Implementation of a price change within FIX messaging (without busting NOEs)

, ,
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Imported from previous forum

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(sell-side analyst)

We have the requirement to give a buy-side client a different overall price on the order to that reported on the Notice of Executions (NOE) Execution Reports.

The overall price on an order could be changed for the following reasons:

a) To improve the price actually achieved in the market due to the terms of the deal. (offer the client a guaranteed floor price (e.g. no worse than 5bp below VWAP)

b) The average execution price (AEP) is "smoothed" across a set of orders which were merged together for trading purposes. The smoothing eliminates the usually minor discrepancies between AEPs which have resulted from the whole number
(or whole lot) allocations when market fills get pro-rata’d to the client order.

How do we implement this price change in FIX messaging?

The architecture seems to suggest the busting and replacement of NOEs.

Is there an alternative to busting and resending fills (DoneForDay, etc)?

Thanks.

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Is there an alternative to busting and resending fills (DoneForDay, etc)?

FIX 4.2 and prior use ExecTransType=Correct(2)

FIX 4.3 uses ExecType=Trade Correct(G)

Both of these allow correction of a trade using one message, as opposed to busting and resending a trade.