Algo trading - MOC slice

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Imported from previous forum

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In the event a client attempts to cancel a listed algo order at 3:45pm NYT that has an MOC slice at DOT, what is the correct way to communciate this execution report to a client? I believe it would be incorrect to send back 39=4 at 3:45pm NY because there is still an open MOC slice at DOT. Should a 39=6 be sent back at 3:45pm followed by a 39=1 at 4:00pm and a 39=4 as the last message?

Thanks,
Bill

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[ original email was from John Prewett - jprewett@lavatrading.com ]
> In the event a client attempts to cancel a listed algo order at 3:45pm

NYT that has an MOC slice at DOT, what is the correct way to communciate
this execution report to a client? I believe it would be incorrect to
send back 39=4 at 3:45pm NY because there is still an open MOC slice at
DOT. Should a 39=6 be sent back at 3:45pm followed by a 39=1 at 4:00pm
and a 39=4 as the last message?

Thanks, Bill

Hi Bill,

This is a great question which has troubled me too.

I have seen many different solutions implemented for this problem.

My current favorite is:

A1. ExecReport: ExecType=Pending Cancel.
A2. ExecReport: ExecType=Restated; ExecRestatementReason=partial decline of OrderQty; OrdQty=CumQty + MOC slice qty; LeavesQty=MOC slice qty; Text=Open qty reduced to open MOC slice.
A3. CancelReject: CxlRejReason=TLTC; Text=Open qty reduced to MOC slice.
Then at 4:00pm:
A4. ExecReport: ExecType=final fill.
Note that A2 and A4 both reduce the OrderQty to conform to the (LeavesQty = OrderQty - CumQty) formula. Unfortunately, many existing traders’ systems may well choke on the ExecReport(restated) or the fact that the OrderQty no longer matches what they issued.

If the trader’s system doesn’t support this, you can use a more simple:
B1. ExecReport: ExecType=pending cancel.
B2. CancelReject: CxlRejReason=too late to cancel; text=something to convey partial cancel.
The above mechanism is 100% legal and yet unfortunately doesn’t conveniently (from an automation standpoint) convey the fact that only the MOC slice of the OrderQty remains open. I assume your sell-side system would take the users intention into account and only leave the MOC slice.

Then again, there’s always your proposal as well.

Any other suggestions?

Thanks.

JohnP