FIX TAG 1443
FillLiquidityInd
Definition
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrdStatus of Partial or Filled
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Differences between the selected source snapshots, including wording and errata; not a migration guide.
FIX 5.0 SP2 FIX Latest · EP309
Values only in FIX Latest · EP309 12
0Neither added nor removed liquidityAdditional source detail
May be used by venues where market rules do not define "add" or "remove" liquidity.
In the context of the SEC amendment of Regulation NMS Rule 606(b), may be used to identify executions that are only reported as part of total shares executed and not as part of shares providing or removing liquidity (see https://www.sec.gov/rules/final/2018/34-84528.pdf for details).
1Added Liquidity2Removed Liquidity3Liquidity Routed Out4Auction execution5Triggered stop orderAdditional source detail
Fill was the result of a stop order being triggered and immediately executed.
6Triggered contingency orderAdditional source detail
Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed.
7Triggered market orderAdditional source detail
Fill was the result of a market order being triggered due to an executable orderbook situation.
8Removed liquidity after firm order commitmentAdditional source detail
An order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.
9Auction execution after firm order commitmentAdditional source detail
An order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.
10UnknownAdditional source detail
The liquidity indicator of the execution cannot be determined or was not provided upon execution.
11OtherAdditional source detail
None of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values).
Values 12
| Value | Meaning |
|---|---|
0 | Neither added nor removed liquidity Additional detail from the official sourceMay be used by venues where market rules do not define "add" or "remove" liquidity. In the context of the SEC amendment of Regulation NMS Rule 606(b), may be used to identify executions that are only reported as part of total shares executed and not as part of shares providing or removing liquidity (see https://www.sec.gov/rules/final/2018/34-84528.pdf for details). |
1 | Added Liquidity |
2 | Removed Liquidity |
3 | Liquidity Routed Out |
4 | Auction execution |
5 | Triggered stop order Additional detail from the official sourceFill was the result of a stop order being triggered and immediately executed. |
6 | Triggered contingency order Additional detail from the official sourceFill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed. |
7 | Triggered market order Additional detail from the official sourceFill was the result of a market order being triggered due to an executable orderbook situation. |
8 | Removed liquidity after firm order commitment Additional detail from the official sourceAn order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders. |
9 | Auction execution after firm order commitment Additional detail from the official sourceAn order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders. |
10 | Unknown Additional detail from the official sourceThe liquidity indicator of the execution cannot be determined or was not provided upon execution. |
11 | Other Additional detail from the official sourceNone of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values). |
About the int data type
Sequence of digits without commas or decimals and optional sign character (ASCII characters "-" and "0" - "9" ). The sign character utilizes one byte (i.e. positive int is "99999" while negative int is "-99999"). Note that int values may contain leading zeros (e.g. "00023" = "23").
Used in messages 1
Includes nested components and repeating groups. Open a location to see its surrounding requirements.
35=8ExecutionReportFillsGrp