[This message was posted by kofil ali of Aspect capital <[email protected]> to the "4.0 Session" discussion forum at http://fixprotocol.org/discuss/12. You can reply to it on-line at http://fixprotocol.org/discuss/read/225f97ab - PLEASE DO NOT REPLY BY MAIL.]
> Using FIX should guarantee that no messages are lost or re-ordered. > Putting an application between two streams of messages relies on the > application also offering that guarantee. IMHO, after an outage is over, you > have every right to expect that your broker sends you all the messages you > have missed and in the appropriate sequence. > > .... However, anything can and will happen..... > > If you want to make your application robust, it should not only handle what > is supposed to happen but also gracefully handle unexpected events too. Now > that's very easy to say and often much more difficult to achieve. > > If you can interpret the messages received in an unambiguous manner, even > though they may violate the state model, I would declare that life is fairly > good. > > In your specific case, the fact that you have received a fill on the > replacement version, clearly indicates the replacement version must have been > accepted. At that point, I would immediately infer an ExecReport(replaced) > "replace-ack" and process the fill. I would probably also raise an alert to > indicate that the ExecReport(replaced) was missing as this is an unusual > situation. I also check LeavesQty and CumQty and ensure that they agree with > your understanding of where the order should be at this point. > > I hope this helps. > > JohnP > > > Hi Guys, > > > > I wonder if someone can help me here. > > Yesterday I had a problem where we sent a cancel\replace for a price to our > > broker, we did not recive an ACK back from the broker to say that they have > > recived the price replace message, instead four minutes later we recive a > > fill back for that order with the new price. > > I am in discussion with the broker to find out why we did not recive the > > ACK and why we had a four minute delay in the getting the fill back. > > > > Initial conversations seem to suggest that the broker might have suffered a > > disconnection with the exchange after we sent the cancel replace. However > > once the connection is restored I expect the messages to come back in a > > sequence, i.e, ack for the replace first and then the fill execution > > report. > > > > Any one come across this behaviour before? > > > > Many Thanks > > > > Kofil Thanks for your response. I am still waiting to here back from the broker! [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.
