Order Qty/Fill Question

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Imported from previous forum

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Hi All,

I want to how would the above scenario would function.
1a.I send a Order to buy 1000 stocks which gets Partially filled by quantity 500.Now i send a Cancel/Replace for the same for quantity less than the actual fill ( <500). Would this work?
1b. What if i send Cancel otherwise, The partial filled order will get cancelled.

2a.I send a Order to buy 1000 stocks which gets Fully filled.Now i send a Cancel/Replace for quantity 1500. Would this Cancel/replace work ? Will this order be submitted as a different submission to trader? and the marked as Fully Filled.

It would also be great if someone could explain me these situation before Order has Ack’ed and After Order gets Ack’ed

Regards
Sridhar

3

[ original email was from John Prewett - jprewett@lavatrading.com ]
> 1a. I send a Order to buy 1000 stocks which gets Partially

filled by quantity 500. Now i send a Cancel/Replace for the
same for quantity less than the actual fill ( <500).
Would this work?

1a: Please look at the FIX.5.0 SP2 volume 4 Order State Change Matrices C.3.c.
Whether this will work as specified is a different issue. I suspect that almost no-one follows the FIX specification on this point. We (Lava) try to pass back an unsolicited cancel for the original order followed by a CancelReject as response to the ReplaceRequest. We do this because most OMSs are unable to follow the (tricky) FIX specification which suggests that the ExecReport(replaced) contains an altered OrderQty which is equal to the CumQty, not the value specified on the ReplaceRequest.

1b. What if i send Cancel otherwise, The partial filled order will
get cancelled.

1b: I’m sorry, I don’t understand the question.

2a. I send a Order to buy 1000 stocks which gets Fully filled.
Now i send a Cancel/Replace for quantity 1500.
Would this Cancel/replace work ?

2a: Please look at the FIX.5.0 SP2 volume 4 Order State Change Matrices C.1.c.
The execution venue will either honor the increase or more likely will decide to CancelReject your ReplaceRequest (TLTC).

JohnP

4

Hi All,

I want to how would the above scenario would function. 1a.I send a Order
to buy 1000 stocks which gets Partially filled by quantity 500.Now i
send a Cancel/Replace for the same for quantity less than the actual
fill ( <500). Would this work?

Filled message would be be sent with OrderQty=“ExecutedQty” which is more than the replaced quantity.

1b. What if i send Cancel otherwise, The

partial filled order will get cancelled.

Cancelled message would be be sent with OrderQty=“ExecutedQty” which is more than the replaced quantity.

2a.I send a Order to buy 1000 stocks which gets Fully filled.Now i send
a Cancel/Replace for quantity 1500. Would this Cancel/replace work ?
Will this order be submitted as a different submission to trader? and
the marked as Fully Filled.

Depends on the implementation. You may encounter a rejection for a replaced order.

It would also be great if someone could explain me these situation
before Order has Ack’ed and After Order gets Ack’ed

Regards Sridhar

5

Case 1b: if you cancel an order, OrderQty cannot change and remains 1000. Cancel/Replace can change OrderQty but not below the already executed quantity in order to maintain OrderQty=CumQty+LeavesQty.

See also scenario B.1.b on page 59 in Volume 4 of the FIX 5.0 SP2 spec. The Cancel/Replace scenario is shown in C.3.c on page 68.

Hi All,

I want to how would the above scenario would function. 1a.I send a
Order to buy 1000 stocks which gets Partially filled by quantity
500.Now i send a Cancel/Replace for the same for quantity less than
the actual fill ( <500). Would this work?

Filled message would be be sent with OrderQty=“ExecutedQty” which is
more than the replaced quantity.

1b. What if i send Cancel otherwise, The

partial filled order will get cancelled.

Cancelled message would be be sent with OrderQty=“ExecutedQty” which is
more than the replaced quantity.

2a.I send a Order to buy 1000 stocks which gets Fully filled.Now i
send a Cancel/Replace for quantity 1500. Would this Cancel/replace
work ? Will this order be submitted as a different submission to
trader? and the marked as Fully Filled.

Depends on the implementation. You may encounter a rejection for a
replaced order.

It would also be great if someone could explain me these situation
before Order has Ack’ed and After Order gets Ack’ed

Regards Sridhar