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Per message fill information for 4.2
John Greenan / http://www.alignment-systems.com
13 Nov 2007 1:08PM ETMany buy-side OMSs have problems dealing with "many" fills on a list order. As such some buy-sides have to make a request to their sell-sides - out-of-band - to aggregate or throttle fills. Has anyone ever implemented this within a custom tag on a 35=E message or is this always handled out-of-band?
Specifically, for some lists the buy-side would want to receive all fills in real time in a volatile market but may not want all the fills when dealing a pretty 'vanilla' list of liquid names. I was wondering if this was ever handled by a custom tag - send fills/don't send fills.
Per message fill information for 4.2
John Greenan / http://www.alignment-systems.com 13 Nov 2007 1:08PM ET
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