Imported from previous forum
[ original email was from Cliff Millot - cliff.millot@brass.com ]
I am aware that some buy-side institutions with older trading FE’s have been passing invalid trade instructions to the sell-side in which case the sell-side OMS will send back the FIX message “Don’t Know Trade”.(tag 127) It appears to be due to the buy-sides FE/OMS lacking trade logic that would prohibit it from sending an invalid instruction. I’m also aware that this message occurs with trade reject messages due to invalid order sequence nembers, size, Has anyone else experienced this problem with in-house or older versions of OMS’ ?
Thanks
Cliff Millot
Cliff, the Don’t Know Trade message is basically a reject to an Execution Report, not an order. It originated from the fact that a customer may receive “unsolicited” Execution Reports, that is they are fills which originate from an order that was conveyed via some other means (i.e. via the phone or an electronic ECN trading system’s screen). Your description of the sell-side firm sending a DK sounds backwards to me.
I am aware that some buy-side institutions with older trading FE’s have
been passing invalid trade instructions to the sell-side in which case
the sell-side OMS will send back the FIX message “Don’t Know Trade”.(tag
127) It appears to be due to the buy-sides FE/OMS lacking trade logic
that would prohibit it from sending an invalid instruction. I’m also
aware that this message occurs with trade reject messages due to invalid
order sequence nembers, size, Has anyone else experienced this problem
with in-house or older versions of OMS’ ?Thanks Cliff Millot
[ original email was from Cliff Millot - cliff.millot@brass.com ]
Thanks Scott. Though not the answer to my question. I understand why you might think that would be the case and you’re partially correct as this is the frequent scenario. I am aware of this error occuring with execution errors on orders as an “Order” had to be sent for an execution to be filled. However, as defined, the “Don’t Know Trade” message is used to notify a trading partner that an electronically received execution has been rejected. This message can be thought of as an execution reject message.
As per you reply pertaining to execution reports, the DK message has a functional utility for dealing with one-way execution reporting, if the initial Order Acknowledgment message LastShares=0 and OrdStatus=New does not match an existing order this message can be used to notify the broker of a potential problem order. Which is what you are referring to in your answer.
Cliff, the Don’t Know Trade message is basically a reject to an
Execution Report, not an order. It originated from the fact that a
customer may receive “unsolicited” Execution Reports, that is they are
fills which originate from an order that was conveyed via some other
means (i.e. via the phone or an electronic ECN trading system’s
screen). Your description of the sell-side firm sending a DK sounds
backwards to me.I am aware that some buy-side institutions with older trading FE’s
have been passing invalid trade instructions to the sell-side in which
case the sell-side OMS will send back the FIX message “Don’t Know
Trade”.(tag
127) It appears to be due to the buy-sides FE/OMS lacking trade
logic that would prohibit it from sending an invalid
instruction. I’m also aware that this message occurs with trade
reject messages due to invalid order sequence nembers, size,
Has anyone else experienced this problem with in-house or older
versions of OMS’ ?Thanks Cliff Millot
[ original email was from Matthew Chimento - matthew.chimento@nyfix.com ]
Cliff-
Curious, is there an additional problem with DK trades that you are experiencing?
I am aware that some buy-side institutions with older trading FE’s have
been passing invalid trade instructions to the sell-side in which case
the sell-side OMS will send back the FIX message “Don’t Know Trade”.(tag
127) It appears to be due to the buy-sides FE/OMS lacking trade logic
that would prohibit it from sending an invalid instruction. I’m also
aware that this message occurs with trade reject messages due to invalid
order sequence nembers, size, Has anyone else experienced this problem
with in-house or older versions of OMS’ ?Thanks Cliff Millot
[ original email was from Cliff Millot - cliff.millot@brass.com ]
Matt,
No but if you’ve had any experience with DK trade msg’s. that you can share to help answer the question then please share them.
Thanks,
Cliff
Cliff-
Curious, is there an additional problem with DK trades that you are
experiencing?I am aware that some buy-side institutions with older trading FE’s
have been passing invalid trade instructions to the sell-side in which
case the sell-side OMS will send back the FIX message “Don’t Know
Trade”.(tag
127) It appears to be due to the buy-sides FE/OMS lacking trade
logic that would prohibit it from sending an invalid
instruction. I’m also aware that this message occurs with trade
reject messages due to invalid order sequence nembers, size,
Has anyone else experienced this problem with in-house or older
versions of OMS’ ?Thanks Cliff Millot
[ original email was from Gerardo Savoretti - gerardo.savoretti@ezxinc.com ]
Hi Cliff,
Firstly, what type of message is being passed to the sell-side from the buyside? and FIX versions are you taking about?
Generally it is not the sell-side that sends back a Don’r Know Trade message unless they are receiving drop copy execution reports from the buy-side for reporting reasons. It is unclear from your question exactly what is happening.
I am aware that some buy-side institutions with older trading FE’s have
been passing invalid trade instructions to the sell-side in which case
the sell-side OMS will send back the FIX message “Don’t Know Trade”.(tag
127) It appears to be due to the buy-sides FE/OMS lacking trade logic
that would prohibit it from sending an invalid instruction. I’m also
aware that this message occurs with trade reject messages due to invalid
order sequence nembers, size, Has anyone else experienced this problem
with in-house or older versions of OMS’ ?Thanks Cliff Millot
[ original email was from Cliff Millot - cliff.millot@brass.com ]
Hey Gerry,
The contra was not sure so that’s why I posted, but it appears that it may have occured on the buy-side as a response being sent from the sell-side’s OMS having set the FIX rules of engagement responses for DK trade messages. Happens from time to time depending on the situation and buy/sell firms.
Best Regards,
Cliff
Hi Cliff,
Firstly, what type of message is being passed to the sell-side from the
buyside? and FIX versions are you taking about?Generally it is not the sell-side that sends back a Don’r Know Trade
message unless they are receiving drop copy execution reports from the
buy-side for reporting reasons. It is unclear from your question exactly
what is happening.I am aware that some buy-side institutions with older trading FE’s
have been passing invalid trade instructions to the sell-side in which
case the sell-side OMS will send back the FIX message “Don’t Know
Trade”.(tag
127) It appears to be due to the buy-sides FE/OMS lacking trade
logic that would prohibit it from sending an invalid
instruction. I’m also aware that this message occurs with trade
reject messages due to invalid order sequence nembers, size,
Has anyone else experienced this problem with in-house or older
versions of OMS’ ?Thanks Cliff Millot