PUBLIC COMMENT PERIOD – Liquidity Indicator Extension Proposal

The Global Technical Committee has reviewed and preliminarily approved the Liquidity Indicator Extension proposal submitted by FIX/FIX Regulatory Reporting WG & FIX Execution Venue Working Group. The document combines independent requirements related to the FIX field LastLiquidity(851) from several FIX working groups in the US and Europe.

The document now enters a public comment period in which public review and feedback is encouraged. Once the public comment period closes, the Global Technical Governance Board will meet to review public comments before final approval.

Please post feedback, comments, and questions as replies to this discussion thread.
A link to the proposal can be found at: https://www.fixtrading.org/packages/fix-protocol-ga-liquidity-indicator-extension/

The public comment period ends on August 7, 2019.

Thank you for the opportunity to comment on the Liquidity Indicator Extension Proposal.

  • I assume, in the U.S., the proposed ‘Neither Added nor Removed Liquidity (and no other values apply)’ value would include both executions generated from conditional orders and some executions that are not generated from conditional orders. We believe identifying conditional executions separately with a unique value provides meaningful information. Would it be possible to add a ‘Conditional’ FIX value solely for conditional executions? Section 3.2 states it would be difficult to identify each scenario that involves neither providing nor removing liquidity but conditionals are a very common scenario and a significant portion of activity on some venues. In addition, after looking at our data and speaking to brokers, ‘8’ seems to be the industry standard value to report an execution generated from a conditional order in the U.S. although it is a non-standard FIX value.

  • Section 2.2 indicates ‘8’ may be used for ‘Removed liquidity after firm order commitment’ but, as mentioned above, ‘8’ is being used in a non-standard way by many brokers in the U.S. to report executions generated from conditional orders.This dual usage is further motivation to create a standard unique value for executions generated from conditional orders.

  • We suggest using a value other than ‘0’ for ‘Neither Added nor Removed Liquidity (and no other values apply)’. In our data, ‘0’ is one of the most-received invalid values and including a valid ‘0’ value may lead to misreporting.

@marct thank you for your comments. The submitting working group and the Global Technical Committee will address them in due course. They were already briefly discussed at the GTC meeting on August 15.

Two comments were raised in that meeting:

  1. Can you be more specific regarding a US exchange offering conditional orders? Is there a public spec/link that can be consulted by the working group to determine if there is any material difference to the conditional orders as defined by Turquoise Block Discovery?

  2. The generic term “firm order commitment” was used for the FIX standard to express the fact that immediate matching does not occur but requires further interaction between the order submitter and the venue. This is intended to include “conditional orders”, i.e. there is no difference in semantics, just wording. The purpose of the proposal was to acknowledge the existing usage of the non-standard values 8 and 9 and add them to the standard in a generic way. Implementations may differ in the way an order is confirmed, e.g. by sending in a normal order with a reference to a conditional order or resending the original order with a confirmation indicator.

Thanks,
Hanno.

@marct I wanted to follow up regarding your comments. Could you please address my responses so that we can resolve your issues properly? The extension is currently stuck in the GTC approval process as we want to address all public comments.

Thank you,
Hanno.

Hi Hanno,

From your perspective, what is the existing usage of the non-standard values 8 and 9 in the U.S. and in Europe?

I am not sure what you are referring to about US exchanges offering conditionals. I was referring to ATS conditionals. I don’t know of a spec/link regarding Turquoise Block Discovery.

U.S. conditionals should be categorized as 8 correct? If that is the case, I don’t think having "Removed " in the description is accurate because there is not necessarily an “aggressive order” mentioned in the first bullet point of 2.2. Could 8 just be titled “Conditional”? Would that work in both the U.S. and Europe?

My comment was not specific to exchanges and I asked the question as I was unaware of any usage of the non-standard values 8 and 9 in the US, only in Europe by Turquoise and its clients. I was looking for examples in the US where conditional orders are traded. I now found one (Level ATS) which defines as follows:

A Conditional Order is an instruction to the ATS that the participant wants to interact with the order book on a conditional basis. A Conditional Order never executes; instead, when a Conditional Order would have otherwise matched with a contra party, the Conditional Order will be canceled by LeveL ATS and an invitation will be sent to the originating participant, inviting them to send a Firm-Up Response Order."

Note that FIX intentionally does not specify how to firm-up a conditional order, i.e. it can be by simply submitting the existing order a second time or sending a second order with a link to the first one or by other means. However, we will add the following to the elaboration of the valid values 8 and 9 to explicitly include the term “conditional”: "Conditional order” is an alternate term used for such orders.

The difference between values 8 and 9 is about continuous trading vs auctions. Hence, conditional orders can be 8 or 9. You are absolutely right that it is not necessarily an aggressive order. This is already covered by the existing value 2 = Removed Liquidity.

Thank you for responding, I guess @marct and @u3363 are identical “sources”.