Reporting Average PRICE : FIX 4.2

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Imported from previous forum

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[ original email was from Ramesh Kadambi - ramesh.kadambi@nasdaq.com ]
Hi all,

FIX 4.2 Question:

I was wondering what the rules were for reporting average price. It makes sense to report it on FILLS / PARTIAL FILLS and default to 0.0 on all other execution messages.

Is there a reason it is a mandatory field on the execution reports ?

What does the FIX community currently do ?

Ramesh

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[ original email was from Mark Bigenwald - mark.bigenwald@sungard.com ]
Ramesh,
On all executions, we expect AvgPx to be non-zero if CumQty is non-zero.
-Mark

> Hi all,
>
> FIX 4.2 Question:
>
> I was wondering what the rules were for reporting average price. It makes sense to report it on FILLS / PARTIAL FILLS and default to 0.0 on all other execution messages.
>
> Is there a reason it is a mandatory field on the execution reports ?
>
> What does the FIX community currently do ?
>
> Ramesh
>
>

4

[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
We likewise set this to a non-zero value if any part of the order has executed. For fractional priced contracts such as the 30 Year Bond on CBoT we set the decimal average (i.e. 102.5 for fill at 102 and 16/32nds).

> Ramesh,
> On all executions, we expect AvgPx to be non-zero if CumQty is non-zero.
> -Mark
>
>
> > Hi all,
> >
> > FIX 4.2 Question:
> >
> > I was wondering what the rules were for reporting average price. It makes sense to report it on FILLS / PARTIAL FILLS and default to 0.0 on all other execution messages.
> >
> > Is there a reason it is a mandatory field on the execution reports ?
> >
> > What does the FIX community currently do ?
> >
> > Ramesh
> >
> >
>