|
Foreign Exchange
< Previous Next >
Re: Better rate in Execution Report (msgType=8)
gary gary / gary
22 Jul 2010 11:41AM ET Thanks. So tag 44 (price) and tag 31 (lastPx) should be marked with different value in the case of price improvement.
Any there any reference/hints we can find in the FIXimate? As the description of these 2 tags actually don't tell about this usage.
Or it is a common practice in the FX market? Thanks for further information.
>
> 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)
gary gary / gary 22 Jul 2010 11:41AM ET
|
