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proposal to extend OrderAggregationGrp with new fields OrderTime(2836) and OrderOriginationFirmID(2835) was hence rescinded in favor of a more generic solution similar to the repeating groups RelatedTradeGrp and RelatedPositionGrp.
|File Size||4.68 MB|
|Create Date||November 19, 2020|