How to map from execution report / reject to internal order state

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Imported from previous forum

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Dears,

I am developing a buy-side application to send FIX order to sell-side and update internal order status upon receipt of execution report or reject. While I try to map out the different cases of execution report / reject to my internal state, I found that there are unbounded number of combination of execType, ordStatus and ExecTransType.
E.g,
D11 – Cancel/replace request sent whilst execution is being reported – the requested order qty equals the cum qty – order qty is amended to cum qty
D12 – Cancel/replace request sent whilst execution is being reported – the requested order qty is below cum qty – order qty is amended to cum qty

Final execution will have execType=Replace and ordStatus=Filled.

Are there any good ways to enumerate a set of possible execution report / reject? How would the task of mapping from FIX execution report / reject be normally do?

Thanks very much in advance!!!

3

Mike,

Its not necessary to support each and every possible scenario in the D Matrices. In the below example, you can design your system to reject a Req if its below the cumulative quantity under D12. There’s no hard-and-fast rule that you have to accept each and every scenario stated in D Matrices. However, if you are able to develop your application as per the D Matrices, its well and good.

Regards,
Sunil Singh