MaxFloor value in Order Cancel/Replace request after Partial Fill

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1

Imported from previous forum

2

Hi,
We are using the FIX4.2 protocol in our trading environment.
I would like to know what

should be the value in MaxFloor (Tag 111) after Order has undergone a Partial Fill.

For Eg.
Consider the following sequence of events:

  1. An Order Entry Request is placed with Tag 38 =

20, Tag 111 = 20,
2) A Partial Fill is received for this Order, Tag 38 = 20, Tag 32 = 17 and

Tag 14 = 17.
Now if a Modification request is to be placed, what should be the value in Tag

111, if only 2 shares are to be shown on the Exchange floor?
Should it be:

  1. Tag 111 = 2 OR
  2. Tag 111 = (17 + 2) = 19.

Regards,
Vinay M

3

Hi,

111/MaxFloor specifies the maximum number within an order to be shown on the floor.
The value to be specified is independent of the state of the order, it just sais that the shown size of an order is limited to it, even when the order actually has a greater (remaining) open size.
If the remaining open size is smaller that MaxFloor, then MaxFloor has no effect on the shown size.
When an large order with MaxFloor gets traded on, then the shown open size will remain unchanged and equal to MaxFloor until the remaining open size is actually less than MaxFloor.

Thus, if you modify the order and want a size of 2 shown, you have to set 111/MaxFloor = 2.

Kind regards,

Michael

Hi,
We are using the FIX4.2 protocol in our trading environment.
I would like to know what

should be the value in MaxFloor (Tag 111) after Order has undergone a Partial Fill.

For Eg.
Consider the following sequence of events:

  1. An Order Entry Request is placed with Tag 38 =

20, Tag 111 = 20,
2) A Partial Fill is received for this Order, Tag 38 = 20, Tag 32 = 17 and

Tag 14 = 17.
Now if a Modification request is to be placed, what should be the value in Tag

111, if only 2 shares are to be shown on the Exchange floor?
Should it be:

  1. Tag 111 = 2 OR
  2. Tag 111 = (17 + 2) = 19.

Regards,
Vinay M