This extension pack includes support for order aggregation on execution reports. This extension had originally been designed as a change to the OrderAggregationGrp component in the post-trade area and adding it to the ExecutionReport(35=8) message. This was not possible as the component contains fields that are already part of the ExecutionReport(35=8) message, e.g. OrderID(37). The original proposal to extend OrderAggregationGrp with new fields OrderTime(2836) and OrderOriginationFirmID(2835) was hence rescinded in favor of a more generic solution similar to the repeating groups RelatedTradeGrp and RelatedPositionGrp.
Files list:
| File | |
|---|---|
| FIX-Protocol-Gap-Analysis-Related-Orders-Proposal-v0.2_EP259_ASBUILT_changetracked.pdf | |
| FIX-Protocol-Gap-Analysis-Related-Orders-Proposal-v0.2_EP259_ASBUILT.pdf | |
| OrchestraEP259.zip | |
| FIXRepository_FIX.5.0SP2_EP259.zip | |
| fixmlschema_FIX.5.0SP2_EP259.zip |
| Total Files | 5 |
| File Size | 4.68 MB |
| Create Date | November 19, 2020 |