re: Amount vs. Quantity orders
merlin beake / reuters
21 Mar 2002 7:01AM ETI had quite a detailed discussion about all this on the 'General Q/A' forum. See 'Order Quantity Types', 02/20/2002.
It's not particularly intuitive. The general principle is that an order should
Either: have OrderQty > 0
Or
CashOrderQty > 0
In the case of Funds, if you are using CashOrderQty, you should also use tag OrderQtyType, to specify if CashOrderQty is a percentage of holding, or a cash quantity.
So the basic test, I would have thought, is that if CashOrderQty is > 0, it's a By Value order, otherwise it's a By Quantity order.
Bear in mind that the broker should calculate an OrderQty for a By Value trade (based on price etc.) and put it on Execution Reports, so OrderQty = 0 is _not_ necessarily a good test of whether a trade was By Value.
Also, never make the mistake of assuming that OrderQtyType=Quantity means it's a By Quantity order. OrderQtyType exists purely to distinguish between percentage By Value trades and cash quantity By Value trades; it shouldn't be on By Quantity trades at all.
Examples:
Order: Side=Buy, SecurityType=Mutual Fund, OrderQty=1000, CashOrderQty=0, 15=USD
Buy 1000 Units in the relevant Fund, trade currency is dollars.
Order: Side=Buy, SecurityType=Mutual Fund, OrderQty=0, CashOrderQty=1000, OrderQtyType=Quantity, 15=EUR
Buy 1000 Euros of the relevant Fund, presumably using any standard agreements between the two counterparties as to what charges and commission, if any, this includes.
Order: Side=Sell, SecurityType=Mutual Fund, OrderQty=0, CashOrderQty=50, OrderQtyType=Percentage, 15=EUR
Sell 50% of the customer's holding in that particular Fund, trade currency is Euros.
> Considering that orders in the same fund can be either in amounts (how much to be invested / divested) or in quantities (number of shares), I am trying to find the way to differentiate between the two types of orders.
>
> Is there a flag that can be set to tell the difference?
>
>
> Roberto
> Roberto Colacicchi
> IT Project Manager
>
> UBS (Luxembourg) S.A.
> Phone: +352 45.12.12.647
> Fax: +352 45.12.12.725
>
>
