IEX Announces: Updates to FIX Tag #851 and Pending Order Cancel Behavior
IEX Trading Alert #2014 - 020
Please Route To: Trading and Trade Support
What you need to know:
- IEX is changing the values populated in FIX Tag #851 "LastLiquidityIndicator".
- For IEX-only (non-routable) orders, IEX is changing the behavior of Pending Order Cancel messages.
What is changing in FIX Tag #851 "LastLiquidityIndicator"?
Last Liquidity Indicator (FIX Tag #851) is provided by IEX to identify whether a Subscriber's order execution at IEX resulted from liquidity provision or removal.
In order to best adhere to generally accepted industry standards while maintaining a high degree of precision and transparency, IEX is updating our former convention for populating values in Tag #851. Effective in mid October on a date to be announced, IEX will discontinue our previous value convention, and begin to apply our new value convention, as illustrated in the table below.
| Previous Tag #851 Value Convention | New Tag #851 Value Convention |
|---|---|
|
IEX previously populated Tag #851 with the following values:
|
In mid October, IEX will begin to populate Tag #851 with the following values:
|
What is changing with IEX Pending Order Cancel messages?
Currently, when a Subscriber sends an Order Cancel Request for any order at IEX (including IEX-only orders and routable orders), the IEX Trading System will first generate a Pending Cancel Message, and then generate a Cancel Message.
This behavior will remain unchanged for orders marked as routable. IEX Subscribers mark orders as routable through FIX tag #18 "ExecInst" (i.e. defining tag #18 with a value of "t", "u", or "v").
Effective in mid October on a date to be announced, IEX will no longer generate Pending Order Cancel Messages for IEX-only (non-routable) orders.
Pending Cancel Messages were acknowledged as redundant for IEX-only orders, because no delay exists between the IEX Trading System's successful receipt of a Subscriber's Cancel Request Message and the Cancel Message. This process is performed as a single, continuous action, which renders the IEX-only order's Pending Cancel Message as un-actionable and unnecessary for IEX Subscribers.
Where can I learn more?
- IEX FIX Specification.
- Contact IEX Sales at 646.568.2345 or subscriber@iextrading.com.
- Contact IEX Market Operations at 646.568.2330 or marketops@iextrading.com.
- Visit the IEX Website iextrading.com.
- Become an IEX Subscriber.
About IEX
Dedicated to institutionalizing fairness in the markets, IEX provides a more balanced marketplace via simplified market structure design and cutting-edge technology. IEX operates a fair-access platform accessible by any qualified broker dealer. IEX is driven by a team of cross-industry experts with backgrounds spanning market venues, electronic trading, and broker-dealers. IEX is the first equity trading venue seeded exclusively by a consortium of buy-side investors, including mutual funds, hedge funds, and family offices. Learn more at: iextrading.com.