[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/a475fc31 - PLEASE DO NOT REPLY BY MAIL.]
I respectfully disagree. We have been one of these exchanges in the past but changed out behaviour to be compliant with FIX on this issue. Rules of engagement should not be used to change key FIX concepts and I believe total order quantity is one of these concepts. Another example is to add a user-defined field to the Order Cancel Request to convey a quantity that is supposed to reduce as opposed to cancel the entire order. FIX clearly states that this is what Order Cancel/Replace is for. FIX fields are not just containers for values but in many cases FIX has attached a semantic to the field content. The issue at hand is one of them. FIX compliance is not just a matter of syntactical compliance, i.e. avoidance of session level Reject messages. Regards, Hanno. > Behaviors such as this are subject to the rules of engagement. In the > case of reduction in quantity - there are behaviors supported by some > exchanges that allow the indicated quantity to be interpreted as the > quantity remaining open to be filled. Again, this behavior and the > corresponding messaging values are described in the rules of engagement > for the exchange. > > Hi Christian, > > > > Problems with quantity reduction are typically never trivial and cause > > huge amounts of issues in trading systems (IMHO). > > > > According to the protocol, the CancelReplaceRequest should be > > accepted. > > > > The ExecReport to convey this has the following fields: o > > ExecType=replaced o OrdStatus=filled > > > > I will point you at the FIX.5.0SP2 docs which tend to show the latest > > thinking, which is also probably applicable to whatever version of the > > protocol you are using. Please read Volume 4 Appendix D example c.3.b. > > > > I hope this helps. > > > > 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.
