Can this be a partial fill?

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Imported from previous forum

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Hello,

I have a question related to FIX 4.0 and want to know what FIX Gurus think about it.

Customer sends an order with for example 11=1 and then replaces that with a 11=2. After this cancel replace pending is sent with 39=6 and then a message with 39=6 is received again which also includes tag31 (LastPx) and tag32(LastQty) and at the same time a replaced message is received with 39=5.

The message in question here is the message which was received with 39=6, 31 & 32 and the clientOrderId=1, which is for the original order. Can this be considered as a valid partial fill as per fix4.0?

Thanks,
Rao Raheel

3

[ original email was from Sunil Bopche - sunil_bopche@ml.com ]
Hi,

Ideally pending replace message (39=6) cannot be a partial fill. it’s just an indication to the other side party that we have received your request and it’s pending for the acceptance.
But I have seen some buy side OMS expect proper values in tag 32 and 31 in 39=6 message and some OMS want to be all zeros.

Thanks, Sunil

Hello,

I have a question related to FIX 4.0 and want to know what FIX Gurus
think about it.

Customer sends an order with for example 11=1 and then replaces that
with a 11=2. After this cancel replace pending is sent with 39=6 and
then a message with 39=6 is received again which also includes tag31
(LastPx) and tag32(LastQty) and at the same time a replaced message is
received with 39=5.

The message in question here is the message which was received with
39=6, 31 & 32 and the clientOrderId=1, which is for the original order.
Can this be considered as a valid partial fill as per fix4.0?

Thanks, Rao Raheel

4

[ original email was from Tushar Deshpande - tushar.deshpande@citi.com ]
OrdStatus (Tag 39) is the key tag to identify the order state in FIX 4.0. This case can be treated as a partial fill. Higher FIX versions that support OrdStatus and ExecType could offer other possibilities. Still, indicating a fill on a pending response is not recommended.

Thx,
Tushar

Hi,

Ideally pending replace message (39=6) cannot be a partial fill. it’s
just an indication to the other side party that we have received your
request and it’s pending for the acceptance. But I have seen some buy
side OMS expect proper values in tag 32 and 31 in 39=6 message and some
OMS want to be all zeros.

Thanks, Sunil

Hello,

I have a question related to FIX 4.0 and want to know what FIX Gurus
think about it.

Customer sends an order with for example 11=1 and then replaces that
with a 11=2. After this cancel replace pending is sent with 39=6 and
then a message with 39=6 is received again which also includes tag31
(LastPx) and tag32(LastQty) and at the same time a replaced message is
received with 39=5.

The message in question here is the message which was received with
39=6, 31 & 32 and the clientOrderId=1, which is for the original
order. Can this be considered as a valid partial fill as per fix4.0?

Thanks, Rao Raheel

5

[ original email was from Tushar Deshpande - tushar.deshpande@citi.com ]
Sorry I meant this case cannot be treated as a partial fill.

OrdStatus (Tag 39) is the key tag to identify the order state in FIX
4.0. This case can be treated as a partial fill. Higher FIX versions
that support OrdStatus and ExecType could offer other possibilities.
Still, indicating a fill on a pending response is not recommended.

Thx, Tushar

Hi,

Ideally pending replace message (39=6) cannot be a partial fill. it’s
just an indication to the other side party that we have received your
request and it’s pending for the acceptance. But I have seen some buy
side OMS expect proper values in tag 32 and 31 in 39=6 message and
some OMS want to be all zeros.

Thanks, Sunil

Hello,

I have a question related to FIX 4.0 and want to know what FIX Gurus
think about it.

Customer sends an order with for example 11=1 and then replaces that
with a 11=2. After this cancel replace pending is sent with 39=6 and
then a message with 39=6 is received again which also includes tag31
(LastPx) and tag32(LastQty) and at the same time a replaced message
is received with 39=5.

The message in question here is the message which was received with
39=6, 31 & 32 and the clientOrderId=1, which is for the original
order. Can this be considered as a valid partial fill as per fix4.0?

Thanks, Rao Raheel

6

Since there is no order status precedence matrix for Fix 4.0, the example message quoted by Raheel can be considered as an invalid partial fill. However a lot of fix engines support the acceptance of this message and in practice there is no harm in doing so. To remove this drawback, It was in fix version 4.1, that tag 150 was used.

Regards,
Sunil Singh

7

Thank you guys for your response.

regards,
Rao Raheel

Since there is no order status precedence matrix for Fix 4.0, the
example message quoted by Raheel can be considered as an invalid partial
fill. However a lot of fix engines support the acceptance of this
message and in practice there is no harm in doing so. To remove this
drawback, It was in fix version 4.1, that tag 150 was used.

Regards, Sunil Singh