Cancel/Replace while execution is being reported

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1

Imported from previous forum

2

All,

Can someone tell me the correct way to handle the following:

NewOrderSingle for 10,000
Ack
Modify to 7,000
Pending Modify (did not accept Modify request)
Execution for 8,000
Modify request rejected… at this point should the order status be Filled or Partially filled with leaves of 2,000??

Thanks!
Michael

3

As per FIX protocol, since the Modify request is rejected, the status should be partially filled with leaves of 2000.

All,

Can someone tell me the correct way to handle the following:

NewOrderSingle for 10,000 Ack Modify to 7,000 Pending Modify (did not
accept Modify request) Execution for 8,000 Modify request rejected… at
this point should the order status be Filled or Partially filled with
leaves of 2,000??

Thanks! Michael

4

No, I don’t think so. As per FIX4.2, the OrdStatus should be filled, no leaveQty. Because the replace request is interpreted as requiring the balance of the order to be canceled - the ‘filled’ order status takes precedence over ‘canceled’ or ‘replaced’.

As per FIX protocol, since the Modify request is rejected, the status
should be partially filled with leaves of 2000.

All,

Can someone tell me the correct way to handle the following:

NewOrderSingle for 10,000 Ack Modify to 7,000 Pending Modify (did not
accept Modify request) Execution for 8,000 Modify request rejected…
at this point should the order status be Filled or Partially filled
with leaves of 2,000??

Thanks! Michael

5

This question pertains to Appendix D ( Order State Change Matrices ) Example “D12 - Cancel/replace request sent whilst execution is being reported – the requested order qty is below cum qty – order qty is amended to cum qty” with a difference - Modify request rejected.

fix-42-with_errata_20010501.zip ( MS Word version ) Page 217 of 283

http://fixprotocol.org/documents/373/fix-42-with_errata_20010501.zip

I agree that the right thing to do is Accept the Cancel replace and make status Filled and leaves of zero.

But, if a Modify request reject ( ExecType = Rejected ) is being sent by the sell side ( which is incorrect as per table on page 208 of 283 ), then the buy side OMS would expect the order status to be partially filled with leaves of 2000. Here I think the buy side has the choice to DK the Modify Request reject.

No, I don’t think so. As per FIX4.2, the OrdStatus should be filled, no
leaveQty. Because the replace request is interpreted as requiring the
balance of the order to be canceled - the ‘filled’ order status takes
precedence over ‘canceled’ or ‘replaced’.

As per FIX protocol, since the Modify request is rejected, the status
should be partially filled with leaves of 2000.

All,

Can someone tell me the correct way to handle the following:

NewOrderSingle for 10,000 Ack Modify to 7,000 Pending Modify (did
not accept Modify request) Execution for 8,000 Modify request
rejected… at this point should the order status be Filled or
Partially filled with leaves of 2,000??

Thanks! Michael

6

There are two ways -
a)Since the modfiy request qty is less than the filled qty, sending a filled execution with 39=2,150=5 and 151=0 is the preferred method.
b)Second, rejecting the modify request with 35=9,39=1,150=1,151=2000,102=2 & 434=2 and then send a unsolicited cancel with 39=4,150=4 & 151=0 on the balance qty.But this method is not correct although it is accepatable.

One other method can be,same as first part of point b then asking the client to send a cancel on the balance qty instead of sending unsolicited cancel.

Srivatsa.

This question pertains to Appendix D ( Order State Change Matrices )
Example “D12 - Cancel/replace request sent whilst execution is being
reported – the requested order qty is below cum qty – order qty is
amended to cum qty” with a difference - Modify request rejected.

fix-42-with_errata_20010501.zip ( MS Word version ) Page 217 of 283

http://fixprotocol.org/documents/373/fix-42-with_errata_20010501.zip

I agree that the right thing to do is Accept the Cancel replace and make
status Filled and leaves of zero.

But, if a Modify request reject ( ExecType = Rejected ) is being sent by
the sell side ( which is incorrect as per table on page 208 of 283 ),
then the buy side OMS would expect the order status to be partially
filled with leaves of 2000. Here I think the buy side has the choice to
DK the Modify Request reject.

No, I don’t think so. As per FIX4.2, the OrdStatus should be filled,
no leaveQty. Because the replace request is interpreted as requiring
the balance of the order to be canceled - the ‘filled’ order status
takes precedence over ‘canceled’ or ‘replaced’.

As per FIX protocol, since the Modify request is rejected, the
status should be partially filled with leaves of 2000.

All,

Can someone tell me the correct way to handle the following:

NewOrderSingle for 10,000 Ack Modify to 7,000 Pending Modify (did
not accept Modify request) Execution for 8,000 Modify request
rejected… at this point should the order status be Filled or
Partially filled with leaves of 2,000??

Thanks! Michael