Does anyone have a cancel/replace workflow for already filled/executed shares in production? While this may be technically possible via FIX, I have never heard of any firm actually doing this.
“Cancel/Replace will be used to change any valid attribute of an open order (i.e. reduce/increase quantity, change limit price, change instructions, etc.), Subject to agreement between counterparties, it can be used to re-open a filled order by increasing OrderQty <38>. An immediate response to this message is required”
No, never seen that in practice neither retail nor insti order flow and does not make sense but only causing trouble. The fill will push settlement instructions finalized and status of order is “Filled/Terminated”. A new order and also seperate Allocation Instruction required in the case of increase Qty after fill 39=2. Prior to 39=2 change of Qty is ok while some allocations instructions may refer to executions only after this change and so different accounts may receive different AvgPx. Another story though
We are a buyside firm and we modify filled orders to increase their quantity on a daily basis with dozens of brokers globally, so yes this is a valid workflow that brokers can support. Happy to share details regarding this if it helps.
I concur with Brian. We are also a buyside firm and frequently use this pattern of Cancel/Replace to add quantity to a filled ticket throughout the day. All of our brokers support this.
The use case is we have 1000 shares to buy, send an order to buy 200, that gets filled, then we send an additional 300 that gets filled, etc.
Ok so the 2 folks who responded that they are doing this is solely for increase of shares. But it seems there is no firm doing amends on things like limit price, note, fill price, etc.
I appreciate the feedback so far and look forward hearing from others.
The OrderCancel/Replace msg is not intended to “amend… fill price” if by “fill price” you mean the price in which the order was filled (i.e. reported back by the dealer in the ExecutionReport).
Yes I agree with that, a Cancel/Replace message is not for amending fills. A price correction on a fill should be amended by sending an execution report message with tag 20=2 (in FIX 4.2). In practice we do sometimes receive execution corrections after the order is filled, which is problematic if we’ve already booked out the trade on our side. In those cases it may require manual intervention to correct the final totals.
Please allow an additional note on Modify Qty after Fill:
Pls have a look into the spec here:
Regarding modify Qty of Filled Orders we find two statements there:
„Subject to agreement between counterparties, it may be used to re-open a filled order by increasing OrderQty(38).“
But also:
„Requests to cancel or cancel/replace an order are only acted upon when there is an outstanding order quantity.“
The increae Qty after Fill is not generally accepted but at least still possible by a bilateral agreement. Imagine a GTC order that is rolled over until Judgement Day. So not alone your grand children will enjoy a tradition started by yourself.
For instance Bloomber EMSX will not permit such a request in our environment but reject it. If the request was introduced via FIX by the Buy Side. But the sell side is capable of doing so.
If you are Sell Side you will publish your RoE to your clients. And if this very message flow causes trouble somewhere in your back office processes or elsewhere just do not permit it. And this is really not about restricting your clients but in this case it is in their own best interest.
Using the Cancel/Replace to increase qty on a filled order is use case “D8” Within the “Order State Change Matrices” in the FIX 4.2 spec (Appendix D, and in place for over 20 years).
The fact that Bloomberg EMSX has rules / flow that would not accept that, does not mean that it is not a FIX standard for, at least, the use cases Brian and I have pointed out in terms of flow between buyside and sellside firms.
Agree that we have an ambiguity in the spec here that should be clarified. Both scenarios are valid but an order recipient is not forced to support both. This depends on the environment. We will seek to clarify this is in the normative specification. @111s, thank you for raising this issue!
