Description

Type: int

Traded / Regulatory timestamp type.

Note of Applicability: values are required in US futures markets by the CFTC to support computerized trade reconstruction.

Valid values:

  • 1 = Execution Time
  • 2 = Time In

    Timestamp for receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp of when the order was received on the trading floor (booth).

  • 3 = Time Out

    Timestamp for sending an order, quote or trade. In the context of US futures markets (CFTC) this is the timestamp when the trade was received from the pit.

  • 4 = Broker Receipt

    Timestamp for a broker receiving an order, quote or trade. In the context of US futures markets (CFTC) this is the time at which the broker received the order.

  • 5 = Broker Execution

    Timestamp for the broker executing an order. In the context of US futures markets (CFTC regulated) this is the time at which a broker executed the order for another broker.

  • 6 = Desk receipt

    Timestamp for the transmission of an order to an internal desk or department on the same day the firm received the order.

  • 7 = Submission to Clearing

    The timestamp when the trade was officially acknowledged by the Clearing House.

  • 8 = Time priority

    A timestamp (manually or electronically) assigned by a market to specify time priority for an order or quote.

  • 9 = Orderbook entry time

    Timestamp for an order representing the time it was entered in the orderbook of the execution venue. The orderbook entry time cannot change during the lifetime of the order.

  • 10 = Order submission time

    Time the order was sent by the submitter.

  • 11 = Publicly reported

    In the context of MiFID II, this is used to identify the time at which the transaction was first published to the market.

  • 12 = Public report updated

    In the context of MiFID II, this is used to identify the time at which the transaction's publication to the market was last updated

  • 13 = Non-publicly reported
  • 14 = Non-public report updated
  • 15 = Submitted for confirmation
  • 16 = Updated for confirmation
  • 17 = Confirmed
  • 18 = Updated for clearing
  • 19 = Cleared
  • 20 = Allocations submitted
  • 21 = Allocations updated
  • 22 = Allocations completed
  • 23 = Submitted to repository
  • 24 = Post-trade continuation event
  • 25 = Post-trade valuation
  • 26 = Previous time priority

    Can be used in conjunction with TrdRegTimestampType <770> = 8 (Time priority) to provide the current and last priority timestamp in a single message.

  • 27 = Identifier assigned

    Timestamp for the assignment of a (unique) identifier to an entity (e.g. order, quote, trade).

  • 28 = Previous identifier assigned

    Timestamp of previous assignment of a (unique) identifier to an entity (e.g. order, quote, trade).

  • 29 = Order cancellation time

    Timestamp for the cancellation of an order or quote.

  • 30 = Order modification time

    Timestamp for the modification of an order or quote.

  • 31 = Order routing time

    Timestamp for the routing of an order to another broker or electronic execution venue.

  • 32 = Trade cancellation time

    Timestamp for the cancellation of an execution (ExecType <150> = H (Trade Cancel)) or trade (TradeReportType <856> = 6 (Trade Report Cancel)).

  • 33 = Trade modification time

    Timestamp for the modification of an execution (ExecType <150> = G (Trade Correct)) or trade (TradeReportType <856> = 5 (No/Was)).

  • 34 = Reference time for NBBO

    Timestamp for an NBBO reference price.

Used In