Imported from previous forum
I wanted to get some clarity on Tag 851, Value 4. I see that the 4 represents an auction in the Last Liquidity field. What type of auction is this/what does auction mean in this example?
Also, in case you haven’t seen them, there are some best practice guidelines for the usage of tag 851 which can be found on the FPL website at http://www.fixprotocol.org/documents/6539/FPL%20Buy-Side%20Exec%20Venue_March2012.doc.
I can’t access this document.
Neither can I, probably because it is outdated and does not exist anymore…
Try http://www.fixprotocol.org/documents/6685/FPLBuy-sideExecVenue_May2012_1.pdf
Also, in case you haven’t seen them, there are some best practice guidelines for the usage of tag 851 which can be found on the FPL website at http://www.fixprotocol.org/documents/6539/FPL%20Buy-Side%20Exec%20Venue_March2012.doc.
I can’t access this document.
XXXLiquidityIndicator fields (tags 851, 1443, 1444) primarily capture information to distinguish incoming orders from resting orders causing a match event (values 1 and 2). This black and white distinction does not apply to auctions where “all orders are equal”, i.e. there is no single incoming order that represents one side of the match event. You normally have the principal of the highest executable volume across all orders being in the auction. Therefore, value 4=Auction exists to be able to be more specific than to simply choose 1=Added Liquidity for auctions. This may be relevant if this field is used to determine trading fees (“maker” pays less than “taker”). There may also be further values in the future to better distinguish additional use cases. For example, it could be interesting to identify a triggered stop order causing a match event as opposed to a new order coming in from the outside.
Regards,
Hanno.
I wanted to get some clarity on Tag 851, Value 4. I see that the 4 represents an auction in the Last Liquidity field. What type of auction is this/what does auction mean in this example?
I have used FIXwiki to capture these comments and the information referred to in the best practice document.
http://fixwiki.org/fixwiki/LastLiquidityInd
http://fixwiki.org/fixwiki/LastLiquidityInd/1_AddedLiquidity
http://fixwiki.org/fixwiki/LastLiquidityInd/2_RemovedLiquidity
http://fixwiki.org/fixwiki/LastLiquidityInd/3_LiquidityRoutedOut
http://fixwiki.org/fixwiki/LastLiquidityInd/4_Auction
From that same best practice document, I updated FIXwiki with proper definitions of LastCapacity (tag 29) values:
http://fixwiki.org/fixwiki/LastCapacity
http://fixwiki.org/fixwiki/LastCapacity/1_Agent
http://fixwiki.org/fixwiki/LastCapacity/2_CrossAsAgent
http://fixwiki.org/fixwiki/LastCapacity/3_CrossAsPrincipal
http://fixwiki.org/fixwiki/LastCapacity/4_Principal
Thank you for making these additions to FIXwiki. This also serves as a reminder to the FIX users that there is a FIXwiki as source of information that goes beyond what FIXimate has to offer. FIXimate is intended to solely provide the official FIX repository in a more legible format whereas FIXwiki allows to add further elaborations and links to guidelines.
What value do you use for other in tag 851?
Some end clients want to see a value no matter what. So let’s say the execution comes from a dark pool. By definition a dark pool should not indicate any value. I would like to determine is there a certain value out there already that represents the unofficial value for other in tag 851. I also check best practices “FPL Buy-Side Exec Venue March2012.doc” but did not find anything.
Tag 851 is not mandatory, i.e. if you cannot specify it, you simply omit the field from the message. There is no generic value for “Other” and user-defined values are intentionally not permitted. The end clients demanding a value should try to follow the FIX paradigms as much as possible.
Hi Khody,
According to: http://www.fixtradingcommunity.org/pg/file/fplpo/read/46072/
section 6.
If the dark pool is considered as an “external liquidity providers” than use value 3.
As written: “3 (liquidity routed away) used for liquidity from external liquidity providers when routed to from other venues.”
Else, the fields should not be in the message.
As written: “…If not explicitly provided by the venue, then do not supply this field at all…”