lastprice vs. price on ExecutionReport

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Imported from previous forum

2

I had quick question regarding these 2 fields.

as per protocol,
Price - price per unit of quantity
Last Price - Price of this (last) fill.

Can you guys tell me the difference between these 2.
Is the Price field same as the one submitted with NewOrderSingle?
Will the LastPrice be same as Price if order was NewOrderSingle?

What happens if the orders are multileg?

3

[ original email was from Mikael Brannstrom - mikael.brannstrom@ngm.se ]
> Can you guys tell me the difference between these 2. Is the Price field

same as the one submitted with NewOrderSingle?

Yes, also the same as submitted with OrderCancelReplaceRequest.

Will the LastPrice be same as Price if order was NewOrderSingle?

The LastPrice contains the price of the fill (trade), if any. This may differ from the price of the order.

4

Can you guys tell me the difference between these 2. Is the Price
field same as the one submitted with NewOrderSingle?

Yes, also the same as submitted with OrderCancelReplaceRequest.

Will the LastPrice be same as Price if order was NewOrderSingle?

The LastPrice contains the price of the fill (trade), if any. This may
differ from the price of the order.

thanks. so in case of limit orders, the LastPrice will be same as Price ootherwise whats the point of limit order, right?

5

Can you guys tell me the difference between these 2. Is the Price
field same as the one submitted with NewOrderSingle?

Yes, also the same as submitted with OrderCancelReplaceRequest.

Will the LastPrice be same as Price if order was NewOrderSingle?

The LastPrice contains the price of the fill (trade), if any. This may
differ from the price of the order.

thanks. so in case of limit orders, the LastPrice will be same as Price
ootherwise whats the point of limit order, right?
Ramesh,

Not right.
Limit order is a limit in order.
For example, you have a buy order (Buy 100 share IBM at 99.00). This means any executing price will be no more than 99.00. The LastPrice in fill reports could be have any value no more than $99.00. You can have a fill (BOT 10 at $99, BOT 20 at $98, BOT 70 at $95).

Good luck,
peng
http://www.eptop.com/FIX/FixExpress.htm

6

Can you guys tell me the difference between these 2. Is the Price
field same as the one submitted with NewOrderSingle?

Yes, also the same as submitted with OrderCancelReplaceRequest.

Will the LastPrice be same as Price if order was NewOrderSingle?

The LastPrice contains the price of the fill (trade), if any. This
may differ from the price of the order.

thanks. so in case of limit orders, the LastPrice will be same as
Price ootherwise whats the point of limit order, right?
Ramesh,

Not right. Limit order is a limit in order. For example, you have a buy
order (Buy 100 share IBM at 99.00). This means any executing price will
be no more than 99.00. The LastPrice in fill reports could be have any
value no more than $99.00. You can have a fill (BOT 10 at $99, BOT 20 at
$98, BOT 70 at $95).

Good luck, peng A Person to Person Business Site

thanks. that helps.
the question came up during the design of the daily trading history reports. so for these reports i will show both price and last price and any differences.

7

Last price 31 need not be the same as limit price 44 and could be “better” - ie for buy orders the last price could be less than limit price, for sell orders last price could be more than limit price. I have come across systems where the Buy side rejects Execution reports with a DKT when the last price is NOT better than limit price, sometime with a small margin of 1% (some other small percent based on the business)

Can you guys tell me the difference between these 2. Is the Price
field same as the one submitted with NewOrderSingle?

Yes, also the same as submitted with OrderCancelReplaceRequest.

Will the LastPrice be same as Price if order was NewOrderSingle?

The LastPrice contains the price of the fill (trade), if any. This may
differ from the price of the order.

thanks. so in case of limit orders, the LastPrice will be same as Price
ootherwise whats the point of limit order, right?