Imported from previous forum
Hello,
I have a question regarding directly hit orders. In XETRA (ValuesAPI), the trade is immediatly reported in the callback of the enter/replace-request. Is there a way of doing this in FIX 4.4?
Harald,
officially there is no way of doing this, technically, it is not a problem as you do not need any new messages, fields or valid values. The ability to skip messages that can be inferred was added to the text of the FIX spec Volume 7 as of Version 5 (see the state change diagram on page 192). If you do this with FIX 4.4, your counterparts might not be prepared for it and reject your ERs, thinking they have an inconsistent state due to a logically missing message.
The alignment of transaction models was addressed with FIX 5 as it was not possible before. It also applies to IOC/FOK orders where you need three ERs or more if they (partially) match instead of just 1.
Regards,
Hanno.
Hello,
I have a question regarding directly hit orders. In XETRA (ValuesAPI), the trade is immediatly reported in the callback of the enter/replace-request. Is there a way of doing this in FIX 4.4?