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Foreign Exchange
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Re: Better rate in Execution Report (msgType=8)
gary gary / gary
22 Jul 2010 11:52PM ET Hi Greg,
Thanks very much for your thorough explaination. It's very helpful.
Regards,
Gary
> Hi Gary,
>
> I wouldn't say that this behaviour is common practice for FX specifically, but more common practice for trading any asset class via FIX.
>
> Tag 44 is the limit set by the client, it dictates the absolute maximum that anything can be bought for, or the absolute minimum that anything can be sold for.
>
> Tag 31 will be the price of the last fill. It should not violate the limit price set in tag 44, so for a sell is should be the limit price or higher, and for a buy it should be the limit price or lower. Tag 6 is the average price across all fills. If an order is filled in a single clip then there will be a single execution report and tag 6 equals tag 31.
>
> Historically in FX of course you hit a quote and you either got completed at the limit price or you did not deal at all. There was very little room for price improvement in a quote driven model compared to an order driven model.
>
> I would say that as traditional FX trading evolves you will see more situations where FX orders are filled at a rate better than the limit price, as well as being filled in multiple clips at different prices that generate a weighted average price across several execution reports. I know from experience that a lot of traditional FX systems have trouble with partial fills, but that is slowly changing.
>
> Is this something to highlight in FIXIMATE ? I would say no, just because this is conceptually more about the rules of trading than the FIX protocol. FIX just provides the ability to convey these different values - the original instruction, the fills and the average across the fills.
>
> Regards,
>
> - Greg
>
>
> > Thanks. So tag 44 (price) and tag 31 (lastPx) should be marked with different value in the case of price improvement.
> > Any there any reference/hints we can find in the FIXimate? As the description of these 2 tags actually don't tell about this usage.
> > Or it is a common practice in the FX market? Thanks for further information.
> > >
> > > A price improvement given in trade is conveyed using Execution Reports in the following way
> > > LastPx [31] - the price associated with the trade (e.g. 86.8)
> > > LastShares [32] - amount of the last trade to which the lastPx applies
> > >
> > > Note
> > > Price [44] - always echoes back the price of the order (e.g. 87.1)
> > > is the expected price and applies to OrdQty [38]
> > > AvgPx [6] - average price of what has been traded so far
> > > (applies to CumQty [14])
Re: Better rate in Execution Report (msgType=8)
gary gary / gary 22 Jul 2010 11:52PM ET
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