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ECNs, Exchanges
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Re: AvgPrice and CumQty
Rikard Hedberg / NASDAQ OMX
26 Jun 2008 7:10AM ETNatan,
many (I would claim most) exchanges do not provide average price calculaton. It is a service mainly relevant for brokers when they work client orders. As of FIX 5.0 the AvgPx field is made optional in the Execution Report. There are various solutions used to signify that the average price is not calculated, zero is probably the most common one - although I would note that zero is a perfectly valid price in some cases (combinations / multilegs e.g.). I've also seen "999999" used.
I think Mahesh provided insightful information on why fields are required in FIX. Regarding the AvgPx, I would however say that it should be part of any pre-5.0 message as it is requeired by the standard - but that you clearly define that you are not calculating it and provide a defined "null" value.
CumQty remains required in later FIX-versions and should be specified as defined (LeavesQty = OrderQty - CumQty.).
Regards
Rikard
> I would like to know if many exchanges provide support for both AvgPrice
> and CumQty in execution reports and would it make sense to make these
> two fields non mandatory for exchanges? Would it make sense for fast
> paced systems to loosen this requirement? How many have gone with a stop
> gap solution and provide value "Zero" (0)? Is this a norm? I thank you
> in advance. Natan
Re: AvgPrice and CumQty
Rikard Hedberg / NASDAQ OMX 26 Jun 2008 7:10AM ET
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