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 as orders are worked
- reject orders
- report miscellaneous 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.
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
- 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. Note: Data reported in the CumQty <14> 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
The OrdStatus <39> field is used to identify the status of the current order. The order statuses are as follows:
||Outstanding order with no executions
||Outstanding order with executions and remaining quantity
||Order completely filled, no remaining quantity
|Done for Day
||Order not, or partially, filled; no further executions forthcoming
||Canceled order with or without executions
||Replaced order with or without executions
||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.
||Order has been stopped at the exchange
||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.
||Order has been placed in suspended state at the request of the client
||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 <H> message.
||Order has been canceled in broker's system due to time in force instructions
||Order has been completed for the day (either filled or done for day). Miscellaneous fees have been calculated and reported
in this execution 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 (OrderQty <38> = CumQty <14> + LeavesQty). Requests to change price on a filled order will be rejected (see Order Cancel Reject <9> message type).
The CumQty <14> and AvgPx <6> fields should be calculated to reflect the fills on all versions of an order. For example, if partially filled order A were
replaced by order B, the CumQty <14> and AvgPx <6> on order B's fills should represent the fills on order A plus those on order B.
The field ClOrdID <11> is provided for institutions to affix an identification number to an order to coincide with internal systems. The OrderId
field is populated with the broker-generated order number.