Imported from previous forum
[ original email was from ketan shah - ketashah@exchange.ml.com ]
I have found following FIX Specification Version 4.2 (Dated March 1, 2000) discrepancy regarding OrigClOrdID(41) in executionReport message:
Specification for OrigClOrdID(41) field as part of ExecutionReports message (on page 88) states that "Conditionally required for response to an electronic cancel or Cancel/Replace request. (ExecType=PendingCancel, Replaced or canceled)"
i.e. field 41 should only(?) be present for above three execTypes.
However, Examples D6, D7, D8, D10, D13, D15, D16, D26 in Appendix D consistently show presence of OrigClOrdID(41) field for ExecType=Pending Replace as well.
Should OrigClOrdID be present (or should it be omitted) from ExecutionReport for ExecType=PendingReplace ??
Thanks,
Ketan Shah
ketashah@exchange.ml.com
Merrill Lynch
The key here is “electronic…request” in “Conditionally required for response to an electronic cancel or Cancel/Replace request”. It is possible to have order placement and modification requests “out of band” (manually over the phone, via an electronic terminal of a trading system, etc) and receive “one-way Execution Reports”. Thus it is possible to be given an Exec Rpt with status of “Pending Replace” and without a OrigClOrdID if it was put in that state “out-of-band” (e.g. there wasn’t a ClOrdID on the first order’s ExecutionRpt. This possibility would be the basis for why that’s “conditionally required”. Assuming two-way order flow, you should specify it on those Appendix D scenarios.
> I have found following FIX Specification Version 4.2 (Dated March 1, 2000) discrepancy regarding OrigClOrdID(41) in executionReport message:
>
> Specification for OrigClOrdID(41) field as part of ExecutionReports message (on page 88) states that "Conditionally required for response to an electronic cancel or Cancel/Replace request. (ExecType=PendingCancel, Replaced or canceled)"
>
> i.e. field 41 should only(?) be present for above three execTypes.
>
> However, Examples D6, D7, D8, D10, D13, D15, D16, D26 in Appendix D consistently show presence of OrigClOrdID(41) field for ExecType=Pending Replace as well.
>
> Should OrigClOrdID be present (or should it be omitted) from ExecutionReport for ExecType=PendingReplace ??
>
> Thanks,
>
> Ketan Shah
> ketashah@exchange.ml.com
> Merrill Lynch
>
[ original email was from ketan shah - ketashah@exchange.ml.com ]
Hi,
What I meant by the question was that Specification should specify (ExecType=PendingReplace, PendingCancel, Replaced or canceled)
instead of just (ExecType=PendingCancel, Replaced or canceled)
in specification of OrigClOrdID field specification for ExecutionReport message.
> The key here is “electronic…request” in “Conditionally required for response to an electronic cancel or Cancel/Replace request”. It is possible to have order placement and modification requests “out of band” (manually over the phone, via an electronic terminal of a trading system, etc) and receive “one-way Execution Reports”. Thus it is possible to be given an Exec Rpt with status of “Pending Replace” and without a OrigClOrdID if it was put in that state “out-of-band” (e.g. there wasn’t a ClOrdID on the first order’s ExecutionRpt. This possibility would be the basis for why that’s “conditionally required”. Assuming two-way order flow, you should specify it on those Appendix D scenarios.
>
> > I have found following FIX Specification Version 4.2 (Dated March 1, 2000) discrepancy regarding OrigClOrdID(41) in executionReport message:
> >
> > Specification for OrigClOrdID(41) field as part of ExecutionReports message (on page 88) states that “Conditionally required for response to an electronic cancel or Cancel/Replace request. (ExecType=PendingCancel, Replaced or canceled)”
> >
> > i.e. field 41 should only(?) be present for above three execTypes.
> >
> > However, Examples D6, D7, D8, D10, D13, D15, D16, D26 in Appendix D consistently show presence of OrigClOrdID(41) field for ExecType=Pending Replace as well.
> >
> > Should OrigClOrdID be present (or should it be omitted) from ExecutionReport for ExecType=PendingReplace ??
> >
> > Thanks,
> >
> > Ketan Shah
> > ketashah@exchange.ml.com
> > Merrill Lynch
> >
>