MinQty, ExecType, and OrdStatus

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Imported from previous forum

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[ original email was from Andrei Goldchleger - agoldchleger@bmf.com.br ]
If an order is sent with a MinQty field that cannot be honored at order entry/modification, which are the correct values for ExecType and OrdStatus in FIX.4.4?

I would say that, at least for order entry, both must be set to ‘4’ (Canceled), but I cannot confirm since I çouldn’t find descriptions on this behavior.

What about order modification? Should the same behavior apply, or ExecType must be set to ‘Replaced’?

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If an order is sent with a MinQty field that cannot be honored at order
entry/modification, which are the correct values for ExecType and
OrdStatus in FIX.4.4?

I would say that, at least for order entry, both must be set to ‘4’
(Canceled), but I cannot confirm since I çouldn’t find descriptions on
this behavior.

What about order modification? Should the same behavior apply, or
ExecType must be set to ‘Replaced’?

Hi Andrei,

I guess you are referring to a FOK or IOC here. In that case you would get ExecType=New, OrdStatus=NEW, and then ExecType=Cancel, OrdStatus=Cancel.

If the order was not an IOC or FOK it could stay in the book. Say that the RoundLot is 100 and your order was sent in with OrderQty=1000 and MinQty=500 and that there was only 400 in the book. IN this case the order can stay in the book.

Regards, Bernt

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I agree, conditional orders with execution instructions that still allow it to rest on the book (e.g. MinQty, AON, Acceptable Counterparty) do not change the rules for ExecType or OrdStatus. They do have an impact on the market data feed where you might reduce visibility (hide such orders) to avoid having to display a crossed book and add information to explain why (e.g. 276 QuoteCondition=4=Better Prices in Conditional Orders). This is an issue for price depth feeds where you do not send individual orders and the best price might not be visible.

Regards,
Hanno.

If an order is sent with a MinQty field that cannot be honored at
order entry/modification, which are the correct values for ExecType
and OrdStatus in FIX.4.4?

I would say that, at least for order entry, both must be set to ‘4’
(Canceled), but I cannot confirm since I çouldn’t find descriptions on
this behavior.

What about order modification? Should the same behavior apply, or
ExecType must be set to ‘Replaced’?

Hi Andrei,

I guess you are referring to a FOK or IOC here. In that case you would
get ExecType=New, OrdStatus=NEW, and then ExecType=Cancel,
OrdStatus=Cancel.

If the order was not an IOC or FOK it could stay in the book. Say that
the RoundLot is 100 and your order was sent in with OrderQty=1000 and
MinQty=500 and that there was only 400 in the book. IN this case the
order can stay in the book.

Regards, Bernt