[This message was posted by Hanno Klein of Deutsche Börse Systems <[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/b84b42e2 - PLEASE DO NOT REPLY BY MAIL.]
John, my view is the following. Only systems that keep entity state should be the source of messages defining states. An intermediary responding to an order carrying "New" with an ExecutionReport carrying "Pending New" has to maintain state of all orders passing through. Specifically, he has to synchronize his order states with those of the venue to which he then forward the orders. The venue might not support pending states, i.e. the intermediary has to respond to order status inquiries by accessing his own database (not the venue's). The venue might have deleted an order through verbal communication and not sent out a corresponding message. This all creates additional complexities that I would avoid if possible. Therefore I favor a solution where only the venue maintains order states for all cases where the intermediary does not create new order entities by bundling orders from multiple customers. The intermediary then simply acts as a hop towards the venue even if he does some risk management when he sees the orders and trades passing through. Regards, Hanno. > I have a question concerning generation of "pending" messages. > > I define "pending" messages as ExecReport with ExecType containing one > of: o Pending New o Pending Replace o Pending Cancel > > Imagine there is a customer who sends orders to various execution venues > through an intermediary. The intermediary may act as a dumb FIX router > or could take order routing decisions. > > Should only the venues generate pending messages and the intermediary > route them back to the customer? Or should the intermediary generate and > send pending messages back to the customer, while discarding any pending > messages received from the execution venues? > > While I have supplied two possible answers, I suspect the answer lies > somewhere in between: "it depends on several factors...." > > Thanks in advance for your opinions. > > 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 -~----------~----~----~----~------~----~------~--~---
