PUBLIC COMMENT PERIOD - Trade Capture Report - Liquidity Indicator Extension

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Imported from previous forum

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The Global Technical Committee has reviewed and preliminary approved the Liquidity Indicator Extension for the Trade Capture Report. The document now enters a 15 day 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:

http://www.fixprotocol.org/documents/4323/FIX%20Protocol%20Trade%20Capture%20Report%20-%20Liquidity%20Indicator%20Extension.doc

The public comment period ends on February 4, 2009.

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[ original email was from Joseph Horowitz - jhorowitz@aegisoft.com ]
Since not every execution venue (or FIX session for live trading) uses the TradeCaptureReport message, wouldn’t it make sense to provide this feature on Execution report messages as well?

Thanks!
-Joey

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ExecutionReport already has tag 851 LastLiquidityInd. The GTC approved extensions for LSE in SP2 foresee another liquidity indicator on the fill level, i.e. inside which will be called FillLiquidityInd. The extension to the TCR was the one that was forgotten rather than the other way around.

Regards,
Hanno.

Since not every execution venue (or FIX session for live trading) uses
the TradeCaptureReport message, wouldn’t it make sense to provide this
feature on Execution report messages as well?

Thanks! -Joey