Split market order average price calculations

Owned by Copy Page Tree
Last updated: 27.01.2015 by Grétar Guðmundsson (Deactivated)
1 min read

When splitting a Market Order to different Client Orders the KODIAK Oms uses the average price from the executions that are attached to client  orders..

Example

Trader sends a Market Order to the market and the order is filled with 4 executions.  
100.000.000 @ 115,95 = 11.595.000.000
100.000.000 @ 115,99 = 11.599.000.000
100.000.000 @ 115,99 = 11.599.000.000
100.000.000 @ 116,04 = 11.604.000.000

Total 400.000.000 with average price 115,9925 

The Trader then splits the Market Order to 3 different Client Orders.

First Client Order  gets the first 100.000.000 @ 115,95
Second Order gets  75.000.000 @ 115,99
Third order gets total  225.000.000 @ 116,012222222222

The Last order gets the following executions that have the average price 116,012222222222
25.000.000 115,99
100.000.000 115,99
100.000.000 116,04