Cumulative Qty ( tag 14) for GTC /GTD order

, ,
1

Imported from previous forum

2

Hi,

I have a query regarding Cumulative Quantity ( tag 14) for GTD / GTC order.
For Day order Execution report from exchange , this value increases as and when Trade is occurred .
But in case of GTD/ GTC order , on a new day the exchange is resetting this tag 14 to 0. It is also sending OrderQty = Qty Remaining upto previous day.
Is this allowable at FIX ? or should the exchange send
Cumulative Qty equal to previous days closing Cumulative Qty ?

Thanks and regards.

Sourav Banerjee.

3

[ original email was from Antonio Barakat - antonio_barakat2000@yahoo.com ]
>

Hi,

I have a query regarding Cumulative Quantity ( tag 14) for GTD / GTC
order. For Day order Execution report from exchange , this value
increases as and when Trade is occurred . But in case of GTD/ GTC order
, on a new day the exchange is resetting this tag 14 to 0. It is also
sending OrderQty = Qty Remaining upto previous day. Is this allowable at
FIX ? or should the exchange send Cumulative Qty equal to previous days
closing Cumulative Qty ?

Thanks and regards.

Sourav Banerjee.

These rules are dependent upon the Exchange. Which exchange are you dealing with? The NYSE does NOT allow GTD orders and GTC orders are cancelled and cleared after the market close.

4

Sourav,

What I have seen is that generally its not the exchanges but the Brokers who support GTD/GTC orders. They generally will send the same order as a new one the next day for the remaining qty. Any fills received from the exchange will be updated in the brokers OMS on the existiing order and sent to client. Fix does not allows change of tag 14=0 or 38=remaining qty for a GTD/GTC order. Thats Incorrect. The brokers OMS has to be smart enough to do thats as per fix

Anyone else having contrary views are cordially invited.

Regards,
Sunil