How to handle commission (tag 12) across multiple partial fills

1

If a large order is executed as a series of partial fills, what is the customary way to report the commission field value in the Execution Reports?
Do I report the same total commission value in every partial fill? Do I report commission as 0 in every partial fill except for the last one where the LeavesQty is now 0 and ExecType is FILLED?
I am thinking that if reporting commission is left for the very last partial fill ER, what if the order is not executed 100% and the client eventually cancels the remaining qty – then the customer never learns the commission charged.

My apologies for a newbie question.

Thank you

2

You have more than one option and FIX itself does not prescribe what you do. If there is only one commission for all partial fills, i.e. you know the commission when the first partial fill occurs, you can send it with that ER. Then you do not have to worry about orders not being fully executed. If there is a commission for every partial fill, then you can attach it to the individual ERs. Rather than reporting a commission of 0 you should omit the field(s) if you do not want to attach commission information. 0 is a value whereas omission means there is no information about commissions in the message.

If you use the FillsGrp component, you can put multiple fills into a single ER and attach the related fee to that group of partial fills. There is also a fairly new CommissionDataGrp (added with EP204) that allows you to convey different types of commissions or just additional attributes for the single commission value (CommissionAmountType(2641) = 0 (Unspecified)).

3

thank you very much, makes sense.

4

Much depends also on the commission agreement between the broker and the client. Equities, FX and algo trading has lots of partial fills. In most cases the commisison is going to be applied for what’s executed at the end of the day, and this is where the ExecutionReport(35=8) with ExecType(150)=B (Calculated) could come into play to report these types of calculated values based on what’s executed at the end of the day.

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