Date

Timestamp

Event

Type

Ticker

Price

Quantity

Exchange

Conditions

20200128

09:30:00.004925261

TRADE

AAPL

312.38

58

ARCA

80000401

20200128

09:30:00.005027389

QUOTE BID

AAPL

312.33

100

NASDAQ PSX

00000001

20200128

09:30:00.005027389

QUOTE ASK

AAPL

326.72

100

NASDAQ PSX

00000001

20200128

09:30:00.005027389

QUOTE BID NB

AAPL

312.33

100

NASDAQ PSX

00000001

20200128

09:30:00.005027389

QUOTE ASK NB

AAPL

312.38

100

NASDAQ

00000001

20200128

09:30:00.005417423

QUOTE BID

AAPL

312.1

200

BATS

00000001

20200128

09:30:00.005417423

QUOTE ASK

AAPL

325.1

100

BATS

00000001

20200128

09:30:00.005429507

QUOTE BID

AAPL

312.27

100

EDGX

00000001

Field

Type (Format)

Description

Date

string (yyyymmdd)

Trading date in yyyymmdd format

Timestamp

string (HH:MM:SS.mmm or HH:MM:SS.mmmuuunnn)

Event timestamp in nanoseconds (milliseconds before 2016).
Excel Note: Excel displays incorrect timestamps unless the Timestamp column is imported as text.

EventType

string

The type of event

Ticker

string

Symbol name

Price

decimal

The price of Bid, Ask, or Trade. It can be up to 4 decimal places for sub-penny prices.

Quantity

integer

The number of shares. For some event types, this can be 0.

Exchange

string

The exchange or reporting venue

Conditions

hexadecimal (base 16)

Conditions applicable to the trade/quote

Event Type

Description

QUOTE BID

Exchange’s best bid quote. Change in a market center’s best bid

QUOTE BID NB

Bid from an Exchange creating a new best bid quote in the NBBO

QUOTE ASK

Exchange’s best ask quote. Change in a market center’s best ask

QUOTE ASK NB

Ask from an Exchange creating new best ask quote in the NBBO

TRADE

Trade at the exchange or reported to a market center

TRADE NB

Trade at or within the NBBO

TRADE CANCELLED

Previous trade cancellation (reduce total traded volume by this amount). Trade corrections are constructed as a cancellation of the previous trade with the corrected trade following the cancellation

TRADE NB  CANCELLED

Previous NBBO trade cancellation

Date

Timestamp

Event

Type

Ticker

Price

Quantity

Exchange

Conditions

20200128

09:30:00.015301676

QUOTE ASK

AAPL

312.48

200

NASDAQ

00000001

20200128

09:30:00.015301676

QUOTE BID NB

AAPL

312.33

100

NASDAQ PSX

00000001

20200128

09:30:00.015301676

QUOTE ASK NB

AAPL

312.48

200

NASDAQ

00000001

Date

Timestamp

Event

Type

Ticker

Price

Quantity

Exchange

Conditions

20200128

16:00:00.035774951

QUOTE BID

AAPL

0.00

0

NYSE

00000001

20200128

16:00:00.035774951

QUOTE ASK

AAPL

0.00

0

NYSE

00000001

Exchange Name

SIP Market Center ID

algoseek Value

NYSE Group of Exchanges

1

New York Stock Exchange LLC

N

NYSE

2

NYSE Arca, Inc.

P

ARCA

3

NYSE American, LLC

A

AMEX

4

NYSE National, Inc.

C

NSE

5

NYSE Chicago, Inc.

M

CSE

Nasdaq Group of Exchanges

6

Nasdaq, Inc.

T (CTS) / Q (UTP)

Nasdaq

7

Nasdaq BX, Inc.

B

Nasdaq BX

8

Nasdaq PHLX LLC

X

NASDAQ PSX

9

Nasdaq ISE, LLC

I

ISE

CBOE Group of Exchanges

10

Cboe Exchange, Inc.

W

CBOE

11

Cboe BYX Exchange, Inc.

Y

BATS Y

12

Cboe BZX Exchange, Inc.

Z

BATS

13

Cboe EDGA Exchange, Inc.

J

EDGA

14

Cboe EDGX Exchange, Inc.

K

EDGX

Independent Venues

15

Investors’ Exchange LLC (IEX)

V

IEX

16

Long-Term Stock Exchange (LTSE)

L

LTSE

17

MIAX Pearl, LLC (MIAX)

H

MIAX

18

MEMX LLC (MEMX) (Member’s Exchange)

U

MEMX

19

Financial Industry Regulatory Authority

D

FINRA

Other Values

20

Unknown

UNKNOWN

21

Invalid

INVALID

Bit Mask Position

Flags

Description

Settlement Type

0

tRegular

A trade made without stated conditions is deemed as a regular way for settlement on the third business day following the transaction date.

1

tCash

A transaction which requires delivery of securities and payment on the same day the trade takes place.

2

tNextDay

A transaction that requires the delivery of securities on the first business day following the trade date.

3

tSeller

A Seller’s Option transaction gives the seller the right to deliver the security at any time within a specific period, ranging from not less than two calendar days, to not more than sixty calendar days. A security offered “Seller’s Option” may command a lesser price than if offered “Regular Way”.

4

tYellowFlag

Market centers will have the ability to identify regular trades being reported during specific events as out of the ordinary by appending a new sale condition code Yellow Flag (“Y”) on each transaction reported to the UTP SIP. The new sale condition “Y” will be eligible to update all market centers and consolidated statistics.

Reason for Trade-Through Exemption

5

tIntermarketSweep

The transaction that constituted the trade-through was the execution of an order identified as an Intermarket Sweep Order.

6

tOpeningPrints

The trade that constituted the trade-through was a single priced opening transaction by the market center.

7

tClosingPrints

The transaction that constituted the trade-through was a single priced closing transaction by the market center.

8

tReOpeningPrints

The trade that constituted the trade-through was a single priced reopening transaction by the market center.

9

tDerivativelyPriced

The transaction that constituted the trade-through was the execution of an order at a price that was not based, directly or indirectly, on the quoted price of the security at the time of execution, and for which the material terms were not reasonably determinable at the time the commitment to execute the order was made.

Extended Hours / Sequence Type

10

tFormT

Trading in extended hours enables investors to react quickly to events that typically occur outside regular market hours such as earnings reports. However, liquidity may be constrained during such FormT trading, resulting in wide bid-ask spreads.

11

tSold

Sold Last is used when a trade prints in sequence but is reported late or printed in conformance to the One- or Two-Point Rule.

12

tStopped

The transaction that constituted the trade-through was the execution by a trading center of an order for which, at the time of receipt of the order, the trading center had guaranteed an execution at no worse than a specified price (a “stopped order”), where: (i) the stopped order was for the account of a customer; (ii) the customer agreed to the specified price on an order-by-order basis; and (iii) the price of the trade-through transaction was for a stopped buy order lower than the National Best Bid in the security at the time of execution, or for a stopped sell order higher than the National Best Offer in the security at the time of execution.

13

tExtendedHours

Identifies a trade that was executed outside of regular primary market hours and is reported as an extended hours trade.

14

tOutOfSequence

Identifies a trade that takes place outside of regular market hours.

Other Types

15

tSplit

An execution in two markets when the specialist or market maker in the market first receiving the order agrees to execute a portion of it at whatever price is realized in another market to which the balance of the order is forwarded for execution.

16

tAcquisition

A transaction made on the Exchange as a result of an Exchange acquisition.

17

tBunched

A trade representing an aggregate of two or more regular trades in a security occurring at the same price either simultaneously or within the same 60-second period, with no individual trade exceeding 10,000 shares.

18

tStockOption

Stock-Option Trade is used to identify cash equity transactions which are related to options transactions and therefore potentially subject to cancellation if market conditions of the options leg(s) prevent the execution of the stock-option order at the price agreed upon.

19

tDistribution

Sale of a large block of stock in such a manner that the price is not adversely affected.

20

tAveragePrice

A trade where the price reported is based upon an average of the prices for transactions in a security during all or any portion of the trading day.

21

tCross

Indicates that the trade resulted from a market center’s crossing session.

22

tPriceVariation

Indicates a regular market session trade transaction that carries a price that is significantly away from the prevailing consolidated or primary market value at the time of the transaction.

23

tRule155

To qualify as a NYSE AMEX Rule 155, from time to time, a specialist may arrange for the sale or purchase of a block of security or other large number of shares of securities at a single “clean-up” price. Generally, such a sale or purchase is outside of the current market. Such sale or trade is designated as a Rule 155 trade.

24

tOfficialClose

Indicates the ‘Official’ closing value as determined by a market center. This transaction report will contain the market center generated closing price.

25

tPriorReferencePrice

A sale condition that identifies a trade based on a price at a prior point in time, i.e. more than 90 seconds prior to the time of the trade report. The execution time of the trade will be the time of the prior reference price.

26

tOfficialOpen

Indicates the ‘Official’ opening value as determined by a market center. This transaction report will contain the market center generated opening price.

27

tCapElection

The CAP Election Trade highlights sales as a result of a sweep execution on the NYSE, whereby CAP orders have been elected and executed outside the best price bid or offer and the orders appear as "repeat" trades at subsequent execution prices. This indicator provides additional information to market participants that an automatic sweep transaction has occurred with repeat trades as one continuous electronic transaction.

28

tAutoExecution

A sale condition code that identifies a NYSE trade that has been automatically executed without the potential benefit of price improvement.

29

tTradeThroughExempt

Denotes whether a trade is exempt (Rule 611) and when used jointly with certain Sale Conditions, will more fully describe the characteristics of a trade.

30

Not in use

31

tOddLot

Denotes the trade is an odd lot less than 100 shares.

Bit Mask Position

Flags

Description

0

qRegular

This condition is used for the majority of quotes to indicate a normal trading environment. It is also used by the FINRA Market Makers in place of Quote Condition “O” to indicate the first quote of the day for a particular security. The condition may also be used when a Market Maker re-opens a security during the day.

1

qSlow

This condition is used to indicate that the quote is a Slow Quote on both the Bid and Offer sides due to a Set Slow List that includes High Price securities. While in this mode, auto-execution is not eligible, the quote is then considered Slow on the Bid and Offer sides, and either or both sides can be traded through as per Regulation NMS.

2

qGap

While in this mode, auto-execution is not eligible, the quote is then considered manual and non-firm in the Bid and Offer and either or both sides can be traded through as per Regulation NMS.

3

qClosing

This condition can be disseminated to indicate that this quote was the last quote for a security for that Participant.

4

qNewsDissemination

This regulatory Opening Delay or Trading Halt is used when relevant news influencing the security is being disseminated. Trading is suspended until the primary market determines that an adequate

publication or disclosure of information has occurred.

5

qNewsPending

This condition is used to indicate a regulatory Opening Delay or Trading Halt due to an expected news

announcement, which may influence the security. An Opening Delay or Trading Halt may be continued once the news has been disseminated.

6

qTradingRangeIndication

The condition is used to denote the probable trading range (bid and offer prices, no sizes) of a security that is not Opening Delayed or Trading Halted. The Trading Range Indication is used prior to or after the opening of a security.

7

qOrderImbalance

This non-regulatory Opening Delay or Trading Halt is used when there is a significant imbalance of buy or sell orders.

8

qClosedMarketMaker

This condition is disseminated by each individual FINRA Market Maker to signify either the last quote of the day or the premature close of an individual Market Maker for the day.

9

qVolatilityTradingPause

This quote condition indicates a regulatory Opening Delay or Trading Halt due to conditions in which

a security experiences a 10% or more change in price over a five minute period.

10

qNonFirmQuote

This quote condition suspends a Participant's firm quote obligation for a quote for a security.

11

qOpeningQuote

This condition can be disseminated to indicate that this quote was the opening quote for a security for that Participant.

12

qDueToRelatedSecurity

This non-regulatory Opening Delay or Trading Halt is used when events relating to one security will

affect the price and performance of another related security (e.g., a call for redemption of a convertible preferred security or convertible debt security which could affect the related common security). This non-regulatory Opening Delay or Trading Halt is also used when non-regulatory halt reasons such as

Order Imbalance, Order Influx and Equipment Changeover are combined with Due to Related Security

on CTS.

13

qResume

This quote condition along with zero-filled bid, offer and size fields is used to indicate that trading for a Participant is no longer suspended in a security which had been Opening Delayed or Trading Halted.

14

qInViewOfCommon

This quote condition is used when matters affecting the common stock of a company affect the performance of the non-common associated securities, e.g., warrants, rights, preferred, classes, etc. Those securities, which must be of the same company, are globally Opening Delayed, Trading Halted, or No Open/No Resume for a Participant in view of the common stock.

15

qEquipmentChangeover

This non-regulatory Opening Delay or Trading Halt is used when the ability to trade a security by a

Participant is temporarily inhibited due to a systems, equipment or communications facility problem or

for other technical reasons.

16

qSubPennyTrading

This non-regulatory Opening Delay or Trading Halt is used to indicate an Opening Delay or Trading Halt for a security whose price may fall below $1.05, possibly leading to a sub-penny execution.

17

qNoOpenNoResume

This quote condition is used to indicate that an Opening Delay or a Trading Halt is to be in effect for the rest of the trading day in a security for a Participant.

18

qLimitUpLimitDownPriceBand

This quote condition is used to indicate that a Limit Up-Limit Down Price Band is applicable for a

security.

19

qRepublishedLimitUpLimitDownPriceBand

This quote condition is used to indicate that a Limit Up-Limit Down Price Band that is being disseminated is a ‘republication’ of the latest Price Band for a security.

NASDAQ Specific

20

qManual

This indicates that the market participant is in a manual mode on both the Bid and Ask. While in this mode, automated execution is not eligible on the Bid and Ask side and can be traded through pursuant to Regulation NMS requirements.

21

qFastTrading

For extremely active periods of short duration, while in this mode, the UTP participant will enter quotations on a “best efforts” basis.

22

qOrderInflux

A halt condition used when there is a sudden order influx. To prevent a disorderly market, trading is temporarily suspended by the UTP participant.