Imported from previous forum
Hi,
In Order Cancel/Replace Request if a field is unchanged is it mandatory to send the original value or if an optional tag is missing it means it was unchanged?
Let me try to show you my particular scenario for which I need a solution:
I want to amend a Pegged to Mid with Limit to a Pegged to Mid without limit price:
OrderType=Pegged
ExecInst=Mid
Price (tag44) for original order = [some_price] (Are we using tag44 correctly for this?)
Now how would the amend look like?
OrderType and ExecInst would have to stay the same, obviously I think.
Not sending tag44 in the amend message would mean I want to remove the limit (or that I want it to remain unchanged)? Or zero or something should be sent in tag44?
This is kind of new scenario for us (Pegged orders), we used to amend from Limit order to Market order but we didn’t concerned about tag44 cause there OrderType is changing and gives all needed information.
PS: using FIX4.2
Lucian, please see my comments below.
Let me try to show you my particular scenario for which I need a
solution:I want to amend a Pegged to Mid with Limit to a Pegged to Mid without
limit price: OrderType=Pegged ExecInst=MidPrice (tag44) for original order = [some_price] (Are we using tag44
correctly for this?)
Yes, from the official FIX 4.2 spec: “Some systems allow pegged orders to be specified with a Price field. In this case, the Price field serves to put a limit on how far the pegged value can move.”
Now how would the amend look like? OrderType and
ExecInst would have to stay the same, obviously I think.
Correct, values of tags OrdType and ExecInst should stay the same - Pegged and Mid-price respectively.
Not sending
tag44 in the amend message would mean I want to remove the limit (or
that I want it to remain unchanged)?
Yes, to remove the limit, I would suggest not sending Price [tag 44] altogether on your Order Cancel/Replace Request.
Or zero or something should be
sent in tag44?This is kind of new scenario for us (Pegged orders), we used to amend
from Limit order to Market order but we didn’t concerned about tag44
cause there OrderType is changing and gives all needed information.PS: using FIX4.2
The key question was not answered here.
Just by “not sending Price [tag 44] altogether on your Order Cancel/Replace Request” doesn’t necessarily solve the problem. The counterparty would retieve the original order context (which includes price) to reconstruct the replaced order.
I guess in FIX5.0 the issue is likely addressed by the inclusion of the “PegInstructions” component block. Not sure how this is best worked around in 4.2 though.
Lucian, please see my comments below.
Let me try to show you my particular scenario for which I need a
solution:I want to amend a Pegged to Mid with Limit to a Pegged to Mid without
limit price: OrderType=Pegged ExecInst=MidPrice (tag44) for original order = [some_price] (Are we using tag44
correctly for this?)Yes, from the official FIX 4.2 spec: “Some systems allow pegged orders
to be specified with a Price field. In this case, the Price field serves
to put a limit on how far the pegged value can move.”Now how would the amend look like? OrderType and ExecInst would have
to stay the same, obviously I think.Correct, values of tags OrdType and ExecInst should stay the same -
Pegged and Mid-price respectively.Not sending tag44 in the amend message would mean I want to remove the
limit (or that I want it to remain unchanged)?Yes, to remove the limit, I would suggest not sending Price [tag 44]
altogether on your Order Cancel/Replace Request.Or zero or something should be sent in tag44?
This is kind of new scenario for us (Pegged orders), we used to amend
from Limit order to Market order but we didn’t concerned about tag44
cause there OrderType is changing and gives all needed information.PS: using FIX4.2
Hi John,
I don’t quite understand the problem you are referring. FIX is only part of my system and I don’t have vast knowledge of it and all possible scenarios. Are you saying that if we agree with the counterpart to not send tag44 there may be problems?
I completely aware that in the end is agreement with the counterpart but the main reason for my post is: would there be possible problems (maybe other scenarios that will suffer from this decision) if we decide to choose one way or another?
Thanks,
Lucian
The key question was not answered here.
Just by “not sending Price [tag 44] altogether on your Order
Cancel/Replace Request” doesn’t necessarily solve the problem. The
counterparty would retieve the original order context (which includes
price) to reconstruct the replaced order.I guess in FIX5.0 the issue is likely addressed by the inclusion of the
“PegInstructions” component block. Not sure how this is best worked
around in 4.2 though.Lucian, please see my comments below.
Let me try to show you my particular scenario for which I need a
solution:I want to amend a Pegged to Mid with Limit to a Pegged to Mid
without limit price: OrderType=Pegged ExecInst=MidPrice (tag44) for original order = [some_price] (Are we using tag44
correctly for this?)Yes, from the official FIX 4.2 spec: “Some systems allow pegged orders
to be specified with a Price field. In this case, the Price field
serves to put a limit on how far the pegged value can move.”Now how would the amend look like? OrderType and ExecInst would have
to stay the same, obviously I think.Correct, values of tags OrdType and ExecInst should stay the same -
Pegged and Mid-price respectively.Not sending tag44 in the amend message would mean I want to remove
the limit (or that I want it to remain unchanged)?Yes, to remove the limit, I would suggest not sending Price [tag 44]
altogether on your Order Cancel/Replace Request.Or zero or something should be sent in tag44?
This is kind of new scenario for us (Pegged orders), we used to
amend from Limit order to Market order but we didn’t concerned about
tag44 cause there OrderType is changing and gives all needed
information.PS: using FIX4.2