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ECNs, Exchanges
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Re: ClOrdID [11] value in trade capture reports
Aaron Pryce / Consultancy <>
21 Jul 2010 8:20PM ET What about using a venue assigned unique identifier that doesn't change like Tag 37 (OrderID)?
> Trade Capture Reports most likely will be generated with delays, hence my view is that the Trade Capture Report should carry the value in client order ID the same as in the associated execution report. This would make both messages consistent.
>
> Scenario:
> C -> Order 11=a1
> C <- ExecutionReport 11=a1, 17=b1
> C <- ExecutionReport Trade 11=a1
> C -> CancelReplace 41=a1, 11=a2
> C <- ExecutionReport Replaced 11=a2, 41=a1
> ...
> C -> Cancel request 41=a2, 11=a3
> C <- ExecutionReport Cancelled 11=a3, 41=a2
> ...
> C <- TradeCaptureReport 11=a1 for 17=b1
>
> An alternative is to use the latest client order ID, however, this adds a level of complexity in ensuring several systems (trading and back office) are in synch.
>
> Should we clarify in the next service pack?
>
Re: ClOrdID [11] value in trade capture reports
Aaron Pryce / Consultancy 21 Jul 2010 8:20PM ET
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