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More on FillsGrp in execution reports
John Prewett / Lava Trading (Citi)
16 Mar 2010 3:14PM ET An exchange is sending us an ExecutionReport with what I perceive to be a strange set of fields. I would appreciate clarification as to whether their usage is correct or incorrect.
The relevant fields in the only fill are as follows:
ExecType Trade
OrderQty 6000
CumQty 6000
OrdStatus Filled
LeavesQty 0
LastPx 148.25
LastQty 5703
NoFills 2
FillExecID 1234
FillPx 148.25
FillQty 297
FillExecID 5678
FillPx 148.25
FillQty 5703
Why isn't LastQty=6000?
I would have thought that LastQty should equal the sum of all the associated FillQty values. Or should I basically ignore LastQty when the FillsGrp component exists and just process the FillsGrp instead.
What should be in LastPx?
I would have thought it should be the average price of all the embedded partials. Or should I basically ignore LastPx when the FillsGrp component exists and process the FillsGrp instead?
More fundamentally, where can I read about valid usage of the FillsGrp component block? I scoured the 5.0SP1 & 5.0SP2 specifications without any success.
Thanks
JohnP
More on FillsGrp in execution reports
John Prewett / Lava Trading (Citi) 16 Mar 2010 3:14PM ET
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