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The Execution Report (8) message is used to:
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 (E) .
Each Execution Report (8) contains two fields which are used to communicate both the current state of the order as understood by the broker ( OrdStatus (39) ) and the purpose of the message ( ExecType (150) ).
In an Execution Report (8) the OrdStatus (39) 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 (39) field. The order statuses are as follows (in highest to lowest precedence):
|11||Pending Cancel||Order with an Order Cancel Request pending, used to confirm receipt of an Order Cancel Request (F) . 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 (G) . 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.|
|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 Report (8) message with this status will only be sent in response to a Status Request (H) 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 (394) List Order Trading model.|
The ExecType (150) is used to identify the purpose of the Execution Report (8) message. To transmit a change in OrdStatus (39) for an order, the broker(sell side) should send an Execution Report (8) with the new OrdStatus (39) value in both the ExecType (150) AND the OrdStatus (39) 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 Cancel Reject (9) message is used both to reject the request and to communicate the current OrdStatus (39) . An ExecType (150) of Pending Cancel or Pending Replace is used to indicate that a cancel or cancel/replace request is being processed. An ExecType (150) 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 (i.e. via a Order Cancel Replace (aka Order Modification) Request (G) ) must contain the "original" (current order prior to state change request) order parameters (i.e. ClOrdID (11) , OrderQty (38) , Price (44) , etc). These fills will cause the CumQty (14) and AvgPx (6) 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 (150) = 'Replace', at which time the effect of the replacement ( ClOrdID (11) , 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 (38) to a level less than the CumQty (14) 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 (9) message type). The OrderQty (38) , CumQty (14) , LeavesQty (151) , and AvgPx (6) 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 (38) , CumQty (14) , LeavesQty (151) , and AvgPx (6) on order B's fills should represent the cumulative result of order A plus those on order B.
The general rule is: OrderQty (38) = CumQty (14) + LeavesQty (151) .
There can be exceptions to this rule when ExecType (150) and/or OrdStatus (39) are Canceled, DoneForTheDay (e.g. on a day order), Expired, Calculated, or Rejected in which case the order is no longer active and LeavesQty (151) could be 0.
Communication of information about a new fill is via the Execution Report (8) with ExecType (150) = Trade. Execution Reports with ExecType (150) = Trade Cancel or Trade Correct are used to cancel or correct a previously modified execution report as follows:
An ExecType (150) of Order Status indicates that the Execution (8) messages contains no new information, only summary information regarding order status. It is used, for example, in response to an Order Status Request (H) 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 (8) with ExecType (150) = Restated represents an ExecutionRpt (8) 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 (378) 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 (378) can also be used to communicate unsolicited cancels.
The field ClOrdID (11) 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 (37) field is populated with the sell-side broker-generated order number (or fund manager-generated order number for CIVs). Unlike ClOrdID (11) / OrigClOrdID (41) which requires a chaining through Cancel/Replaces and Cancels, OrderID (37) and SecondaryOrderID (198) 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 (8) with ExecType (150) =Done for Day(3). When the ExpireDate (432) or ExpireTime (126) 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 (8) with ExecType (150) and OrdStatus (39) =Expired(C).
In handling GT orders, the OrderQty (38) , CumQty (14) and AvgPx (6) fields will represent the entirety of the order over all days. The fields DayOrderQty (424) , DayCumQty (425) , and DayAvgPx (426) 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 (425) and DayAvgPx (426) are set to zero, and DayOrderQty (424) becomes the LeavesQty (151) . The following relationship holds: DayOrderQty (424) = OrderQty (38) - ( CumQty (14) - DayCumQty (425) ). Since ( CumQty (14) - DayCumQty (425) ) represents the volume traded on all previous days, DayOrderQty (424) = OrderQty (38) - Volume traded on all previous days. Note that when changing the quantity of an order, both OrderQty (38) and DayOrderQty (424) 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 (38) =10000 and 2000 shares trade during the previous days, a request to change OrderQty (38) 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 (150) = Trade Cancel) happening the same day of the trade will result in CumQty (14) and DayCumQty (425) each decreasing by the quantity busted, and LeavesQty (151) increasing by the quantity busted. OrderQty (38) and DayOrderQty (424) 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 (38) and DayCumQty (425) will remain unchanged, the LeavesQty (151) and DayOrderQty (424) will increase by the quantity busted, and the CumQty (14) 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 (Q) message. Assuming no corporate actions have occurred, the broker will send an Execution Report with ExecType (150) = Restated (D) and ExecRestatementReason (378) = GT renewal / restatement (no corporate action) (1) for each open GT order. These Execution Reports may have DayCumQty (425) and DayAvgPx (426) restated to zero, and DayOrderQty (424) restated to LeavesQty (151) if the transmission occurs at the start of the following business day. The broker has the option of changing the OrderID (37) and SecondaryOrderID (198) fields, or leaving them unchanged. If they are changed, then the buy-side should use these new ID fields when sending Order Cancel Request (F) , Order Cancel/Replace Request (G) , and Order Status Request (H) messages.
In the case of a corporate action resulting in the adjustment of an open GT order, the broker will send an Execution Report (8) with ExecType (150) = Restated (D) and ExecRestatementReason (378) = GT Corporate action (0) with the order's state after the corporate action adjustment. In the case of stock splits, OrderQty (38) , CumQty (14) , AvgPx (6) , and LeavesQty (151) 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 (59) field and only a subset of OrdStatus (39) values are expected to be used. See VOLUME 7 - "PRODUCT: COLLECTIVE INVESTMENT VEHICLES" for the CIV-specific OrdStatus (39) values.
The Execution Report (8) message is also used for multileg instrument. See "Use of the Execution Report for Multileg Instruments" for multileg-specific details.
|<Standard Message Header>||Y||MsgType = 8|
|37||OrderID||@OrdID||Y||OrderID is required to be unique for each chain of orders.|
|198||SecondaryOrderID||@OrdID2||N||Can be used to provide order id used by exchange or executing system.|
|11||ClOrdID||@ClOrdID||N||Required for executions against electronically submitted orders which were assigned an ID by the institution or intermediary. Not required for orders manually entered by the broker or fund manager (for CIV orders).|
|41||OrigClOrdID||@OrigClOrdID||N||Conditionally required for response to an electronic Cancel or Cancel/Replace request ( ExecType (150) =PendingCancel, Replaced, or Canceled). ClOrdID (11) of the previous order (NOT the initial order of the day) when canceling or replacing an order.|
|693||QuoteRespID||@RspID||N||Required if responding to a Quote Response (AJ) message. Echo back the Initiator's value specified in the message.|
|790||OrdStatusReqID||@StatReqID||N||Required if responding to and if provided on the Order Status Request (H) message. Echo back the value provided by the requester.|
|584||MassStatusReqID||@MassStatReqID||N||Required if responding to a Order Mass Status Request (AF) . Echo back the value provided by the requester|
|911||TotNumReports||@TotNumRpts||N||Can be used when responding to an Order Mass Status Request (AF) to identify the total number of Execution Reports which will be returned.|
|912||LastRptRequested||@LastRptReqed||N||Can be used when responding to an Order Mass Status Request (AF) to indicate that this is the last Execution Reports which will be returned as a result of the request.|
|382||NoContraBrokers||Contra||N||Number of ContraBrokers repeating group instances.|
|=>||375||ContraBroker||@CntraBrkr||C||First field in repeating group. Required if NoContraBrokers (382) > 0.|
|66||ListID||@ListID||N||Required for executions against orders which were submitted as part of a list.|
|548||CrossID||@CrssID||N||CrossID for the replacement order|
|551||OrigCrossID||@OrigCrssID||N||Must match original cross order. Same order chaining mechanism as ClOrdID (11) / OrigClOrdID (41) with single order Cancel/Replace (G) .|
|17||ExecID||@ExecID||Y||Unique identifier of execution (8) message as assigned by sell-side (broker, exchange, ECN) (will be 0 (zero) for ExecType (150) =I (Order Status)).|
|19||ExecRefID||@ExecRefID||C||Required for Trade Cancel and Trade Correct ExecType (150) messages|
|150||ExecType||@ExecTyp||Y||Describes the purpose of the execution report (8) .|
|39||OrdStatus||@OrdStat||Y||Describes the current state of a CHAIN of orders, same scope as OrderQty (38) , CumQty (14) , LeavesQty (151) , and AvgPx (6)|
|636||WorkingIndicator||@WorkingInd||N||For optional use with OrdStatus (39) = 0 (New)|
|103||OrdRejReason||@RejRsn||N||For optional use with ExecType (150) = 8 (Rejected)|
|378||ExecRestatementReason||@ExecRstmtRsn||C||Required for ExecType = D (Restated).|
|1||Account||@Acct||N||Required for executions against electronically submitted orders which were assigned an account by the institution or intermediary|
|581||AccountType||@AcctTyp||N||Specifies type of account|
|64||SettlDate||@SettlDt||C||Takes precedence over SettlType (63) value and conditionally required/omitted for specific SettlType (63) values.|
|711||NoUnderlyings||Undly||N||Number of underlyings|
|=>||<Underlying Instrument>||C||Must be provided if Number of underlyings > 0|
|<Order Qty Data>||N||Note: OrderQty (38) field is required for Single Instrument Orders unless rejecting or acknowledging an order for a CashOrderQty (152) or OrderPercent (516) .|
|44||Price||@Px||C||Required if specified on the order|
|99||StopPx||@StopPx||C||Required if specified on the order|
|839||PeggedPrice||@PeggedPx||N||The current price the order is pegged at|
|845||DiscretionPrice||@DsctnPx||N||The current discretionary price of the order|
|847||TargetStrategy||@TgtStrategy||N||The target strategy of the order|
|848||TargetStrategyParameters||@TgtStrategyParameters||N||For further specification of the TargetStrategy (847)|
|849||ParticipationRate||@ParticipationRt||C||Mandatory for a TargetStrategy (847) =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||@TgtStrategyPerformance||N||For communication of the performance of the order versus the target strategy|
|59||TimeInForce||@TmInForce||N||Absence of this field indicates Day order|
|168||EffectiveTime||@EfctvTm||N||Time specified on the order at which the order should be considered valid|
|432||ExpireDate||@ExpireDt||C||Conditionally required if TimeInForce (59) = GTD and ExpireTime (126) is not specified.|
|126||ExpireTime||@ExpireTm||C||Conditionally required if TimeInForce (59) = GTD and ExpireDate (432) is not specified.|
|18||ExecInst||@ExecInst||N||Can contain multiple instructions, space delimited.|
|32||LastQty||@LastQty||C||Quantity (e.g. shares) bought/sold on this (last) fill. Required if ExecType (150) = Trade or Trade Correct. If ExecType (150) =Stopped, represents the quantity stopped/guaranteed/protected for.|
|31||LastPx||@LastPx||C||Price of this (last) fill. Required if ExecType (150) = Trade or Trade Correct. Should represent the "all-in" (LastSpotRate + LastForwardPoints) rate for F/X orders. If ExecType (150) =Stopped, represents the price stopped/guaranteed/protected at.|
|669||LastParPx||@LastParPx||C||Last price expressed in percent-of-par. Conditionally required for Fixed Income trades when LastPx (31) is expressed in Yield, Spread, Discount or any other price type that is not percent-of-par.|
|194||LastSpotRate||@LastSpotRt||N||Applicable for F/X orders|
|195||LastForwardPoints||@LastFwdPnts||N||Applicable for F/X orders|
|30||LastMkt||@LastMkt||N||If ExecType (150) = Trade (F), indicates the market where the trade was executed. If ExecType (150) = New (0), indicates the market where the order was routed.|
|151||LeavesQty||@LeavesQty||Y||Quantity open for further execution. If the OrdStatus (39) is Canceled, DoneForTheDay, Expired, Calculated, or Rejected (in which case the order is no longer active) then LeavesQty (151) could be 0, otherwise LeavesQty (151) = OrderQty (38) - CumQty (14) .|
|14||CumQty||@CumQty||Y||Currently executed shares for chain of orders.|
|424||DayOrderQty||@DayOrdQty||N||For GT orders on days following the day of the first trade.|
|425||DayCumQty||@DayCumQty||N||For GT orders on days following the day of the first trade.|
|426||DayAvgPx||@DayAvgPx||N||For GT orders on days following the day of the first trade.|
|427||GTBookingInst||@GTBkngInst||N||States whether executions are booked out or accumulated on a partially- filled GT order|
|75||TradeDate||@TrdDt||N||Used when reporting other than current day trades.|
|60||TransactTime||@TxnTm||N||Time the transaction represented by this ExecutionReport (8) occurred|
|<Commission Data>||N||Note: On a fill/partial fill messages, it represents value for that fill/partial fill. On ExecType (150) =Calculated, it represents cumulative value for the order. Monetary commission values are expressed in the currency reflected by the Currency (15) field.|
|<Spread or Benchmark Curve Data>||N|
|738||InterestAtMaturity||@IntAtMat||N||For fixed income products which pay lump-sum interest at maturity.|
|920||EndAccruedInterestAmt||@EndAcrdIntAmt||N||For repurchase agreements the accrued interest on termination.|
|921||StartCash||@StartCsh||N||For repurchase agreements the start (dirty) cash consideration|
|922||EndCash||@EndCsh||N||For repurchase agreements the end (dirty) cash consideration|
|118||NetMoney||@NetMny||N||Note: On a fill/partial fill messages, it represents value for that fill/partial fill, on ExecType (150) =Calculated, it represents cumulative value for the order. Value expressed in the currency reflected by the Currency (15) field.|
|119||SettlCurrAmt||@SettlCurrAmt||N||Used to report results of forex accommodation trade|
|120||SettlCurrency||@SettlCcy||N||Used to report results of forex accommodation trade|
|155||SettlCurrFxRate||@SettlCurrFxRt||N||Foreign exchange rate used to compute SettlCurrAmt (119) from Currency (15) to SettlCurrency (120)|
|156||SettlCurrFxRateCalc||@SettlCurrFxRtCalc||N||Specifies whether the SettlCurrFxRate (155) should be multiplied or divided|
|77||PositionEffect||@PosEfct||N||For use in derivatives omnibus accounting|
|775||BookingType||@BkngTyp||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.|
|354||EncodedTextLen||@EncTxtLen||C||Must be set if EncodedText (355) field is specified and must immediately precede it.|
|355||EncodedText||@EncTxt||C||Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.|
|193||SettDate2||@SettlDt2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.|
|192||OrderQty2||@Qty2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.|
|641||LastForwardPoints2||@LastFwdPnts2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the forward points (added to LastSpotRate (194) ) for the future portion of a F/X swap.|
|442||MultiLegReportingType||@MLEGRptTyp||N||Default is a single security if not specified.|
|480||CancellationRights||@CxllationRights||N||For CIV - Optional|
|481||MoneyLaunderingStatus||@MnyLaunderingStat||N||For CIV - Optional|
|513||RegistID||@RegistID||N||Reference to Registration Instructions (o) message for this Order.|
|494||Designation||@Designation||N||Supplementary registration information for this Order|
|483||TransBkdTime||@TransBkdTm||N||For CIV - Optional|
|515||ExecValuationPoint||@ExecValuationPoint||N||For CIV - Optional|
|484||ExecPriceType||@ExecPxTyp||N||For CIV - Optional|
|485||ExecPriceAdjustment||@ExecPxAdjment||N||For CIV - Optional|
|851||LastLiquidityInd||@LastLqdtyInd||N||Applicable only on OrdStatus (39) of Partial or Filled.|
|518||NoContAmts||ContAmt||N||Number of contract details in this message (number of repeating groups to follow)|
|=>||519||ContAmtType||@ContAmtTyp||C||Must be first field in the repeating group.|
|555||NoLegs||Exec||N||Number of legs. Identifies a Multi-leg Execution if present and non-zero.|
|=>||<Instrument Leg>||C||Must be provided if Number of legs > 0.|
|=>||690||LegSwapType||@SwapTyp||N||Instead of LegQty (687) - requests that the sellside calculate LegQty (687) based on opposite Leg|
|=>||564||LegPositionEffect||@PosEfct||N||Provide if the PositionEffect for the leg is different from that specified for the overall multileg security|
|=>||565||LegCoveredOrUncovered||@Cover||N||Provide if the CoveredOrUncovered for the leg is different from that specified for the overall multileg security.|
|=>||<Nested Parties>||N||Insert here the set of "Nested Parties" (firm identification "nested" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"Used for NestedPartyRole=Leg Clearing Firm/Account, Leg Account/Account Type|
|=>||654||LegRefID||@RefID||N||Used to identify a specific leg.|
|=>||566||LegPrice||@Px||N||Provide only if a Price is required for a specific leg. Used for anchoring the overall multileg security price to a specific leg Price.|
|=>||588||LegSettlDate||@SettlDt||C||Takes precedence over LegSettlType (587) value and conditionally required/omitted for specific LegSettlType (587) values.|
|=>||637||LegLastPx||@LastPx||N||Used to report the execution price assigned to the leg of the multileg instrument|
|=>||137||MiscFeeAmt||@Amt||C||Required if NoMiscFees (136) > 0|
|=>||139||MiscFeeType||@Typ||C||Required if NoMiscFees (136) > 0|
|<Standard Message Trailer>||Y|
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