Cancel or CancelReplace after DFD before Restate(FIX4.2)

, ,
1

Imported from previous forum

2

In FIX4.2 version.
After DFD and before Restate of a GT order , if a Cancel or CancelReplace is received, How the system should will react?

  1. Should it process normally?
  2. Should produce an OrderCancelReject(35=9) by saying “Too late to Cancel”.
3

Hi Amiya,

Is there any reason why the Cancel or CancelReplace cannot be implemented (after the ‘Done For Day’ and before the next day Restate)?

One expects that in this scenario, the system implements ‘normally’ and cancel (or modify) the order.

I hope it helps,
Yuval

4

Well, DFD (done for day) should signal to the recipient that there will be no further changes/actions on this order for the day, allowing clean-up/reconciliation etc. What is the use case for signaling DFD if you need the ability to cancel or modify afterwards, i.e. why not just omit DFD?

5

Thanks Hanno,
Our application also reacts the same way what you have explained. However it makes us to rethink because one of our client asks to change the behavior, but we afraid it may impact to other clients.

6

Hi Hanno,

Assuming order has been placed in Indian market and has been marked DFD. Subsequently, Cancel or CancelReplace request is received from US client post Indian trading hours but during same trading day, should the request be processed normally?

7

If order is DFD (assuming the order is GTD/GTC) and then after post close (definitely some cutoff time) any request coming, should processed normally for next trading day as order will be carry forward for next trading day if not fully-filled.

I think if day order DFD then no existence for next day so no meaning to send cancel on it, however if cancel received in this case should be rejected.

8

Hi Sailesh,

if you accept orders for multiple markets with different trading schedules you need a notion of a business day per market. Based on that schedule, each order has different phases allowing different actions. When the order is marked DFD from your point of view, it does not matter where further requests come from (India or US). You should always behave the same way, e.g. as described by Satendra. You are using the terms DFD and “during same trading day” as if these were two different things. Either your trading day is ongoing or you are done with it, regardless of your calendar day or local clock.

Regards,
Hanno.