European Consolidated Equities Enumerations#
This is a consolidated feed providing trade data and best bid/offer across European equity markets, giving a unified view of the European equity landscape.
The following fields have Enumerations:
AGGRESSOR_SIDE - Indicates whether a trade resulted from an incoming buy or sell order.
BOOK_TYPE - Type of order book or trading mechanism through which a trade was executed.
MMT_ALGO_IND - Identifies whether a trade involved an algorithmic order.
MMT_BENCHMARK_IND - Identifies whether a trade was priced according to a defined benchmark (e.g. VWAP) or reference price (e.g. midpoint of the primary market BBO), or whether it was part of a trade in multiple instruments (contingent trade or portfolio trade).
MMT_CROSS_IND - Identifies agency cross trades, where a broker crossed two client orders outside the order book.
MMT_DEFERRAL_TYPE - Type of publication deferral or subsequent enrichment applied to a trade report.
MMT_DIVIDEND_IND - Identifies whether a trade includes special dividend arrangements, e.g. a trade sold cum-dividend during an ex-dividend period.
MMT_DUP_IND - Identifies trades reported to more than one Approved Publication Arrangement.
MMT_MKT_MECH - Market mechanism through which a trade was executed.
MMT_MOD_IND - Identifies trade cancellations, or amendments of a previous trade.
MMT_NEGOTIATED_IND - Indicates privately negotiated trades, or Systematic Internaliser trades exempt from pre-trade transparency.
MMT_PRICE_FORMING_IND - Identifies whether a trade is price-forming, or contributes to the price discovery process.
MMT_PUB_MODE - Identifies whether a trade was subject to delayed publication, and the reason for the deferral.
MMT_TRANS_CAT - Identifies various special categories of trade.
MMT_TRD_MODE - Trading period during which an on-book trade was executed, or origin of an off-book trade report (on-exchange / off-exchange / SI).
OMD_STATUS - Indicates an instrument’s current trading status. Values are normalized across all DBs.
TRADE_PERIOD - Market period during which a trade was executed.
TRADE_TYPE - Type of trade
Enumeration ID |
Enumeration Description |
|---|---|
‘””’ |
Undefined (e.g. auction trades, off-book trades) |
B |
Buy |
S |
Sell |
Enumeration ID |
Enumeration Description |
|---|---|
0 |
Lit order book |
1 |
Off-book |
2 |
Dark book |
5 |
Buy-in / Sell-out book |
6 |
Auction book |
9 |
Off-exchange |
Q |
Quote-driven trading |
R |
Request for Quote |
‘””’ |
Not applicable |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Not an algorithmic trade |
H |
Algorithmic trade |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Not a benchmark trade |
1 |
Benchmark trade executed at the closing price |
2 |
Portfolio trade + benchmark trade executed at the closing price |
3 |
Contingent trade + benchmark trade executed at the closing price |
4 |
Contingent trade + portfolio trade + benchmark trade executed at the closing price |
6 |
Reference price trade executed at the closing price |
B |
Benchmark trade |
C |
Contingent trade |
M |
Benchmark trade + contingent trade |
N |
Contingent trade + portfolio trade |
O |
Benchmark trade + contingent trade + portfolio trade |
P |
Portfolio trade |
S |
Reference price trade |
Y |
Benchmark trade + portfolio trade |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Not a cross trade |
X |
Agency cross trade |
M |
Matched principal trade |
Enumeration ID |
Enumeration Description |
|---|---|
- |
No deferral / unspecified |
1 |
Limited details |
2 |
Daily aggregated trade |
3 |
Volume omission trade |
4 |
4 weeks aggregated trade |
5 |
Indefinite aggregated trade |
6 |
Volume omission trade eligible for enrichment in aggregated form |
7 |
Full details of earlier Limited Details trade |
8 |
Full details of earlier Daily Aggregated trade |
9 |
Full details of earlier Volume Omission trade |
J |
Volume omission trade for sovereign bonds |
K |
4 weeks aggregated trade for sovereign bonds |
L |
Full details of earlier Volume Omission sovereign bond trade |
M |
Full details of earlier Aggregated sovereign bond trade |
V |
Full details of 4 Weeks Aggregated trade |
W |
Full details of Volume Omission trade eligible for enrichment in aggregated form |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Not applicable |
E |
Ex-/cum-dividend |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Unique trade report |
1 |
Duplicative trade reported to more than one APA |
2 |
Intra-group trade |
3 |
Duplicative intra-group trade report |
4 |
Cross-border duplicative trade report |
5 |
Duplicative report within jurisdiction + cross-border duplicative trade report |
6 |
Intra-group trade + duplicative within jurisdiction + cross-border duplicative trade report |
7 |
Intra-group trade + cross-border duplicative trade report |
Enumeration ID |
Enumeration Description |
|---|---|
1 |
Central Limit Order Book |
2 |
Quote-Driven Market |
3 |
Dark Book |
4 |
Off Book |
5 |
Periodic Auction |
6 |
Request for Quote |
7 |
Hybrid / Other |
8 |
Hybrid |
9 |
Other |
- |
Not applicable (e.g. valuation trades) |
Enumeration ID |
Enumeration Description |
|---|---|
- |
New trade |
A |
Amended trade |
C |
Trade cancellation |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Not applicable |
1 |
Negotiated trade in liquid instruments |
2 |
Negotiated trade in illiquid instruments |
3 |
Negotiated trade subject to conditions other than the market price |
4 |
Pre-trade transparency waiver for illiquid instrument on an SI |
5 |
Pre-trade transparency waiver for trade larger than Standard Market Size on an SI |
6 |
Pre-trade transparency waivers for trade larger than Standard Market Size on an SI and illiquid instrument on an SI |
7 |
Large in Scale OTC trade brought onto a venue |
8 |
Negotiated trade with pre-trade transparency waiver |
9 |
Large in Scale OTC trade in liquid instruments brought onto a venue |
a |
Large in Scale OTC trade in illiquid instruments brought onto a venue |
b |
Large in Scale OTC trade subject to conditions other than the current market price and brought onto a venue |
c |
Large in Scale OTC trade with pre-trade transparency waiver brought onto a venue |
N |
Negotiated trade |
Enumeration ID |
Enumeration Description |
|---|---|
J |
Trade not contributing to the price discovery process |
N |
Price not available but pending |
P |
Plain vanilla (price-forming) trade |
T |
Non-price forming (technical) trade |
Z |
Price is not applicable |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Immediate publication |
1 |
Delayed publication / late reported |
2 |
Deferred publication (Large in Scale) |
3 |
Deferred publication (illiquid instrument) |
4 |
Deferred publication (size specific to instrument) |
5 |
Deferred publication (illiquid instrument and size specific to instrument) |
6 |
Deferred publication (illiquid instrument and Large in Scale) |
A |
Deferred publication (medium size liquid market) |
B |
Deferred publication (medium size illiquid market) |
C |
Deferred publication (large size liquid market) |
D |
Deferred publication (large size illiquid market) |
E |
Deferred publication (very large size liquid market) |
F |
Deferred publication (very large size illiquid market) |
G |
Deferral for ETCs / ETNs / SFPs / emission allowances |
Enumeration ID |
Enumeration Description |
|---|---|
- |
Not applicable |
D |
Dark trade |
G |
RFMD give-up trade |
H |
Exchange for physical + RFMD give-up trade |
R |
Trade receiving price improvement |
Y |
Exchange for physical |
Z |
Package trade |
Enumeration ID |
Enumeration Description |
|---|---|
1 |
Auction |
2 |
Continuous trading |
3 |
At Market Close trading |
5 |
Trade reporting (on-exchange) |
6 |
Trade reporting (off-exchange) |
7 |
Trade reporting (Systematic Internaliser) |
8 |
Other |
I |
Intraday auction |
K |
Closing auction |
O |
Opening auction |
P |
On Demand auction |
U |
Unscheduled auction |
- |
Not applicable |
Enumeration ID |
Enumeration Description |
|---|---|
A |
Auction |
B |
Break / Pause |
C |
Closing auction |
D |
Delisted / Pending deletion |
H |
Halted |
I |
Scheduled intraday auction |
M |
Mandatory quoting period |
N |
New instrument / Pre-listing |
O |
Opening auction |
P |
Pre-market |
Q |
Indicative quoting period |
R |
Off-book trade reporting |
S |
Suspended |
T |
Continuous trading |
U |
Unscheduled auction |
c |
Closed |
i |
IPO / Public offering auction |
n |
No market phase / Unspecified |
o |
Order management |
p |
Post-market |
t |
Trading at last price |
Enumeration ID |
Enumeration Description |
|---|---|
A |
Auction |
C |
Closing Auction |
E |
Extended hours (early session) |
I |
Intraday Auction |
L |
Extended hours (late session) |
O |
Opening Auction |
P |
Public offering / buyback auction |
T |
Trading at last price |
U |
Unscheduled Auction |
c |
Post-close auction |
e |
Extended hours |
o |
Opening auction (extended hours) |
p |
Auction initiated by market participant |
u |
Unscheduled auction (extended hours) |
- |
Regular trading |
‘””’ |
Not applicable |
Enumeration ID |
Enumeration Description |
|---|---|
‘””’ |
As for underlying venues |