Imported from previous forum
Hi,
I’m a business analyst for JBWere (Australian Broking Firm) and we are currently detailing system requirements for getting a new client on board our FIX systems.
I have some FIX questions that I have not been able to find the answers to in any of the FIX protocal specifications.
Can someone please tell me what the FIX protocol is for the following situations: (Assume FIX verion 4.3).
1/ Can a Replace Request to increase order quantity still be accepted for execution from the client if a Done For Day message has already been issued for the given ‘Day’ only order? Assume that the market is in normal trading hours.
If yes:
What should the message flow be?
Do we re-instate the ‘Day’ only order?
What should the ExecType, Ord Status, Leaves Qty be set to in the Execution Reports when confirming acceptance for execution and successful execution?
2/ Can a new trade be sent to the client if a Done for Day message has already been sent for the given ‘Day’ only order?
If yes:
What should the message flow be?
What should the ExecType, Ord Status, Leaves Qty be set to in the Execution Reports when confirming acceptance for execution and successful execution?
Regards,
Mary Nezis
Business Analyst
JBWere
+613 9679-1890
<mailto:mnezis@jbwere.com.au>
[ original email was from Jim Kaye - jim.kaye@gs.com ]
All,
I’d appreciate all other thoughts on this question as this is something we’re looking at as part of the FIX allocations working group. Here are my thoughts:
Mary,
-
A sell-side intitated ‘done for day’ should be interpretable by the buy-side as notification that no further executions, or cancellations or amendments to executions are expected on that order. However the buy-side initiator of the order should be able to amend the quantity of the order up and the sell-side firm should be able to handle this (i.e. ‘un-done-for-day’ the order). The message flow would be as if the done for day had not been sent/received, i.e. normal order cancel/replace request followed by the usual cancel/replace, then replaced execution reports. On the ‘replaced’ execution report, the LeavesQty will be the new unexecuted quantity, OrdStatus partially filled, ExecType replaced.
-
In addition to the above, both sides should be able to handle an exception scenario where a new execution takes place on a done-for-day’d order, or an existing execution is cancelled or amended. In such cases, the sell-side will need to ‘undone’ the order, apply the change (new execution, or execution bust/amend), then if appropriate re-‘done’ the order. The buy-side will need to be able to handle this situation (manually if not electronically), which may involve retrieving the order from the middle office if it’s already been booked out, applying the change and then rebooking the order. In our experience, not all buy-side OMSs can handle this automatically (late execution messages are typically either ignored or DKd) in which case this has to be done over the phone.
With regard to the ER message formats in these cases, they would be the same as if the order had not been done for day’d (there isn’t a FIX ‘undone’ execution report as such).
Best regards,
Jim.
> Hi,
> I’m a business analyst for JBWere (Australian Broking Firm) and we are currently detailing system requirements for getting a new client on board our FIX systems.
>
> I have some FIX questions that I have not been able to find the answers to in any of the FIX protocal specifications.
>
> Can someone please tell me what the FIX protocol is for the following situations: (Assume FIX verion 4.3).
>
> 1/ Can a Replace Request to increase order quantity still be accepted for execution from the client if a Done For Day message has already been issued for the given ‘Day’ only order? Assume that the market is in normal trading hours.
>
> If yes:
> What should the message flow be?
> Do we re-instate the ‘Day’ only order?
> What should the ExecType, Ord Status, Leaves Qty be set to in the Execution Reports when confirming acceptance for execution and successful execution?
>
> 2/ Can a new trade be sent to the client if a Done for Day message has already been sent for the given ‘Day’ only order?
>
> If yes:
> What should the message flow be?
> What should the ExecType, Ord Status, Leaves Qty be set to in the Execution Reports when confirming acceptance for execution and successful execution?
>
> Regards,
> Mary Nezis
> Business Analyst
> JBWere
> +613 9679-1890
> <mailto:mnezis@jbwere.com.au>
>
>
>
>
>
Any processing that happens after the done for day has been sent depends on what the client’s system can do. If a client sends us a cancel replace request after a done for day has been sent, we could potentially re-open the order and carry on working it as if no done for day had been sent. However, most of our clients cannot process an order further once they have received a done for day and completed it at their end. For this reason we find it better not to send the done for day until both sides agree that the order really is done. We would definitely not send further executions on a done order because most clients would just discard them.
> Hi,
> I’m a business analyst for JBWere (Australian Broking Firm) and we are currently detailing system requirements for getting a new client on board our FIX systems.
>
> I have some FIX questions that I have not been able to find the answers to in any of the FIX protocal specifications.
>
> Can someone please tell me what the FIX protocol is for the following situations: (Assume FIX verion 4.3).
>
> 1/ Can a Replace Request to increase order quantity still be accepted for execution from the client if a Done For Day message has already been issued for the given ‘Day’ only order? Assume that the market is in normal trading hours.
>
> If yes:
> What should the message flow be?
> Do we re-instate the ‘Day’ only order?
> What should the ExecType, Ord Status, Leaves Qty be set to in the Execution Reports when confirming acceptance for execution and successful execution?
>
> 2/ Can a new trade be sent to the client if a Done for Day message has already been sent for the given ‘Day’ only order?
>
> If yes:
> What should the message flow be?
> What should the ExecType, Ord Status, Leaves Qty be set to in the Execution Reports when confirming acceptance for execution and successful execution?
>
> Regards,
> Mary Nezis
> Business Analyst
> JBWere
> +613 9679-1890
> <mailto:mnezis@jbwere.com.au>
>
>
>
>
>