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ECNs, Exchanges
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Re: ExecutionReports in an Exchange environment
Rikard Hedberg / NASDAQ OMX
5 Sep 2008 1:47AM ETJim,
I see at least two requirements:
1) the lean approach where parties bilaterally agree that very little info on the order as such needs to be echoed. Apart from order IDs, it need only contain added or modified fields (as compared to the initial order msg). Bilateral agreement is needed to govern what info is echoed.
2) the "drop copy" approach where the receiver produces a complete echo of the order to support client back-up OMS's (unless the client does that himself). The back-up needs complete order info in order to be able to handle a fail-over.
Here in the Nordic markets, we have a long history of providing 2). 1) obviously has its merits and FIX should definitely be able to support both.
Regards
Rikard
> ExecutionReports within FIX have much of the order details as being
> optional, fields such as OrdType, TimeInForce,ExpireDate, ExpireTime,
> Price,ExecInst, etc. In normal communication between buy side and sell
> side these fields are usually (and preferrably) populated on
> ExecutionReport(ExecType=New, OrdStatus=New).
>
> In an exchange environment is it acceptable to omit much of the order
> detail (where the ExecutionReport has the fields clearly marked as not
> being required)?
>
> If not, is there a standard set of order fields that should be provided
> on the order.
>
> My thoughts on this are that with increasing volumes and increased
> automation of order flow - the less verbose the better - especially in
> an exchange environment - but I would be interested in hearing what the
> GExMC has to recommend as a preferred practice.
Re: ExecutionReports in an Exchange environment
Rikard Hedberg / NASDAQ OMX 5 Sep 2008 1:47AM ET
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