Imported from previous forum
The DayOrderQty, DayCumQty, and DayAvgPx fields were added to provide a summary of the activity against the order during the current day, in the case where an order is worked over several days (GTC, GTD orders).
Are these fields mandatory for orders that span multiple days, or is it acceptable to omit these fields and only use the CumQty, OrdQty, AvgPx fields?
Are there any exchanges that support the DayOrdQtuy, DayCumQty, and DayAvgPx fields?
In our exchange environments it is something that the exchange does not keep track of. It tracks the total over more than one day but not the daily values. This is covered by the member firm if they need it.
Regards,
Hanno.
The DayOrderQty, DayCumQty, and DayAvgPx fields were added to provide a
summary of the activity against the order during the current day, in the
case where an order is worked over several days (GTC, GTD orders).Are these fields mandatory for orders that span multiple days, or is
it acceptable to omit these fields and only use the CumQty, OrdQty,
AvgPx fields?Are there any exchanges that support the DayOrdQtuy, DayCumQty, and
DayAvgPx fields?