EP081 – Liquidity Indicator

This proposal adds a fill-level liquidity indicator to FillsGrp within Execution Report. LastLiquidityInd(851) exists only at the root level, which is insufficient when one Execution Report contains several fills having different liquidity characteristics.

The new FillLiquidityInd field is placed on every FillsGrp occurrence and uses the same values as LastLiquidityInd: added liquidity, removed liquidity, liquidity routed out and auction. The component and data dictionary assign tag 1443, although earlier narrative passages continue to call the field TBD.