Imported from previous forum
[ original email was from Eric Gottesman - egottesman@helfantinc.com ]
I was wondering if anyone had experience in dealing with CMS messages from the NYSE which are out of order. They occur in logical order on the NYSE, but due to multiple lines to SuperDOT, their messages do not get sent in order. This is
a farily rare occasion, but when translating to FIX it causes problems.
For example, a customer places a Cancel order A with order B. We receieve a UR OUT, send this in
FIX as a OrdStatus=Canceled, then we may receive a
parial fill. We send the partial fill in FIX, which is invalid.
Another example is when a customer places a Cancel/Replace order A with order B. We get a Fill on Order B prior to a UR OUT on order A.
This means we send a Fill on B, prior to Replaced on A.
Another example is receiving a Fill prior to a Partial Fill. This can easily be demonstrated using the CMS TestAid system.
Has anyone addressed these issues and/or have any
solutions/recommendations?
Thanks in advance,
Eric Gottesman
Helfant Group, Inc.
New York