Imported from previous forum
The FIX 4.4 specification says that trades on tradable quotes should be reported using Execution Report. After reading this, I was quote sure that Execution Report would have some (optional) field to refer to the quote that generated the trade, but I can not find one.
I’ve googled a lot today, searched the forums, and also searched the User Defined Fields Repository in order to find something suitable, but didn’t find anything. So, I’m inclined to think I’ve missed something obvious, or that I misunderstood the standard. In any case help would be appreciated!
Staffan
Staffan:
Generally tag 11 (ClOrdID) in the Execution Report is populated using the value from either tag 117 (QuoteID) or tag 299 (QuoteEntryID) for fills. If you are populating a Single Quote message (MsgType-S), then it is likely that you would use the QuoteID when populating the fill. For a Mass Quote message (MsgType-i), you would be more likely to use the QuoteEntryID to address the individual quote being filled.
Hope this helps. Good luck.
-KD
The FIX 4.4 specification says that trades on tradable quotes should be
reported using Execution Report. After reading this, I was quote sure
that Execution Report would have some (optional) field to refer to the
quote that generated the trade, but I can not find one.I’ve googled a lot today, searched the forums, and also searched the
User Defined Fields Repository in order to find something suitable, but
didn’t find anything. So, I’m inclined to think I’ve missed something
obvious, or that I misunderstood the standard. In any case help would be
appreciated!Staffan
Generally tag 11 (ClOrdID) in the Execution Report is populated using
the value from either tag 117 (QuoteID) or tag 299 (QuoteEntryID) for
fills. If you are populating a Single Quote message (MsgType-S), then it
is likely that you would use the QuoteID when populating the fill. For a
Mass Quote message (MsgType-i), you would be more likely to use the
QuoteEntryID to address the individual quote being filled.Hope this helps. Good luck.
It certainly does; thanks! This is what I might have opted for had I not got any responses, but I also considered using a custom (8000+) tag for the purpose. I find it a bit strange that this is not mentioned anywhere in the specs.
Staffan
Is this still accepted practice? Specifically, using the QuoteID (117) value as ClOrdID (11) in an execution report notifying a fill of a single quote? It seems the obvious choice, since QuoteID is required in a Quote (35=S) but the standard seems to imply that for a single Quote the value of QuoteMsgID (1166) should be used rather than QuoteID (117), see below. Are these just examples of possible values?
In the case of quotes can be mapped to:
- QuoteMsgID(1166) of a single Quote(35=S)
- QuoteID(117) of a MassQuote(35=i).
- MassOrderReportID(2424) of a MassOrderAck(35=DK)
@mordav thank you for raising the question, the GTC will look into this issue.
This has now been identified as an error and will be resolved together with the Errors and Omissions Gap Analysis for 2021. Please see here for details. The correct text should be as follows.
In the case of quotes can be mapped to:
- QuoteID(117) of a single Quote(35=S)
- QuoteEntryID(299) of a MassQuote(35=i)
- BidID(390) or OfferID(1867) of a two-sided Quote(35=S)
- MassOrderReportID(2424) of a MassOrderAck(35=DK)
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