[This message was posted by Xinyu Xiang of Bloomberg, LP <[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/0b91609c - PLEASE DO NOT REPLY BY MAIL.]
> > > > > Hi, > > > > > > > > > > I have a question. > > > > > > > > > > If I send out a cancel for a order, and the cancel order message > > > > > is acknoleged with a cumQTY of 500000, however the fills on that > > > > > 500000 come after the cancel is sent. Is that allowed within the > > > > > FIX spec? > > > > > > > > > > Thanks > > > > > > > > > > -jeremy > > > > Absolutely. It's common that your cxl request and your > > > > counterparty's fill cross paths. So you need to be able to handle > > > > any fills before your cxl request is accepted. Most likely, you > > > > will receive a cxl reject later with 58=Too_Late_to_cancel. From > > > > broker perspective, a cxl pending msg is just an acknowledgement. > > > > There's no gurantee that it'll be able to cxl the order, e.g. when > > > > the order was routed to exchange and could not be pulled in time. > > > > > > > > -Xinyu > > > > > > Thanks Xinyu, > > > > > > Just so i am clear on what I am asking. We but in a order to buy 1M > > > shares of XYZ. And we get this. > > > > > > D (ORDER_SINGLE) US 1000000 8 (EXECUTION_REPORT) BRKR 0 (NEW) > > > 1000000 8 (EXECUTION_REPORT) BRKR 1 (PARTIALLY_FILLED) 1000000 500 F > > > (ORDER_CANCEL_REQUEST)US 1000000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 1000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 10000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 100000 8 (EXECUTION_REPORT) BRKR 4 > > > (CANCELED) 1000000 500000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 200000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 300000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 400000 8 (EXECUTION_REPORT) BRKR 1 > > > (PARTIALLY_FILLED) 1000000 500000 > > > > > > > > > Does that make sence for the cacel to come before the fills? > > > > It does NOT make sense. Your broker seems to have a problem. You will > > have to treat them as unsolicited trades and call your broker up... > > you sure these are not trade busts&corrections? > > > Yes, but then let me ask you what is the correct behavior on this order. > If you get a partial fill of 100K and then a cancel of 500K w/o the > fills for it. Do you go by the last fill amount or the amount of the > cancel ticket. (the broker sends you a cancel w/ a cumqty=500K cumqty should be the total filled at the time of cxl. So it should be 100K. [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 -~----------~----~----~----~------~----~------~--~---
