Wednesday, July 27, 2011

top 10 fields in NOS ^ exec report

---- top 5 fields common to NOS (NewOrderSingle) and exec report ---
#1) 22 securityIDSource. Notable enum values
1 = CUSIP
5 = RIC code
*** 48 SecurityID, Requires tag 22 ==NOS/exec
*** 55 optional human-readable symbol ==NOS/exec

#2) 54 side. Notable enum values
1 = Buy
2 = Sell

#3) 40 ordType. Notable enum values
1 = Market order
2 = Limit order

#4) 59 TimeInForce. Notable enum values
0 = Day (or session)
1 = Good Till Cancel (GTC)
3 = Immediate Or Cancel (IOC)
4 = Fill Or Kill (FOK)

---- other fields common to NOS and exec type
*11 ClOrdID assigned by buy-side
*49 senderCompID
*56 receiving firm ID
*38 qty
*44 price



---- exec report top 5 fields
* 150 execType
* 39 OrdStatus. Notable enum values
0 = New
1 = Partially filled
2 = Filled

* OrderID assigned by sell-side. Not in NOS. Less useful than the ClOrdID

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