Imported from previous forum
Hi,
If an order is executed on multiple venues (exchanges,ecn, …) and if we want to send only one execution report to the client (not for each partial), is there a tag to specify this ? Perhaps LastMkt with particular value ?
Regards,
Michel.
Hi,
If an order is executed on multiple venues (exchanges,ecn, …) and if
we want to send only one execution report to the client (not for each
partial), is there a tag to specify this ? Perhaps LastMkt with
particular value ?Regards, Michel.
From FIX 4.3 onwards LastMkt is a ISO defined Market Identifier Code. So unless you are planning to use a custom value I don’t think you can use LastMkt for this purpose.
If you are planning to use ExecutionReport for this what will you send in LastPx, LastQty ? Each partial may have different price and quantity.
Maybe Trade Capture Report (35=AE) is a more suitable message for your purpose?
You did not say whether you want to hide the actual execution venues or not. FIX 5.0 SP1 or above can bundle multiple executions with different prices into a single ExecutionReport. Bundling then still means to show each of the fills in the repeating group FillsGrp. However, this is only intended for executions within a single match operation on a single execution venue and does not apply to your situation.
In general, I would not recommend to hide execution detail if you have it. You would also need to wait for responses from multiple venues prior to sending out the single ExecutionReport reporting on all of the fills. This creates all kinds of issues for failover and recovery. If time is not an issue and you only want to report executions of an order (e.g. at the end of the day), I concur with Mahesh to use TradeCaptureReport instead.
If you still want to send a single report for multiple executions across venues, I suggest to define a semantic where you simply omit LastMkt in such cases and send the field with a MIC in the other cases.
Regards,
Hanno.
Hi,
If an order is executed on multiple venues (exchanges,ecn, …) and if
we want to send only one execution report to the client (not for each
partial), is there a tag to specify this ? Perhaps LastMkt with
particular value ?Regards, Michel.
[ original email was from John Greenan - john.greenan@alignment-systems.com ]
Which version of FIX are you using?
I assume you are using 4.2 in which case…
If you are aggregating equity fills because your client cannot handle multiple fills then one way to do this is to simply exclude tag 30 from your execution report. Tag 30 is useful when you want to send detailed information to a buy-side but if their OMS cannot handle this then you’ll normally see that tag 30 is not mandatory.
Hi,
If an order is executed on multiple venues (exchanges,ecn, …) and if
we want to send only one execution report to the client (not for each
partial), is there a tag to specify this ? Perhaps LastMkt with
particular value ?Regards, Michel.