Code Set
LastLiquidityIndCodeSet
| ID | 851 |
| Type | int |
| Pedigree | Added FIX.4.4, Updated EP223 |
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| NeitherAddedNorRemovedLiquidity | 0 | Neither added nor removed liquidity | 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). | Added EP252, Updated EP278 |
| AddedLiquidity | 1 | Added Liquidity | Added FIX.4.4 | |
| RemovedLiquidity | 2 | Removed Liquidity | Added FIX.4.4 | |
| LiquidityRoutedOut | 3 | Liquidity Routed Out | Added FIX.4.4 | |
| Auction | 4 | Auction execution | Added EP57, Updated EP252 | |
| TriggeredStopOrder | 5 | Triggered stop order | Fill was the result of a stop order being triggered and immediately executed. | Added EP223 |
| TriggeredContingencyOrder | 6 | Triggered contingency order | Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed. | Added EP223 |
| TriggeredMarketOrder | 7 | Triggered market order | Fill was the result of a market order being triggered due to an executable orderbook situation. | Added EP223 |
| RemovedLiquidityAfterFirmOrderCommitment | 8 | Removed liquidity after firm order commitment | 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. | Added EP252 |
| AuctionExecutionAfterFirmOrderCommitment | 9 | Auction execution after firm order commitment | 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. | Added EP252 |
| Unknown | 10 | Unknown | The liquidity indicator of the execution cannot be determined or was not provided upon execution. | Added EP278 |
| Other | 11 | Other | 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). | Added EP278 |
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