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Monday, July 30, 2012

Options Technical Update #2012 - 12
PHLX Eliminates the Use of 'U' Liquidity Flag (tag 9882) in a FIX Execution Message

Markets Impacted:

Contact Information:

What you need to know:

  • PHLX is eliminating the use of 'U' Liquidity Flag (tag 9882) in FIX Execution Messaging for Non-Make Take symbols on Thursday, November 1, 2012.
  • PHLX is expanding the use of liquidity codes 'A' and 'R' to indicate, when applicable, that an execution of either a Make Take or Non-Make Take symbol is adding or removing liquidity.

What is changing?

NASDAQ OMX PHLXSM (PHLX®) is eliminating the use of the Liquidity Flag 'U' in a FIX Execution message when no Make Take information is available. In addition, PHLX is expanding the use of 'A'=Add Liquidity and 'R'=Remove Liquidity in tag 9882 of a FIX execution message starting November 1, 2012.

Currently in tag 9882, a FIX execution message for a non-Make Take symbol includes either an 'N' when Maker Take info is not applicable or a 'U' when no Make Take information is available. FIX execution messages for Make Take symbols in tag 9882 include an 'A', 'R', or 'N' to indicate if an execution was adding, removing, or Maker Taker is not applicable. Starting Thursday, November 1, 2012, PHLX will expand the use of liquidity codes 'A' and 'R' in tag 9882 to indicate, when applicable, that an execution of either a Make Take or non-Make Take symbol was adding or removing liquidity.

Are the FIX Specifications changing?

The only change to the FIX Specifications is the removal of 'U' as a valid value in tag 9882.

Where can I find more information?

  • Refer to the FIX specifications on the NASDAQ Trader® website.
  • Contact PHLX Market Operations at +1 215 496 1571.

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