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FIX 5.0 SP2 : ExecutionReport <8> message

Structure | Related Messages

Description

The execution report message is used to:

1. confirm the receipt of an order

2. confirm changes to an existing order (i.e. accept cancel and replace requests)

3. relay order status information

4. relay fill information on working orders

5. relay fill information on tradeable or restricted tradeable quotes

6. reject orders

7. 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.

NOTE: Individual Execution Reports are sent for each order on a New Order - List.

Each execution report contains two fields which are used to communicate both the current state of the order as understood by the broker (OrdStatus) and the purpose of the message (ExecType).

In an execution report the OrdStatus is used to convey the current state of the 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 field. The order statuses are as follows (in highest to lowest precedence):

Precedence OrdStatus Description

11 Pending Cancel Order with an Order Cancel Request pending, used to confirm receipt of an Order Cancel Request. DOES NOT INDICATE THAT THE ORDER HAS BEEN CANCELED.

10 Pending Replace Order with an Order Cancel/Replace Request pending, used to confirm receipt of an Order Cancel/Replace Request. DOES NOT INDICATE THAT THE ORDER HAS BEEN REPLACED.

9 Done for Day Order not, or partially, filled; no further executions forthcoming for the trading day

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

7 Filled Order completely filled, no remaining quantity

6 Stopped Order has been stopped at the exchange. Used when guranteeing or protecting a price and quantity

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

4 Canceled Canceled order with or without executions

4 Expired Order has been canceled in broker’s system due to time in force instructions. The only exceptions are Fill or Kill and Immediate or Cancel orders that have Canceled as terminal order state.

3 Partially Filled Outstanding order with executions and remaining quantity

2 New Outstanding order with no executions

2 Rejected Order has been rejected by sell-side (broker, exchange, ECN). NOTE: An order can be rejected subsequent to order acknowledgment, i.e. an order can pass from New to Rejected status.

2 Pending New Order has been received by sell-side’s (broker, exchange, ECN) system but not yet accepted for execution. An execution message with this status will only be sent in response to a Status Request message.

1 Accepted for bidding Order has been received and is being evaluated for pricing. It is anticipated that this status will only be used with the “Disclosed” BidType List Order Trading model.

The ExecType is used to identify the purpose of the execution report message. To transmit a change in OrdStatus for an order, the broker (sell side) should send an Execution Report with the new OrdStatus value in both the ExecType AND the OrdStatus fields to signify this message is changing the state of the order. The only exception to this rule is that when rejecting a cancel or cancel/replace request the CancelReject message is used both to reject the request and to communicate the current OrdStatus. An ExecType of Pending Cancel or Pending Replace is used to indicate that a cancel or cancel/replace request is being processed. An ExecType of Canceled or Replace is used to indicate that the cancel or cancel/replace request has been successfully processed.

Execution information (e.g. new partial fill or complete fill) should not be communicated in the same report as one which communicates other state changes (such as pending cancel, pending replace, canceled, replaced, accepted, done for day etc).

Any fills which occur and need to be communicated to the customer while an order is “pending” and waiting to achieve a new state (e.g. 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, OrderQty, Price, etc). These fills will cause the CumQty and AvgPx to be updated. An order cannot be considered replaced until it has been explicitly accepted and confirmed to have reached the replaced status via an execution report with ExecType = ‘Replace’, at which time the effect of the replacement (ClOrdID, new quantity or limit price etc) will be seen.

Requests to cancel or cancel/replace an order are only acted upon when there is an outstanding order quantity. Requests to replace the OrderQty to a level less than the CumQty will be interpreted by the broker as requests to stop executing the order. Requests to change price on a filled order will be rejected (see Order Cancel Reject message type). The OrderQty, CumQty, LeavesQty, and AvgPx 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, CumQty, LeavesQty, and AvgPx on order B’s fills should represent the cumulative result of order A plus those on order B.

The general rule is: OrderQty = CumQty + LeavesQty.

There can be exceptions to this rule when ExecType and/or OrdStatus are Canceled, DoneForTheDay (e.g. on a day order), Expired, Calculated, or Rejected in which case the order is no longer active and LeavesQty could be 0.

Communication of information about a new fill is via the Execution report with ExecType = Trade. Execution Reports with ExecType = Trade Cancel or Trade Correct are used to cancel or correct a previously modified execution report as follows:

• The ExecType of Trade Cancel applies at the execution level and is used to cancel an execution which has been reported in error. The canceled execution will be identified in the ExecRefID field. Note: ExecType of Trade Cancel should not be used to cancel a previous ExecutionRpt with ExecType of Trade Cancel (i.e. cannot cancel a cancel).

• The ExecType of Trade Correct applies at the execution level and is used to modify an incorrectly reported fill. The incorrect execution will be identified in the ExecRefID field. If a single execution is corrected more than once, ExecRefID should refer to the ExecID of the last corrected ExecutionRpt (same convention as ClOrdID and OrigClOrdID). To correct an ExecutionRpt which was previously canceled, an ExecutionRpt with ExecType=Trade should be sent (i.e. cannot send ExecType=Trade Correct for an ExecutionRpt with ExecType=Trade Cancel). Note: Data reported in the CumQty, LeavesQty, and AvgPx fields represent the status of the order as of the time of the correction, not as of the time of the originally reported execution.

An ExecType of Order Status indicates that the execution messages contains no new information, only summary information regarding order status. It is used, for example, in response to an Order Status request message

See "Order State Change Matrices" for examples of key state changes, processing of cancel and cancel/replace requests, and for execution cancel/corrects.

An ExecutionRpt with ExecType = Restated represents an ExecutionRpt sent by the sellside communicating a change in the order or a restatement of the order’s parameters without an electronic request from the customer. ExecRestatementReason must be set. This is used for GT orders and corporate actions (see below), changes communicated verbally to the sellside either due to normal business practices or as an emergency measure when electronic systems are not available, repricing of orders by the sellside (such as making Sell Short orders compliant with uptick / downtick rules), or other reasons (Broker option). ExecRestatementReason can also be used to communicate unsolicited cancels.

The field ClOrdID is provided for institutions or buy-side brokers or intermediaries to affix an identification number to an order to coincide with internal systems. The OrderID field is populated with the sell-side broker-generated order number (or fund manager-generated order number for CIVs). Unlike ClOrdID/OrigClOrdID which requires a chaining through Cancel/Replaces and Cancels, OrderID and SecondaryOrderID are not required to change through changes to an order.

The underlying business assumption of orders that can trade over multiple days, such as GTC and Good Till Date orders expiring on a future trading date (henceforth referred to as GT orders) is that a GT order that is not fully executed and has not been canceled and has not expired on a given day remains good for the broker to execute the following day. Note that the concept of “day” is determined by the market convention, which will be security specific. At the end of each trading day, once the order is no longer subject to execution, the broker may optionally send an Execution Report with ExecType=Done for Day(3). When the ExpireDate or ExpireTime of a Good Till Date order is reached, or a GTC order reaches a maximum age, the order is considered expired and the broker may optionally send an Execution Report with ExecType and OrdStatus=Expired(C).

In handling GT orders, the OrderQty, CumQty and AvgPx fields will represent the entirety of the order over all days. The fields DayOrderQty, DayCumQty, and DayAvgPx can be used on days following the day of the first trade on a GT order. Prior to the start of business each day, for all GT orders that have partial fills on previous days, DayCumQty and DayAvgPx are set to zero, and DayOrderQty becomes the LeavesQty. The following relationship holds: DayOrderQty = OrderQty – (CumQty – DayCumQty). Since (CumQty – DayCumQty) represents the volume traded on all previous days, DayOrderQty = OrderQty – Volume traded on all previous days. Note that when changing the quantity of an order, both OrderQty and DayOrderQty will change. Requests to change or cancel an order will be made in terms of the total quantity for the order, not the quantity open today. For example, on an order where OrderQty=10000 and 2000 shares trade during the previous days, a request to change OrderQty to 15000 will mean that 13000 shares will be open. See "Order State Change Matrices" for examples of canceling and changing GT orders partially filled on previous days.

A Cancel on an execution (trade bust, ExecType = Trade Cancel) happening the same day of the trade will result in CumQty and DayCumQty each decreasing by the quantity busted, and LeavesQty increasing by the quantity busted. OrderQty and DayOrderQty will remain unchanged. If the business rules allow for a trade bust to be reported on a later date than the trade being busted, the OrderQty and DayCumQty will remain unchanged, the LeavesQty and DayOrderQty will increase by the quantity busted, and the CumQty will decrease by the quantity busted.

If bilaterally agreed between counterparties, a broker may wish to transmit a list of all open GT orders, permitting reconciliation of the open orders. Typically this transmission may occur at the end of the trading day or at the start of the following trading day. There is no expected response to such retransmission; in the event of a reconciliation problem this should be resolved manually or via the DK message. Assuming no corporate actions have occurred, the broker will send an Execution Report with ExecType = Restated (D) and ExecRestatementReason = GT renewal / restatement (no corporate action) (1) for each open GT order. These Execution Reports may have DayCumQty and DayAvgPx restated to zero, and DayOrderQty restated to LeavesQty if the transmission occurs at the start of the following business day. The broker has the option of changing the OrderID and SecondaryOrderID fields, or leaving them unchanged. If they are changed, then the buy-side should use these new ID fields when sending Order Cancel Request, Order Cancel/Replace Request, and Order Status Request messages.

In the case of a corporate action resulting in the adjustment of an open GT order, the broker will send an Execution Report with ExecType = Restated (D) and ExecRestatementReason = GT Corporate action (0) with the order’s state after the corporate action adjustment. In the case of stock splits, OrderQty, CumQty, AvgPx, and LeavesQty will be adjusted to reflect the order’s state in terms of current quantity (e.g. shares), not pre-split quantity (e.g. shares). See "Order State Change Matrices" for examples of GT order restatement with and without a corporate action.

CIV orders to be executed by the fund manager do not use the TimeInForce field and only a subset of OrdStatus values are expected to be used. See VOLUME 7 - "PRODUCT: COLLECTIVE INVESTMENT VEHICLES" for the CIV-specific OrdStatus values.

The Execution Report message is also used for multileg instrument. See “Use of the Execution Report for Multileg Instruments” for multileg-specific details.

Structure

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = 8
37 OrderID Y OrderID 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.
526 SecondaryClOrdID N

In the case of quotes can be mapped to:

- QuoteID(117) of a single Quote

- QuoteEntryID(299) of a Mass Quote.

527 SecondaryExecID N
11 ClOrdID N

Required when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11).

In the case of quotes can be mapped to:

- QuoteMsgID(1166) of a single Quote

- QuoteID(117) of a Mass Quote.

41 OrigClOrdID N Conditionally required for response to a Cancel or Cancel/Replace request (ExecType=PendingCancel, Replace, or Canceled) when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID(11). ClOrdID of the previous accepted order (NOT the initial order of the day) when canceling or replacing an order.
583 ClOrdLinkID N
693 QuoteRespID N Required if responding to a QuoteResponse message. Echo back the Initiator's value specified in the message.
790 OrdStatusReqID N Required if responding to and if provided on the Order Status Request message. Echo back the value provided by the requester.
584 MassStatusReqID N Required if responding to a Order Mass Status Request. Echo back the value provided by the requester.
911 TotNumReports N Can be used when responding to an Order Mass Status Request to identify the total number of Execution Reports which will be returned.
912 LastRptRequested N Can be used when responding to an Order Mass Status Request to indicate that this is the last Execution Reports which will be returned as a result of the request.
Component Block - <Parties> N Insert here the set of "Parties" (firm identification) fields defined in "Common Components of Application Messages"
229 TradeOriginationDate N
Component Block - <ContraGrp> N Number of ContraBrokers repeating group instances.
66 ListID N Required for executions against orders which were submitted as part of a list.
548 CrossID N CrossID for the replacement order
551 OrigCrossID N Must match original cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
549 CrossType N
17 ExecID Y Unique identifier of execution message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) forExecType=I (Order Status)).
19 ExecRefID N Required for Trade Cancel and Trade Correct ExecType messages
150 ExecType Y Describes the purpose of the execution report.
39 OrdStatus Y Describes the current state of a CHAIN of orders, same scope as OrderQty, CumQty, LeavesQty, and AvgPx
636 WorkingIndicator N For optional use with OrdStatus = 0 (New)
103 OrdRejReason N For optional use with ExecType = 8 (Rejected)
378 ExecRestatementReason N Required for ExecType = D (Restated).
1 Account N Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary
660 AcctIDSource N
581 AccountType N Specifies type of account
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
63 SettlType N
64 SettlDate N

Takes precedence over SettlType value and conditionally required/omitted for specific SettleType values.

Required for NDFs to specify the "value date".

544 CashMargin N
635 ClearingFeeIndicator N
Component Block - <Instrument> Y Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Component Block - <FinancingDetails> N Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"
Component Block - <UndInstrmtGrp> N Number of underlyings
54 Side Y
Component Block - <Stipulations> N Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) fields defined in "Common Components of Application Messages"
854 QtyType N
Component Block - <OrderQtyData> N

Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"

**IMPORTANT NOTE: OrderQty field is required for Single Instrument Orders unless rejecting or acknowledging an order for a CashOrderQty or PercentOrder. **

40 OrdType N
423 PriceType N
44 Price N Required if specified on the order
99 StopPx N Required if specified on the order
Component Block - <PegInstructions> N Insert here the set of "PegInstruction" fields defined in "Common Components of Application Messages"
Component Block - <DiscretionInstructions> N Insert here the set of "DiscretionInstruction" fields defined in "Common Components of Application Messages"
839 PeggedPrice N The current price the order is pegged at
845 DiscretionPrice N The current discretionary price of the order
847 TargetStrategy N The target strategy of the order
848 TargetStrategyParameters N For further specification of the TargetStrategy
849 ParticipationRate N

Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate.

For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)

850 TargetStrategyPerformance N For communication of the performance of the order versus the target strategy
15 Currency N
376 ComplianceID N
377 SolicitedFlag N
59 TimeInForce N Absence of this field indicates Day order
168 EffectiveTime N Time specified on the order at which the order should be considered valid
432 ExpireDate N Conditionally required if TimeInForce = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate is not specified.
18 ExecInst N Can contain multiple instructions, space delimited.
528 OrderCapacity N
529 OrderRestrictions N
582 CustOrderCapacity N
32 LastQty N

Quantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType = Trade or Trade Correct.

If ExecType=Stopped, represents the quantity stopped/guaranteed/protected for.

652 UnderlyingLastQty N
31 LastPx N

Price of this (last) fill. Required if ExecType = Trade or Trade Correct.

Should represent the "all-in" (LastSpotRate + LastForwardPoints) rate for F/X orders. ).

If ExecType=Stopped, represents the price stopped/guaranteed/protected at.

Not required for FX Swap when ExecType = Trade or Trade Correct as there is no "all-in" rate that applies to both legs of the FX Swap.

651 UnderlyingLastPx N
669 LastParPx N Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.
194 LastSpotRate N Applicable for F/X orders
195 LastForwardPoints N Applicable for F/X orders
30 LastMkt N If ExecType = Trade (F), indicates the market where the trade was executed. If ExecType = New (0), indicates the market where the order was routed.
336 TradingSessionID N
625 TradingSessionSubID N
943 TimeBracket N
29 LastCapacity N
151 LeavesQty Y Quantity open for further execution. If the OrdStatus is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty could be 0, otherwise LeavesQty = OrderQty - CumQty.
14 CumQty Y Currently executed quantity for chain of orders.
6 AvgPx N

Not required for markets where average price is not calculated by the market.

Conditionally required otherwise.

424 DayOrderQty N For GT orders on days following the day of the first trade.
425 DayCumQty N For GT orders on days following the day of the first trade.
426 DayAvgPx N For GT orders on days following the day of the first trade.
427 GTBookingInst N States whether executions are booked out or accumulated on a partially filled GT order
75 TradeDate N Used when reporting other than current day trades.
60 TransactTime N Time the transaction represented by this ExecutionReport occurred
113 ReportToExch N
Component Block - <CommissionData> N

Insert here the set of "CommissionData" fields defined in "Common Components of Application Messages"

Note: On a fill/partial fill messages, it represents value for that fill/partial fill. On ExecType=Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency field.

Component Block - <SpreadOrBenchmarkCurveData> N Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Component Block - <YieldData> N Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
381 GrossTradeAmt N
157 NumDaysInterest N
230 ExDate N
158 AccruedInterestRate N
159 AccruedInterestAmt N
738 InterestAtMaturity N For fixed income products which pay lump-sum interest at maturity.
920 EndAccruedInterestAmt N For repurchase agreements the accrued interest on termination.
921 StartCash N For repurchase agreements the start (dirty) cash consideration
922 EndCash N For repurchase agreements the end (dirty) cash consideration
258 TradedFlatSwitch N
259 BasisFeatureDate N
260 BasisFeaturePrice N
238 Concession N
237 TotalTakedown N
118 NetMoney N Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType=Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency field.
119 SettlCurrAmt N Used to report results of forex accommodation trade
120 SettlCurrency N

Used to report results of forex accomodation trade.

Required for NDFs.

155 SettlCurrFxRate N Foreign exchange rate used to compute SettlCurrAmt from Currency to SettlCurrency
156 SettlCurrFxRateCalc N Specifies whether the SettlCurrFxRate should be multiplied or divided
21 HandlInst N
110 MinQty N
111 MaxFloor N
77 PositionEffect N For use in derivatives omnibus accounting
210 MaxShow N
775 BookingType N Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking.
58 Text N
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193 SettlDate2 N Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
641 LastForwardPoints2 N Can be used with OrdType = "Forex - Swap" to specify the forward points (added to LastSpotRate) for the future portion of a F/X swap.
442 MultiLegReportingType N Default is a single security if not specified.
480 CancellationRights N For CIV - Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
483 TransBkdTime N For CIV - Optional
515 ExecValuationPoint N For CIV - Optional
484 ExecPriceType N For CIV - Optional
485 ExecPriceAdjustment N For CIV - Optional
638 PriorityIndicator N
639 PriceImprovement N
851 LastLiquidityInd N Applicable only on OrdStatus of Partial or Filled.
Component Block - <ContAmtGrp> N Number of contract details in this message (number of repeating groups to follow)
Component Block - <InstrmtLegExecGrp> N

Number of legs

Identifies a Multi-leg Execution if present and non-zero.

797 CopyMsgIndicator N
Component Block - <MiscFeesGrp> N Required if any miscellaneous fees are reported.
Component Block - <StrategyParametersGrp> N Strategy parameter block
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1030 ReceivedDeptID N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
Component Block - <TrdRegTimestamps> N
1057 AggressorIndicator N
1056 CalculatedCcyLastQty N Used for FX trades to express the quantity or amount of the other side of the currency. Conditionally required if ExecType = Trade or Trade Correct and is an FX trade.
1071 LastSwapPoints N Optionally used when ExecType = Trade or Trade Correct and is a FX Swap trade. Used to express the swap points for the swap trade event.
574 MatchType N
1115 OrderCategory N
1093 LotType N
1092 PriceProtectionScope N
Component Block - <TriggeringInstruction> N Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
1095 PeggedRefPrice N The reference price of a pegged order.
1091 PreTradeAnonymity N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component Block - <DisplayInstruction> N Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
1188 Volatility N
1189 TimeToExpiration N
1190 RiskFreeRate N
811 PriceDelta N
880 TrdMatchID N
70 AllocID N
Component Block - <PreAllocGrp> N Pre-trade allocation instructions.
1361 TotNoFills N Used to support fragmentation. Sum of NoFills across all messages with the same ExecID.
893 LastFragment N Indicates whether this is the last fragment in a sequence of message fragments. Only required where message has been fragmented.
Component Block - <FillsGrp> N Specifies the partial fills included in this Execution Report
1380 DividendYield N
Component Block - <ApplicationSequenceControl> N For use in drop copy applications. NOT FOR USE in transactional applications.
Component Block - <RateSource> N
Component Block - <StandardTrailer> Y

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