Accepting parent order cancel/replace

, ,
1

Imported from previous forum

2

[ original email was from Dmitry Freitor - dmitry.freitor@citigroup.com ]
From the FIX standpoint can a cancel/replace request on the parent order be accepted before the outs on all open child orders are received?

Here’s the scenario: I am trading a parent order, which came as ClOrdID=X, and I have open child orders. I receive the cancel/replace request on the parent, which now has ClOrdID=Y (and the OrigClOrdID=X). I accept the cancel/replace, but then I get outs on the child orders. These outs still refer to ClOrdID of the original parent order. Is there a standard way this gets handled? Will most FIX engines even accept the outs?

Thanks
df

3

From the FIX standpoint can a cancel/replace request on the parent order
be accepted before the outs on all open child orders are received?

Here’s the scenario: I am trading a parent order, which came as
ClOrdID=X, and I have open child orders. I receive the cancel/replace
request on the parent, which now has ClOrdID=Y (and the OrigClOrdID=X).
I accept the cancel/replace, but then I get outs on the child orders.
These outs still refer to ClOrdID of the original parent order. Is
there a standard way this gets handled? Will most FIX engines even
accept the outs?

Thanks df

I thing what you have done is right absolutely right.

Regards,
Sudhakar.M

4

From the FIX standpoint can a cancel/replace request on the parent order
be accepted before the outs on all open child orders are received?

Here’s the scenario: I am trading a parent order, which came as
ClOrdID=X, and I have open child orders. I receive the cancel/replace
request on the parent, which now has ClOrdID=Y (and the OrigClOrdID=X).
I accept the cancel/replace, but then I get outs on the child orders.
These outs still refer to ClOrdID of the original parent order. Is
there a standard way this gets handled? Will most FIX engines even
accept the outs?

Thanks df

I think the parent order should go into PendingCancel till the you get outs for your child orders. Since there is a possibility that cancels on ChildOrder might get reject as “TLTC” (Too Late Too Cancel) or you might get fills.

5

From the FIX standpoint can a cancel/replace request on the parent
order be accepted before the outs on all open child orders are
received?

Here’s the scenario: I am trading a parent order, which came as
ClOrdID=X, and I have open child orders. I receive the cancel/replace
request on the parent, which now has ClOrdID=Y (and the
OrigClOrdID=X). I accept the cancel/replace, but then I get outs on
the child orders. These outs still refer to ClOrdID of the original
parent order. Is there a standard way this gets handled? Will most FIX
engines even accept the outs?

Thanks df

I think the parent order should go into PendingCancel till the you get
outs for your child orders. Since there is a possibility that cancels on
ChildOrder might get reject as “TLTC” (Too Late Too Cancel) or you might
get fills.

Dear Himanshu doesnt PendingCancel have specific meaning relating to fix saying that"It has not yet recieved a ack from exchange" ?
I agree with the point every parent order should have an updated status message open/cancelled/completed

Although IMO it doesnt have any business impact as child order status is what is important but it is a functionality that should be completed

Regards

Varun