[This message was posted by Bipin Bhaiyya of Alliance Bernstein <[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/30994acd - PLEASE DO NOT REPLY BY MAIL.]
Amrit, Rounding off of avg px and last px is something that should ideally be done by your OMS and not FIX engine. There are various factor involved in the aspect of rounding off these fields. These could be, - Rounding up/down the prices - Truncation prices to specific # of decimal places - Which exchange/country the order was executed on/for as most of the asian exchanges have specific requirement as to how many digits precision should be maintained when rounding off the prices. All the above factors can change the behavior/dictate as to how these fields should be rounded. Hope this helps. > I want to round off the Last Price and Avg price when it is sent back to > the client in Execution Report, any suggestions to getting this done by > a FIX rule? > > Need to round it off to 4 decimal places. [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 -~----------~----~----~----~------~----~------~--~---
