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Foreign Exchange
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Better rate in Execution Report (msgType=8)
gary gary / gary
22 Jul 2010 10:07AM ET May I seek for the advice on how should the Order executed rate be marked in the Execution Report (msgType=8)? There are multiple tags in the Execution Report: tag 44 (Price), tag 31 (LastPx) and tag 6 (AvgPx).
If the order is filled with the client order rate, I believe all these 3 field can be marked with the client order rate for FX.
However, what if the client order is executed with a better rate? For example, client buy on USD/JPY with order rate=87.1 in the New Order- Single (msgType=D); But the market maker execute this order with a better rate(e.g. rate = 86.8); In this case, should we put the better rate(86.8) in the Execution Report in the above tag? Or should specific tag should be marked with the original client's order rate (87.1)? Thanks.
Better rate in Execution Report (msgType=8)
gary gary / gary 22 Jul 2010 10:07AM ET
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