Using the ExecutionReport to report a trade on a Tradeable Quote

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Imported from previous forum

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Hi,

We would use the ExecutionReport to report a trade on a Tradeable Quote. According to the FPL:Quoting Models (http://fixwiki.fixprotocol.org/fixwiki/FPL:Quoting_Models#Using_the_ExecutionReport_to_report_a_trade_on_a_Tradeable_Quote), quotes are usually replaced or replenished - often times with the same QuoteID - it is not always possible, nor does it necessarily make sense for markets to keep track and transmit the detailed quantity information required on the quote. ExecutionReports for trades against a tradeable quote can use the quantity fields in the following manner.

||Tag#||Field Name||Reqd||Usage in reporting trades on tradeable or restricted tradeable quotes||
|38 |OrderQty |N|Quote quantity when the fill occurred. |
|32 |LastQty |N|Same as for a fill against an order |
|31 |LastPx |N|Same as for a fill against an order |
|151|LeavesQty|Y|Quantity remaining open in the market |
|14 |CumQty |Y|Use 0.0 if market is unable to provide a cumulative total. |
|6 |AvgPx |Y|Use 0.0 if market is unable to provide an average price |

However, we are not very clear how can we maintain LeavesQty without keep tracking the OrderQty? In case we can neglect OrderQty, shall we use 0.0 in LeavesQty too? We think LastQty and LastPx should be mandatory instead of LeavesQty and AvgPx. Could you give an example how the recommended specification above works?

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LeavesQty should be available without data outside of the quote. CumQty and AvgPx require such information, i.e. tracking of multiple events. A quote entity will always have a size. If it is executed, you probably reduce the size by the executed amount and this is your new LeavesQty. You would need OrderQty to calculate CumQty.
Please also have a look at a recent FIX extension to allow true quote modification instead of the current quote replacement model (http://www.fixprotocol.org/documents/5311/NGM%20Tradeable%20Quotes%20Extension%20v05.doc).

Hi,

We would use the ExecutionReport to report a trade on a Tradeable Quote. According to the FPL:Quoting Models (http://fixwiki.fixprotocol.org/fixwiki/FPL:Quoting_Models#Using_the_ExecutionReport_to_report_a_trade_on_a_Tradeable_Quote), quotes are usually replaced or replenished - often times with the same QuoteID - it is not always possible, nor does it necessarily make sense for markets to keep track and transmit the detailed quantity information required on the quote. ExecutionReports for trades against a tradeable quote can use the quantity fields in the following manner.

||Tag#||Field Name||Reqd||Usage in reporting trades on tradeable or restricted tradeable quotes||
|38 |OrderQty |N|Quote quantity when the fill occurred. |
|32 |LastQty |N|Same as for a fill against an order |
|31 |LastPx |N|Same as for a fill against an order |
|151|LeavesQty|Y|Quantity remaining open in the market |
|14 |CumQty |Y|Use 0.0 if market is unable to provide a cumulative total. |
|6 |AvgPx |Y|Use 0.0 if market is unable to provide an average price |

However, we are not very clear how can we maintain LeavesQty without keep tracking the OrderQty? In case we can neglect OrderQty, shall we use 0.0 in LeavesQty too? We think LastQty and LastPx should be mandatory instead of LeavesQty and AvgPx. Could you give an example how the recommended specification above works?