Multiple Order Cancel Replace

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1

Imported from previous forum

2

Hi,

Question on the buy side sending multiple order modifies.

Buy side sends and Order Modify 11=Y 41=X
Sell side responds with Pending Replace
sell side responds with Replace
Replace is rejected (invalid OrdStatus)
Buy Side still sees order in pending state
Buy side sends another order modify with 11=Z 41=X (is this correct? should it be allowed?) In other words we have more than one order modify for the same exsiting order.

Thanks.

3

[ original email was from Greg Wood - greg.wood@credit-suisse.com ]
Hi Emily,

The scenario of sending a 2nd replace on OrigClOrdId X is certainly valid if a previous request has been rejected for a valid reason - for example an invalid parameter change, bad price, limit check breach, etc - whatever may generate an Order Cancel Reject (MsgType 9). Since the previous request (11=Y) was rejected, the only legitimate previous order ID to reference is 41=X.

I think the biggest problem in your scenario is that the buy side has not cleanly processed the MsgType 9 and returned the order to a working state with the original parameters. After processing the MsgType 9 the order should not be in a pending state.

Regards,

  • Greg

Hi,

Question on the buy side sending multiple order modifies.

Buy side sends and Order Modify 11=Y 41=X
Sell side responds with Pending Replace
sell side responds with Replace
Replace is rejected (invalid OrdStatus)
Buy Side still sees order in pending state
Buy side sends another order modify with 11=Z 41=X (is this correct? should it be allowed?) In other words we have more than one order modify for the same exsiting order.

Thanks.