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[ original email was from John Prewett - firstname.lastname@example.org ]
The relevant fields in the only fill are as follows:
Why isn't LastQty=6000?
What should be in LastPx?
More fundamentally, where can I read about valid usage of the FillsGrp component block? I scoured the 5.0SP1 & 5.0SP2 specifications without any success.
thank you for raising this point. I am happy to see that multiple fills within a single execution report are being used. Main drivers were
a) the desire to reduce the overall number of messages required to convey fills
You are right that the exact behaviour between LastPx/LastQty and FillsGrp has not been documented/prescribed, i.e. is left to bilateral agreement. However, the RoE of the exchange should clearly state their choice.
When this extension for FIX 5.0 SP1 was discussed, you interpretation was not one of the variations considered. LastPx and LastQty should always refer to a single fill as they always did. We did not want to change the semantics. We realized that LastPx and LastQty were actually redundant when using the FillsGrp. However, these are required fields for ExecType=Trade and we wanted to change as little as possible.
The variations relate to whether the last fill is in LastPx/LastQty as well as in the FillsGrp or not. In your case it is and you are right in that you can basically ignore LastPx/LastQty unless your algorithm uses the last fill and needs this information as quickly as possible. It saves you from going through the list of fills until you reach the last one.
Others might choose to omit the last fill from the FillsGrp to reduce message length. I think the slight redundancy of having the last fill twice is worth the reduction in processing complexity.
At the time, there was no requirement to provide the total qty and average price of just the fills in this one ExecutionReport. CumQty and AvgPx refer to the entire order and were deemed sufficient. If it had been a requirement, I guess we would have added two fields, e.g. FillsCumQty and FillsAvgPx, outside of FillsGrp.
> An exchange is sending us an ExecutionReport with what I perceive to be