Necessity of OrderQty(38) tag in Execution Report-Reject(8) message

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Imported from previous forum

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FIX spec for version 4.4 states that “One of CashOrderQty, OrderQty, or (for CIV only) OrderPercent is required.” in block.

In response to my New Order Single(D) (where tag 38 is specified) I receive:

  1. Execution Report-New(8) with tag 38 specified and
  2. Execution Report-Reject(8) without tag 38

Is this behavior correct? Is it possible to skip OrderQty(38) tag in Execution Report-Reject message?

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[ original email was from Dean Kauffman - dean.kauffman@tradeweb.com ]
In addition the description for component block in Execution Report reiterates that OrderQty is required for single instrument ERs unless the New Order quantity was expressed in CashOrderQty or PercentOrder.

FIX spec for version 4.4 states that “One of CashOrderQty, OrderQty, or
(for CIV only) OrderPercent is required.” in block.

In response to my New Order Single(D) (where tag 38 is specified)
I receive:

  1. Execution Report-New(8) with tag 38 specified and
  2. Execution Report-Reject(8) without tag 38

Is this behavior correct? Is it possible to skip OrderQty(38) tag in
Execution Report-Reject message?

4

OrderQty should always be provided, its content in case of a rejection is debatable. For instance, if you ask about the status of an order without having the authorization to see this information, should you still return the actual quantity? I do not think so but you could return a zero qty instead of omitting the field. The case is different for an unauthorized modification. You could echo back the quantity received instead of zero.

I consider the spec to be clear about the need to have a qty field in the ExecutionReport. At the same time, your engine should be prepared for non-standard behavior in general, especially if you do not have the power to “convince” the sender otherwise. A rejection w/o a qty is one of these cases as the qty field will not add any information to you and people might argue to omit it.

Regards,
Hanno.

FIX spec for version 4.4 states that “One of CashOrderQty, OrderQty, or
(for CIV only) OrderPercent is required.” in block.

In response to my New Order Single(D) (where tag 38 is specified)
I receive:

  1. Execution Report-New(8) with tag 38 specified and
  2. Execution Report-Reject(8) without tag 38

Is this behavior correct? Is it possible to skip OrderQty(38) tag in
Execution Report-Reject message?

5

Dean and Hanno, thanks for your replies.