IEX will populate TradeLiquidityIndicator (FIX tag 9730) and LastLiquidityInd (FIX tag 851) with new values to provide Users with liquidity details for the new trading events on the Exchange:
An execution that occurred during the Opening Match for non-IEX-listed securities will look much like an execution from an IEX Auction.
TradeLiquidityIndicator (FIX tag 9730) is used, in conjunction with LastMkt (FIX tag 30), to determine trading costs and characteristics of the trade. On Wednesday, August 23, 2017, IEX will begin to utilize the Opening Match value (9730=X), and on Friday, September 15, the Exchange will begin to utilize the Opening, Closing, Halt/Volatility, and IPO Auction values (9730=[O,C,H,N], respectively). For further information, please see the IEX FIX Specification.
Tag 9730 Values
- I=Continuous trade on IEX
- S=Self-matched trade on IEX
- L=Trade on IEX involved displayed liquidity
- X=Opening Match on IEX
- O=Opening Auction on IEX
- C=Closing Auction on IEX
- H=Halt / Volatility Auction on IEX
- N=IPO Auction on IEX
Last Liquidity Indicator (FIX tag 851) is provided to identify whether a User's order execution at IEX resulted from liquidity provision, removal, routing, or a single-price cross (e.g., an auction). On Wednesday, August 23, 2017, IEX will begin to utilize the new value (851=4) to identify when order execution resulted from a single-price cross.
Tag 851 Values
- 1=Added Liquidity
- 2=Removed Liquidity
- 9=Removed Liquidity on Recheck
- Single-price Cross Executions on IEX (used in conjunction with FIX tag 851=4)
- X is returned identifying a trade in the Opening Match of a non-IEX-listed security
- OL is returned identifying a trade in the Opening Auction involving displayed liquidity resting on the Continuous Book
- NS is returned identifying a self-matched trade in the IPO Auction
- CSL is returned identifying a self-matched trade in the Closing Auction involving displayed liquidity resting on the Continuous Book
- H is returned identifying a trade during a reopening process (i.e., a Halt Auction after a regulatory halt or Market-Wide Circuit Breaker Level 1 or Level 2 breach or a Volatility Auction after an LULD pause)
Note: 'L' will be provided in conjunction with a single-price cross execution when displayed orders on the Continuous Book are executed as part of the match. This behavior only applies to the Opening Match, Opening Auction, and Closing Auction; during a trading halt or pause, the Exchange does not consider orders to be displayed on the Continuous Book.