Understanding Order Execution Reports

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Dive into the world of order execution reports for financial transactions, covering topics such as order cancellation, replacement requests, and field data types. Explore details about market prices, limit prices, time in force, and more in this comprehensive guide.

  • Finance
  • Order Execution
  • Market Prices
  • Field Data Types
  • Trading
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  1. FIX 4.4 FIX 4.4 107 09

  2. New Order Order Cancel / Replace Request Execution Report Order Matrix FOK, IOC, Unsolicited Cancel 2

  3. - 8 1.7 2018/09/05 1. Qty 2. Price 3. 4. OrdType 5. TimeInForce 3

  4. (New Order) Field Name Data Type OrdType Char Y Regular 1 Market Price Regular, FixedPrice, OddLots 2 Limit Price TimeInForce Char Y Regular, FixedPrice, OddLots 0 Day Regular 3 IOC(Immediate Or Cancel) 4 FOK(Fill Or Kill) Price Price Y Max 5 digits + 4 decimals Regular(Limit Price), OddLots Order Price Regular(Market Price), FixedPrice Ignored OrderQty Qty Y Max 6 digits Regular, FixedPrice Order Qty base on trading unit OddLots Order Qty base on shares Tag Req d Comments 40 1 59 3 IOC 4 FOK 44 9(5)V9(4) 38 9(6) 4

  5. (1/2) Order Cancel / Replace Request Field Name Data Type d OrdType Char Y Regular 1 Market Price Regular, FixedPrice, OddLots 2 Limit Price Price Price Y Max 5 digits + 4 decimals Regular If change OrderQty, Price must be 0 Fixed Price Ignored OrderQty Qty Y Max 6 digits Regular, Decrease quantity(Trading unit) If change Price, OrderQty must be 0 FixedPrice Decrease quantity(Trading unit) OddLots Replace quantity (Number of shares ordered) Tag Comments Req 40 1 44 9(5)V9(4) 0 9(6) 0 38 5

  6. (2/2) (Order Cancel / Replace Request) OrderQty(38) 0 Price(44) 0 ( ) 6

  7. Execution Report(1/3) Data Type Char Y Regular 1 Market Price Regular, FixedPrice, OddLots 2 Limit Price TimeInForce Char Y Regular, FixedPrice, OddLots 0 Day Regular 3 IOC(Immediate Or Cancel) 4 FOK(Fill Or Kill) Price Price N Tag Field Name Req d Comments 40 OrdType 59 44 Order Price Max 5 digits + 4 decimals Max 6 digits Regular, FixedPrice Order Qty base on trading unit OddLots Order Qty base on shares 9(5)V9(4) 38 OrderQty Qty Y 9(6) 7

  8. Execution Report(2/3) Data Type Qty N Match quantity Max 6 digits [MTHQTY] Regular, FixedPrice trading unit OddLots shares Price N Match price Max 5 digits + 4 decimals Qty Y Amount of quantity open for further execution Max 6 digits [AFTER-QUANTITY] Regular, FixedPrice trading unit OddLots shares Qty Y Currently executed quantity Max 6 digits Regular, FixedPrice trading unit OddLots Shares Tag Field Name Req d Comments 32 LastQty 9(6) 31 LastPx 9(5)V9(4) 9(6) 151 LeavesQty 14 CumQty 9(6) 8

  9. Execution Report(3/3) Data Type Tag Field Name Comments Req d 150 ExecType Char Y 0 New 4 Canceled 5 Replace 8 Rejected(Ref. Tag 58) F Trade I Order Status D Restated(Ref. Tag 378) D Restated , Tag 378 378 ExecRestateme ntReason int N Only exists when unsolicited cancel by Exchange 8 Exchange option 8 a. b. 5 9

  10. FOK Message Received (11, 41) Message Sent (11,41) ExecType (150) OrdStatus (39) OrderQty (38) LeavesQty (151) CumQty (14) LastQty (32) Text (58) Time Comment 1 New Order(X) 10 FOK order cannot be filled Call Auction FOK order is not allowed Execution (X) 2 Rejected Rejected 10 0 0 0 0048 Execution (X) 2 Rejected Rejected 10 0 0 0 0049 Execution (X) 2 New New 10 10 0 0 Execution (X) Partially Filled 3 Trade 0 0 7 7 Execution (X) 4 Trade Filled 0 0 10 3 10

  11. IOC Message Sent (11,41) Message Received (11, 41) ExecType (150) OrdStatus (39) OrderQty (38) LeavesQty (151) CumQty (14) LastQty (32) Text (58)Comment Time 1 New Order(X) 10 0 0048IOC order cannot be filled Execution (X) 2 Rejected Rejected 10 0 0 Call Auction IOC order is not allowed If order is accepted 7 trading units. Execution (X) 2 Rejected Rejected 10 0 0 0 0049 0031 Or 0051 Execution (X) 2 New New 7 7 0 0 Execution (X) Partially Filled 3 Trade 0 0 5 5 Execution (X) 4 Trade Filled 0 0 7 2 11

  12. (Unsolicited Cancel) Message Received (11, 41) Message Sent (11,41) ExecType (150) OrdStatus (39) OrderQty (38) LeavesQty (151) CumQty (14) LastQty (32) Text (58) Time Comment 1New Order(X) 10 Execution (X) 2 New New 10 10 0 0 Execution (X) Partially Filled 3 Trade 0 0 7 7 Execution (X) Cancel by TWSE. 4 Restated Canceled 3 0 7 0 12

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