How to handle Out of Sequence Fills after a Quote Cancel Ack?

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Imported from previous forum

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Hi all,

I’m wondering if someone can suggest any way to handle out of sequence fills coming from Executable Quotes in Fix 4.2, where a fill is possible from an exchange after the cancel ack (35=b;297=2/3/4;) has been received.

This seems be be a problem where the exchange API doesn’t conform to the FIX messaging sequence guarantee, e.g. Xetra, and the Exchange interface is an internal FIX <-> API process.

The timeline would be as follows:

  1. Executable Quote (35=S;) sent to exchange.
  2. Quote Ack (35=b;297=0;) received back from exchange.
  3. Quote Cancel (35=Z;) sent to exchange.
  4. Quote Ack (35=b;297=2) received back from exchange.
  5. Fill received from Exchange, relating to the Executable Quote sent in step 1.

Currently the fill in step 5 is marked as an Overfill, but should be dealt with as an out of sequence fill.

In single orders FIX the cancel ack would contain the Leaves Qty to indicate that there is Qty left on exchange - even through the cancel has been acknowledged, and a fill for that Qty is pending.

Is it possible to model this with Quote Ack messaging?

Thanks in advance,
Mark.

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