Execution Report

The execution report message is very versatile and is used to: 1. confirm the receipt of an order not immediately executable 2. confirm changes or cancellation of an existing order (i.e. accept cancel and replace requests) 3. relay order status information 4. relay fill information on working orders 6. reject orders

Repos are traded atomically. The OrdQty, LeavesQty, CumQty, AvgPx apply to the overall strategy. Quantities of each individual leg are identical (LegRatioQty always 1).

The instrument leg repeating group is used to report: · Each leg of a Repo · The User supplied per leg information for Settlement allocation · Reporting of last sales price per leg, settlement type, and settlement date.

Important: Each execution report contains two fields which are used to communicate both the current state of the order (OrdStatus) and the purpose of the message (ExecType). 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 field. The order statuses are as follows (in highest to lowest precedence):

Precedence	OrdStatus	Description

Precedence	OrdStatus	Description
7	Filled	Order completely filled, no remaining quantity
4	Canceled	Canceled order with or without executions
4	Expired	Order has been canceled in XCDE system due to time in force instructions. The only exceptions are Fill or Kill and Immediate or Cancel orders that have Canceled as terminal order state.
3	Partially Filled	Outstanding order with executions and remaining quantity
0	New	Order received with no executions yet
2	Rejected	Order has been rejected by XCDE.

The ExecType is used to identify the purpose of the execution report message. To transmit a change in OrdStatus for an order, XCDE will send an Execution Report with the new OrdStatus value in both the ExecType AND the OrdStatus 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 CancelReject message is used both to reject the request and to communicate the current OrdStatus. An ExecType 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) will be communicated in a separate report from one which communicates other state changes (such as canceled, replaced, accepted etc).

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 = ‘Replace’, at which time the effect of the replacement (ClOrdID, 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 to a level less than the CumQty (amount already filled) will be interpreted by XCDE as requests to stop executing the rest of the order.

Requests to change price on a filled order will be rejected (see Order Cancel Reject message type). The OrderQty, CumQty, LeavesQty, and AvgPx fields will be calculated to reflect the cumulative result of all versions of an order. For example, if a partially filled order A were replaced by order B, the OrderQty, CumQty, LeavesQty, and AvgPx on order B’s fills should represent the cumulative result of order A plus those on order B.

The general rule is: OrderQty = CumQty + LeavesQty.

There can be exceptions to this rule when ExecType and/or OrdStatus are Canceled, Expired or Rejected, the order is no longer active and LeavesQty could be 0.

Communication of information about a new fill is via the Execution report with ExecType = Trade. Execution Reports with ExecType = Trade Cancel are used to cancel a previously modified execution report as follows:

An ExecType of Order Status indicates that the execution messages contains no new information, only summary information regarding order status. It is used, for example, in response to an Order Status request message

The field ClOrdID is provided for Users to add their own identification number wich will be echoed back during the lifetime of the Order. Instead, the OrderID field is populated by XCDE with a self-generated order number. The ClOrdID/OrigClOrdID requires a chaining through Cancel/Replaces and Cancels, as opposed to the OrderID which is not changing during the lifecycle of the order.

When the ExpireDate or ExpireTime of a Good Till Date order is reached, the order is considered expired and XCDE will send an Execution Report with ExecType and OrdStatus = Expired(C).

In handling GT orders, the OrderQty, CumQty and AvgPx fields will represent the entirety of the order over all days. Requests to change or cancel an order must be made in terms of the initial total quantity for the order, not the quantity remaining now. For example, on an order where OrderQty = 100 and 20 have been filled, a request to change OrderQty to 150 will mean that only 130 will remain working (150 - 20 already filled). The ExecutionReport is also used to accept CancelRequest and cancel/replace request messages.

Message format:

Field Name		Format	Req'd	Comments

Field Name		Format	Req'd	Comments
MsgType		String	✓	8 = ExecutionReport
MsgSeqNum		SeqNum	✓	User generated incremental number to allow receiver to identify possible message gaps
SendingTime		UTCTimestamp	✓	UTC Time of message transmission

OrderID		String		Provided by XCDE for this ExecReport
ClOrdID		String	✓	User generated Unique identifier of the order referred to by this report
OrigClOrdID		String		ClOrdID (11) of the User’s previous order message (NOT the initial order of the day), used to identify the order in cancel and cancel/replace requests.
ClOrdLinkID		String		In case of grouping of Orders e.g. with OCAO
OrdStatusReqID		String		Echoes the User assigned ID of an Order Status Request message.
TrdMatchID		String		Identifier assigned by XCDE’s matching system (would be same for both sides of a trade)
ExecID		String	✓	Unique identifier of this execution message as assigned by XCDE
ExecType		Char	✓	Describes the purpose of the execution report. Supported values: 4 = Canceled 5 = Replaced 8 = Rejected C = Expired F = Trade (partial fill or fill) I = Order Status
OrdStatus		Char	✓	Current state of the Order. Possible values: 1 =Partially filled 2 = Filled 4 = Canceled 8 = Rejected C = Expired
OrdRejReason		Int		For optional use with ExecType = 8 (Rejected) when Order placement is rejected: 1 = Unknown symbol 3 = Order exceeds limit 5 = Unknown order 6 = Duplicate Order (e.g. dupe ClOrdID) 11 = Unsupported order characteristic 13 = Incorrect quantity 15 = Unknown account(s) 18 = Invalid price increment 99 = Other
Account		String		User account as defined by XCDE
AllocID		String		Echoes the User’s AllocID
<Instrument> Component block			✓
>	Symbol	String		BTC/EUR-2w-R
Side		Char	✓	Identifies Near_Leg direction for Base currency. F = Lend (a.k.a repo Bid price) G = Borrow (a.k.a. Repo Offer price)
<OrderQtyData> Component block
>	OrderQty	Qty		Effectively required
Price		Price		Echoed if specified on the order
TimeInForce		Char		Echoes the User’s intruction, supported: 0 =Day (or session) 1 =Good Till Cancel (GTC) 3 =Immediate Or Cancel (IOC) 4 =Fill Or Kill (FOK) 6 =Good Till Date (GTD)
ExpireDate		LocalMktDate		Echoes the User’s intruction
ExpireTime		UTCTimestamp		Echoes the User’s intruction
ExecInst		Char		Echoes the User’s intruction if provided (G = All or none only).
LastQty		Qty		Quantity bought/sold if this is a (last) fill.
LastPx		Price		Price of this (last) fill. This is the Repo traded price (Spread)
LastSpotRate		Price		Reference XCDE Spot rate at the time of the fill
TradingSessionID		String		202220826
LeavesQty		Qty	✓	Remaining quantity if this is a partially filled Order. If OrdStatus = Canceled, Expired, or Rejected (in which case the order is no longer active) then LeavesQty will be 0. In all other cases, LeavesQty = OrderQty - CumQty.
CumQty		Qty	✓	Total executed quantity for the chain of this order.
TradeDate		LocalMktDate		Used when reporting other than current day trades, NY local time
TransactTime		UTCTimestamp		Timestamp of the event this message is about
<CommissionData> Component block
>	Commission	Amt		1.25
>	CommType	Char		3 = Absolute (total monetary amount)
>	CommCurrency	Currency		Generally USD or currency agreed with User
MinQty		Qty		Relays User instruction
MatchIncrement		Qty		Relays User instruction
Text		String		Unessential freeform field to post information
PriceImprovement		PriceOffset		0.15 (example) If any
<InstrmtLegExecGrp> Component block				Number of legs Identifies a Multi-leg Execution if present and non-zero.
<InstrumentLeg> Repeating group				Effectively required
>>	LegSymbol	String		BTC/USD-SPOT
>>	LegMaturityDate	LocalMktDate		20220826 (example) Date of Settlement of the leg
>>	LegMaturityTime	TZTimeOnly		17:00-05 Time of Settlement local NY only if leg is not CASH
>>	LegSecurityDesc	String		BTC/USD Spot
>>	LegSide	Char		E.g. 1 = BUY
>>	LegAllocID	String		Echo the User’s LegAllocID
<LegPreAllocGrp> Repeating group
>>>	LegAllocAccount	String		User defined Allocation destination, previously whitelisted
>>	LegSettlType	Char		For Intra-day the Near_Leg is 1 = Cash, the Far_Leg is 0 = Spot (5pm NY) 0 = Regular / Spot (means today 5pm NY) 1 = Cash (mean immediate settlement) 2 = Next Day (means next settlement day at 5pm NY)
>>	LegSettlDate	LocalMktDate		If not defined by LegSettleType
>>	LegLastPx	Price		Execution price of this leg of the Repo
>>	LegSettlCurrency	Currency		To indicate preference for USD value in Stablecoins
>>	LegLastQty	Qty		Quantity of this Leg execution
<MiscFeesGrp> Component block				Required if any miscellaneous fees are reported.
>	NoMiscFees	NumInGroup		Indicates number of repeating entries.
>	MiscFeeAmt	Amt		Fee amount
>	MiscFeeCurr	Currency		Fee currency e.g. USD
>	MiscFeeType	String		4 = Exchange Fee

Example message:

MsgType: 8
MsgSeqNum: 823786453
SendingTime: 20220907-01:11:25.825
OrderID: jd783523654-jjsh-224
ClOrdID: gdgdte-2763645
OrigClOrdID: gdgdte-2763646
TrdMatchID: tm-6354-w75
ExecID: ex-75612435-hd
ExecType: F
OrdStatus: 2
Account: 42119
Instrument
  Symbol: BTC/USDT-ID-R
  Side: F
OrderQtyData
  OrderQty: 200
Price: 3.15
TimeInForce: 1
ExecInst: G
LastQty: 200
LastPx: 3.10
LastSpotRate: 19,327
TradingSessionID: 20220907
LeavesQty: 0
CumQty: 200
TradeDate: 20220906
TransactTime: 20220907-01:11:25.263
CommissionData
  Commission: 1.25
  CommType: 3
  CommCurrency: USD
MinQty: 100
Text: Order Filled
PriceImprovement: 0.05
InstrmtLegExecGrp
InstrumentLeg
  LegSymbol: BTC/USD-CASH
  LegMaturityDate: 20220907
  LegSecurityDesc: BTC/USD Cash
  LegSide: 2
  LegSettlType: 1
  LegSettlDate: 20220907
  LegLastPx: 19,327
  LegLastQty: 200
InstrumentLeg
  LegSymbol: BTC/USD-SPOT
  LegMaturityDate: 20220907
  LegSecurityDesc: BTC/USD Spot
  LegSide: 1
  LegSettlType: 0
  LegSettlDate: 20220907
  LegMaturityTime: 17:00-05
  LegLastPx: 19,330.10
  LegLastQty: 200
MiscFeesGrp
NoMiscFees
  MiscFeeAmt: 0
  MiscFeeCurr: USD
  MiscFeeType: 4

{
  "Header": {
    "MsgType": "8",
    "MsgSeqNum": "823786453",
    "SenderCompID": "SENDER",
    "TargetCompID": "TARGET",
    "SendingTime": "20220907-01:11:25.825"
  },
  "OrderID": "jd783523654-jjsh-224",
  "ClOrdID": "gdgdte-2763645",
  "OrigClOrderID": "gdgdte-2763645",
  "TrdMatchID": "tm-6354-w75",
  "ExecID": "ex-75612435-hd",
  "ExecType": "F",
  "OrdStatus": "2",
  "Account": "42119",
  "Instrument": {
    "Symbol": "BTC/USDT-ID-R"
  },
  "Side": "F",
  "OrderQtyData": {
    "OrderQty": "200"
  },
  "Price": "3.15",
  "TimeInForce": "1",
  "ExecInst": "G",
  "LastQty": "200",
  "LastPx": "3.10",
  "LastSpotRate": "19327",
  "TradingSessionID": "20220907",
  "LeavesQty": "0",
  "CumQty": "200",
  "TradeDate": "20220906",
  "TransactTime": "20220907-01:11:25.263",
  "CommissionData": {
    "Commission": "1.25",
    "CommType": "3",
    "CommCurrency": "USD"
  },
  "MinQty": "100",
  "Text": "Order Filled",
  "PriceImprovement": "0.05",
  "InstrmtLegExecGrp": {
    "InstrumentLeg": [
      {
        "LegSymbol": "BTC/USD-CASH",
        "LegMaturityDate": "20220907",
        "LegSecurityDesc": "BTC/USD Cash",
        "LegSide": "2",
        "LegSettlType": "1",
        "LegSettlDate": "20220907",
        "LegLastPx": "19327",
        "LegLastQty": "200"
      },
      {
        "LegSymbol": "BTC/USD-SPOT",
        "LegMaturityDate": "20220907",
        "LegSecurityDesc": "BTC/USD Spot",
        "LegSide": "1",
        "LegSettlType": "0",
        "LegSettlDate": "20220907",
        "LegMaturityTime": "17:00-05",
        "LegLastPx": "19330.10",
        "LegLastQty": "200"
      }
    ]
  },
  "MiscFeesGrp": {
    "MiscFeeAmt": "0",
    "MiscFeeCurr": "USD",
    "MiscFeeType": "4"
  }
}