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Foreign Exchange
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Re: Better rate in Execution Report (msgType=8)
Natan Kugel / BGC Partners <>
22 Jul 2010 10:18AM ET 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)
Natan Kugel / BGC Partners 22 Jul 2010 10:18AM ET
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