[This message was posted by Hanno Klein of Deutsche Börse Systems <[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/9de457bf - PLEASE DO NOT REPLY BY MAIL.]
(It was Scott and not Ryan providing the previous answer) OrderCapacity is normally an input value of NewOrderSingle which is then echoed back on the ExecutionReport. In your case, do you allow a value in LastCapacity to be different from OrderCapacity? Or is the broker only allowed to use different capacities if the incoming order does not define any OrderCapacity? Thanks, Hanno. > 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 -~----------~----~----~----~------~----~------~--~---
