[This message was posted by gary gary of gary <[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/2ef6f7fa - PLEASE DO NOT REPLY BY MAIL.]
Hi Greg, Thanks very much for your thorough explaination. It's very helpful. Regards, Gary > 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.
