Imported from previous forum
I was told that the answer to the following question is already on this web site, but I am having trouble finding it. My question is:
For a GTC (Good Til Cancel) order that is partially executed in its first day and carried over to a second day, should the total executed quantity from the first day be used as a starting value for the total executed quantity for the second day OR should the total executed quantity be set to zero at the start of the second trading day, for such an order?
I will assume that whatever answer given will also apply if the order spans more than two days, unless you indicate overwise!
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> I was told that the answer to the following question is already on this web site, but I am having trouble finding it. My question is:
>
> For a GTC (Good Til Cancel) order that is partially executed in its first day and carried over to a second day, should the total executed quantity from the first day be used as a starting value for the total executed quantity for the second day OR should the total executed quantity be set to zero at the start of the second trading day, for such an order?
>
> I will assume that whatever answer given will also apply if the order spans more than two days, unless you indicate overwise!
This is not something which is well defined in any released version of FIX, but it has been clarified in the FIX 4.2 draft and state change matrices.
In short, OrderQty, CumQty, AvgPx refer to the total amount traded across all days. I.e. you put in an order to buy 10000, and 1000 shares trade today. Tomorrow OrderQty=10000, CumQty=1000. FIX 4.2 also defines additional fields DayOrderQty (9000 in this case because 9000 shares are open at the start of the day), DayCumQty (0 in this case because nothing has traded yet today) and DayAvgPx (in this case 0.0 because nothing has traded yet today).
While this is the convention for FIX 4.2, implementations of FIX 4.1 and earlier may vary widely in interpretation of these fields.
Jonathan:
We cycle the order on a daily basis so
the fix amounts represent only traffic for that day. Total Executed Quantity is reset to 0.
For example on Monday evening we have
Order Qty 25,000
Executed Qty 17,000
Remaining Qty 8,000
Tuesday morning will yield
Order Qty 8,000
Executed Qty 0
Remaining Qty 8,000
> I was told that the answer to the following question is already on this web site, but I am having trouble finding it. My question is:
>
> For a GTC (Good Til Cancel) order that is partially executed in its first day and carried over to a second day, should the total executed quantity from the first day be used as a starting value for the total executed quantity for the second day OR should the total executed quantity be set to zero at the start of the second trading day, for such an order?
>
> I will assume that whatever answer given will also apply if the order spans more than two days, unless you indicate overwise!
>