Imported from previous forum
Hello,
Fix 4.2 states that, among CashOrdQty and OrdQty, either one, but not both, must be sent in the NewOrder mesg. This is fine! But when it comes to Execution report, it states that either one of these 2 fields must be sent, but they have not included the phrase "but not both"! Does it mean that even if i get CashOrdQty in the NewOrdMsg, i can send either OrdQty or CashOrdQty or even both in the execution report?
Thanks & Regards,
Sathya
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Hello,
> Fix 4.2 states that, among CashOrdQty and OrdQty, either one, but not both, must be sent in the NewOrder mesg. This is fine! But when it comes to Execution report, it states that either one of these 2 fields must be sent, but they have not included the phrase "but not both"! Does it mean that even if i get CashOrdQty in the NewOrdMsg, i can send either OrdQty or CashOrdQty or even both in the execution report?
Yes, you can send both. This is a feature, not a bug!
If one sends OrderQty on an order, it follows that only OrderQty should be sent on the Execution Reports. The order is in terms of shares, contracts, etc.
Now if one is sending CashOrdQty, that means the buy side is asking the sell side to figure out OrderQty based on the current price, and trade that much. So if I’m sending an order for $10,000 of stock FOO, and the sell side knows it trades around $20, then I might get back an Execution Report with CashOrdQty=10000 and OrderQty=500.
I agree that it is not a bug! But, i felt that while dealing with cashordqty’s the protocol should have emphasized to send back OrdQty (Sending CashOrdQty in execution report is again optional) in execution reports, though this can be concluded logically! This makes the specification more clear.
Thanks & Regards,
Sathya
> > Hello,
> > Fix 4.2 states that, among CashOrdQty and OrdQty, either one, but not both, must be sent in the NewOrder mesg. This is fine! But when it comes to Execution report, it states that either one of these 2 fields must be sent, but they have not included the phrase “but not both”! Does it mean that even if i get CashOrdQty in the NewOrdMsg, i can send either OrdQty or CashOrdQty or even both in the execution report?
>
> Yes, you can send both. This is a feature, not a bug!
>
> If one sends OrderQty on an order, it follows that only OrderQty should be sent on the Execution Reports. The order is in terms of shares, contracts, etc.
>
> Now if one is sending CashOrdQty, that means the buy side is asking the sell side to figure out OrderQty based on the current price, and trade that much. So if I’m sending an order for $10,000 of stock FOO, and the sell side knows it trades around $20, then I might get back an Execution Report with CashOrdQty=10000 and OrderQty=500.
>
>
Sathya, you should be looking at the "FIX 4.2 with Errata 20010501" which supercedes the original "FIX 4.2" spec providing typographical adjustments and clarification. The item you are referring to was addressed in that errata over 2 years ago:
[E20001219_3] Clarify that either CashOrderQty or OrderQty, but not both, should be specified on the Order messages
Added “Note that either, but not both, CashOrderQty or OrderQty should be specified.“ after “Either CashOrderQty or OrderQty is required.” On the New Order Single, Order Cancel/Replace Request, and New Order List message definitions.
> I agree that it is not a bug! But, i felt that while dealing with cashordqty’s the protocol should have emphasized to send back OrdQty (Sending CashOrdQty in execution report is again optional) in execution reports, though this can be concluded logically! This makes the specification more clear.
>
> Thanks & Regards,
> Sathya
>
> > > Hello,
> > > Fix 4.2 states that, among CashOrdQty and OrdQty, either one, but not both, must be sent in the NewOrder mesg. This is fine! But when it comes to Execution report, it states that either one of these 2 fields must be sent, but they have not included the phrase “but not both”! Does it mean that even if i get CashOrdQty in the NewOrdMsg, i can send either OrdQty or CashOrdQty or even both in the execution report?
> >
> > Yes, you can send both. This is a feature, not a bug!
> >
> > If one sends OrderQty on an order, it follows that only OrderQty should be sent on the Execution Reports. The order is in terms of shares, contracts, etc.
> >
> > Now if one is sending CashOrdQty, that means the buy side is asking the sell side to figure out OrderQty based on the current price, and trade that much. So if I’m sending an order for $10,000 of stock FOO, and the sell side knows it trades around $20, then I might get back an Execution Report with CashOrdQty=10000 and OrderQty=500.
> >
> >
>
Hello,
Thank you your responses! Iam looking at the "FIX 4.2 with Errata 20010501" only. I started this thread with respect to CashOrdQty in Execution report messages by comparing it with NewOrderMessages.
Handling of CashOrdQty in NewOrdMesg is explained fine in the specification.
But in execution messages its not so. It states that either one of OrdQty and CashOrdQty fields must be sent.
Take this example:
A buy order is placed with cashordqty $10,000. From the sell side, when sending the execution report, they can send only the cashordqty which is acceptable and correct according to the specification (which is logically not correct, because it makes more sense if the sell side sends the OrdQty)!
From the above example, it is likely that OrdQty "must" be sent in the execution report and cashordqty is optional in the execution report.
Thats why i had mentioned in my previous mail that the protocol must have emphasized this!
Thanks & Regards,
Sathya
> Sathya, you should be looking at the “FIX 4.2 with Errata 20010501” which supercedes the original “FIX 4.2” spec providing typographical adjustments and clarification. The item you are referring to was addressed in that errata over 2 years ago:
>
> [E20001219_3] Clarify that either CashOrderQty or OrderQty, but not both, should be specified on the Order messages
>
> Added “Note that either, but not both, CashOrderQty or OrderQty should be specified.“ after “Either CashOrderQty or OrderQty is required.” On the New Order Single, Order Cancel/Replace Request, and New Order List message definitions.
>
>
> > I agree that it is not a bug! But, i felt that while dealing with cashordqty’s the protocol should have emphasized to send back OrdQty (Sending CashOrdQty in execution report is again optional) in execution reports, though this can be concluded logically! This makes the specification more clear.
> >
> > Thanks & Regards,
> > Sathya
> >
> > > > Hello,
> > > > Fix 4.2 states that, among CashOrdQty and OrdQty, either one, but not both, must be sent in the NewOrder mesg. This is fine! But when it comes to Execution report, it states that either one of these 2 fields must be sent, but they have not included the phrase “but not both”! Does it mean that even if i get CashOrdQty in the NewOrdMsg, i can send either OrdQty or CashOrdQty or even both in the execution report?
> > >
> > > Yes, you can send both. This is a feature, not a bug!
> > >
> > > If one sends OrderQty on an order, it follows that only OrderQty should be sent on the Execution Reports. The order is in terms of shares, contracts, etc.
> > >
> > > Now if one is sending CashOrdQty, that means the buy side is asking the sell side to figure out OrderQty based on the current price, and trade that much. So if I’m sending an order for $10,000 of stock FOO, and the sell side knows it trades around $20, then I might get back an Execution Report with CashOrdQty=10000 and OrderQty=500.
> > >
> > >
> >
>
Ok, I think we are all in agreement. Please note that was addressed in FIX 4.3 in August of 2001.
FIX 4.3 Volume 4 for Execution Report states:
"Note: OrderQty field is required unless rejecting or an order ack for a CashOrderQty or PercentOrder."
> Hello,
> Thank you your responses! Iam looking at the “FIX 4.2 with Errata 20010501” only. I started this thread with respect to CashOrdQty in Execution report messages by comparing it with NewOrderMessages.
> Handling of CashOrdQty in NewOrdMesg is explained fine in the specification.
> But in execution messages its not so. It states that either one of OrdQty and CashOrdQty fields must be sent.
> Take this example:
> A buy order is placed with cashordqty $10,000. From the sell side, when sending the execution report, they can send only the cashordqty which is acceptable and correct according to the specification (which is logically not correct, because it makes more sense if the sell side sends the OrdQty)!
>
> From the above example, it is likely that OrdQty “must” be sent in the execution report and cashordqty is optional in the execution report.
>
> Thats why i had mentioned in my previous mail that the protocol must have emphasized this!
>
> Thanks & Regards,
> Sathya
>
>
>
>
> > Sathya, you should be looking at the “FIX 4.2 with Errata 20010501” which supercedes the original “FIX 4.2” spec providing typographical adjustments and clarification. The item you are referring to was addressed in that errata over 2 years ago:
> >
> > [E20001219_3] Clarify that either CashOrderQty or OrderQty, but not both, should be specified on the Order messages
> >
> > Added “Note that either, but not both, CashOrderQty or OrderQty should be specified.“ after “Either CashOrderQty or OrderQty is required.” On the New Order Single, Order Cancel/Replace Request, and New Order List message definitions.
> >
> >
> > > I agree that it is not a bug! But, i felt that while dealing with cashordqty’s the protocol should have emphasized to send back OrdQty (Sending CashOrdQty in execution report is again optional) in execution reports, though this can be concluded logically! This makes the specification more clear.
> > >
> > > Thanks & Regards,
> > > Sathya
> > >
> > > > > Hello,
> > > > > Fix 4.2 states that, among CashOrdQty and OrdQty, either one, but not both, must be sent in the NewOrder mesg. This is fine! But when it comes to Execution report, it states that either one of these 2 fields must be sent, but they have not included the phrase “but not both”! Does it mean that even if i get CashOrdQty in the NewOrdMsg, i can send either OrdQty or CashOrdQty or even both in the execution report?
> > > >
> > > > Yes, you can send both. This is a feature, not a bug!
> > > >
> > > > If one sends OrderQty on an order, it follows that only OrderQty should be sent on the Execution Reports. The order is in terms of shares, contracts, etc.
> > > >
> > > > Now if one is sending CashOrdQty, that means the buy side is asking the sell side to figure out OrderQty based on the current price, and trade that much. So if I’m sending an order for $10,000 of stock FOO, and the sell side knows it trades around $20, then I might get back an Execution Report with CashOrdQty=10000 and OrderQty=500.
> > > >
> > > >
> > >
> >
>