List Cancel Request processing

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1

Imported from previous forum

2

[ original email was from Kevin English - kenglish@latentzero.com ]
Folks,
Just wondering if someone might be able to help me with a couple of these questions.

  1. Is a sell-side company required to acknowledge
    receipt of a List Cancel Request? If so,
    what message is used to acknowledge the
    request.

  2. Consider the following scenario:

    A List Cancel Request has been sent to the sell-side.
    A List Status Request is sent immediately.

    I would expect that the List Status message
    sent in reply would have a
    ListStatusType of '2 - Response’
    ListOrdStatus of ‘4 - Cancelling’.

    I now have received indivdiual Execution Reports for
    all orders in my list indicating that they have been
    cancelled …

    Now I send another List Status Request

    What should I expect to see in the following
    attributes of the List Status message sent
    in reply:
    ListStatusType = "?"
    ListOrdStatus = "?"

thanks,
Kevin

3

[ original email was from Leon Doherty - leon.doherty@barcap.com ]
To Kevin,

  1. My recollection from the discussions on this subject in the list meeting is that we had planned on using the "list status" message
    as a response to the list cancel request, just as we use it for the response to the "new order - list message". I believe the issue is that the FIX 4.2 spec does not mentioned what response should be provided for the list cancellation.

  2. What should I expect to see in the following attributes of the List
    Status message sent in reply:
    ListStatusType = "?"
    ListOrdStatus = "?"
    My answer:
    ListStatusType = "Response" (as this is a response to an explicit order status request made by the buy-side) ListOrdStatus = "Canceling" (this is the safe status that leaves ambiguous
    as to whether or not the orders are now all cancelled)
    or
    ListOrdStatus = "AllDone" (this status makes clear that all orders are effectively off-market)

The key point is that the individual order status give the accurate picture.
We intentionally kept the list order status simple as it is very difficult
(and useless) to represent the status of a list when, for example, 10%
orders are fully executed, 60% are partly executed, 5% are pending
cancel/replace, 5% are pending cancel, 5% are cancelled, and 15% are on the
market but do not yet have any executions.

Ta,

Leon Doherty
+44-207-773-3015

Folks,
> Just wondering if someone might be able to help me with a couple of these questions.
>
> 1. Is a sell-side company required to acknowledge
> receipt of a List Cancel Request? If so,
> what message is used to acknowledge the
> request.
>
> 2. Consider the following scenario:
>
> A List Cancel Request has been sent to the sell-side.
> A List Status Request is sent immediately.
>
> I would expect that the List Status message
> sent in reply would have a
> ListStatusType of ‘2 - Response’
> ListOrdStatus of ‘4 - Cancelling’.
>
> I now have received indivdiual Execution Reports for
> all orders in my list indicating that they have been
> cancelled …
>
> Now I send another List Status Request
>
> What should I expect to see in the following
> attributes of the List Status message sent
> in reply:
> ListStatusType = “?”
> ListOrdStatus = “?”
>
> thanks,
> Kevin
>
>