Imported from previous forum
[ original email was from John Prewett - jprewett@lavatrading.com ]
On an execution report, I notice no method to report (as NASD requires) a "riskless principal" trade in the LastCapacity field.
Can anyone please explain if there is a more suitable field to indicate this information ?
Thanks.
FIX 4.3 added OrderCapacity (tag 523) with value of "R" for "Riskless Principal". Note OrderCapacity and OrderRestrictions deprecated the Rule80A field which was used in versions prior to FIX 4.3. See FIX 4.3, Volume 4, "OrderCapacity and OrderRestrictions (formerly Rule80A) Usage by Market".
LastCapacity is not the appropriate field for this purpose. It designates at whether the B/D acted as agent or principal for an individual execution/partial fill.
> On an execution report, I notice no method to report (as NASD requires) a "riskless principal" trade in the LastCapacity field.
>
> Can anyone please explain if there is a more suitable field to indicate this information ?
>
> Thanks.
>
[ original email was from John Prewett - jprewett@lavatrading.com ]
Thanks very much Scott for your invaluable assistance (as usual).
A minor correction to assist others that are reading this thread:
OrderCapacity is actually tag 528 and not 523 as you mentioned below.
> FIX 4.3 added OrderCapacity (tag 523) with value of "R" for "Riskless Principal". Note OrderCapacity and OrderRestrictions deprecated the Rule80A field which was used in versions prior to FIX 4.3. See FIX 4.3, Volume 4, "OrderCapacity and OrderRestrictions (formerly Rule80A) Usage by Market".
>
> LastCapacity is not the appropriate field for this purpose. It designates at whether the B/D acted as agent or principal for an individual execution/partial fill.
>
>
> > On an execution report, I notice no method to report (as NASD requires) a "riskless principal" trade in the LastCapacity field.
> >
> > Can anyone please explain if there is a more suitable field to indicate this information ?
> >
> > Thanks.
> >
>