[This message was posted by Tom Weilenmann of Bank Vontobel AG <[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/ea2ea754 - PLEASE DO NOT REPLY BY MAIL.]
We're having ongoing discussions about the correct use of DFD messages. According to our knowledge DFD messages should only be sent on orders which have not yet reached a final state (fully filled, expired or canceled). Currently our OMS will receive expiration messages from the stock exchange about 2-3 minutes after the market closes. Based on these expiration messages it will expire the client orders in our system as well and send out the expiration messages to the clients. About 15 minutes later our system will generate DFD messages for all open orders (not expired, not fully filled, not canceled). During the past weeks we have received requests from our clients who would also like to receive expiration messages for orders which have already expired, been fully filled or canceled during that day. This could result in message sequences like the following: -> Order <- Ack <- Fill messages <- Expiration message <- DFD message Would this be valid and correct? What scenarios are correct for DFD messages?? [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.
