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FIXtags

FIX TAG 1801

OrderEventLiquidityIndicator

intAdded FIX.5.0SP2 · EP131

Definition

Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrderEventType(1796) values of 4(Partially Filled) or 5(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

This tag is not present in the FIX 5.0 SP2 source. There is no definition or value list to compare.

Values 12

ValueMeaning
0

Neither added nor removed liquidity

Additional detail from the official source

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).

1

Added Liquidity

2

Removed Liquidity

3

Liquidity Routed Out

4

Auction execution

5

Triggered stop order

Additional detail from the official source

Fill was the result of a stop order being triggered and immediately executed.

6

Triggered contingency order

Additional detail from the official source

Fill 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 source

Fill 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 source

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.

9

Auction execution after firm order commitment

Additional detail from the official source

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.

10

Unknown

Additional detail from the official source

The liquidity indicator of the execution cannot be determined or was not provided upon execution.

11

Other

Additional detail from the official source

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).

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.