FIX messages to initiate Trade Cancel/Reversal

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1

Imported from previous forum

2

Hello,

I wonder which FIX message are used to initiate a Trade Reversal (Trade Cancel) or a Trade correction. I guess it has to be a post-trade message.

The ExecutionReport already has ExecType=TradeCancel or ExecType=TradeCorrect to report such operations.

Any help is appreciated.

Thanks, Jörg

3

The ExecutionReport message can be used to communicate Cancel or Corrections to individual execution/fills. See “J - Execution Cancels/Corrects” within FIX 4.4 Volume 4’s “Order State Change Matrices” for four scenarios. (in the FIX 4.2 spec, see D34, D35, and D36 within “Appendix D - Order State Change Matrices”).

> Hello,
>
> I wonder which FIX message are used to initiate a Trade Reversal (Trade Cancel) or a Trade correction. I guess it has to be a post-trade message.
>
> The ExecutionReport already has ExecType=TradeCancel or ExecType=TradeCorrect to report such operations.
>
> Any help is appreciated.
>
> Thanks, Jörg
>
>
>

4

Hi Scott,

> The ExecutionReport message can be used to communicate Cancel or Corrections to individual execution/fills. See “J - Execution Cancels/Corrects” within FIX 4.4 Volume 4’s “Order State Change Matrices” for four scenarios. (in the FIX 4.2 spec, see D34, D35, and D36 within “Appendix D - Order State Change Matrices”).

I know these parts and use it in our FIX implementation. But I am speaking about the following scenario:

  1. client A sends an order
  2. client B sends an order
  3. order matches at the exchange
    4a. client A get ExecReport(Trade, ExecID=XYZ)
    4b. client B get ExecReport(Trade, ExecID=XYZ)

Now A feels that this was a mis-trade and phones client B asking whether they could undo (reverse) the trade:

  1. client A sends Trade Reversal Request (ExecID=XYZ)
  2. client B sends Trade Reversal Ack (ExecID=XYZ)
  3. trade is being reversed
    9a. client A gets ExecReport(TradeCancel, ExecID=UVW, ExecRefID=XYZ)
    9b. client B gets ExecReport(TradeCancel, ExecID=UVW, ExecRefID=XYZ)

Now I am looking for messages to do "Trade Reversal Request/Ack"

Cheers, Joerg

5

Hi Joerg,

Did you ever resolve this issue? We have a similar situation and any help would be appreciated.

Thanks
Tanja

I know these parts and use it in our FIX implementation. But I am
speaking about the following scenario:

  1. client A sends an order
  2. client B sends an order
  3. order matches at the exchange 4a. client A get ExecReport(Trade,
    ExecID=XYZ) 4b. client B get ExecReport(Trade, ExecID=XYZ)

Now A feels that this was a mis-trade and phones client B asking whether
they could undo (reverse) the trade:

  1. client A sends Trade Reversal Request (ExecID=XYZ)
  2. client B sends Trade Reversal Ack (ExecID=XYZ)
  3. trade is being reversed 9a. client A gets ExecReport(TradeCancel,
    ExecID=UVW, ExecRefID=XYZ) 9b. client B gets ExecReport(TradeCancel,
    ExecID=UVW, ExecRefID=XYZ)

Now I am looking for messages to do “Trade Reversal Request/Ack”

Cheers, Joerg

6

Hi Tanja,

Did you ever resolve this issue? We have a similar situation and any
help would be appreciated.

We did not implement this feature up to now.

The trade reversal is not like a trade bust, but more like trade done outside the normal exchange system order matcher. Actually both the original and the reversed trade are sent to the clearing system, with opposite buy/sell flags.

IMHO, the FIX 4.4 Confirmation messages are most suitable here: One side requests to reverse the trade and the other side acknowledges. I did not work out the details yet, but I am open to discuss this with you here.

Hopefully other people will contribute valueable thoughts and details.

Cheers, Jörg

7

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

I would argue that Confirmation messages are definitely clearing related and could be used in that context (a trade is split into a number of Confirmations, one per individual account in clearing, see FIX 4.4 vol 5 spec).

However, in a marketplace environment (before clearing) Trade Capture Reports (TCRs) are better suited for the purpose of reversal or trade break. What is a bit unclear is the usage of the TradeReportType and TradeReportTransType tags. The former includes values for trade cancel and break, while the latter includes reversal. We are currently working together with the GTC to clarify the usage.

So the answer to your question, in my opinion, depends on whether you are:

  • requesting a marketplace / an exchange to reverse the trade (use the Trade Capture Report)
  • requesting clearing to reverse the trade (use of Confirmations is a good option)

Rikard

Hi Tanja,

Did you ever resolve this issue? We have a similar situation and any
help would be appreciated.

We did not implement this feature up to now.

The trade reversal is not like a trade bust, but more like trade done
outside the normal exchange system order matcher. Actually both the
original and the reversed trade are sent to the clearing system, with
opposite buy/sell flags.

IMHO, the FIX 4.4 Confirmation messages are most suitable here: One side
requests to reverse the trade and the other side acknowledges. I did not
work out the details yet, but I am open to discuss this with you here.

Hopefully other people will contribute valueable thoughts and details.

Cheers, Jörg

8

Hi Rikard,

[…]
However, in a marketplace environment (before clearing) Trade Capture
Reports (TCRs) are better suited for the purpose of reversal or trade
break. What is a bit unclear is the usage of the TradeReportType and
TradeReportTransType tags. The former includes values for trade cancel
and break, while the latter includes reversal. We are currently
working together with the GTC to clarify the usage.

Thanks for this answer. I vaguely reminded that Trade Capture Reports had something useful, but did not check again.

So the answer to your question, in my opinion, depends on whether you
are:

  • requesting a marketplace / an exchange to reverse the trade (use the
    Trade Capture Report)

Yes, we need this option.

Could you provide more details about the ongoing process with the Global Technical Commitee?

Thanks a lot, Jörg