|
4.3 Changes
< Previous Next >
re: ClOrdLinkID usage
ron newell / chicago mercantile exchange
20 May 2003 12:30PM ETClOrdLinkID was added to support post-trade average pricing 1) across multiple orders, or 2) for an order executed at multiple price levels.
1) For average pricing across orders, the buy-side provides a group id in the ClOrdLinkID tag that designates the orders that are to be aggregated for average pricing. The presence of the ClOrdLinkID tag flags the fact that averaging pricing is sought.
2) For average pricing of a single order at multiple price levels, the buy-side can again provide a group id (as above) that is unique to this one order. As an alternative, the buy-side can populate ClOrdLinkID with the ClOrdID of the order. The former approach is the preferred but some older systems support the latter. Again, the presence of the ClOrdLinkID tag flags the order for averaging pricing.
Note that #2 above is similar to FIX Tag 6 AvgPx but occurs as a post-trade event.
Note also that ClOrdLinkID was kept sufficiently generic to allowing for grouping of orders for other purposes than just average pricing.
Thanks
> Can someone who understands the field ClOrdLinkID please respond with a detailed description as to its indended usage.
>
> Is it merely yet another field that the sell-side must echo back on execution reports or is the sell-side permitted to take some grouping action with respect to orders that contain the same ClOrdLinkID?
>
> A sell-side colleague is asking about receiving 5 orders with the same ClOrdLinkID and sending back 1 fill for all 5 orders. It wasn't clear to me that this field was in any way intended for that purpose.
>
> Thanks for your assistance.
>
re: ClOrdLinkID usage
ron newell / chicago mercantile exchange 20 May 2003 12:30PM ET
|
