PB-04 — Execution
A fill — a quantity of an order traded in the market at a price, on a venue, at a time. The event that actually moves a position.
Specialises: E-05 Transaction (transaction_type = trade). Where PB-03 Order is the intent, PB-04 Execution is the event — the realised trade against that intent. An order may produce one execution or many; each is an immutable fact. It corresponds to the FIX Execution Report (MsgType 8) with an execution status of a fill or partial fill.
Purpose
An order is worked in the market and comes back as fills. A large order rarely fills in one print — it is split across venues, brokers and time, each slice a separate execution at its own price. PB-04 is the record of one such fill. It is the entity from which the realised position change, the executed price for valuation and performance, and the transaction-cost measurement all derive. Keeping executions separate from the order is what makes partial fills, multi-venue working and a true volume-weighted average execution price representable — and it is the evidence base for best-execution analysis (SD-06.4): the comparison is the execution prices against the order’s arrival-price intent.
Attribute schema
| Column | Type | Definition |
|---|---|---|
execution_id | varchar | Primary key. |
order_id | varchar (FK → PB-03) | The order this execution fills. |
instrument_id | varchar (FK → E-02) | The instrument traded. |
side | varchar | buy / sell / sell_short / buy_to_cover — inherited from the order. |
executed_quantity | decimal | The quantity filled in this execution. |
executed_price | decimal | The price of this fill, in the trading currency. |
execution_datetime | timestamp | The timestamp of the fill. |
execution_venue | varchar | ISO 10383 MIC of the venue the fill occurred on. |
broker_entity_id | varchar (FK → E-01) | The executing broker / counterparty, as a Legal Entity in the counterparty role. |
trade_date | date | The date of the trade. |
settlement_date | date | The contractual settlement date — trade date plus the market’s settlement cycle (e.g. T+1). |
gross_amount | decimal | Quantity × price, before costs. |
commission | decimal | Broker commission charged on this fill. |
taxes_and_fees | decimal | Stamp duty, transaction taxes, exchange and regulatory fees. |
net_amount | decimal | The cash consideration after commission, taxes and fees — the basis of the Cash Flow Event (E-06). |
accrued_interest | decimal | For a debt instrument — accrued interest paid to / received from the seller; null for equity. |
execution_capacity | varchar | agency / principal / riskless_principal — the broker’s capacity in the fill. |
last_liquidity_indicator | varchar | added / removed — whether the fill posted or took liquidity, where the venue reports it. |
Notes
- An execution is an immutable event — a fill that happened is a fact. A correction (a trade bust, a price amendment) is a new offsetting record, not an edit, consistent with the core E-05 rule.
- The execution’s
net_amountis the consideration that flows to settlement; the cash leg is recorded as a Cash Flow Event (E-06) and the securities leg drives the position change in IBOR (E-04). - For a debt instrument the dirty (settlement) amount is
gross_amount + accrued_interest ± costs; carryingaccrued_interestexplicitly keeps clean and dirty price separable for fixed-income performance. - An execution belongs to exactly one order; it does not reference a portfolio directly — the portfolio attribution is the job of PB-05 Allocation, because a block execution may be split across many accounts.
Out of scope
- The instruction the fill is worked against — that is PB-03 Order; PB-04 is the realised event, PB-03 is the intent.
- The apportionment of a fill across portfolios — that is PB-05 Allocation; an execution is portfolio-agnostic by construction and does not reference a portfolio directly.
- The settlement of the trade — that is PB-06 Settlement Instruction; PB-04 is the market event, settlement happens days later through different infrastructure.
- The cash leg of the fill — that is a core E-06 Cash Flow Event; PB-04 carries
net_amountas its basis, not the cash record itself.
Owned and consumed by
- Owned by: SD-06.2 Trade Execution.
- Consumed by: SD-06.4 Best Execution & Transaction Cost Analysis, SD-06.5 Trade Allocation, SD-12.3 Trade Confirmation & Matching, SD-12.1 Investment Book of Record (IBOR), SD-08.1 Security Pricing, SD-09.1 Performance Measurement.
Open extensions
- The relationship between an execution and its Cash Flow Events (E-06) made explicit — the cash and securities legs.
- Venue-level execution-quality fields feeding a fuller TCA model.
- The trade-bust / amendment correction chain as an explicit sub-model.