Usage
The venue sends an execution report to Moment in the following scenarios:
- To acknowledge receipt of an order (150=0).
- To cancel an order (150=4).
- To communicate an execution that has occurred (150=F).
Note that an Execution Report can also be used to acknowledge an Order Cancel Request. See the Cancel Request Execution Report message for more details on that use case.
Schema
| Field Name | Tag | Required | Description |
|---|---|---|---|
| StandardHeader | |||
| OrderID | 37 | Y | Unique, Venue-assigned ID for the Order. |
| ExecID | 17 | Y | Unique, Venue-assigned ID for the Execution Report message. |
| ExecType | 150 | Y | Describes the purpose of the execution report. "0" = New. The order has been received and acknowledged. "4" = Canceled. This message indicates that the Order has been canceled. "8" = Rejected. This message indicates that the Order has been rejected. "F" = Trade. A fill has occurred for the Order. The OrdStatus (39) tag will indicate whether the Order is now partially filled or fully filled. |
| TransactTime | 60 | Y | Time when the event being reported occurred. |
| ClOrdID | 11 | Y | Matches field from NewOrderSingle. |
| OrdType | 40 | Y | Matches field from NewOrderSingle. |
| OrderQty | 38 | Y | Matches field from NewOrderSingle. |
| Side | 54 | Y | Matches field from NewOrderSingle. |
| Price | 44 | Y | Matches field from NewOrderSingle. |
| PriceType | 423 | Y | Matches field from NewOrderSingle. |
| SecurityID | 48 | Y | The ISIN of the instrument. |
| SecurityIDSource | 22 | Y | Always "4" = ISIN. |
| Text | 58 | C | Any additional information about the execution. Conditionally required if 39=8 Rejected. |
| Fill Data | These fields are only included when ExecType = "F". | ||
| LastQty | 32 | C | The quantity of the fill being reported. |
| LastPx | 31 | C | Price of the fill being reported. |
| GrossTradeAmt | 381 | C | The gross trade amount not inclusive of accrued interest, in dollars. |
| AccruedInterestAmt | 159 | C | Accrued interest for the fill, in dollars. |
| NetMoney | 118 | C | Settlement trade amount inclusive of accrued interest, in dollars. |
| TradeDate | 75 | C | Trade date in YYYYMMDD format. |
| SettlDate | 64 | C | Settlement date in YYYYMMDD format. |
| Parties Block | These fields are only included when ExecType = "F". | ||
| NoPartyIDs | 453 | C | Number of Parties in the block. This will typically be "3" since the contra firm, contra clearing firm, and execution venue will typically be provided. These may also be provided in custom FIX tags. |
| =>PartyID | 448 | C | Party identifier. |
| =>PartyIDSource | 447 | C | Type of party identifier. "C" = generally accepted market participant identifier (MPID). "H" = CSD participant / member code. |
| =>PartyRole | 452 | C | Party role. "17" = Contra Firm. The MPID will be provided in this case. "18" = Contra Clearing Firm. The CSD participant / member code will be provided in this case. "73" = Execution Venue. The MPID will be provided in this case. |
| Order State | |||
| OrdStatus | 39 | Y | Status of the Order or Cancel Request. "0" = New. The order has been received. "1" = Partially Filled. The Order has been partially filled. "2" = Filled. The Order has been fully filled. "4" = Canceled. "8" = Rejected. |
| LeavesQty | 151 | Y | The open quantity of the Order, in par value. For an active order, it should always be the case that LeavesQty = OrderQty - CumQty. For an inactive order, it should always be the case that LeavesQty = 0. |
| CumQty | 14 | Y | The cumulative quantity of the Order that has been filled, in par value. For an active order, it should always be the case that LeavesQty = OrderQty - CumQty. |
| AvgPx | 6 | Y | The quantity-weighted average fill price for the Order. |
| StandardTrailer |