Net and Gross pricing in executions.

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Imported from previous forum

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[ original email was from Richard Valk - rval@kempen.nl ]
Hi all,

I have a question on how to implement gross and nett pricing in FIX messages. We are using 4.2 and are a bit stuck on how to implement net pricing in execution reports.

Gross pricing is straigth forward:
Client buys 10 @ 14.1481 EUR Gross. Gross Consideration is 141.48 EUR. This price is reported to the client using the normal partial fills and a fill via executions reports. The complete fill will have the commision fields filled.

Net pricing is more complicated:
Commission rate is (say) 10 bp, i.e. 0.14 EUR.
Hence net consideration with fee rate is 141.62 EUR, price 14.1620.
We are thinking of the following scenario: Partial fills don’t have any commision in them yet just the gross price. The final fill is also just gross priced and then we amend the last execution with a recalculated price which will include the commision in the Price tag and OrdStatus calculated.

We don’t know if this is a common procedure and would like to know how others are handling this.

Thanks for your input.

Richard Valk

Kempen & Co | ICT
T +31 (0)20 348 9268 | M +31 (0)6 22609749
F +31 (0)20 348 9209 | E rval@kempen.nl

Beethovenstraat 300 | 1077 WZ Amsterdam
P.O. Box 75666 | 1070 AR Amsterdam