[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/103f1bca - PLEASE DO NOT REPLY BY MAIL.]
Mikael, I believe the common practice is to view bid/offer size as the open or remaining qty, not the total, i.e. different to the semantic of OrderQty. The custom fields you mention have a different intention, i.e. "The original buy side quantity of the quote as known to a Firm when sending a modification request.". It is what the user believes is still open and covers a potential race condition that does not occur with OrderQty. If OrigBidSize deviates from the current qty, the Quote is probably rejected. That said, I see the need to additionally offer fields to provide total bid/offer size as an alternate model for quoting. On the request side it allows to run a model similar to orders, i.e. avoid being "over-filled" on a quote. Having BidTotalSize as well as BidSize on the response (QuoteStatusReport, MassQuoteAck), you can easily calculate "CumQty" as BidTotalSize - BidSize. As soon as the quote is deleted (BidSize=0) I would start back with BidTotalSize=0 (an order would be "Filled"), i.e. a new BidTotalSize coming in would cause BidSize to go up to BidTotalSize again (like a new order). If BidSize>0 then a new BidTotalSize requires you to recalculate BidSize instead. It is easier to understand if you think of BidSize as BidOpenSize. Hope this helps more than it confuses... > Hi, > > I've been trying to figure out how quotes are supposed to work, > regarding volume updates and snapshot recovery > (QuoteStatusRequest/Report). > > After digging the specs and the discussion forum, e.g. > http://www.fixprotocol.org/discuss/read/e247c633 > http://fixprotocol.org/discuss/read/f3582df8 > > ... there are still some pieces I don't understand. > > I haven't been able to find how to interpret the BidSize (total volume > or visible volume). The only reasonable way to implement volume in > quotes seem to be to interpret the BidSize and OfferSize as the total > executed volume + available volume, i.e. similar to OrderQty which is > (in general) CumQty + LeavesQty. > > However, OrigBidSize has been added to the custom fields indicating that > BidSize might be interpreted as the visible volume (LeavesQty): http://- > www.fixprotocol.org/specifications/fields/search?search=OrigBidSize > > Well, I treat it as the total volume for the rest of this post. > > Whenever a fill occurs, CumQty and LeavesQty are reported back in an > ExecutionReport. > > In case the quote issuer need to request a snapshot of all quotes, it > will receive QuoteStatusReport messages. However, the QuoteStatusReport > does not include CumQty nor LeavesQty. How should the client know what > to set the BidSize to if it does not know the CumQty? > > What is common practice here? Cancel all quotes and start over with > CumQty=0? Or can this information be found somewhere in a snapshot > reply? Or have I misunderstood it all? [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 -~----------~----~----~----~------~----~------~--~---
