[This message was posted by Scott Atwell of American Century Investments <[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/55b7d654 - PLEASE DO NOT REPLY BY MAIL.]
My recollection from the discussions re: Riskless Principal way back when (likely 5+ years ago) was that LastCapacity should be "Principal" (note that "or cross as principal" is not differentiated from "Principal" in your example, either). I believe the view was ultimately you are either acting as principal (non-agency) for these. Note also, that OrderCapacity replaced the field named Rule80A in older versions of the spec. > (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 -~----------~----~----~----~------~----~------~--~---
