Imported from previous forum
Order Mass Cancel Request allows you to specify criteria by which multiple orders can be canceled between counterparties. In FIX.5.0 the Parties block was added to the OrderMassCancelRequest message, however I can’t find an enumeration for MassCancelRequestType[530] that indicates the cancels should be for orders matching entries in the Parties block.
Is this an oversight or was it intentional. If it is intentional - what is the recommended approach for canceling all orders for a specific party?
Jim -
This looks like an oversight to me. We added the Parties/RootParties block to the main level of a number of messages as part of FIX 5.0 and OrderMassCancelRequest was one of them. I think it would be appropriate to add a value for “Cancel orders for a party”.
Matt
Order Mass Cancel Request allows you to specify criteria by which
multiple orders can be canceled between counterparties. In FIX.5.0 the
Parties block was added to the OrderMassCancelRequest message, however I
can’t find an enumeration for MassCancelRequestType[530] that indicates
the cancels should be for orders matching entries in the Parties block.Is this an oversight or was it intentional. If it is intentional -
what is the recommended approach for canceling all orders for a
specific party?
Matt,
my understanding was that the Parties block was added to define who is sending the request, not to specify the target (cancel orders of parties x,y,z). This is something we are in the process of adding to the OrderMassActionRequest (new block TargetParties). This should solve Jim’s problem. The OrderMassActionRequest is the more generic message that can be used to suspend, resume or also cancel orders. Do we need to add it to OrderMassCancelRequest as well to keep both in sync?
Regards,
Hanno.
Jim -
This looks like an oversight to me. We added the Parties/RootParties
block to the main level of a number of messages as part of FIX 5.0 and
OrderMassCancelRequest was one of them. I think it would be appropriate
to add a value for “Cancel orders for a party”.Matt
Order Mass Cancel Request allows you to specify criteria by which
multiple orders can be canceled between counterparties. In FIX.5.0 the
Parties block was added to the OrderMassCancelRequest message, however
I can’t find an enumeration for MassCancelRequestType[530] that
indicates the cancels should be for orders matching entries in the
Parties block.Is this an oversight or was it intentional. If it is intentional -
what is the recommended approach for canceling all orders for a
specific party?
Hanno -
That makes sense but it would be nice to have the ability to drop the TargetParties block if it is the same as RootParties when MassCancelRequestType is “Cancel orders for specified party”. More often than not these will be the same set of parties.
Yes, I think OrderMassCancelRequest and OrderMassActionRequest should be kept in sync. Looks like the proposal was intending to do this.
http://fixprotocol.org/documents/4066/FIX%20Protocol%20Gap%20Analysis%20-%20Mass%20Action%20Filters%20v%200.12.doc
Matt
Matt,
my understanding was that the Parties block was added to define who is
sending the request, not to specify the target (cancel orders of parties
x,y,z). This is something we are in the process of adding to the
OrderMassActionRequest (new block TargetParties). This should solve
Jim’s problem. The OrderMassActionRequest is the more generic message
that can be used to suspend, resume or also cancel orders. Do we need to
add it to OrderMassCancelRequest as well to keep both in sync?Regards, Hanno.
Jim -
This looks like an oversight to me. We added the Parties/RootParties
block to the main level of a number of messages as part of FIX 5.0 and
OrderMassCancelRequest was one of them. I think it would be
appropriate to add a value for “Cancel orders for a party”.Matt
Oops, you are right, is already covered for all mass action messages including OrderMassCancelRequest. I should not have underestimated Rikard and the quality of his proposals!
Avoiding duplicate party information by dropping TargetParties is interesting but should only apply when the sender of the request wants to cancel his own orders. This should be a usage guideline. It should not apply if the sender does not need to identify himself through the regular Parties block (you called it RootParties). In this case, only TargetParties should be used for MassCancelRequestType = “Cancel orders for specified party” and the regular Parties block should not be present.
Do you see more cases where TargetParties could be dropped?
Hanno -
That makes sense but it would be nice to have the ability to drop the
TargetParties block if it is the same as RootParties when
MassCancelRequestType is “Cancel orders for specified party”. More often
than not these will be the same set of parties.Yes, I think OrderMassCancelRequest and OrderMassActionRequest should be
kept in sync. Looks like the proposal was intending to do this.ttp://fixprotocol.org/documents/4066/FIX%20Protocol%20Gap%20Analysis%20-
%20Mass%20Action%20Filters%20v%200.12.docMatt
Matt,
my understanding was that the Parties block was added to define who
is sending the request, not to specify the target (cancel orders of
parties x,y,z). This is something we are in the process of adding to
the OrderMassActionRequest (new block TargetParties). This should
solve Jim’s problem. The OrderMassActionRequest is the more generic
message that can be used to suspend, resume or also cancel orders.
Do we need to add it to OrderMassCancelRequest as well to keep both
in sync?Regards, Hanno.
Jim -
This looks like an oversight to me. We added the Parties/RootParties
block to the main level of a number of messages as part of FIX 5.0
and OrderMassCancelRequest was one of them. I think it would be
appropriate to add a value for “Cancel orders for a party”.Matt
Hi Matt / Hanno,
[Quote from Matt’s message]
More often than not these will be the same set of parties
[End Quote]
[Quote from Hanno’s message]
Avoiding duplicate party information by dropping TargetParties is interesting but should only apply when the sender of the request wants to cancel his own orders.
[End Quote]
I was under the assumption that they will always be the same. From a security (as in safety as opposed to Security as in Stock) point of view, should it not be that only I can Cancel my Orders? i.e. I should NOT be permitted to Cancel another party’s orders and conversely no other party can touch my orders on the market.
Regards,
K. Mahesh
Oops, you are right, is already covered for all mass action messages
including OrderMassCancelRequest. I should not have underestimated
Rikard and the quality of his proposals!Avoiding duplicate party information by dropping TargetParties is
interesting but should only apply when the sender of the request wants
to cancel his own orders. This should be a usage guideline. It should
not apply if the sender does not need to identify himself through the
regular Parties block (you called it RootParties). In this case, only
TargetParties should be used for MassCancelRequestType = “Cancel
orders for specified party” and the regular Parties block should not
be present.Do you see more cases where TargetParties could be dropped?
Hanno -
That makes sense but it would be nice to have the ability to drop the
TargetParties block if it is the same as RootParties when
MassCancelRequestType is “Cancel orders for specified party”. More
often than not these will be the same set of parties.Yes, I think OrderMassCancelRequest and OrderMassActionRequest should
be kept in sync. Looks like the proposal was intending to dop://fixprotocol.org/documents/4066/FIX%20Protocol%20Gap%20Analysis%20-
%20Mass%20Action%20Filters%20v%200.12.docMatt
Matt,
my understanding was that the Parties block was added to define who
is sending the request, not to specify the target (cancel orders of
parties x,y,z). This is something we are in the process of adding to
the OrderMassActionRequest (new block TargetParties). This should
solve Jim’s problem. The OrderMassActionRequest is the more generic
message that can be used to suspend, resume or also cancel orders.
Do we need to add it to OrderMassCancelRequest as well to keep both
in sync?Regards, Hanno.
Jim -
This looks like an oversight to me. We added the
Parties/RootParties block to the main level of a number of
messages as part of FIX 5.0 and OrderMassCancelRequest was one of
them. I think it would be appropriate to add a value for “Cancel
orders for a party”.Matt
The scope can be wider in an exchange environment where you often have groups of users and possibly hierarchies involving business units. For example, a head trader should be able to cancel orders for one or more of his junior traders. It could also be on the same level that traders have access to each others orders for backup/contingency reasons. The entering party could also be market operations that is requested over the phone to pull all orders due to a technical failure at the end of the user.
Regards,
Hanno.
Hi Matt / Hanno,
[Quote from Matt’s message] More often than not these will be the same
set of parties [End Quote][Quote from Hanno’s message] Avoiding duplicate party information by
dropping TargetParties is interesting but should only apply when the
sender of the request wants to cancel his own orders. [End Quote]I was under the assumption that they will always be the same. From a
security (as in safety as opposed to Security as in Stock) point of
view, should it not be that only I can Cancel my Orders? i.e. I should
NOT be permitted to Cancel another party’s orders and conversely no
other party can touch my orders on the market.Regards,
K. Mahesh