[This message was posted by Manisha Kimmel of Financial Information Forum <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/9ad82be2 - PLEASE DO NOT REPLY BY MAIL.]
Ryan, The OrderCapacity cannot be used in the case where an order has multiple fills in different capacities. This can happen when a block is sent from Buy side Trader to Sell Side Trader and trader creates different slices and executes them in different capacities. i.e. BuySide SellSide Order Block - Buy 10,000 m...@mkt Order Block - Buy 10,000 m...@mkt Order Slice1 - Buy 1200 MSFT Fill11 1...@20 - Agent(LastCapacity is Agent) Order Slice2 - Buy 1800 MSFT Fill21 1...@20 - Cross with another client order(LastCapacity=Cross as Agent) Order Slice3 - Buy 5000 MSFT Fill31 5...@19 - Principal(LastCapacity=Principal or cross as principal) Order Slice4 - Buy 2000 MSFT Fill41 2...@20 - RisklessPrincipal(LastCapacity=?) When each fill is reported back on the block to buy side what should be lastCapacity value on the RisklessPrincipal fill? Thanks, Manisha > Use OrderCapacity (528) value R - Riskless Principal > > > Currently there is no riskless principal value in the LastCapacity Tag > > (Tag 29). While riskless principal is a value in OrderCapacity (Tag > > 528), would FIX consider adding a Riskless Principal value to the > > LastCapacity Tag? This would make sense since riskless principal > > describes an execution capacity e.g., it describes the manner in > > which the order was filled. > > > > Regards, Manisha > > > > ______________________ > > Manisha Kimmel Executive Director Financial Information Forum > > [email protected] Direct: +1 312 953 9228 [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
