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FIX 4.1 : Execution Report <8> message

Structure | Related Messages

Description

The Execution Report <8> message is used to:

  • confirm the receipt of an order
  • confirm changes to an existing order (i.e. accept cancel and replace requests)
  • relay order status information
  • relay fill information on working orders
  • reject orders
  • report post-trade fees calculations associated with a trade

NOTE: Execution reports do not replace the end-of-day confirm. Execution reports are to be regarded only as replacements for the existing fill messages currently communicated via telephone.

Each execution message will contain information that will describe the current state of the order and execution status as understood by the broker. State changes should be sent as separate messages and should not be used to also convey new partial fill details (i.e. do not report a partial fill or filled in a Done for the Day, Reject <3>, etc.)

Execution report messages can be transmitted as transaction types (ExecTransType <20>) NEW, CANCEL, CORRECT or STATUS. Transaction types CANCEL and CORRECT modify the state of the message identified in field ExecRefID <19>. Transaction type STATUS indicates that the execution message contains no new information, only summary information regarding order status.

  • The NEW transaction type indicates that this message represents a new order, a change in status of the order, or a new fill against an existing order. The combination of the ExecTransType <20> and OrdStatus <39> fields will indicate how the message is to be applied to an order.
  • The CANCEL transaction type applies at the execution level. The Cancel transaction will be used to cancel an execution which has been reported in error. The canceled execution will be identified in the ExecRefID <19> field.
  • The CORRECT transaction type applies at the execution level and is used to modify an incorrectly reported fill. The incorrect execution will be identified in the ExecRefID <19> field. If a single execution is corrected more than once, ExecRefID <19> should refer to the ExecID <17> of the last corrected ExecutionRpt (same convention as ClOrdID <11> and OrigClOrdID <41>). Note: Data reported in the CumQty <14>, LeavesQty <151>, and AvgPx <6> fields represent the status of the order as of the time of the correction, not as of the time of the originally reported execution.

Any fills which occur and need to be communicated to the customer while an order is "pending" and waiting to achieve a new state (i.e. via a Order Cancel Replace (aka Order Modification) Request) must contain the "original" (current order prior to state change request) order parameters (i.e. ClOrdID <11>, OrderQty <38>, LeavesQty <151>, Price <44>, etc). An order cannot be considered replaced until it has been explicitly accepted and confirmed to have reached the replaced status (i.e OrdStatus <39> = "Replaced")--Care should be taken as the replaced order could still have reports coming which will update the CumQty <14> and AvgPx <6> of both the original and replacement, however, the effect on the replacement (ClOrdID <11>, new quantity or limit price, etc.) will not be seen until a report on the replacement has been generated.

The ExecType <150> field describes the specific ExecutionRpt while OrdStatus <39> will always identify the current order status.

An Order State Change Matrix appears in the appendix.

To transmit a change in OrdStatus <39> for an order, the broker(sell side) should send an Execution Report <8> with the new OrdStatus <39> value in ExecType <150> AND OrdStatus <39> to signify this message is changing the state of the order. The only exception to this rule is when sending a CancelReject <9> in response to a Cancel or Replace request, the CancelReject <9> message is used. Furthermore, partial/complete fill information should be sent in a separate Execution Report <8> than order accept(New), cancel accept(Canceled), cancel/replace accept(Replaced) or Done For Day reports.

The OrdStatus <39> field is used to identify the status of the current order. If an order simultaneously exists in more than one order state, the value with highest precedence is the value that is reported in the OrdStatus <39> field. The order statuses are as follows:

Precedence

OrdStatus <39>

Description

1

Pending Cancel/Replace

Order with cancel request pending, used to confirm receipt of cancel or replace request. DOES NOT INDICATE THAT THE ORDER HAS BEEN CANCELED OR REPLACED.

2

Done for Day

Order not, or partially, filled; no further executions forthcoming

3

Calculated

Order has been completed for the day (either filled or done for day). Commission <12> or currency settlement details have been calculated and reported in this execution message

4

Filled

Order completely filled, no remaining quantity

5

Stopped

Order has been stopped at the exchange

6

Suspended

Order has been placed in suspended state at the request of the client.

7

Canceled

Canceled order with or without executions

7

Expired

Order has been canceled in broker's system due to time in force instructions.

8

Partially Filled

Outstanding order with executions and remaining quantity

9

Replaced

Replaced order with or without executions

10

New

Outstanding order with no executions

10

Rejected

Order has been rejected by broker. NOTE: An order can be rejected subsequent to order acknowledgment, i.e. an order can pass from New to Rejected status.

10

Pending New

Order has been received by brokers system but not yet accepted for execution. An execution message with this status will only be sent in response to a Status Request message.

NOTE: The canceled and replaced order status is set in response to accepted cancel and replace requests. These requests are only acted upon when there is an outstanding order quantity. Requests to replace OrderQty <38> to a level less than the CumQty <14> will be rejected. Requests to change price on a filled order will be rejected (see Order Cancel Reject <9> message type).

The OrderQty <38>, CumQty <14>, LeavesQty <151>, and AvgPx <6> fields should be calculated to reflect the cumulative result of all versions of an order. For example, if partially filled order A were replaced by order B, the OrderQty <38>, CumQty <14>, LeavesQty <151>, and AvgPx <6> on order B's fills should represent the cumulative result of order A plus those on order B.

The general rule is: OrderQty <38> = CumQty <14> + LeavesQty <151>.

There can be exceptions to this rule when ExecType <150> and/or OrdStatus <39> are Canceled, DoneForTheDay, Expired, Calculated, or Rejected in which case the order is no longer active and LeavesQty <151> could be 0.

The field ClOrdID <11> is provided for institutions to affix an identification number to an order to coincide with internal systems. The OrderID <37> field is populated with the broker-generated order number. Unlike ClOrdID <11>/OrigClOrdID <41> which requires a chaining through Cancel/Replaces and Cancels, OrderID <37> and SecondaryOrderID <198> are not required to change through changes to an order.

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = 8
37 OrderID Y

OrderID <37> is required to be unique for each chain of orders.

198 SecondaryOrderID N

Can be used to provide order id used by exchange or executing system.

11 ClOrdID N

Required for executions against electronically submitted orders which were assigned an ID by the institution. Not required for orders manually entered by the broker.

41 OrigClOrdID N

Conditionally required for PendingCancel, Replaced, Canceled ExecType <150> values. ClOrdID <11> of the previous order (NOT the initial order of the day) when canceling or replacing an order.

109 ClientID N

Used for firm identification in third-party transactions.

76 ExecBroker N

Used for firm identification in third-party transactions.

66 ListID N

Required for executions against orders which were submitted as part of a list.

17 ExecID Y
20 ExecTransType Y
19 ExecRefID N

Required for Cancel and Correct ExecTransType <20> messages

150 ExecType Y

Describes the type of execution report. Same possible values as OrdStatus <39>.

39 OrdStatus Y

Describes the current state of a CHAIN of orders, same scope as OrderQty <38>, CumQty <14>, LeavesQty <151>, and AvgPx <6>

103 OrdRejReason N

For optional use with ExecType <150> = 8 (Rejected)

1 Account N

Required for executions against electronically submitted orders which were assigned an account by the institution

63 SettlmntTyp N

Absence of this field is interpreted as Regular.

64 FutSettDate N

Required when SettlmntTyp <63> = 6 (Future) or SettlmntTyp <63> = 8 (Sellers Option)

55 Symbol Y
65 SymbolSfx N
48 SecurityID N
22 IDSource N
167 SecurityType N

Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.

200 MaturityMonthYear N

For Options or Futures to specify the month and year of maturity.

205 MaturityDay N

For Options or Futures and can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.

201 PutOrCall N

For Options.

202 StrikePrice N

For Options.

206 OptAttribute N

For Options.

207 SecurityExchange N

Can be used to identify the security.

106 Issuer N
107 SecurityDesc N
54 Side Y
38 OrderQty Y
40 OrdType N
44 Price N

Required if specified on the order

99 StopPx N

Required if specified on the order

211 PegDifference N

Required if specified on the order

15 Currency N
59 TimeInForce N

Absence of this field indicates Day order

126 ExpireTime N

Required if TimeInForce <59> = GTD

18 ExecInst N

Can contain multiple instructions, space delimited.

47 Rule80A(aka OrderCapacity) N
32 LastShares Y

Quantity of shares bought/sold on this (last) fill. Not required ExecTransType <20> = 3 (Status).

31 LastPx Y

Price <44> of this (last) fill. Not required for ExecTransType <20> = 3 (Status), Should represent the 'all-in' (LastSpotRate <194> + LastForwardPoints <195>) rate for F/X orders.

194 LastSpotRate N

Applicable for F/X orders

195 LastForwardPoints N

Applicable for F/X orders

30 LastMkt N
29 LastCapacity N
151 LeavesQty Y

Amount of shares open for further execution. If the OrdStatus <39> is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty <151> could be 0, otherwise LeavesQty <151> = OrderQty <38> - CumQty <14>.

14 CumQty Y

Currently executed shares for chain of orders.

6 AvgPx Y
75 TradeDate N

Used when reporting other than current day trades.

60 TransactTime N
113 ReportToExch N
12 Commission N
13 CommType N
119 SettlCurrAmt N

Used to report results of forex accommodation trade

120 SettlCurrency N

Used to report results of forex accommodation trade

155 SettlCurrFxRate N

Foreign exchange rate used to compute SettlCurrAmount from Currency <15> to SettlCurrency <120>

156 SettlCurrFxRateCalc N

Specifies whether the SettlCurrFxRate <155> should be multiplied or divided

58 Text N
<MessageTrailer> Y  

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