Imported from previous forum
Could anybody tell me what valus of tags LasrQty(32), LastPX(31), AvgPx(6) should be retourned in Execution Report (Trade/Filled) for multileg security? As I understand trade data for each leg will be reported in block, but tags 32, 31, 6 are required too if reporting type 563 defined as ‘0’ (Report by multileg security only (Do not report legs))
I would be very grateful for help.
The multileg security has a price and a quantity of its own in addition to the quantities and prices of its legs which might be calculated based on ratios. A multileg with two legs representing different expirations might have a price of -1 (aka spread price) and leg prices of 101 and 102. Trade data for each leg is no in which mereley identifies a leg but are in the other fields of , specifically LegLastPx and LegLastQty.
Could anybody tell me what valus of tags LasrQty(32), LastPX(31), AvgPx(6) should be retourned in Execution Report (Trade/Filled) for multileg security? As I understand trade data for each leg will be reported in block, but tags 32, 31, 6 are required too if reporting type 563 defined as ‘0’ (Report by multileg security only (Do not report legs))
I would be very grateful for help.
Hi Hanno,
Thanks for your replay. Just to precise. The price for multileg security is applicable only if legs are from the same product, otherwise it shouldn’t be specified at all. I have two TSM-order matched, each with tree legs. Would in this case zero be a valid value for LastPx(31) and AvgPx(6) as well?
The multileg security has a price and a quantity of its own in addition to the quantities and prices of its legs which might be calculated based on ratios. A multileg with two legs representing different expirations might have a price of -1 (aka spread price) and leg prices of 101 and 102. Trade data for each leg is no in which mereley identifies a leg but are in the other fields of , specifically LegLastPx and LegLastQty.
Could anybody tell me what valus of tags LasrQty(32), LastPX(31), AvgPx(6) should be retourned in Execution Report (Trade/Filled) for multileg security? As I understand trade data for each leg will be reported in block, but tags 32, 31, 6 are required too if reporting type 563 defined as ‘0’ (Report by multileg security only (Do not report legs))
I would be very grateful for help.
Not sure I fully understand your scenario. A multileg order is similar to a single leg order, only with a more complex object that is being traded and which has to be pulled apart into its pieces (legs) to be able to clear and settle it. With this analogy, I wonder how you can match your two orders other than on the fact that they have the same price (one seller, one buyer) and same quantity (buyer or seller might not be completely filled if desired quantities are different). Zero is a valid value for a spread but it sounds as if you would like to always set LastPx to zero which I would not understand.
Hi Hanno,
Thanks for your replay. Just to precise. The price for multileg security is applicable only if legs are from the same product, otherwise it shouldn’t be specified at all. I have two TSM-order matched, each with tree legs. Would in this case zero be a valid value for LastPx(31) and AvgPx(6) as well?
Morning Hanno,
Let me explain with an example. I have two TSM order like this:
8=FIX.4.49=36235=AB49=bbt456=MFIXTradeID34=252=20110201-10:19:16122=20101207-01:10:5811=33335526=55777453=1448=BROKERA447=D452=111=0001386=1336=TAILORED54=B55=[N/A]167=MLEG762=1555=3600=TOZ0623=1624=2566=65.04600=CLZ0623=2624=1566=46.18600=CLZ1623=1624=1566=45.8060=20100616-10:03:23.48838=500040=259=058=Trade Reports563=05426=TSM Match10=168
8=FIX.4.49=36635=AB49=bbt456=MFIXTradeID34=352=20110201-10:19:46122=20101207-01:10:5811=5555555526=55777453=1448=BROKERA447=D452=111=0001386=1336=TAILORED54=B55=[N/A]167=MLEG762=1555=3600=TOZ0623=1624=1566=65.04600=CLZ0623=2624=2566=46.18600=CLZ1623=1624=2566=45.8060=20100616-10:03:23.48838=500040=259=058=Trade Reports563=05426=TSM Match1010=132
They are matched completely, not partially and I get three correct execution reports (Filled) for each leg for each order. But for multileg security I have this one
8=FIX.4.49=55035=849=MFIXTradeID56=bbt434=1152=20110201-10:19:46.55937=20100531-00000000168811=33335453=3448=bbt4447=D452=12448=BROKERB447=D452=1448=CMBMT447=D452=417=20100531-000000002168|1M|20100531348591150=F39=21=0001581=364=2010053155=+2CLZ0-1TOZ0+1CLZ1167=MLEG762=154=B38=500040=244=059=032=500031=45.8336=TAILORED151=014=50006=060=20100531-00:03:48.591442=3555=3600=CLZ0623=2624=1566=46.18600=TOZ0623=1624=2566=65.04600=CLZ1623=1624=1566=45.85426=TSM Match9918=CLFUTURE768=1769=20100531-00:03:18770=210=212
The same for the seconde order but it has LastPx(31)=65.04
It looks like not quite correct values of LastPx(31). I wonder which value of this tag will be correct in my case?
Thank you in advance.
Not sure I fully understand your scenario. A multileg order is similar to a single leg order, only with a more complex object that is being traded and which has to be pulled apart into its pieces (legs) to be able to clear and settle it. With this analogy, I wonder how you can match your two orders other than on the fact that they have the same price (one seller, one buyer) and same quantity (buyer or seller might not be completely filled if desired quantities are different). Zero is a valid value for a spread but it sounds as if you would like to always set LastPx to zero which I would not understand.
Hi Hanno,
Thanks for your replay. Just to precise. The price for multileg security is applicable only if legs are from the same product, otherwise it shouldn’t be specified at all. I have two TSM-order matched, each with tree legs. Would in this case zero be a valid value for LastPx(31) and AvgPx(6) as well?
The multileg entity of the TSM order neither has a Symbol (tag 55), nor a Price (tag 44). It seems that the message was merely used to string together three single leg orders for symbols TOZ0, CLZ0, CLZ1. The ExecutionReport for the multileg then shows symbol as “+2CLZ0-1TOZ0+1CLZ1” which is not an instrument but a concatentation of the leg symbols joined with the ratios. Without a price at the root level of the order (they only have leg level prices) I am not sure any value in LastPx can be meaningful. I am also not sure why you get 4 ERs instead of a single one which shows the leg executions in . If you already get 3 ERs, one for each leg, what value does the 4th one have? I am afraid I am unable to help you here.
Morning Hanno,
Let me explain with an example. I have two TSM order like this:
8=FIX.4.49=36235=AB49=bbt456=MFIXTradeID34=252=20110201-10:19:16122=20101207-01:10:5811=33335526=55777453=1448=BROKERA447=D452=111=0001386=1336=TAILORED54=B55=[N/A]167=MLEG762=1555=3600=TOZ0623=1624=2566=65.04600=CLZ0623=2624=1566=46.18600=CLZ1623=1624=1566=45.8060=20100616-10:03:23.48838=500040=259=058=Trade Reports563=05426=TSM Match10=168
8=FIX.4.49=36635=AB49=bbt456=MFIXTradeID34=352=20110201-10:19:46122=20101207-01:10:5811=5555555526=55777453=1448=BROKERA447=D452=111=0001386=1336=TAILORED54=B55=[N/A]167=MLEG762=1555=3600=TOZ0623=1624=1566=65.04600=CLZ0623=2624=2566=46.18600=CLZ1623=1624=2566=45.8060=20100616-10:03:23.48838=500040=259=058=Trade Reports563=05426=TSM Match1010=132
They are matched completely, not partially and I get three correct execution reports (Filled) for each leg for each order. But for multileg security I have this one
8=FIX.4.49=55035=849=MFIXTradeID56=bbt434=1152=20110201-10:19:46.55937=20100531-00000000168811=33335453=3448=bbt4447=D452=12448=BROKERB447=D452=1448=CMBMT447=D452=417=20100531-000000002168|1M|20100531348591150=F39=21=0001581=364=2010053155=+2CLZ0-1TOZ0+1CLZ1167=MLEG762=154=B38=500040=244=059=032=500031=45.8336=TAILORED151=014=50006=060=20100531-00:03:48.591442=3555=3600=CLZ0623=2624=1566=46.18600=TOZ0623=1624=2566=65.04600=CLZ1623=1624=1566=45.85426=TSM Match9918=CLFUTURE768=1769=20100531-00:03:18770=210=212
The same for the seconde order but it has LastPx(31)=65.04
It looks like not quite correct values of LastPx(31). I wonder which value of this tag will be correct in my case?Thank you in advance.
Not sure I fully understand your scenario. A multileg order is similar to a single leg order, only with a more complex object that is being traded and which has to be pulled apart into its pieces (legs) to be able to clear and settle it. With this analogy, I wonder how you can match your two orders other than on the fact that they have the same price (one seller, one buyer) and same quantity (buyer or seller might not be completely filled if desired quantities are different). Zero is a valid value for a spread but it sounds as if you would like to always set LastPx to zero which I would not understand.
Hi Hanno,
Thanks for your replay. Just to precise. The price for multileg security is applicable only if legs are from the same product, otherwise it shouldn’t be specified at all. I have two TSM-order matched, each with tree legs. Would in this case zero be a valid value for LastPx(31) and AvgPx(6) as well?