Description
Type: int
Indicator to identify whether this fill was a result of a liquidity provider providing or liquidity taker taking the liquidity. Applicable only for OrderEventType <1796> values of 4(Partially Filled) or 5(Filled).
Valid values:
-
0 = Neither added nor removed liquidity
Subject to bilateral agreement, this value can only be used if none of the specific values apply.
- 1 = Added Liquidity
- 2 = Removed Liquidity
- 3 = Liquidity Routed Out
- 4 = Auction execution
-
5 = Triggered stop order
Fill was the result of a stop order being triggered and immediately executed.
-
6 = Triggered contingency order
Fill was the result of a contingency order (OCO, OTO, OUO) becoming active (after cancelling or updating another order) and being immediately executed.
-
7 = Triggered market order
Fill was the result of a market order being triggered due to an executable orderbook situation.
-
8 = Removed liquidity after firm order commitment
An order that was submitted for continuous trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.
-
9 = Auction execution after firm order commitment
An order that was submitted for auction trading that required a firm order commit prior to execution. "Conditional order" is an alternate term used for such orders.
-
10 = Unknown
The liquidity indicator of the execution cannot be determined or was not provided upon execution.
-
11 = Other
None of the existing liquidity indicators are applicable for the execution (e.g. due to a venue's new order type that does not fit existing values).