Cboe DXE Enumerations

Cboe DXE is Cboe’s institutional equities trading book, providing trading across 23 European markets.

The following fields have Enumerations:

• BOOK_TYPE - Type of order book or trading mechanism through which a trade was executed.

• LATE_REPORTED - Indicates whether a trade was reported late and/or outside normal trading hours

• MKT_PHASE - Indicates the instrument’s current market phase, as specified by the trading venue

• 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_OFF_BOOK_AUTO_IND - Identifies whether an off-book trade report was executed via a manual or automated process.

• 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).

• TRADE_PERIOD - Market period during which a trade was executed.

• TRADE_TYPE - Type of trade

BOOK_TYPE - Enumeration

Enumeration ID	Enumeration Description
0	Lit order book
1	Off-book
2	Dark book
6	Auction book

LATE_REPORTED - Enumeration

Enumeration ID	Enumeration Description
-	Not reported late or outside hours
1	Reported late
2	Reported outside the main trading session
3	Reported late and outside the main trading session

MKT_PHASE - Enumeration

Enumeration ID	Enumeration Description
1	Closed
2	No reference price
3	Suspended
4	Trading
5	Volatility interruption
7	Off-book trade reporting
8	Opening auction
9	Closing auction
10	Regulatory halt
11	Market order imbalance
12	Cboe Closing Cross
13	Volatility auction

MMT_ALGO_IND - Enumeration

Enumeration ID	Enumeration Description
-	Not an algorithmic trade
H	Algorithmic trade

MMT_BENCHMARK_IND - Enumeration

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
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

MMT_CROSS_IND - Enumeration

Enumeration ID	Enumeration Description
-	Not a cross trade
X	Agency cross trade

MMT_DEFERRAL_TYPE - Enumeration

Enumeration ID	Enumeration Description
-	No deferral / unspecified

MMT_DIVIDEND_IND - Enumeration

Enumeration ID	Enumeration Description
-	Not applicable
E	Ex-/cum-dividend

MMT_DUP_IND - Enumeration

Enumeration ID	Enumeration Description
-	Unique trade report
1	Duplicative trade reported to more than one APA

MMT_MKT_MECH - Enumeration

Enumeration ID	Enumeration Description
1	Central Limit Order Book
3	Dark Book
4	Off Book
5	Periodic Auction
7	Hybrid / Other
8	Hybrid
9	Other

MMT_MOD_IND - Enumeration

Enumeration ID	Enumeration Description
-	New trade
A	Amended trade
C	Trade cancellation

MMT_NEGOTIATED_IND - Enumeration

Enumeration ID	Enumeration Description
-	Not a negotiated trade
1	Negotiated trade in liquid instruments
2	Negotiated trade in illiquid instruments
3	Negotiated trade subject to conditions other than the current 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
7	OTC trade larger than LIS brought onto a venue
8	Negotiated trade with pre-trade transparency waiver
9	Large in Scale OTC negotiated trade in liquid instruments brought onto a venue
a	Large in Scale OTC negotiated trade in illiquid instruments brought onto a venue
b	Large in Scale OTC negotiated trade subject to conditions other than the current market price and brought onto a venue
c	Large in Scale OTC negotiated trade with pre-trade transparency waiver brought onto a venue
N	Negotiated trade

MMT_OFF_BOOK_AUTO_IND - Enumeration

Enumeration ID	Enumeration Description
-	Not applicable
M	Off-book manual
Q	Off-book automated

MMT_PRICE_FORMING_IND - Enumeration

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 not applicable

MMT_PUB_MODE - Enumeration

Enumeration ID	Enumeration Description
-	Immediate publication
1	Delayed publication (including 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)
G	Deferral for ETCs / ETNs / SFPs / emission allowances

MMT_TRANS_CAT - Enumeration

Enumeration ID	Enumeration Description
-	No condition
D	Dark trade
R	Trade receiving price improvement
Z	Package trade

MMT_TRD_MODE - Enumeration

Enumeration ID	Enumeration Description
2	Continuous trading
3	Trading at market close
4	Outside Hours trading
5	Trade reporting (On-exchange)
I	Intraday auction
K	Closing auction
O	Opening auction
P	On Demand auction
U	Unscheduled auction

TRADE_PERIOD - Enumeration

Enumeration ID	Enumeration Description
A	Auction
C	Closing Auction
I	Intraday Auction
O	Opening Auction
T	Trading at last price
U	Unscheduled Auction
c	Post-close auction
p	Auction initiated by market participant
-	Regular trading

TRADE_TYPE - Enumeration

Enumeration ID	Enumeration Description
0	Standard trade (non-displayed order execution)
1	Standard trade (lit order execution)
2	Dark book trade
3	Off-book trade