Message Sequence and timing - Amended Order

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Imported from previous forum

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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) something else

Does the answer vary depending on whether you are using version 4.0, 4.1 or 4.2?

Thanks

Norman Stabler
Dresdner Kleinwort Benson

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My understanding is that when you received ClOrdID=X you do not need to acknowlege it until it has a status of NEW.
That way if you receive ClOrdID=Y you should response with (ClOrdID=Y, Orig=X) Status = PENDING_CANCEL_REPLACE.

If you then wish to Reject X with an execution report you should also send a cancel reject for Y.
However if you wish to accept X as NEW, the execution report should still show PENDING_CANCEL_REPLACE, (which has already been sent when you received Y)

Alternatively you can reject Y until you have confirmed X as NEW.
I understand that PENDING_NEW only means you have received the order and is not required unless that client makes a status request.

Can anyone else clarify this?

John Agbai.

> 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) something else
>
> Does the answer vary depending on whether you are using version 4.0, 4.1 or 4.2?
>
> Thanks
>
> Norman Stabler
> Dresdner Kleinwort Benson
>