Description

TradeAggregationRequest <DW> is used to request that the identified trades between the initiator and respondent be aggregated together for further processing.

Structure

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y

MsgType=DW

2786 TradeAggregationRequestID Y

Unique identifier for the message.

2787 TradeAggregationRequestRefID N

Required when TradeAggregationTransType <2788>=1 (Cancel) or 2 (Replace)

2788 TradeAggregationTransType Y
2789 AggregatedQty N
15 Currency N
6 AvgPx N
54 Side Y
2349 PricePrecision N
Component Block - <OrderAggregationGrp> N

Maybe used to specify the IDs of the orders being aggregated together.

Component Block - <ExecutionAggregationGrp> N

Maybe used to specify the IDs of the execution fills being aggregated together.

1 Account N
Component Block - <Instrument> Y
Component Block - <Parties> N
Component Block - <StandardTrailer> Y