[This message was posted by Natan Kugel of BGC Partners
<[email protected]> to the "Foreign Exchange" discussion forum at
http://fixprotocol.org/discuss/1. You can reply to it on-line at
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A price improvement given in trade is conveyed using Execution Reports in the
following way
LastPx [31] - the price associated with the trade (e.g. 86.8)
LastShares [32] - amount of the last trade to which the lastPx applies
Note
Price [44] - always echoes back the price of the order (e.g. 87.1)
is the expected price and applies to OrdQty [38]
AvgPx [6] - average price of what has been traded so far
(applies to CumQty [14])
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