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