Message Sequence and timing - Amended Order (repost)

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1

Imported from previous forum

2

Originally asked by Norman Stabler:

A broker receives an order (ClOrdID=X) and acknowledges it with an Execution Report: OrdStatus = Pending New. Then, before accepting or rejecting the order, the broker receives an Order Cancel/Replace Request (ClOrdID=Y). Which of the following should the broker do:

a) accept the original order (ClOrdID=X) and then accept the amended order (ClOrdID=Y)
b) accept the amended order (ClOrdID=Y) and ignore the original (ClOrdID=X)
c) reject the amend, as the order is still in a pending state
d) something else

3

[ original email was from Kevin English - kevin.english@citigroup.com ]
Hi Thomas,
you can either do

a) or c)

If the target system can queue order requests and process them
sequentially then a) will happen (bear in mind the amend may be
accepted or rejected at this stage).

If the target system cannot queue order requests then c)
will result.

b) should never happen.

Originally asked by Norman Stabler:

A broker receives an order (ClOrdID=X) and acknowledges it with an
Execution Report: OrdStatus = Pending New. Then, before accepting or
rejecting the order, the broker receives an Order Cancel/Replace Request
(ClOrdID=Y). Which of the following should the broker do:

a) accept the original order (ClOrdID=X) and then accept the amended
order (ClOrdID=Y)
b) accept the amended order (ClOrdID=Y) and ignore the original
(ClOrdID=X)
c) reject the amend, as the order is still in a pending state
d) something else

4

Hi,

I think that the answer is that one needs to think in terms of what the business needs and not what the FIX protocol wants.

Depending on the system…

If the the order must be rejected (by user) then subsequently the amend on it must be autorejected(no order to amend).

Or, if the the Order is still to be accepted then

a) preferably the Amend must logically be shown to the user for acceptance or rejecting as that is the order the buy side wished the sellside to process… The system can still send back two ack’s - one for the order and then the pend and ack for the amended order.

or

b) queued and processed after the users accepts the order. Not as preferable as the sellside might immediately start trading an order that should be amended in some way.

Byron
Net2s

Originally asked by Norman Stabler:

A broker receives an order (ClOrdID=X) and acknowledges it with an
Execution Report: OrdStatus = Pending New. Then, before accepting or
rejecting the order, the broker receives an Order Cancel/Replace Request
(ClOrdID=Y). Which of the following should the broker do:

a) accept the original order (ClOrdID=X) and then accept the amended
order (ClOrdID=Y)
b) accept the amended order (ClOrdID=Y) and ignore the original
(ClOrdID=X)
c) reject the amend, as the order is still in a pending state
d) something else