Security An order for a multileg security where the user defines the security together with the order and that multileg security is made available to other actors. The lifetime of the multileg is bilaterally agreed between parties.
Note: see Multileg Order section on predefined multileg security models
MultilegModel <1377>
User-defined, Non-Securitized, Multileg A multileg order that does not involve securitization. The multileg is not made available to other parties and the order is represented only as implied-out prices. The multileg expires with the order.
Note: see Multileg Order section on predefined multileg security models
MultilegModel <1377>
User requested Instruments can be user requested as well as pre-listed. ListMethod <1198>
Value date The delivery or settlement date of a foreign exchange trade transaction.
Vanilla Payout Option The payout amount is determined by the difference between the strike and the underlying.
[from EP92]
Variable Tick Rule A cabinet order can trade in even increments that can be significantly different than a conventional tick increment. TickRuleType <1209>
Volume Weighted Average Price Volume Weighted Average Price is used for trades in which the price is set at a guaranteed VWAP. TrdType <828>
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 Difference The price of a strategy (multileg) order is given as a spread between the two legs. MultilegPriceMethod <1378>
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>

Other sources for definitions of financial terms include: