Life is never simple - busting a correction

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1

Imported from previous forum

2

[ original email was from John Prewett - jprewett@lavatrading.com ]
I would appreciate some views as to interpretation when receiving the following series of fill-related messages:

  1. A regular fill with ExecID=123 LastPX=1.0 LastShares=100
  2. A correction with ExecID=124 ExecRefID=123 LastPX=1.1 LastShares=100
  3. A bust of the correction with ExecID=125 ExecRefID=124

Now my question:
What action would you take when receiving the bust of the correction?
Possible (but maybe incomplete set of) answers could be:
O Bust the corrected fill (ExecID 124) but leave the busted fill (ExecID 123) still busted.
O Bust the corrected fill (ExecID 124) and re-instate the original fill (ExecID 123).
O Call therapist and request an emergency appointment.

Thanks.

JohnP

3

[ original email was from Ambar Arasan - ambar.arasan@gs.com ]
Hi John,
I would recommend the last option.

I would appreciate some views as to interpretation when receiving the
following series of fill-related messages:

  1. A regular fill with ExecID=123 LastPX=1.0 LastShares=100
  2. A correction with ExecID=124 ExecRefID=123 LastPX=1.1 LastShares=100
  3. A bust of the correction with ExecID=125 ExecRefID=124

Now my question: What action would you take when receiving the bust of
the correction? Possible (but maybe incomplete set of) answers could be:
O Bust the corrected fill (ExecID 124) but leave the busted fill (ExecID
123) still busted. O Bust the corrected fill (ExecID 124) and re-instate
the original fill (ExecID 123). O Call therapist and request an
emergency appointment.

Thanks.

JohnP

4

John,

I’d probably call the therapist! :wink:

I’d question the counterparty’s intent in this scenario. But given the info here, I lean towards interpreting this as a bust of the correction and leave it at that (your first option). The correction has already “superceded” the initial fill so I would consider that initial fill information “dead”.

I would appreciate some views as to interpretation when receiving the
following series of fill-related messages:

  1. A regular fill with ExecID=123 LastPX=1.0 LastShares=100
  2. A correction with ExecID=124 ExecRefID=123 LastPX=1.1 LastShares=100
  3. A bust of the correction with ExecID=125 ExecRefID=124

Now my question: What action would you take when receiving the bust of
the correction? Possible (but maybe incomplete set of) answers could be:
O Bust the corrected fill (ExecID 124) but leave the busted fill (ExecID
123) still busted. O Bust the corrected fill (ExecID 124) and re-instate
the original fill (ExecID 123). O Call therapist and request an
emergency appointment.

Thanks.

JohnP

5

[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
Fortunately the FIX ER gives you some clues: OrdStatus, CumQty, LeavesQty, LastQty, LastPx. While I wouldn’t recommend using an ER cancel to reverse a correction, these elements would tell you where you are in the trade’s progress after the bust. If they are missing have your therapist negotiate with your counterparty for a cleaner implementation.

John,

I’d probably call the therapist! :wink:

I’d question the counterparty’s intent in this scenario. But given the
info here, I lean towards interpreting this as a bust of the correction
and leave it at that (your first option). The correction has already
“superceded” the initial fill so I would consider that initial fill
information “dead”.

I would appreciate some views as to interpretation when receiving the
following series of fill-related messages:

  1. A regular fill with ExecID=123 LastPX=1.0 LastShares=100
  2. A correction with ExecID=124 ExecRefID=123 LastPX=1.1
    LastShares=100
  3. A bust of the correction with ExecID=125 ExecRefID=124

Now my question: What action would you take when receiving the bust of
the correction? Possible (but maybe incomplete set of) answers could
be: O Bust the corrected fill (ExecID 124) but leave the busted fill
(ExecID 123) still busted. O Bust the corrected fill (ExecID 124) and
re-instate the original fill (ExecID 123). O Call therapist and
request an emergency appointment.

Thanks.

JohnP

6

→ #3 cancels #2, and should return you to #1 (i.e., 100 @1), though the receiving system would need to be robust enough to “remember” previous states; experience says many aren’t.

→ John, you’re fine, but the bewildered trader should perhaps call an execution consultant and request an emergency appointment…

I would appreciate some views as to interpretation when receiving the
following series of fill-related messages:

  1. A regular fill with ExecID=123 LastPX=1.0 LastShares=100
  2. A correction with ExecID=124 ExecRefID=123 LastPX=1.1 LastShares=100
  3. A bust of the correction with ExecID=125 ExecRefID=124

Now my question: What action would you take when receiving the bust of
the correction? Possible (but maybe incomplete set of) answers could be:
O Bust the corrected fill (ExecID 124) but leave the busted fill (ExecID
123) still busted. O Bust the corrected fill (ExecID 124) and re-instate
the original fill (ExecID 123). O Call therapist and request an
emergency appointment.

Thanks.

JohnP

7

I would have thought this is a straightforward case, though open to [mis-]interpretation.

Step 2 becomes the current state of the execution. Step 3 cancels [busts] the execution. The execution is therefore dead.

HTH!