How to indicate a partially filled completed order?

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1

Imported from previous forum

2

A simple enough situation - buyside sends an order to the sellside, sellside partially fills it (with only one fill), and does not intend to fill the remainder. What should the sellside send to the buyside?

Options are (I am open to other suggestions):

  1. A Final Fill with CumQty and LastQty = filled amount and LeavesQty = unfilled amount.

  2. A Partial Fill (same as option 1), followed by a DoneForDay. In that case, should LeavesQty be zero on the DoneForDay? (The FIX spec is ambigous on this subject).

  3. Just a DoneForDay with CumQty and LastQty = filled amount. Again, what should LeavesQty be in this case?

3

Thanks Jim… We were leaning towards Option 2 as well - this is what makes most sense.

To expand on the issue of LeavesQty being zero in DoneForDay messages when there is a remainder, would anyone happen to know what exactly are the guidelines for that? Is it a general rule that if we are “definitely and unequivocally done with the order”, LeavesQty should be zero, whereas if we are planning on still trading the order (perhaps on the next business day), then LeavesQty should indicate the amount that we are still planning on trading?

We had a similar issue come up with Cancels (Exec Report with Cancel status). Do we send zero for LeavesQty or the full amount of the order, since nothing was actually traded?

Generally speaking, is LeavesQty:

  1. The amount that we did not trade and will never trade
  2. The amount that we did not trade but may trade in the future

A simple enough situation - buyside sends an order to the sellside, sellside partially fills it (with only one fill), and does not intend to fill the remainder. What should the sellside send to the buyside?

Options are (I am open to other suggestions):

  1. A Final Fill with CumQty and LastQty = filled amount and LeavesQty = unfilled amount.

  2. A Partial Fill (same as option 1), followed by a DoneForDay. In that case, should LeavesQty be zero on the DoneForDay? (The FIX spec is ambigous on this subject).

  3. Just a DoneForDay with CumQty and LastQty = filled amount. Again, what should LeavesQty be in this case?

Hi
Option 2 - part fill followed by done for day. To your LeavesQty question, this really depends on whether the broker intends to carry any volume over to the next day (i.e. a GT order). If just a day order, I’d expect LeavesQty to be zero.
Jim.

4

George,
Use of LeavesQty corresponds to your answer 2: “The amount that has not yet traded but may trade in the future”. Thus on cancel or done-for-day - whether or not there have been partial fills - LeavesQty=0.

Thanks Jim… We were leaning towards Option 2 as well - this is what makes most sense.

To expand on the issue of LeavesQty being zero in DoneForDay messages when there is a remainder, would anyone happen to know what exactly are the guidelines for that? Is it a general rule that if we are “definitely and unequivocally done with the order”, LeavesQty should be zero, whereas if we are planning on still trading the order (perhaps on the next business day), then LeavesQty should indicate the amount that we are still planning on trading?

We had a similar issue come up with Cancels (Exec Report with Cancel status). Do we send zero for LeavesQty or the full amount of the order, since nothing was actually traded?

Generally speaking, is LeavesQty:

  1. The amount that we did not trade and will never trade
  2. The amount that we did not trade but may trade in the future

A simple enough situation - buyside sends an order to the sellside, sellside partially fills it (with only one fill), and does not intend to fill the remainder. What should the sellside send to the buyside?

Options are (I am open to other suggestions):

  1. A Final Fill with CumQty and LastQty = filled amount and LeavesQty = unfilled amount.

  2. A Partial Fill (same as option 1), followed by a DoneForDay. In that case, should LeavesQty be zero on the DoneForDay? (The FIX spec is ambigous on this subject).

  3. Just a DoneForDay with CumQty and LastQty = filled amount. Again, what should LeavesQty be in this case?

Hi
Option 2 - part fill followed by done for day. To your LeavesQty question, this really depends on whether the broker intends to carry any volume over to the next day (i.e. a GT order). If just a day order, I’d expect LeavesQty to be zero.
Jim.

5

To add to Jim’s and Dean’s comments, if you are doing GT orders there is another set of fields you can use in addition to the CumQty and LeavesQty, and those are the DayOrderQty, DayCumQty and DayAvgPx. Assuming you’re using FIX 4.2, take a look at the order matrices in Appendix D of the FIX 4.2 specification document, specifically scenarios D27 to D30 and D36.

George,
Use of LeavesQty corresponds to your answer 2: “The amount that has not yet traded but may trade in the future”. Thus on cancel or done-for-day - whether or not there have been partial fills - LeavesQty=0.

Thanks Jim… We were leaning towards Option 2 as well - this is what makes most sense.

To expand on the issue of LeavesQty being zero in DoneForDay messages when there is a remainder, would anyone happen to know what exactly are the guidelines for that? Is it a general rule that if we are “definitely and unequivocally done with the order”, LeavesQty should be zero, whereas if we are planning on still trading the order (perhaps on the next business day), then LeavesQty should indicate the amount that we are still planning on trading?

We had a similar issue come up with Cancels (Exec Report with Cancel status). Do we send zero for LeavesQty or the full amount of the order, since nothing was actually traded?

Generally speaking, is LeavesQty:

  1. The amount that we did not trade and will never trade
  2. The amount that we did not trade but may trade in the future

A simple enough situation - buyside sends an order to the sellside, sellside partially fills it (with only one fill), and does not intend to fill the remainder. What should the sellside send to the buyside?

Options are (I am open to other suggestions):

  1. A Final Fill with CumQty and LastQty = filled amount and LeavesQty = unfilled amount.

  2. A Partial Fill (same as option 1), followed by a DoneForDay. In that case, should LeavesQty be zero on the DoneForDay? (The FIX spec is ambigous on this subject).

  3. Just a DoneForDay with CumQty and LastQty = filled amount. Again, what should LeavesQty be in this case?

Hi
Option 2 - part fill followed by done for day. To your LeavesQty question, this really depends on whether the broker intends to carry any volume over to the next day (i.e. a GT order). If just a day order, I’d expect LeavesQty to be zero.
Jim.