Imported from previous forum
[ original email was from John Lopez - john.e.lopez@usa.net ]
For a VWAP type auction: the national market average last trade will set the price. I need to have pricing instructions. I was thinking of extending ExecInst value to include more Pricing Instructions, and add new fields for define the pricing period.
Price Instructions:
Average last traded shares
By time period
By volume
From Begin of day
From Trade
From end of day
Before Open
At close
Through the Day
Pricing Period (integer) contains either the duration in seconds or volume.
What are your thoughts?
John