According to the FIX rules, a qty increase of a filled order can be accepted even if this doesn’t seem to be widely used. Is there any time constraint for such a scenario to be valid, for instance an inflight cancel/replace while the order is being filled, or a cancel/replace sent the same day? All inputs will be welcome. Thank you.
@laurentbrenot, such rules can only be defined by the marketplace or broker accepting such changes. Exchanges typically do not support them. What are the business reasons you still see today that justify a filled order to have its quantity increased instead of creating a new order? It simply adds complexity to allow orders to reach a terminal state only after a certain period of time, even if they have already been completely filled. What about cancelled orders, do you see cases where these can be re-activated?
The case happened with orders going through a broker; the cancel replace was submitted before the fill was received. I agree this adds a lot of complexity but unfortunetaly this is documented.
The proper handling of such in-flight issues would be for the broker to reply with something like “too late to modify” as he knows the true status of the order and whether he has already sent out the fill. CxlRejReason(102) has 0=“Too late to cancel” for cases where an attempt is made to cancel an order that has reached a terminal state. Exchanges typically use 1=“Unknown order” because they have already removed the order from the list of active orders and cannot distinguish a terminated order from one that never existed.
@gtcpm Thank you for your help here. Indeed we never encountered the issue with exchanges. Will check with the broker if they can reject order amendments following a full fill.