[This message was posted by Greg Wood of Credit Suisse <[email protected]> to the "Foreign Exchange" discussion forum at http://fixprotocol.org/discuss/1. You can reply to it on-line at http://fixprotocol.org/discuss/read/2e75c571 - PLEASE DO NOT REPLY BY MAIL.]
Hi Gary, I wouldn't say that this behaviour is common practice for FX specifically, but more common practice for trading any asset class via FIX. Tag 44 is the limit set by the client, it dictates the absolute maximum that anything can be bought for, or the absolute minimum that anything can be sold for. Tag 31 will be the price of the last fill. It should not violate the limit price set in tag 44, so for a sell is should be the limit price or higher, and for a buy it should be the limit price or lower. Tag 6 is the average price across all fills. If an order is filled in a single clip then there will be a single execution report and tag 6 equals tag 31. Historically in FX of course you hit a quote and you either got completed at the limit price or you did not deal at all. There was very little room for price improvement in a quote driven model compared to an order driven model. I would say that as traditional FX trading evolves you will see more situations where FX orders are filled at a rate better than the limit price, as well as being filled in multiple clips at different prices that generate a weighted average price across several execution reports. I know from experience that a lot of traditional FX systems have trouble with partial fills, but that is slowly changing. Is this something to highlight in FIXIMATE ? I would say no, just because this is conceptually more about the rules of trading than the FIX protocol. FIX just provides the ability to convey these different values - the original instruction, the fills and the average across the fills. Regards, - Greg > Thanks. So tag 44 (price) and tag 31 (lastPx) should be marked with different > value in the case of price improvement. > Any there any reference/hints we can find in the FIXimate? As the description > of these 2 tags actually don't tell about this usage. > Or it is a common practice in the FX market? Thanks for further information. > > > > 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]) [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.
