Reminder IEX Supports New FIX Tag Values for New Trading Events

IEX Trading Alert #2017 - 030

Overview

As originally announced in IEX Trading Alert #2017 - 024, IEX will populate TradeLiquidityIndicator (FIX tag 9730) and LastLiquidityInd (FIX tag 851) with new values to provide Users with liquidity details for new trading events on the Exchange beginning on the following dates:

Additionally, usage of the existing values (specifically, 'S' and 'L') have been modified to allow these values to be applied in conjunction with other TradeLiquidityIndicator values, rather than having IEX enumerate all possibilities in the specification. Lastly, in the future, IEX plans to identify continuous trades on IEX with an explicit value of 'I'. Until a to-be-announced date, if a User receives 'S', 'L', or 'SL', a preceding 'I' can be assumed.

For further information, please see the IEX FIX Specification.

TradeLiquidityIndicator (FIX Tag 9730)

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 new specified value, and on Friday, September 15, the full complement of new values will be available, as illustrated in the table below.

Previous Tag 9730 Values New Tag 9730 Values
  • S=Self-matched trade which did not involve displayed liquidity
  • SL=Self-matched trade which involved displayed liquidity
  • L=Trade on IEX involved displayed liquidity but did not self-match
  • I=Trade on IEX which neither self-matched nor involved displayed liquidity
  • Wednesday, August 23
    • I=Continuous trade on IEX
    • S=Self-matched trade on IEX
    • L=Trade on IEX involved displayed liquidity
    • X=Opening Match on IEX
  • Friday, September 15
    • 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

Note: FIX tag 9730 values of 'S' and 'L' may be applied in conjunction with other values. For example, Users should be prepared to receive a value of 'XL' in FIX tag 9730 as early as August 23.

Usage examples:

  • Continuous Executions on IEX (used in conjunction with FIX tag 851=[1,2,9])
    • I is returned identifying a continuous trade on IEX (neither self-matched nor involved displayed liquidity, since both 'S' and 'L' are absent)
    • S is returned identifying a self-matched continuous trade on IEX (an 'I' is assumed in this case)
    • L is returned identifying a continuous trade that involved displayed liquidity on IEX (an 'I' is assumed in this case)
    • SL is returned identifying a self-matched continuous trade that involved displayed liquidity on IEX (an 'I' is assumed in this case)
  • 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.

LastLiquidityInd (FIX Tag 851)

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, as illustrated in the table below.

Previous Tag 851 Values New Tag 851 Values
  • 1=Added Liquidity
  • 2=Removed Liquidity
  • 3=Routed
  • 9=Removed Liquidity on Recheck
  • 1=Added Liquidity
  • 2=Removed Liquidity
  • 3=Routed
  • 4=Auction
  • 9=Removed Liquidity on Recheck

Usage examples:

  • Single-price Cross Executions; 851=4 is returned when an order execution resulted from a single-price cross
    • 9730=X is also returned identifying a trade in the Opening Match for an non-IEX-listed security
    • 9730=O is also returned identifying a trade in the Opening Auction
    • 9730=N is also returned identifying a trade in the IPO Auction
    • 9730=C is also returned identifying a trade in the Closing Auction
    • 9730=H is also returned identifying a trade in a Halt or Volatility Auction

More Information

Please contact IEX Market Operations or Sales with any questions:

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