Imported from previous forum
[ original email was from Steve Wilkinson - steve.wilkinson@solutionforge.com ]
The spec’s for 4.1 & 4.2 both include state change matrices for the condition where a buyside firm sends in an order, has it filled and then subsequently sends an Order Cancel/Replace Request to increase the order size. The 4.0 spec has no similar matrix.
As a general rule, do most sellside firms support this behaviour, and if so, is it supported under FIX 4.0? I can imagine that some sellside OMS’s might mark the order as closed once it has been filled, and not accept any modifications to the ‘closed’ order.
Clarification on expected and typical behaviours would be much appreciated.
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> The spec’s for 4.1 & 4.2 both include state change matrices for the condition where a buyside firm sends in an order, has it filled and then subsequently sends an Order Cancel/Replace Request to increase the order size. The 4.0 spec has no similar matrix.
>
> As a general rule, do most sellside firms support this behaviour, and if so, is it supported under FIX 4.0? I can imagine that some sellside OMS’s might mark the order as closed once it has been filled, and not accept any modifications to the ‘closed’ order.
I believe FIX 4.1 is the first version to explicitly introduce this behavior. The notes on the Cancel/Replace message in 4.0 do not say anything about increasing quantity on a filled order to re-open it. However, I don’t know of anything in 4.0 that says one cannot implement it either.
This is something that I don’t believe many sell-side or ECN/Exchange/ATS firms implement. As you’ve stated, having a set of terminal states for orders is very convenient for software development, and the buy-side can always achieve the same business functionality by entering another order.
I’d be interested in hearing if any principal firms actually implement and use this in production.
[ original email was from Ross Hutcheon - ross.hutcheon@ubsw.com ]
I believe that it is common practice for Sell Side firms to accept Order Cancel/Replace Requests to increase the order quantity. Most Broker Dealers support this and there is considerable demand for this functionality from the Sell Side and OMS & network vendors.
It is worth making a distinction between ‘direct market access’ orders and orders that are passed to a Sell Side trading desk to be worked. In the former scenario the order sent by the Buy Side will be passed directly to the execution venue (therefore it is unlikely that the execution venue would support increasing the order quantity of a filled order). In the later scenario, the Sell Side will have one ‘parent’ order from the Sell Side, but will likely place numerous ‘child’ orders to the execution venue(s), therefore it is possible to increase the size of the ‘parent’ order without impacting the ‘child’ orders.
> > The spec’s for 4.1 & 4.2 both include state change matrices for the condition where a buyside firm sends in an order, has it filled and then subsequently sends an Order Cancel/Replace Request to increase the order size. The 4.0 spec has no similar matrix.
> >
> > As a general rule, do most sellside firms support this behaviour, and if so, is it supported under FIX 4.0? I can imagine that some sellside OMS’s might mark the order as closed once it has been filled, and not accept any modifications to the ‘closed’ order.
>
> I believe FIX 4.1 is the first version to explicitly introduce this behavior. The notes on the Cancel/Replace message in 4.0 do not say anything about increasing quantity on a filled order to re-open it. However, I don’t know of anything in 4.0 that says one cannot implement it either.
>
> This is something that I don’t believe many sell-side or ECN/Exchange/ATS firms implement. As you’ve stated, having a set of terminal states for orders is very convenient for software development, and the buy-side can always achieve the same business functionality by entering another order.
>
> I’d be interested in hearing if any principal firms actually implement and use this in production.
>