[This message was posted by Sri Thayaparan of Millennium Information Technolog <[EMAIL PROTECTED]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/23ef9ddd - PLEASE DO NOT REPLY BY MAIL.]
Hi all, Practically I do agree with your suggested practice John. Even in your case, its completely legal and should be expected by OMSs. Even if the exchange tried to cancel (Unsolicited), there can be a cancel replace in transit (already sent out by the OMS). In that case, the sequence of messages would be exactly what you have stated. Hence from a more practical point of view, rather than two entities (OMS and Exchange) deciding the quantity to replace, its more clean to leave the authority of taking the remedial action to the OMS and send an unsolicited cancel and a cancel replace reject. Perhaps John, Cancel reject reason could be made to communicate the cause of the cancellation , which, in this case will be the attempt to reduce below CumQty. Rgds, Thaya. > Deviating from the subject somewhat, I must admit that I don't > particularly like the way the FIX standard stipulates that you manage a > cxl/replace request where OrderQty is reduced to less than (or equal to) > the already executed quantity. > > FIX stipulates, as Sri correctly mentioned in the last post, that you > issue an ExecReport with ExecType=replaced; OrdStatus=filled; > OrderQty=CumQty; LeavesQty=0. For examples of the standard, please see > FIX.5.0 SP1 Volume 4 example c.3.b and c.3.c. > > I don't like the concept of altering the OrderQty on an ExecReport and I > believe many simplistic OMS engines wouldn't even be looking for this to > change and might get angry if you return an OrderQty value that wasn't > what they submitted. > > I prefer handling the issue in a non-standard way that has a much higher > probability of keeping even the simplest of OMS in sync with the correct > order state. Please notice that this method works just fine with all > versions of FIX. > > I send out two messages: > 1. Unsolicited cancel of the original order. > 2. CancelReject for the cxl/replace request. > > This should guarantee that the OMS handles the situation correctly and > the order ends up in the correct state. The only downsides are: > A. Not obeying the FIX standard. I therefore strongly disapprove > of myself. > B. The OMS may alert users upon receipt of an unsolicited cancel. > > Comments? > > JohnP [You can unsubscribe from this discussion group by sending a message to mailto:[EMAIL PROTECTED] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
