Imported from previous forum
[ original email was from Corwin Yu - cyu@sasiny.com ]
This is really a best practice question… we have been having difficulty trying to get all of our execution partners to provide consisitent average price for executions, primarily for orders that get modified many times then cancelled. Our interpretation is that tag six should reflect the whole order’s (from start to finish) average price. Is that right?
And if so, is it best just to consolidate that data on front ends, and have volume weighted average prices calculated there? Or is it more important to have the FIX messages reflect the running totals and average prices?
Corwin Yu
Swiss American Securities - Member of Credit Suisse
Tag 6 AKA AvgPx in a FIX message (Execution reports for that matter) does represent the average price or the weighted price of all the fills on that particular order. FIX specification clearly states this fact “Data reported in the CumQty and AvgPx fields represent the status of the order as of the time of the correction, not as of the time of the originally reported execution”. This means that if there are any corrections or changes done on an order then AvgPx will be changed accordingly in order to reflect the modification.
However, due to ambiguities or certain implementation limitations various execution agencies deviate from this fact. Through my experience I have come to know that its better not to rely on others to provide a consistent interface especially where there are more chances of ambiguity. Thus, as a practice we consolidate data on the business layer and use that to reflect the AvgPx and CumQty.
Hope this helps!
Kashif Awan,
kashif.awan@kolachi.net.
Manager Electronic Connectivity,
Kolachi Advanced Technologies.
www.kolachi.com.
> This is really a best practice question… we have been having difficulty trying to get all of our execution partners to provide consisitent average price for executions, primarily for orders that get modified many times then cancelled. Our interpretation is that tag six should reflect the whole order’s (from start to finish) average price. Is that right?
>
> And if so, is it best just to consolidate that data on front ends, and have volume weighted average prices calculated there? Or is it more important to have the FIX messages reflect the running totals and average prices?
>
> Corwin Yu
> Swiss American Securities - Member of Credit Suisse
>