Cancel Balance with CMS exchange

, ,
1

Imported from previous forum

2

[ original email was from Matthew Chimento - matt.chimento@davidge.com ]
There has been growing concern how exchanges that are CMS based, which have capability that is not covered in FIX. Specifically, with cancel balances.

Scenario:

  1. send order 2000
  2. ORDER ACK (for order)
  3. send Cancel
  4. ORDER ACK (for Cancel)
  5. UR OUT 1500 FILLS <-----------cancel balance
  6. SLD 500

From the example above, when the exchange only "partially cancels" the original order (item 5), how is the FIX execution supposed to be reported in relation to the quantities, order status, and execution type?

A.
#~ field 38 [500]
:::
#~ field 32 [0]
#~ field 31 [0]
#~ field 14 [0]
:::
#~ field 39 [6]
#~ field 150 [5]
#~ field 151 [500]

B.
#~ field 38 [1500]
:::
#~ field 32 [0]
#~ field 31 [0]
#~ field 14 [0]
:::
#~ field 39 [6]
#~ field 150 [5]
#~ field 151 [500]

C.
Other?

What is interesting is that the CMS specification, they consider this scenario a replacement.

Specifically, I am looking for some interpretations in dealing with this case scenario who is using FIX 4.1. Comments on other FIX versions are invited as well.

Regards,

Matthew J. Chimento
Senior Product Manager
Davidge Data Systems
A Division of S1 Corporation
741 Boston Post Road
Guilford, CT U.S.A
06457
T - 203.458.8855 x223
F - 203.458.7421
www.s1.com
www.davidge.com