Cancel/Replace request use by various ECNs/Exhcanges

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Imported from previous forum

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cancel/replace request is sent by a client to a source of liquidity(SOL)
without receiving an ack back from SOL, client sends second modification.
Will second modification be rejected or accepted by SOL?

FIX 4.2 allows for second modification to be accepted.
NASDAQ will reject second modification if order is in pending cancel or replace.
Have heard that ITGI will accept it.

Which SOLs will accept and which will reject?

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[ original email was from Ramesh Kadambi - Ramesh.Kadambi@ubs.com ]
The acceptance/rejection of a subsequent C/R request prior to recieving an ACK is based on each individual SOL.

The FIX layer is typically written on top of existing order book (OB). The subsequent C/R is accepted or rejected based on,

  1. The ID for an order in the BOOK.
  2. Whether or not the engine allows one to cancel the order based on client order id.

If the intermediary fix engine is translating between the Client Order Id and the ID on the OB, it is likely that CR will be rejected, since it does not have the ID on the book yet. This association is established as soon as an ACK is recieved.

In short - the implementation of the SOL will dictate what happens.

Ramesh

> cancel/replace request is sent by a client to a source of liquidity(SOL)
> without receiving an ack back from SOL, client sends second modification.
> Will second modification be rejected or accepted by SOL?
>
>
> FIX 4.2 allows for second modification to be accepted.
> NASDAQ will reject second modification if order is in pending cancel or replace.
> Have heard that ITGI will accept it.
>
> Which SOLs will accept and which will reject?
>