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Leaves Quantity for By Value orders
merlin beake / reuters
31 Jul 2001 6:57AM ETWhat should LeavesQty (tag 151, compulsory on Execution Reports) be for By Value orders (those which use CashOrderQty, not OrderQty)?
LeavesQty = OrderQty - CumQty
is a nonsense when OrderQty was zero (because it was a By Value order). On a normal execution LeavesQty would be negative. On a busted execution LeavesQty would be 0, when normally it would be equal to the quantity of the busted execution.
The only options I can see are:
a) always report LeavesQty as 0 on By Value orders (or don't use LeavesQty for Funds trading)
b) assuming no partial fills when trading funds By Value, report LeavesQty as the order's CashOrderQty on a busted execution, or 0 on any fill
c) create a new tag called something like LeavesValueQty (though this raises the question of how it is calculated, especially when considering such things as the different calculation methods used within the Funds world).
None of these options are particularly attractive, but I think it's something that needs to be sorted out as soon as possible, because LeavesQty is frequently calculated and frequently validated across systems. The danger is people are going to start sending messages with negative LeavesQty (because they haven't considered these issues) and they fail validation with their counterparty.
Leaves Quantity for By Value orders
merlin beake / reuters 31 Jul 2001 6:57AM ET
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