Request ExDestination in ExecutionReport messages

, ,
1

Imported from previous forum

2

The ExDestination field is not present in the ExecutionReport message. For "Best Execution" routing systems, this would be very useful.

Example:
An order is submitted into a system that will route the order to the exchange with the best price. The Order/Mod accept could have an ExDestination value to inform the customer of the exchange the order was submitted to. This would go for OrderStatusRequest replies also.

LastMkt(30) is used specifically for fills and SecurityExchange(207) is informational.

Any suggestions?

3

I would use LastMkt on OrdStatus=New.

> The ExDestination field is not present in the ExecutionReport message. For "Best Execution" routing systems, this would be very useful.
>
> Example:
> An order is submitted into a system that will route the order to the exchange with the best price. The Order/Mod accept could have an ExDestination value to inform the customer of the exchange the order was submitted to. This would go for OrderStatusRequest replies also.
>
> LastMkt(30) is used specifically for fills and SecurityExchange(207) is informational.
>
> Any suggestions?
>

4

[ original email was from John Prewett - jprewett@lavatrading.com ]
> The ExDestination field is not present in the ExecutionReport message. For "Best Execution" routing systems, this would be very useful.
>
> Example:
> An order is submitted into a system that will route the order to the exchange with the best price. The Order/Mod accept could have an ExDestination value to inform the customer of the exchange the order was submitted to. This would go for OrderStatusRequest replies also.
>
> LastMkt(30) is used specifically for fills and SecurityExchange(207) is informational.
>
> Any suggestions?
>
I have seen LastMkt used for this purpose in an ExecutionReport(New), even though the field is specified as indicating the venue of the last execution.

This doesn’t cope several more complex situations:

  1. The routing organization cancels the order from the original venue and resubmits it to another execution venue. There is no way to inform the order originator of the new execution venue.
  2. The routing organization splits the order into several child orders and routes them to different execution venues. There is no way to inform the order originator of the split details and where each child order went.