Imported from previous forum
[ original email was from merlin beake - merlin.beake@reuters.com ]
What should LeavesQty (tag 151, compulsory on Execution Reports) be for By Value orders (those which use CashOrderQty, not OrderQty)?
LeavesQty = OrderQty - CumQty
is a nonsense when OrderQty was zero (because it was a By Value order). On a normal execution LeavesQty would be negative. On a busted execution LeavesQty would be 0, when normally it would be equal to the quantity of the busted execution.
The only options I can see are:
a) always report LeavesQty as 0 on By Value orders (or don’t use LeavesQty for Funds trading)
b) assuming no partial fills when trading funds By Value, report LeavesQty as the order’s CashOrderQty on a busted execution, or 0 on any fill
c) create a new tag called something like LeavesValueQty (though this raises the question of how it is calculated, especially when considering such things as the different calculation methods used within the Funds world).
None of these options are particularly attractive, but I think it’s something that needs to be sorted out as soon as possible, because LeavesQty is frequently calculated and frequently validated across systems. The danger is people are going to start sending messages with negative LeavesQty (because they haven’t considered these issues) and they fail validation with their counterparty.
[ original email was from Chris Lambert - chris.lambert@emx.co.uk ]
> What should LeavesQty (tag 151, compulsory on Execution Reports) be for By Value orders (those which use CashOrderQty, not OrderQty)?
Partial Fills should not arise when trading Fund Units directly with Fund Managers (who create and cancel Units to meet demand) - so I believe LeavesQty should always be 0.
(Apologies for typo in previous response.)
[ original email was from merlin beake - merlin.beake@reuters.com ]
If all interested parties are agreed that Funds trading should never result in partial fills (and hence no need to keep track of LeavesQty),
I would actually prefer to make it explicit in the protocol that LeavesQty should not be sent with Funds trades. Having a value of "0"
seems to leave open the possibility of confusion.
For example, a LeavesQty of "0" on an execution in normal circumstances would mean that it had filled; but in the case of Funds, it could
also mean that it is a busted execution (if LeavesQty is always sent as "0" for Funds trading.)
Abstractly, it seems confusing (having a Leaves of 0 on a trade which is unfilled), and might even cause validation failure in some systems.
Removing LeavesQty from the protocol for Funds trading makes it clear what is intended.
merlin
> What should LeavesQty (tag 151, compulsory on Execution Reports) be for By
> Value orders (those which use CashOrderQty, not OrderQty)?
>
> Partial Fills should not arise when trading Fund Units directly with Fund
> Managers (who create and cancel Units to meet demand) - so I believe LeavesQty
> should always be 0.
>
> (Apologies for typo in previous response.)
>