This topic provides additional information on the order level data contained within the Trade Summary.

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Trade Summary Message Structure

Leveraging the Order Detail information provides a more granular view into trade events, access to fill information, and supports Time and Sales and charting applications. Each Order Detail repeating group can be rationalized to the corresponding summary level entry; details on how to process the information are included below.

The Trade Summary message uses two key structures to report match events:

• Summary Level repeating groups - contain consolidated trade information by instrument and price.
  • All trades with a single aggressing order are reported together in a single event.

  • Tag 346-NumberOfOrders in each Summary Level entry indicates the number of repeating groups in the associated Order Detail.

• Order Detail repeating groups -  each group is associated with a single Summary Level, and contains detailed order participation information.
  
  

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Trade Summary Message Processing

The following guidelines will assist client system developers in determining how to process the Order Detail repeating groups.

Trades with a Defined Aggressor

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