Based on member request Nasdaq Nordic has decided to enhance the current messaging for both FIX and OUCH when it comes to the Liquidity Flags representation.
The changes will be MANDATORY for members using the Liquidity Flags in the FIX "Execution Report" and OUCH "Executed Order Message".
Currently the Liquidity Flag includes a number of values to represent how the trade was executed. E.g. if the trade was a Passive execution (Added Liquidity) or an Aggressive execution(Removed Liquidity). The current Liquidity Flag representation has not been complete, there are trading scenarios that have not been covered in an optimal way. E.g. Internalized trades have never been separated into Added/Removed Liquidity.
FIX: The New Liquidity Flags representation is based on a reduction of the current Liquidity values, combined with new fields and values in order to cover all trading scenarios.
OUCH: Current Liquidity Flag field will be changed from an Alpha-Numeric field to a Bit map field (same field length), to cover all Liquidity information in a single field.
The new Liquidity Flags representation will be available in INET Test (NTF) from December 1, 2018.
Find more information in IT-Notice 63/18.
OUCH and FIX protocol specifications will be updated at a later time. Until updated protocol specifications are available, the "Liquidity Flag Enhancement Protocol Changes" document describes all changes in more detail.