ClOrdID while accepting Cancel Request Messages

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Imported from previous forum

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[ original email was from Nam Palicha - npalicha@yahoo.com ]
Hi

I have a question regarding Order State change matrix in Appendix D of the Fix 4.0 specification.

This question is for implementing Fix4.0 protocol.
The sequence of events is as follows
New Order Received - ClOrdID X
Partial fill -execution report
Cancel Request - ClOrdID - Y
If i accept the Cancel Request I am currently reporting ClOrdID Y , with OrdStatus = 4 (Cancelled).

Based on the Fix 4.0 matrix is it also correct to accept a cancel request by setting ClOrdID - X, OrdStaus = 4.

Please advice on which is more appropriate and if the second response with ClOrdID X is also acceptable

thanks

3

[ original email was from Marcello Cultrera - marcello.cultrera@reuters.com ]
> Hi

I have a question regarding Order State change matrix in Appendix D of
the Fix 4.0 specification.

This question is for implementing Fix4.0 protocol. The sequence of
events is as follows New Order Received - ClOrdID X Partial fill -
execution report Cancel Request - ClOrdID - Y If i accept the Cancel
Request I am currently reporting ClOrdID Y , with OrdStatus = 4
(Cancelled).

Based on the Fix 4.0 matrix is it also correct to accept a cancel
request by setting ClOrdID - X, OrdStaus = 4.

Please advice on which is more appropriate and if the second response
with ClOrdID X is also acceptable

thanks

HI Nam, according to fix specifics if you wish to process the cancel request from the fixin side (35=F) the next 2 options could be 1> follow with a Pending Cancel/Replace (35=8 39=6) and from here with the cancelled (35=8 39=4) or replaced (35=8 39=5) acknowledgements to the Institution. If not suitable because there was a previous fill for the full quantity or the order was executed on the market then simply reply to the cancel request with a 35=9 order cancel reject.
Also in case of 35=F : Order Cancel Request or 35= G : Order Cancel/Replace please be aware that the message will mapp two attributes tag 41 and tag 11 both compulsory; 41 (OrigCIorID) will mapp the initial 35=D orderid and 11(OrderID) would mapp a new order id which will be the reference for the cancelled or replaced order.
Hope it makes sense and answeres your questions,

best regards,

Marcello Cultrera
Transactions support Executive
Reuters