How should agency orders executed on an average price basis be reported to OATS?
When executing an agency order on an average price basis, members are required to show receipt and execution of the customer order by reporting a New Order Report and a single Execution Report to OATS. The execution time field of the Execution Report should be populated with the time at which the average price of the agency execution was determined. Members should populate the Reporting Exception Code on the OATS Execution Report with “A – Agency Average Price” to reflect that the report cannot be matched to a trade report.
