Amount vs. Quantity orders

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Imported from previous forum

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Considering that orders in the same fund can be either in amounts (how much to be invested / divested) or in quantities (number of shares), I am trying to find the way to differentiate between the two types of orders.

Is there a flag that can be set to tell the difference?

Roberto
Roberto Colacicchi
IT Project Manager

UBS (Luxembourg) S.A.
Phone: +352 45.12.12.647
Fax: +352 45.12.12.725

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[ original email was from merlin beake - merlin.beake@reuters.com ]
I had quite a detailed discussion about all this on the ‘General Q/A’ forum. See ‘Order Quantity Types’, 02/20/2002.

It’s not particularly intuitive. The general principle is that an order should

Either: have OrderQty > 0
Or
CashOrderQty > 0

In the case of Funds, if you are using CashOrderQty, you should also use tag OrderQtyType, to specify if CashOrderQty is a percentage of holding, or a cash quantity.

So the basic test, I would have thought, is that if CashOrderQty is > 0, it’s a By Value order, otherwise it’s a By Quantity order.

Bear in mind that the broker should calculate an OrderQty for a By Value trade (based on price etc.) and put it on Execution Reports, so OrderQty = 0 is not necessarily a good test of whether a trade was By Value.

Also, never make the mistake of assuming that OrderQtyType=Quantity means it’s a By Quantity order. OrderQtyType exists purely to distinguish between percentage By Value trades and cash quantity By Value trades; it shouldn’t be on By Quantity trades at all.

Examples:

Order: Side=Buy, SecurityType=Mutual Fund, OrderQty=1000, CashOrderQty=0, 15=USD

Buy 1000 Units in the relevant Fund, trade currency is dollars.

Order: Side=Buy, SecurityType=Mutual Fund, OrderQty=0, CashOrderQty=1000, OrderQtyType=Quantity, 15=EUR

Buy 1000 Euros of the relevant Fund, presumably using any standard agreements between the two counterparties as to what charges and commission, if any, this includes.

Order: Side=Sell, SecurityType=Mutual Fund, OrderQty=0, CashOrderQty=50, OrderQtyType=Percentage, 15=EUR

Sell 50% of the customer’s holding in that particular Fund, trade currency is Euros.

> Considering that orders in the same fund can be either in amounts (how much to be invested / divested) or in quantities (number of shares), I am trying to find the way to differentiate between the two types of orders.
>
> Is there a flag that can be set to tell the difference?
>
>
> Roberto
> Roberto Colacicchi
> IT Project Manager
>
> UBS (Luxembourg) S.A.
> Phone: +352 45.12.12.647
> Fax: +352 45.12.12.725
>
>

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Thanks! Your reply was very valuable!
Regards,

Roberto

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Thanks for this Robert.

Would you mind sharing the fix tag for ‘OrderQtyType’? Is that a custom tag?

Regards,
Deran.

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Wow, Deran! Highly appreciate the fact that you used the search function of our new discussion forum technology and then responded to a 16 year old post as if it was yesterday! :clap: :clap: :clap:

As I am not sure whether Robert is still around :wink: , I did some research and was unable to find a standard or user-defined field with the name of “OrderQtyType”. The idea of the component “OrderQtyData” comprising the fields OrderQty and CashOrderQty is to group the various mechanisms available to express the size (for lack of a better term) of what is to be bought or sold, aka “it”.

  • OrderQty(38) to express “it” with a generic number counting units (e.g. shares, contracts). This field is supported by QtyType(854) outside of the component to distinguish different types of units and requiring further fields when used (see FIXimate http://fiximate.fixtrading.org/latestEP/index.html).
  • CashOrderQty(152) to express “it” with a money amount (monetary units if you will) and requiring the recipient to calculate tradeable units from this value.
  • OrderPercent(516) to express “it” with a percentage relative to a total and requiring the recipient to calculate tradeable units from this value.

When submitting an order, the 3 fields should be mutually exclusive to avoid confusion of which value takes precedence. Presence of one of the 3 fields indicates what was described above (16 years ago) as “OrderQtyType”. However, on the ExecutionReport, I would expect to also see OrderQty filled as a result of the calculation whenever CashOrderQty or OrderPercent was used upon order entry instead of just the “normal” OrderQty field. I do not see a need for a new field OrderQtyType.

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This is very useful Hanno. Thanks for taking time to come back with the approaches.

Although I was aware of support for quantity and value based orders via tags OrderQty (38) and CashOrderQty (152) respectively, never had heard about OrderPercent (516) feature. So thanks again.

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