...about Execution Report message acknowledgement

[ricardomejias_x]

Imported from previous forum

[ricardomejias_x]

Dear Sir:

I have a question about the flow of messages that are part of the acknowledgement of an order execution.

After the execution of the order, the broker has to inform the institution about this. So, the flow of messages could be the following (graphically):

 BROKER                INSTITUTION

Execution Report message
--------------------------------->

(and the institution answers in the following way…)

               "Reject"
    <--------------------------

            OR

               "Accept"
    <--------------------------

Ok, the question is:

The FIX protocol does it have any type of message for those flows ("Reject" and "Accept") and, in this case, 
Which FIX message represents the flow "Reject" and which other, the flow "Accept"?

Thanks in advance.

Ricardo Mejías

[fplpo_x]

[ original email was from craig iskowitz - craig@mondial.com ]
Ricardo,

I think you should review the FIX 4.2 Specification document which is available under the Specifications link on this site.

However, the answer to your question is that the Execution Report Message handles confirming and rejecting orders. From pg 88 of the FIX 4.2 spec:

The execution report message is used to:

1. confirm the receipt of an order
2. confirm changes to an existing order (i.e. accept cancel and replace requests)
3. relay order status information
4. relay fill information on working orders
5. reject orders
6. report post-trade fees calculations associated with a trade

I hope this helps you.
Craig

> Dear Sir:
>
> I have a question about the flow of messages that are part of the acknowledgement of an order execution.
>
> After the execution of the order, the broker has to inform the institution about this. So, the flow of messages could be the following (graphically):
>
> BROKER INSTITUTION
>
> Execution Report message
> --------------------------------->
>
> (and the institution answers in the following way…)
>
> "Reject"
> <--------------------------
>
> OR
>
> "Accept"
> <--------------------------
>
>
> Ok, the question is:
>
> The FIX protocol does it have any type of message for those flows ("Reject" and "Accept") and, in this case,
> Which FIX message represents the flow "Reject" and which other, the flow "Accept"?
>
> Thanks in advance.
>
>
> Ricardo Mejías
>
>

[jeffobrien_x]

Dist:

With respect to “post-execution” rejections, wouldn’t the DK message apply – per Page 95 of the 4.2 spec?

Regards –
Jeff

> Ricardo,
>
> I think you should review the FIX 4.2 Specification document which is available under the Specifications link on this site.
>
> However, the answer to your question is that the Execution Report Message handles confirming and rejecting orders. From pg 88 of the FIX 4.2 spec:
>
> The execution report message is used to:
> 1. confirm the receipt of an order
> 2. confirm changes to an existing order (i.e. accept cancel and replace requests)
> 3. relay order status information
> 4. relay fill information on working orders
> 5. reject orders
> 6. report post-trade fees calculations associated with a trade
>
> I hope this helps you.
> Craig
>
> > Dear Sir:
> >
> > I have a question about the flow of messages that are part of the acknowledgement of an order execution.
> >
> > After the execution of the order, the broker has to inform the institution about this. So, the flow of messages could be the following (graphically):
> >
> > BROKER INSTITUTION
> >
> > Execution Report message
> > --------------------------------->
> >
> > (and the institution answers in the following way…)
> >
> > "Reject"
> > <--------------------------
> >
> > OR
> >
> > "Accept"
> > <--------------------------
> >
> >
> > Ok, the question is:
> >
> > The FIX protocol does it have any type of message for those flows ("Reject" and "Accept") and, in this case,
> > Which FIX message represents the flow "Reject" and which other, the flow "Accept"?
> >
> > Thanks in advance.
> >
> >
> > Ricardo Mejías
> >
> >
>

[scott.atwell]

Accept is implicit. FIX is optimistic protocol and lack of complaint re: seq nums is generally good enough. You can send a TestRequest with a specific TestReqID after sending a msg and wait until client sends a Heartbeat with that TestReqID to "be sure" that they received a given message (and seq nums < than that).

The Don’t Know Trade is an Execution Report reject. Note that this was primarily designed for cases in which the order was transmitted out of band (e.g. phone). If the order was sent via FIX, the client could respond with an OrderCancelRequest if they didn’t like an order confirm or something about the ExecRpts.

We ask our brokers to display a DK to the salestrader who entered the ExecutionRpt as a pop-up error message and then tell them they need to call us before proceeding with the order. Hope that helps.

To see this graphically, look under "More Information", "Presentations from Conferences", "Effective Use of FIX via the Internet (Securities Industry News - NY - Sep 1998)", slide 5.

> Dear Sir:
>
> I have a question about the flow of messages that are part of the acknowledgement of an order execution.
>
> After the execution of the order, the broker has to inform the institution about this. So, the flow of messages could be the following (graphically):
>
> BROKER INSTITUTION
>
> Execution Report message
> --------------------------------->
>
> (and the institution answers in the following way…)
>
> "Reject"
> <--------------------------
>
> OR
>
> "Accept"
> <--------------------------
>
>
> Ok, the question is:
>
> The FIX protocol does it have any type of message for those flows ("Reject" and "Accept") and, in this case,
> Which FIX message represents the flow "Reject" and which other, the flow "Accept"?
>
> Thanks in advance.
>
>
> Ricardo Mejías
>
>