4.2 Data fields related to order details

This section includes the following fields:

_{M = mandatory; O = optional; - = does not apply; * = conditionally required; DV = default value specified in TRUM}

 Data Field (13) Order ID

This field identifies the unique order ID as specified by the organised market place to identify the order to trade.

When reporting an order ID from an organised market place, the ID should be unique for that contract and for that organised market place. The order ID shall be maintained throughout the lifecycle of the order. If an order is reported with an ID when it is reported as new, the same ID shall be used to identify the order throughout the remainder of its lifecycle.

Data Field (14) Order type

Every order shall have a type as defined within the list below. Orders might be of various types at the same time, however only a single order type is allowed to be reported within the order report. In case of an order where multiple order types might apply– as defined by the functionality offered by the organised market place – reporting parties shall select the single order type among the accepted values best representing the key characteristic of the order. In case of doubt, reporting parties are invited to consult the FAQs and then to contact the Agency for further guidance rather than choosing the value ‘OTH’.

BLO = Block: an order which is linked to one or more other orders for the purpose of trading (that must have the same price and the same quantity according to the trading venue’s rules) irrespective of whether the periods (e.g. half hours, hours) are contiguous.

CON = Convertible: an order which under market conditions may be converted from a block order to a single hourly order.

COM = Combination: an order which refers to two or more orders concerning different series and where the respective orders are executed simultaneously.

EXC = Exclusive: a complex order type where the linked order is the exclusive order, i.e. only one of the orders can be transacted.

FHR = Flexible Hour: a specific order that can trade at any hour provided that the price and volume are matched.

IOI = Indication of Interest: quotations on trading venues such as Indication of Interest advertised on the screens of the organised market places.

LIM = Limit: an order submitted with a specified limit price; the order executes either in part or in full at its limit price or better.

LIN = Linked: an order where there is a dependency on/from another order for choosing to trade either one or the other or both orders.

LIS = Linear Step: an order where the specified step range is matched linearly.

MAR = Market: an unpriced order that will execute against the best priced orders.

MTL = Market to Limit: a market order that executes at the best price. In case the MTL order is partially matched, the remaining part is cancelled, and then reinserted in the order book with order condition LIM (limit order) and price equal to the one at which the matched portion was executed.

SMA = Smart Order: an order can be either against a financial or physical contract.

SPR = Spread: an order where the order contains more than one contract e.g. taking either long or short position in different contracts.

STP = Step: an order which defines a specific step range or step price.

VBL = Variable Block: an order in which the block quantity and/or price can vary, e.g. different quantity at different hours.

OTH = Other: an order that has not been identified by one of the existing order types. ‘Other’ shall be adopted only exceptionally.

Data Field (15) Order condition

This field identifies the conditions applied to the order at the time of the lifecycle event (new, modify, cancel, terminate) for the order. It indicates the special behaviours of the order types in combination with the order definition and the specific lifecycle event of the order.

AON = All or None: an order which must fill in full otherwise it will remain on the book until the entire volume has been matched.

FAF = Fill and Float: an order which will be killed immediately after matching with any available volume on the order book; if not filled at all, it stays in the market.

FAK = Fill and Kill: an order which must be filled as much as possible immediately upon entry; otherwise, it is removed from the order book.

FOK = Fill or Kill: an order which must fill immediately in full when it is entered into the book; otherwise, it will be removed without trading.

HVO = Hidden Volume: an order that has a hidden quantity, which is part of the total quantity of the order.  

MEV = Minimum Execution Volume: an order which specifies a minimum volume of the order that has to be matched to allow trading.

OCO = One Cancels Other: an order which if triggered cancels another order.

PRE = Preference: an order which will trade with a specific participant or participants in preference of others.

PRI = Priority: an order which has a priority obligation for trading, i.e. it cannot trade with a participant within its own group.

PTR = Price Trigger: an order which will not be available for execution unless a specific trigger price is reached, similar to a Stop Loss, but may be triggered across product pricing, i.e. the price trigger may be based on a different contract or index.

SLO = Stop Loss Order: an order that is submitted to the market as a limit order or market order once a certain price condition of an instrument is met.

OTH = Other: an order that has not been identified by one of the existing order condition. ‘Other’ shall be adopted only exceptionally.

Data Field (16) Order status

This field identifies the status of the order. Every order should have a status as defined by the list of order status below. Only a single order status is expected to be reported within the order report.

ACT = Active: the order has been activated by the system or market participant and is visible to the market (if an order is not activated in the order book, e.g. “Iceberg” created but inactive or Stop Loss Order (‘SLO’) not activated, it is not reportable until activation).

COV = Converted: converted a block order or variable block order which has been converted into a single order. For example, if Order type (Data field (14)) has been converted from ‘BLO’ (Block) or ‘VBL’ (Variable Block) to a single order, the consequence of that event is reporting lifecycle event ‘Modify’ to indicate the change of the order status to ‘COV’ (Converted).  

EXP = Expired: the order has expired as per its order duration or order conditions.An order with ‘EXP’ status shall be reported with the remaining quantity/volume.

MAC = Matched: the order’s quantity/volume has been fully matched (filled) by another order. An order with ‘MAC’ order status contains the total matched quantity/volume (e.g. in Data Field (40) Quantity/Volume) and the transaction time of matching. The same timestamp should be reflected in the corresponding trade record being linked to that order.

PMA = Partial Matched: the order’s quantity/volume has been partially matched (filled) by another order. An order with ‘PMA’ status shall be reported with the remaining quantity/volume left for further trading (e.g. in Data Field (40) Quantity/Volume) and not with the matched quantity/volume. The matched quantity/volume should be populated (e.g. in Data Field (40) Quantity/Volume) in the corresponding trade record which has the same transaction timestamp as the matched order to which it is linked.

REF = Refilled: the order has had the hidden or undisclosed quantity refilled to provide visible volume for the order to trade. For example if Order condition in Data Field (15) indicates that an order has Hidden Volume (‘HVO’), e.g. an “Iceberg” order, and provided that the total quantity/volume has been refilled from the Undisclosed Volume (Data Field (19)) as a consequence of the execution of the disclosed volume (visible to the market), this will be reported as a lifecycle event ‘Modify’ to indicate the change of Order status to ‘REF’ (Refilled).

SUS = Suspended: an order which has been temporarily or permanently suspended from trading by the system (e.g. an exceptional event of IT system failure) or by the organised market place (e.g. due to the suspension of a trading agent or trading portfolio), but not by participant or order condition or duration. An order with status ‘SUS’ shall be reported with the suspended quantity/volume.

WIT = Withdrawn: an order has been withdrawn from the market by the participant (withdrawal based on the business decision of the participant). An order with status ‘WIT’ shall be reported with the withdrawn quantity/volume.

OTH = Other: an order that has not been identified by one of the existing order status. ‘Other’ shall be adopted only exceptionally.

Data Field (17) Minimum execution volume

This field identifies the minimum execution volume of the order which has to be matched for the order to be executed. This field shall only be populated if the order condition Data Field (15) is Minimum Execution Volume “MEV”.

The minimum execution volume of the order shall be expressed in the same unit of measurement in which the quantity or energy volume (delivery capacity) for the contract (reported in Data Field (40)) has been expressed, i.e., same unit of measurement as reported in Data Field (42). 

Data Field (18) Price limit

This field identifies the defined price limit for a trigger or stop loss order that causes the order to either enter into the order book or to be withdrawn from the order book. This field shall only be populated if the order condition Data Field (15) is Price Trigger “PTR” or Stop Loss “SLO”.

Data Field (19) Undisclosed volume

This field identifies the “undisclosed” or “hidden” volume of the order as provided to the organised market place. The volume entered in this field is the volume of the order which is not visible to the market. This field applies to those orders that have an order condition Data Field (15) Hidden Volume “HVO” (e.g. Iceberg Orders).

The undisclosed volume of the order shall be expressed in the same unit of measurement in which the quantity or energy volume (delivery capacity) for the contract (reported in Data Field (40)) has been expressed, i.e., same unit of measurement as reported in Data Field (42). 

Data Field (20) Order duration

This field identifies the duration of the order, i.e. the time for which the order exists within the system until it is removed or cancelled unless it is executed. For example, an order can be active during the trading session for the day or until it is cancelled.

DAY = Day: an order which persists for the current day only.

GTC = Good Till Cancelled: an order which persists until the market participant cancels the order or it reaches the system maximum duration.

GTD = Good Till Date: an order which persists until a specified date.

GTT = Good Till Time: order which persists until a specified time and date.

SES = Session: an order which persists only within the current trading session or until gate closure.

OTH = Other: an order duration that has not been identified by one of the existing order duration types. ‘Other’ shall be adopted only exceptionally.