Got a partial fill on suspended order

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Imported from previous forum

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[ original email was from Francois Milot - francois.milot@gltrade.com ]
Hi all,

I have a specific cinematic that I have to translate in my FIX engine.

My instrument was frozen by exchange (i.e. order is suspended 39=9) and this market allows partial fill on suspended order. When it receives order partial fill from exchange, my FIX engine send an execution report with 39=9 and 150=1 to FIX application (with right CumQty value).

Do you think that’s the correct way to translate this kind of cinematic ? And if not, if you have an idea ?

Thanks in advance.

3

I assume the order is partially filled PRIOR to being suspended. It should be 150=F (depending on your FIX version) but otherwise I do not see a problem if the fill has previously been reported with 39=1 and 150=F when it was actually matched. The additional ExecRpt is then simply the consequence of the suspension of the instrument (“frozen” as you called it). An alternative would be to only then a SecurityStatus message to inform about the state change of the instrument and leave it up to the recipient to deduct that none of his orders for that instrument has a chance to be filled prior to the instrument suspension being released again.

Hope this helps,
Hanno.

Hi all,

I have a specific cinematic that I have to translate in my FIX engine.

My instrument was frozen by exchange (i.e. order is suspended 39=9) and
this market allows partial fill on suspended order. When it receives
order partial fill from exchange, my FIX engine send an execution report
with 39=9 and 150=1 to FIX application (with right CumQty value).

Do you think that’s the correct way to translate this kind of cinematic
? And if not, if you have an idea ?

Thanks in advance.

4

[ original email was from Francois Milot - francois.milot@gltrade.com ]
Thanks for your answer Hanno. In fact, the order was executed as well before becoming suspended but, the result of my FIX engine translation wasn’t 39=1 150=F but 39=9 150=1 (my client FIX version is 4.2) and I wanted to know if this behaviour looked right.

I assume the order is partially filled PRIOR to being suspended. It
should be 150=F (depending on your FIX version) but otherwise I do not
see a problem if the fill has previously been reported with 39=1 and
150=F when it was actually matched. The additional ExecRpt is then
simply the consequence of the suspension of the instrument (“frozen” as
you called it). An alternative would be to only then a SecurityStatus
message to inform about the state change of the instrument and leave it
up to the recipient to deduct that none of his orders for that
instrument has a chance to be filled prior to the instrument suspension
being released again.

Hope this helps, Hanno.

Hi all,

I have a specific cinematic that I have to translate in my FIX engine.

My instrument was frozen by exchange (i.e. order is suspended 39=9)
and this market allows partial fill on suspended order. When it
receives order partial fill from exchange, my FIX engine send an
execution report with 39=9 and 150=1 to FIX application (with right
CumQty value).

Do you think that’s the correct way to translate this kind of
cinematic ? And if not, if you have an idea ?

Thanks in advance.