[This message was posted by Carfield Yim of JPMorgan Chase <[email protected]> to the "4.2 Changes" discussion forum at http://fixprotocol.org/discuss/5. You can reply to it on-line at http://fixprotocol.org/discuss/read/d131d1aa - PLEASE DO NOT REPLY BY MAIL.]
> > FIX 4.2 Client sends us an order (e.g. Q = 1000), then a replacement > > to increase order quantity to 2000 shares >> We reply with > > OrdStatus<39> = Replaced(5) and OrderQty<38> = 2000 in the ER on > > replacement acceptance. A number of executions are created: q1 = 300 > > >> OrdStatus<39> = Partially Filled, CumQty<14> = 300 q2 = 500 >> > > OrdStatus<39> = Partially Filled, CumQty<14> = 800 q3 = 1200 >> > > OrdStatus<39> = Filled, CumQty<14> = 2000 Then all the executions are > > canceled one by one. What OrdStatus<39> should we send when canceling > > the last one of these executions? Should it be Replaced or New? > > > > Thanks in advance, Julia > > A simple question with a complex answer. Here goes. > > If executions are canceled, the most important point is whether the > busted shares are "re-opened" or not. This depends on the execution > venue's policy. > > If busted shares are re-opened as a result of the cancellation of an > execution, life is easy. The answer to your question when CumQty becomes > zero as a result of the last execution being canceled is OrdStatus=new. > > If busted shares are not re-opened as a result of the cancelation of an > execution and the order was already closed when the execution cancels > start to appear, life isn't too bad. You should see the OrdStatus change > to canceled, which then permits LeavesQty to remain at 0 and the > equation LeavesQty = OrderQty - CumQty need not hold true (according to > the FIX standards). > > Problems start to arise when the order is still open when execution > cancels start to flow from a venue that doesn't re-open busted shares. > Note that this is unusual. Most often executions are canceled long after > the order is closed. It is also not the example you gave. According to > the protocol standard, there appears to be no way to indicate that a > certain amount of shares have not been re-opened as the equation > LeavesQty = OrderQty - CumQty is supposed to hold true. > > So I have answered your precise example, but left another problem > unanswered. > > I hope this helps. > > JohnP Great information, as in the spec. there is nothing mentioned about status need to change when trade bust, I thought it just remind the same all the time. Thanks for the information. [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 -~----------~----~----~----~------~----~------~--~---
