Imported from previous forum
[ original email was from Corwin Yu - cyu@sasiny.com ]
All,
Calculating a running total average price for each fill (Tag 6 in ExecRpt) creates significant overhead for our routing network. Does anyone have any advice or insights on how to handle this? Some of our clients and counterparties are simply resorting to making the values 0.0 (which causes us actually to do more calculations). Shouldnt this functionality reside purely on the client application?
Regards,
Corwin Yu - SASI - Member of Credit Suisse Group