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HKSE - Average Value Order
Xavier Daragon
19 Jul 2007 4:45AM ET

While the FIX4.4 specifications define mappings (sometime a bit heavy, imho) for most of HKSE specific order types, I can't seem to find anything regarding the Average Value Order, nor can I find any logical custom mapping to existing FIX tag (like some specific execInst).

Here is the Average Value Order as defined in HKSE AMS/3 overview, p.8 :

"This is an order type that allows matching of multiple price queues, where the average price of trades generated is at or better than the limit price. Some trades may therefore executed at a price worse than the input limit price.

Unfilled orders after matching will be converted to limit orders at the input limit price."

Any idea ?

Best regards to all,
Xavier