Imported from previous forum
The 4.2 spec and earlier discussion threads indicate that strategy executions can be reported by leg or by strategy. If you are reporting by leg, does that mean you have to report cancel confirmations (ExecType 4 and 5), expirations ©, or Done for Day (3) by leg as well? If it’s possible to report fills by leg and such “order-level” status changes by strategy, then how should required tags such as LastShares, LastPx, LvsQty, etc. be completed, especially if the legs have not been filled in proportion to the original order (“legging in”)? Any experience or ideas would be appreciated.
[ original email was from James Downs - jdowns@xcaliber.com ]
> The 4.2 spec and earlier discussion threads indicate that strategy executions can be reported by leg or by strategy. If you are reporting by leg, does that mean you have to report cancel confirmations (ExecType 4 and 5), expirations ©, or Done for Day (3) by leg as well? If it’s possible to report fills by leg and such “order-level” status changes by strategy, then how should required tags such as LastShares, LastPx, LvsQty, etc. be completed, especially if the legs have not been filled in proportion to the original order (“legging in”)? Any experience or ideas would be appreciated.
>
Daniel,
To reply to your second question, I do not feel that the intent of the strategy order was to allow the legging of the spread. The strategy would be executed as atomic transactions according to the predefined ratio of the individual legs. So the legs would (should) always have the correct ratio.
Jim Downs
Connamara Systems, LLC