Imported from previous forum
I would like some additional clarification regarding the Industry “standard use” of FIX as it pertains to CXL/RPL order processing.
When I send a RPL order to change the qty of my original order, am I required (by FIX or the industry) to also send What I think is the “leaves qty”, the orignal order qty, and the new order qty so that my order can be modified correctly?
What should happen to my modify request, if it is different than the actual “lvs qty” ? Should the modify request be rejected?
What should happen to my cancel request, if it is different than the actual “lvs qty” ? Should the modify request be rejected?
[ original email was from Matthew Chimento - matthew.chimento@nyfix.com ]
In short;
The LvsQty only applies to FIX version 4.1+ and this field is only used on the execution reports by the executing firm. FIX 4.0 and later versions have different message structures (logic) but the principal idea of the open quantity is in the OrdQty field (38) of the modify request.
If you check the specifications, they will describe what fields to use in an execution report and in a cancel request and modify (aka cxl/rpl message)
Give the FIX 4.2 specificiation a quick glance.
I would like some additional clarification regarding the Industry
“standard use” of FIX as it pertains to CXL/RPL order processing.When I send a RPL order to change the qty of my original order, am I
required (by FIX or the industry) to also send What I think is the
“leaves qty”, the orignal order qty, and the new order qty so that my
order can be modified correctly?
The LvsQty does not apply to a modify request.
What should happen to my modify request, if it is different than the
actual “lvs qty” ? Should the modify request be rejected?
The LvsQty does not apply to a modify request.
What should happen to my cancel request, if it is different than the
actual “lvs qty” ? Should the modify request be rejected?
The LvsQty does not apply to a modify request.
It is good to locally keep track on what the broker has open versus what you have open. There should not be a reject for the execution if the intended open qty is off but in some cases, you could issue back a DK (Don’t Know) message or ignore the message. How, this message is up to you.
When sending a modify request, you will use the FIX qty which is open + executed qty. This is known as the total intended order quantity plus the what has been executed so far in the chain of orders.
Think of this way, there is a buyside firm that sends requests and the broker that repsonse to the request. Try not to get to confused between the the process and you will find that you have answered your own question. 