Imported from previous forum
[ original email was from ron newell - rnewell@cme.com ]
Currently there is no provision for the following message types:
Cross Orders: Cross Order Cancel Reject and Cross Order Execution Report.
Multileg Orders: Multileg Order Cancel Request, Multileg Order Cancel Reject, and Multileg Order Execution Report.
It has been suggested that the standard Order Cancel Request, Order Cancel Reject, and Execution Report would be used. And, that these message types have been tweaked to accommodate reporting for Cross and Multileg Orders.
However, while these tweaks might prove sufficient for electronic systems and those which productize multileg orders, at best this approach will prove cumbersome to exchanges supporting both electronic and open outcry markets.
Perhaps our prefered approach, as an exchange supporting electronic routing to open outcry markets, would be that for each New Order message type a corresponding set of Cancel/Replace Request, Cancel Request, Cancel Reject, Execution Report message types be available.
The alternative though riskier approach would be to fully enhance the standard Cancel/Replace Request, Cancel Request, Cancel Reject, Execution Report so as to more fully support requests and reporting each New Order message type. For example, the Execution Report would need to report completely, in a single sent message, all details at the instrument level, as well as for each leg for a fill on a multileg order.
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
We understand the motivation toward symmetry across messages. However this needs to be balanced with the number of messages. For the order suite of messages, the Technical Committee have taken a general policy of only adding messages where there is not a current message to provide the functionality or where modifying an existing message would create an overly complicated implementation.
The messages that were ommitted were done so based upon review and belief that the current messages are adequate responses and any modifications necessary to support new functionality was small enough to warrant inclusion in those existing messages, with the exception of the Multileg Execution Report. Adoption of the Multileg Execution Report is still under review and may occur during the review cycle of draft#2.
> Currently there is no provision for the following message types:
>
> Cross Orders: Cross Order Cancel Reject and Cross Order Execution Report.
>
> Multileg Orders: Multileg Order Cancel Request, Multileg Order Cancel Reject, and Multileg Order Execution Report.
>
> It has been suggested that the standard Order Cancel Request, Order Cancel Reject, and Execution Report would be used. And, that these message types have been tweaked to accommodate reporting for Cross and Multileg Orders.
>
> However, while these tweaks might prove sufficient for electronic systems and those which productize multileg orders, at best this approach will prove cumbersome to exchanges supporting both electronic and open outcry markets.
>
> Perhaps our prefered approach, as an exchange supporting electronic routing to open outcry markets, would be that for each New Order message type a corresponding set of Cancel/Replace Request, Cancel Request, Cancel Reject, Execution Report message types be available.
>
> The alternative though riskier approach would be to fully enhance the standard Cancel/Replace Request, Cancel Request, Cancel Reject, Execution Report so as to more fully support requests and reporting each New Order message type. For example, the Execution Report would need to report completely, in a single sent message, all details at the instrument level, as well as for each leg for a fill on a multileg order.
>