EP057 – Liquidity Indicators

This proposal extends LastLiquidityInd(851), which indicates whether a trade added or removed market liquidity. The document explains that neither the earlier custom field nor LastLiquidityInd included a value for an auction trade, despite a corresponding London Stock Exchange indicator being required.

The proposed change is a single new enumeration, 4 = Auction, applied to LastLiquidityInd in the Execution Report. No new message, field or message flow is proposed. The document is marked Draft and contains extensive unused proposal-template text, but the substantive requirement is clear.