[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/2e897300 - PLEASE DO NOT REPLY BY MAIL.]
The semantic changed after FIX 4.2 and became much clearer by eliminating ExecTransType (20)and substituting Partial Fill (1) and Fill (2) with Trade (F) in field ExecType (150). If you really need to stick to the FIX 4.2 semantics then I suggest to look at the FIX 4.2 specification on pages 92-94 which describe the concept of precedence for OrdStatus (39). According to that table, an order cannot return to status "New" once it has been replaced. All actions changing the order status have a higher precedence than "New". Also look at scenarios D34 and D35 on page 227 which come pretty close to your case. You do not say what the quantities of the order are. If CumQty>0 then the order status is still "Partially Filled" as only part of the executed qty was busted. If CumQty=0, i.e. the order has no executions due to the bust, then it has still been replaced to get there. The precedence of "Replaced" (3) is higher than that of "New" (2). The bust changes attributes of the order, i.e. changes the quantities. The fact that the change results in the order looking exactly as it was at the time it was initially entered is secondary. In general it is debatable whether busts should go all the way back to the order and "replenish" it again. Orders are vehicles resulting in trades which are entities of their own. Trades can then get busted and I believe it should be the decision of the user to modify his order or not. Exchanges typically decouple orders and trades in this sense but there is more than one model out there. Some require to keep the executed qty of orders and quantities of trades in sync, sometimes simply because there are no trade entities (Trade Capture Report), only executions attached to order entities. Regards, Hanno. > Scenario and steps followed – FIX 4.2 version > 1)New Order from Cl.Sim > 2)Ack recd by client 39= 0,150=0 ,20=0 > 3)Cancel / Replace Request from client > 4)Pending Replace ack recd by client 39= E,150=E ,20=0 5)Part fills > reported to client (order in pending replace state) 39= E,150=1 ,20=0 > 5)Replace acked back to client 39= 1,150=5 ,20=0 > 6)Part fill busted and reported to client 39=0,150=1 ,20=1(cancel) > > Query: In step 7 after part fills bust what order status we should > report back to client ? 39=0 Or 39=5 (as it was replaced) Or 39=1 (part > fill though it was busted) > > Currently we report 39=0. > > Please advice. > > Thank You, Rahul Shah [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 -~----------~----~----~----~------~----~------~--~---
