Detailed Changes to FIX for OATS - Data Dictionary

[Tag numbers for new fields and values for new enums allocated from FIX Repository on March 30, 2006]

Tag	Field Name	Action	Data type	Description
1028	ManualOrderIndicator	Add/New	Boolean	Indicates if the order was initially received manually (as opposed to electronically)
1029	CustDirectedOrder	Add/New	Boolean	Indicates if the customer directed this order to a specific execution venue (Y) or not (N). A default of N – customer didn’t direct this order – should be used in the case where the information is both missing and essential.
1030	ReceivedDeptID	Add/New	String	Identifies the Broker / Dealer Department that first took the order.
1031	CustOrderHandlingInst	Add/New	MultipleValueString	Codes that apply special information that the Broker / Dealer needs to report, as specified by the customer. For DeskTypeSource = 1 (NASD OATS), valid values are (as of OATS Phase 3, see also http://www.nasd.com/oats/PhaseIII for a complete list): ADD = Add-on Order AON = All or None CNH = Cash Not Held DIR = Directed Order E.W = Exchange for Physical Transaction FOK = Fill or Kill IO = Imbalance Only IOC = Immediate or Cancel LOO = Limit on Open LOC = Limit on Close MAO = Market at Open MAC = Market at Close MOO = Market on Open MOC = Market on Close MQT = Minimum Quantity NH = Not Held OVD = Over the Day PEG = Pegged RSV = Reserve Size Order S.W = Stop Stock Transaction SCL = Scale TMO = Time Order TS = Trailing Stop WRK = Work NOTE: Values in this field can overlap in meaning with other FIX fields, however this field is intended for compliance reporting purposes only. It is not intended to modify the execution or handling of the order in any way.
1032	OrderHandlingInstSource	Add/New	int	Identifies the class or source of the “OrderHandlingInst” values. Scope of this will apply to both CustOrderHandlingInst and DeskOrderHandlingInst fields. Required if CustOrderHandlingInst and/or DeskOrderHandlingInst is specified. Valid values: 1 = NASD OATS
1033	DeskType	Add/New	String	Identifies the type of Trading Desk. For DeskTypeSource = 1 (NASD OATS), valid values are (see also http://www.nasd.com/oats/PhaseIII ): A = Agency AR =Arbitrage D = Derivatives IN = International IS = Institutional O = Other PF = Preferred Trading PR = Proprietary PT = Program Trading S = Sales T = Trading
1034	DeskTypeSource	Add/New	int	Identifies the source of DeskType values. valid values: 1 = NASD OATS
1035	DeskOrderHandlingInst	Add/New	MultipleValueString	Codes that apply special information that the Broker / Dealer needs to report, as specified by the Broker / Dealer’s desk. same values as CustomerOrderHandlingInst

A Usage Example

Below is an exmple of the TrdRegTimestamp component block with the OATS Phase 3 fields included.

768	NoTrdRegTimestamps		N	“NoDesks”
à	769	TrdRegTimestamp	N	Required if NoTrdRegTimestamps > 0 “Receive Time”
à	770	TrdRegTimestampType	N	Required if NoTrdRegTimestamps > 0 Traded / Regulatory timestamp type. Valid values: 1 = Execution Time 2 = Time In 3 = Time Out 4 = Broker Receipt [“OrderReceivedTimestamp”] 5 = Broker Execution 6 = Desk Receipt
à	771	TrdRegTimestampOrigin	N	“DeskID”
à	1033	DeskType	N	For DeskTypeSource = 1 (NASD OATS), valid values are: A = Agency AR =Arbitrage D = Derivatives IN = International IS = Institutional O = Other PF = Preferred Trading PR = Proprietary PT = Program Trading S = Sales T = Trading
à	1034	DeskTypeSource	N	valid values: 1 = NASD OATS
à	1035	DeskOrderHandlingInst	N	For DeskTypeSource = 1 (NASD OATS), valid values are: ADD = Add-on Order AON = All or None CNH = Cash Not Held DIR = Directed Order E.W = Exchange for Physical Transaction FOK = Fill or Kill IO = Imbalance Only IOC = Immediate or Cancel LOO = Limit on Open LOC = Limit on Close MAO = Market at Open MAC = Market at Close MOO = Market on Open MOC = Market on Close MQT = Minimum Quantity NH = Not Held OVD = Over the Day PEG = Pegged RSV = Reserve Size Order S.W = Stop Stock Transaction SCL = Scale TMO = Time Order TS = Trailing Stop WRK = Work

Here is a comprehensive example of the use of the OATS Phase 3 fields.

A customer order was received by telephone at 2:00:07 PM EST to be executed as a "Not Held" order. The order was passed to the New York Institutional desk, which received it at 2:00:42 PM EST, and a trader chose to route it as an "All or None" order. The resulting order could appear as follows:

ManualOrderIndicator(1028)=Y	//received manually
CustDirectedOrder(1029)=N	//customer did not direct it to an execution venue
CustOrderHandlingInst(1031)=NH	//Not Held, customer's handling instruction
OrderHandlingInstSource(1032)=1	//NASD OATS is handling instruction source
NoTrdRegTimestamps(768)=2
TrdRegTimestamp(769)=20061209-19:00:07	//Broker Receipt time in UTC
TrdRegTimestampType(770)=4	//Broker Receipt
TrdRegTimestamp(769)=20061209-19:00:42	//Desk Receipt time in UTC
TrdRegTimestampType(770)=6	//Desk Receipt
TrdRegTimestampOrigin(771)=NYINST	//Desk ID
DeskType(1033)=IS	//Instutional desk
DeskTypeSource(1034)=1	//NASD OATS source code
DeskOrderHandlingInst(1035)=NH AON	//Desk's order handling inst, "not held" and "AON"