Liquidity

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1

Natasha Keshani
21 June 2017 3:57pm
Hi
Will all broker support sending clients values 8 and 9 for Tag 851 (Liquidity)? I have had clients ask for this in relation to MIFiD but its not a standard fix protocol value? Its a custom value in a document some where but not down as supported within fiximate
Thanks
Natasha

Irina Sonich-Bright
21 June 2017 4:33pm
Aside from the FIX Execution Venue Best Practices guidelines: http://www.fixtradingcommunity.org/mod/file/download.php?file_guid=2836886
these values are also widely advertised by Turquoise for their BDS platform:
http://www.lseg.com/sites/default/files/content/documents/Updated%20version%20Turquoise%20Plato%20Block%20Discovery™%20Broker%20Access%20.pdf
Thanks.
Irina

Natasha Keshani
21 June 2017 4:52pm
Thanks, but why are they not part of the official value set?

Hanno Klein
22 June 2017 10:04am
Natasha, they are part of the official value set but not for tag 851. The extension was submitted to the Global Technical Committee where it was decided that this information relates more to the matching workflow than to liquidity provisioning. The guidelines were not updated accordingly.
The Extension Pack 198 (http://www.fixtradingcommunity.org/pg/extensions/extension-pack?ExtensionID=EP198) added the following two values to MatchType(574):
10 = Auto-match with last look “Execution that arises from a match against orders or quotes which require a confirmation during continuous trading.”
11 = Cross auction with last look “Execution that arises from a match against orders or quotes which require a confirmation during an auction.”
In light of your request we will revisit the issue once more to decide whether we should also extend 851. Conditional orders fall under the concept of “last look” in FIX semantics where a matcher determines a possible execution but has to ask for confirmation by the submitter of the order or quote before actually executing.
Regards,
Hanno.

Natasha Keshani
22 June 2017 10:30am
Thanks Hanno. I have only come across this issue for Turqouise Block Discovery as a venue who send these values in tag 851. We are unable to extend out sending of 851 if its not an official values for 851. Tag 574 - Interesting, I will research this tag further

2

Hi Hanno, I have come across a few broker specifications that have implemented the values of 8 and 9 into tag 851 of their execution reports. They all seem to indicate that a value of 8 will be “Conditional order execution - Continuous Trading” and a value of 9 will be "Conditional order execution - Auction). I was wondering if this was ever revisited to make these two values standard in tag 851 as opposed to (or in addition to) the values of 10 and 11 you mentioned for tag 574.
Thanks,
Peter

3

These two use cases were made standard in tag 574 and not in tag 851. FIX tries to avoid redundancies wherever it can. In this case it was decided that tag 851 is semantically the wrong place to put these two use cases. It is not about a type of liquidity but about a type of matching. As FIX is not an exact science, it is important to harmonise on a single, standard interpretation of a use case. This is what the Global Technical Committee tries to do with the extension proposals it receives.

The brokers probably did not bother to check the final standardisation of the two use cases and hence did not change their specification (yet). I believe it is worth pointing out the non-compliance to them and refer them to EP198.