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re: Execution Report as Order Ack
Chris Lambert / CMG UK
31 Mar 2003 12:00PM ETCORRECTION Only OrderQty was addressed, LeavesQty still needs to be fixed - in FIX 4.4 if possible.
> UPDATE This was addressed in FIX 4.3 ... so no longer a prob.
> > Chris Lambert, LogicaCMG added ...: I agree this is a problem - definitely for CIV's, where the price is always (with few exceptions) determined after the order is placed and acknowldged for later execution.
> > > Callum Licence responded ...: In this particular application, the Broker does not know the price at which the trade will occur, therefore how can they convert the CashOrderQuantity into a Quantity? Maybe they are supposed to use the last trade price or current market best?
> > > > Scott Atwell replied ...: The idea is that upon receipt of the order with CashOrderQuantity, the broker converts that to a per-unit (i.e. share) quantity. That converted quantity would be OrderQty and LeavesQty on the ExecutionReport ExecType=New, OrdStatus=New.
> > > > > Callum Licence, LSE said ...: An order is entered which specifies a CashOrderQuantity rather than a Quantity and an Execution Report is returned to acknowledge receipt of the order (i.e. when no execution has taken place). The LeavesQty is a mandatory field on the Execution Report, however it cannot be populated in this instance since the Quantity is not yet known (as only consideration was specified on the order and no execution price exists). Is this a mistake or have I misunderstood? Thanks.
re: Execution Report as Order Ack
Chris Lambert / CMG UK 31 Mar 2003 12:00PM ET
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