Imported from previous forum
[ original email was from Terry Murtaugh - murtaugh@world.std.com ]
Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
Also, a general question - is FIX actually used much for non-day orders?
[ original email was from Steve Bellerose - steve_bellerose@putnaminv.com ]
> Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
>
> Also, a general question - is FIX actually used much for non-day orders?
>
All of Putnam’s orders are GTC unless a trader specifically tells a broker that it is not. We receive execution reports back using FIX 4.0. We do not initiate orders electronically.
At the end of the day, we expect a done for day message(ordstatus=3) for any GTC order that is not completely filled. The CumQty and AvgPX should reflect the amount done on that day. The next day, we expect an acknowledgement message(ordstatus=0) for any orders carried over from the previous day.
[ original email was from Terry Murtaugh - murtaugh@world.std.com ]
Thanks, Steve -
On the acknowledgement you get the next day on the open GTC order, do the quantities reflect the original order and its partial fills up to that point (in terms of OrderQty, CumQty, and AvgPx), or is it treated as a new order with quantity set to the unfilled quantity of the original and CumQty and AvgPx of zero? I would have thought the former, but then it probably wouldn’t have an OrdStatus of ‘new’, I guess.
Also, when you receive executions on manually submitted orders, how do you link them back to your original orders - do you tell the broker the ‘ClOrdID’ on the manual order, or do you use some other matching scheme?
> > Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
> >
> > Also, a general question - is FIX actually used much for non-day orders?
> >
> All of Putnam’s orders are GTC unless a trader specifically tells a broker that it is not. We receive execution reports back using FIX 4.0. We do not initiate orders electronically.
>
> At the end of the day, we expect a done for day message(ordstatus=3) for any GTC order that is not completely filled. The CumQty and AvgPX should reflect the amount done on that day. The next day, we expect an acknowledgement message(ordstatus=0) for any orders carried over from the previous day.
>
[ original email was from Steve Bellerose - steve_bellerose@putnaminv.com ]
>We expect the next day acknowledgement to have the orderqty=the amount left working, the Cumqty and avgpx start again at 0. For example if today we give 100,000 shares to work and you fill 30,000 at the end of the day. Tommorrow we expect the orderqty=70,000.
We match the acknowledgement message to our order using broker code,side,orderqty,securityid(if present) and symbol. We then expect the broker orderid(field 37) to remain the same for any subsequent messages for that order throughout the day.
Thanks, Steve -
>
> On the acknowledgement you get the next day on the open GTC order, do the quantities reflect the original order and its partial fills up to that point (in terms of OrderQty, CumQty, and AvgPx), or is it treated as a new order with quantity set to the unfilled quantity of the original and CumQty and AvgPx of zero? I would have thought the former, but then it probably wouldn’t have an OrdStatus of ‘new’, I guess.
>
> Also, when you receive executions on manually submitted orders, how do you link them back to your original orders - do you tell the broker the ‘ClOrdID’ on the manual order, or do you use some other matching scheme?
>
>
>
> > > Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
> > >
> > > Also, a general question - is FIX actually used much for non-day orders?
> > >
> > All of Putnam’s orders are GTC unless a trader specifically tells a broker that it is not. We receive execution reports back using FIX 4.0. We do not initiate orders electronically.
> >
> > At the end of the day, we expect a done for day message(ordstatus=3) for any GTC order that is not completely filled. The CumQty and AvgPX should reflect the amount done on that day. The next day, we expect an acknowledgement message(ordstatus=0) for any orders carried over from the previous day.
> >
>
[ original email was from Steve Bellerose - steve_bellerose@putnaminv.com ]
>
Thanks, Steve -
>
> On the acknowledgement you get the next day on the open GTC order, do the quantities reflect the original order and its partial fills up to that point (in terms of OrderQty, CumQty, and AvgPx), or is it treated as a new order with quantity set to the unfilled quantity of the original and CumQty and AvgPx of zero? I would have thought the former, but then it probably wouldn’t have an OrdStatus of ‘new’, I guess.
>
> Also, when you receive executions on manually submitted orders, how do you link them back to your original orders - do you tell the broker the ‘ClOrdID’ on the manual order, or do you use some other matching scheme?
>
>
>
> > > Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
> > >
> > > Also, a general question - is FIX actually used much for non-day orders?
> > >
> > All of Putnam’s orders are GTC unless a trader specifically tells a broker that it is not. We receive execution reports back using FIX 4.0. We do not initiate orders electronically.
> >
> > At the end of the day, we expect a done for day message(ordstatus=3) for any GTC order that is not completely filled. The CumQty and AvgPX should reflect the amount done on that day. The next day, we expect an acknowledgement message(ordstatus=0) for any orders carried over from the previous day.
> >
> We expect the next day acknowledgement to have the orderqty=the amount left working, the Cumqty and avgpx start again at 0. For example if today we give 100,000 shares to work and you fill 30,000 at the end of the day. Tommorrow we expect the orderqty=70,000.
We match the acknowledgement message to our order using broker code,side,orderqty,securityid(if present) and symbol. We then expect the broker orderid(field 37) to remain the same for any subsequent messages for that order throughout the day.
I think FIX4.1 doesn’t imply that for “Done For Day”, an order is no longer active. Whether LeavesQty is zero or not, it depends on life time of order and surely not on “done for day”. Its true that if life of order is for current day, LeavesQty should be set to zero.
best,
himanshu
> Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
>
> Also, a general question - is FIX actually used much for non-day orders?
>
Can anybody please help me with the following query?
If a Done for Day message is sent for a day order does it mean that the leaves quantity is set to zero without fail or can it also be left as the outstanding quantity?
Also can a Done For Day message be cancelled using the Execution cancel message?
Thanks
Simon
> I think FIX4.1 doesn’t imply that for “Done For Day”, an order is no longer active. Whether LeavesQty is zero or not, it depends on life time of order and surely not on “done for day”. Its true that if life of order is for current day, LeavesQty should be set to zero.
> best,
> himanshu
> > Does the OrdStatus ‘done for day’ really mean done for the day, or done for good? I.e., in the case of GTC orders, is done for the day status to be used if the order is still active at the end of a day, but unfilled or partially filled? The 4.1 spec implies that the done for day means that an order is no longer active (LeavesQty = 0, etc.) , which would imply that done for day should be reserved for unfilled day orders.
> >
> > Also, a general question - is FIX actually used much for non-day orders?
> >
>
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Can anybody please help me with the following query?
> If a Done for Day message is sent for a day order does it mean that the leaves quantity is set to zero without fail or can it also be left as the outstanding quantity?
> Also can a Done For Day message be cancelled using the Execution cancel message?
If the order is a day order, I would think that the leaves quantity MUST be 0. This is parallel to what happens when an order transitions to Cancelled; leaves quantity is 0 there as well, since nothing is left to trade.
Are you talking about using ExecTransType=Cancel in reference to a Done for Day to “undo” that message, make the order live again, and potentially fill it? If so, I’d imagine that’s a pretty serious violation of standard business conventions. If a sell-side tells a buy-side that an order is done for day, the buy-side is then allocating it and going home for the night. A “whoops, it’s really not done, here are some more trades” would be very problematic at this stage.
I strongly suggest against doing this. There’s no upgrade path for it, since later FIX specs eliminated ExecTransType entirely, and use ExecType to indicate exactly what can be cancelled.