Cumulated Cancel & Replace message

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1

Imported from previous forum

2

Hello,

I’ve got a few questions with cumulative updates on Fix 4.2.

A client send the following messages :
-> new order (X)
<- Ack
-> Cancel & Replace (X,Y)
<- Pending
-> Cancel & Replace (Y,Z)

Should I reject the second C&R (Y,Z) ?
If not, what should I do if the first C&R (X,Y) is rejected ?
Is the second C&R still valid ?
Should my OMS automaticly reject the second message ?

The Fix 4.2 protocol shows the case when the first C&R is accepted, but I wonder what should happen if it’s rejected.

Regards,

Frédéric BOYER
mail: fboyer@cheuvreux.com

3

Hello,

I’ve got a few questions with cumulative updates on Fix 4.2.

A client send the following messages : → new order (X) ← Ack → Cancel
& Replace (X,Y) ← Pending → Cancel & Replace (Y,Z)

Should I reject the second C&R (Y,Z) ? If not, what should I do if the
first C&R (X,Y) is rejected ? Is the second C&R still valid ? Should my
OMS automaticly reject the second message ?

The Fix 4.2 protocol shows the case when the first C&R is accepted, but
I wonder what should happen if it’s rejected.

Regards,

Frédéric BOYER mail: fboyer@cheuvreux.com

Hi Frederic,

I am just adding numbering to your sequence of events ( and added the step methioned by you ) :-

I1 → new order (X)
O1 ← Ack
I2 → Cancel & Replace (X,Y)
O2 ← Pending
I3 → Cancel & Replace (Y,Z)
O3 ← Reject CancelReplace I2

So after the first cancel-replace request is rejected, the order is in its original state. There is no need to automatically reject the second cancel-replace request.

Whether the OMS should accept the second c-r request depends on many factors like type of c-r request : change Quantity ( Increase / Decrease ), Order type change ( limit to market / change in limit price ), are there any market executions against this order.

In my opinion, the checks which are applied when the first cancel-replace request was received need to applied again for processing the second cancel-replace request taking into consideration the above mentioned factors to decide if it should be accepted or rejected.

Regards,
K. Mahesh
mahesh.kumaraguru@polaris.co.in