Imported from previous forum
Hello all
i am using FIX 4.2 and i am having trouble understanding one
particular usecase.
Suppose order1(NewOrderSingle) has been submitted.
i submit afterwards order2 (OrderCancelReplaceRequest) which is an order to amend the quantity of order1 to be y.
what should be teh value of the following fields , for the ExecutionReport generated when order2 is received?
orderQty
cumQty
leavesQty
?
And what about if i submit an OrderCancelReplaceREquest which is an order to Cancel the existing order1?
w/kindest regards
marco
Hi Marco,
Are you receiving the Replace request? There is a sequence of events that come back. First there is usually an Acknowledge of the request where tag 150=0. The orderQty would = y the cumQty would be whatever has executed so far of order1 and leavesQty would be the leaves of y-cumQty. (Some times I have seen leaves be original orderQty-cumQty but I think that is less logical).
The next message would be 150=5 typically or 150=8 if it rejects for some reason. If 150=5 then leaves is y-cumQty orderQty=y. If 150=8 then you roll back and orderQty rolls back and leaves goes back to the original.
Hope this is helpful.
Paul
Hello all
i am using FIX 4.2 and i am having trouble understanding one
particular usecase.
Suppose order1(NewOrderSingle) has been submitted.
i submit afterwards order2 (OrderCancelReplaceRequest) which is an order to amend the quantity of order1 to be y.
what should be teh value of the following fields , for the ExecutionReport generated when order2 is received?
orderQty
cumQty
leavesQty
?
And what about if i submit an OrderCancelReplaceREquest which is an order to Cancel the existing order1?w/kindest regards
marco
Paul,
why would you use ExecType=New (150=0) to acknowledge a replace request? In FIX 4.2 you still have ExecTransType (20) but I assume you really meant ExecType. 150=0 only applies to the entry of new orders being acknowledged.
Please check out the scenarios D16-D17 in the FIX 4.2 Spec starting on page 211.
Regards,
Hanno.
Hi Marco,
Are you receiving the Replace request? There is a sequence of events that come back. First there is usually an Acknowledge of the request where tag 150=0. The orderQty would = y the cumQty would be whatever has executed so far of order1 and leavesQty would be the leaves of y-cumQty. (Some times I have seen leaves be original orderQty-cumQty but I think that is less logical).The next message would be 150=5 typically or 150=8 if it rejects for some reason. If 150=5 then leaves is y-cumQty orderQty=y. If 150=8 then you roll back and orderQty rolls back and leaves goes back to the original.
Hope this is helpful.
Paul
And what about if i submit an OrderCancelReplaceREquest which is an order to Cancel the existing order1?
You need to use OrderCancelRequest to cancel an order, OrderCancelReplaceRequest only applies to changes you want to make to an order whilst keeping it active. This might implictly lead to a cancellation if you reduce the overall order quantity to or below the previously executed quantity.