Exectype = replace

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Imported from previous forum

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Can anyone explain to me the semantics of a an execution report which has exectype = replace?

Specifically, is this a response to a modify request?

Also, are there any limitations on the scope of the replacement? Does replace mean that any property of the order can be replaced… ie symbol, qty, etc?

Thanks,
dan

3

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Dan,

Yes, ExecType = “Replace” is used in positive response to an Order Cancel Replace Request. What fields can change are defined by the receiver although the FIX spec clearly states that certain fields are not allowed to change, Instrument and Currency (15) are examples. Also exchanges often have further rules as to what fields can be changed.

In cases where the receiver of the order does unsolicited changes to the order other ExecTypes are used, e.g.:

  • “Trade”, when the order is filled or partially filled
  • “Restated” when the order state is changed for some other reason, e.g. if a stop order is triggered. In those cases the ExecRestatementReason (378) is also provided.

Please refer to the Order State change matrices in volume 4.

Regards

Rikard

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[Begin Quote]
In cases where the receiver of the order does unsolicited changes to the order other ExecTypes are used, e.g.:

  • “Trade”, when the order is filled or partially filled
    [End Quote]

Question : Why is Fill / Partial Fill considered an “unsolicited” change to the Order? As I understand, the reason for an order being submitted from BuySide to SellSide (/Exchange /ECN) is to get it executed i.e. filled / partially filled and so Fill / Partial Fill / Trade Execution Reports from SellSide to BuySide is the response solicited from SellSide by the BuySide for BuySide submitting an order to SellSide.

Am I missing something?

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Unsolicited does not mean “undesired”, it is a distinction from the request/response model where I expect acceptance or rejection of my request. This is the case e.g. for order entry or modification. Fills can occur at any time or not at all, resulting in one, many or no messages. I do not directly control the issuance and timing of these messages.

[Begin Quote] In cases where the receiver of the order does unsolicited
changes to the order other ExecTypes are used, e.g.:

  • “Trade”, when the order is filled or partially filled [End Quote]

Question : Why is Fill / Partial Fill considered an “unsolicited” change
to the Order? As I understand, the reason for an order being submitted
from BuySide to SellSide (/Exchange /ECN) is to get it executed i.e.
filled / partially filled and so Fill / Partial Fill / Trade Execution
Reports from SellSide to BuySide is the response solicited from SellSide
by the BuySide for BuySide submitting an order to SellSide.

Am I missing something?

6

When I receive fills and partial fills, I usually see ExecType = 1 or ExecType=2, which refers to “fill” and “partial fill” respectively, not “Trade.” Am I misunderstanding the point here?

In cases where the receiver of the order does unsolicited changes to the
order other ExecTypes are used, e.g.:

  • “Trade”, when the order is filled or partially filled
7

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Daniel,

Since FIX 4.3 “Filled” and “Partially Filled” are OrdStatus (39) values, not ExecType (150) ones, you use ExecType = “F - Trade” since then. In FIX 4.1 and 4.2 the ExecType has the same values as OrdStatus so you are correct in those earlier versions.

Regards

Rikard