[This message was posted by anand pandey of Barclays Capital <[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/5e4bf326 - 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. No , in the FIX specificatio there is a matrix which gives what should be the correct status after busts. please refer to the pdf in the website. it give the values for TAG 150 and TAG 39 what value they should contain after the bust. basically whenever an ER in FIX.4.2 conatins value 20=1 it means this is a bust execution and then check the Order status which shows the current status of the order. [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 -~----------~----~----~----~------~----~------~--~---
