[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/2a99913f - PLEASE DO NOT REPLY BY MAIL.]
I also see ExecutionReports with Done for Day status as relevant only for orders that have not reached the end of their lifetime yet. The status implies that they are only done for the current day and not done for the next business day. Some markets actually restate these orders in the morning again to confirm that they are still active. ExecutionReports with full executions, cancellations and expiries represent the final message for an order, whether or not you subsequently still allow OrderStatusRequest messages for them. I can understand the requirement to get a single stream of messages at the end of the day that includes all orders that were active at some point during this day. This makes reconciliation of order books easier. However, this can also be covered by means of a report sent via ftp or posted on the exchange website. Another option might be to send bulk restatements at the end of the day (ExecType=D) with OrdStatus being either 3=Done For Day or 2=Filled or 4=Cancelled or C=Expired. You did not specify whether Done For Day was sent as an ExecType or an OrdStatus value. > 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.
