Order Modification Rejects

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Imported from previous forum

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Hi All

I have 3 questions. Answers to this, could help me out in some critical issues.

1.) Can a Execution Report 35=8, with 39=8 be issued as per FIX.4.2 Release, as a reply to a Order Modification Request 35=G.
Or should it be Order Replace/Cancel Reject with 35=9.
Is there a case, when either both these messages could be replies, based on the items, that have been changed in the modification?

2.)Does FIX have any rule, which says that Tag 54 Side should not be changed from BUY to SELL?

3.) In case of Modification Reject Messages, is it not necessary that this message should have the same value in tag 54, as that of the cancel or replace request?

Please reply with your comments.

Thanks
Vijay
mail to alenva@alrajhibank.com.sa

3

  1. Execution report 35=8 with 39=8 can only be an Order reject for an Order request (35=D). For Cancel and Cancel/Replace rejects, you would only get 35=9 reject message.

  2. FIX 4.2 specification says, Order modificaiton request cannot modify BUY to SELL or Viceversa. But you are allowed to change from BUY to BUY MINUS or SELL to SELL PLUS.

  3. FIX 4.2 for Cancel & Cancel/Replace rejects does not have Side(54). May be the Order modificaiton might have been rejected if the Original order and Replacing order had different Side (BUY-SELL).

Hope this helps
Vijay.

> Hi All
>
> I have 3 questions. Answers to this, could help me out in some critical issues.
>
> 1.) Can a Execution Report 35=8, with 39=8 be issued as per FIX.4.2 Release, as a reply to a Order Modification Request 35=G.
> Or should it be Order Replace/Cancel Reject with 35=9.
> Is there a case, when either both these messages could be replies, based on the items, that have been changed in the modification?
>
> 2.)Does FIX have any rule, which says that Tag 54 Side should not be changed from BUY to SELL?
>
> 3.) In case of Modification Reject Messages, is it not necessary that this message should have the same value in tag 54, as that of the cancel or replace request?
>
> Please reply with your comments.
>
> Thanks
> Vijay
> mail to alenva@alrajhibank.com.sa
>

4

[ original email was from Himanshu Sharma - himanshu.sharma@schwab.com ]

> Hi All
>
> I have 3 questions. Answers to this, could help me out in some critical issues.
>
> 1.) Can a Execution Report 35=8, with 39=8 be issued as per FIX.4.2 Release, as a reply to a Order Modification Request 35=G.
> Or should it be Order Replace/Cancel Reject with 35=9.

I don’t think (35=8 && 39=8) and 35=9 are interchangeable. Reason is that 35=8 && ‘39=8’ is a state change message for the order meaning that OrdStatus is set to ‘Rejected’ and Order is no more active. While 35=9 means that sell-side is only rejecting the Modification request and the state of the Order is not changed. In short 35=8 message means the state of the Order is being changed.

> Is there a case, when either both these messages could be replies, based on the items, that have been changed in the modification?
>

IMHO no.

> 2.)Does FIX have any rule, which says that Tag 54 Side should not be changed from BUY to SELL?

As per FIX protocol (excerpt from FIX4.0):

Only a limited number of fields can be changed via the cancel/replace request message. All other fields should be retransmitted as sent in the original order. These fields are:

  • ExecInst
  • OrderQty
  • OrdType
  • Price
  • HandlInst
  • TimeInForce
  • ExpireTime
  • MinQty
  • MaxFloor

>
> 3.) In case of Modification Reject Messages, is it not necessary that this message should have the same value in tag 54, as that of the cancel or replace request?

Tag 54 is not required field in a Modification Reject Message hence one should’t send it. I guess ClOrdID should suffice the purpose.

>
> Please reply with your comments.
>
> Thanks
> Vijay
> mail to alenva@alrajhibank.com.sa
>