Order rejected or order cancelled?

, ,
1

Imported from previous forum

2

Hello,

I’m currently testing the unsollicited removal of an order from the market in FIX 4.2, and I was wondering whether I should receive an execution report with order status rejected (39=8) or with order status cancelled (39=4). Also, does it depend on the previous status of the order?

Many thanks,
Ilyas

3

Ilyas,

IMHO, this depends on why the message has been cancelled. Our FIX interface to SWX sends
ExecutionReport with type Cancel, if the order
has been deleted by the exchange on member
request (emergency delete).

Have a look at tag 378(ExecRestatementReason):

"Code to identify reason for an ExecutionRpt message sent with ExecType=Restated or used when communicating an unsolicited cancel."

I would be interested which solution you found.

Regards, Jörg

P.S. Still using QuickFIX?

4

[ original email was from Ramesh Kadambi - Ramesh.Kadambi@ubs.com ]
Hi,

When an order is conceled by an exchange in an unsolicited manner,

  1. The exchange cancels the whole quantity.
  2. The exchange cancels only part of the quantity.

Scenario 1 is typically referred to as an unsolicited UR OUT. So it would typically be a 39=4 (Order canceled).

Scenario 2 is usually done via an execution restatement from FIX 4.2 onwards. I am not sure there is an exec restatement in versions below 4.2. There is a state matrix in appendix D that illustrates how Restatements should be done.

A restatement is ExecType=D and OrdStatus=<current Order Status> which can be New or PF etc…

I hope this helps.

NASDAQ uses restatements all the time… check out their FIX 4.2 spec for further illustrations
at http://www.nasdaqtrader.com

Ramesh

> Ilyas,
>
> IMHO, this depends on why the message has been cancelled. Our FIX interface to SWX sends
> ExecutionReport with type Cancel, if the order
> has been deleted by the exchange on member
> request (emergency delete).
>
> Have a look at tag 378(ExecRestatementReason):
>
> "Code to identify reason for an ExecutionRpt message sent with ExecType=Restated or used when communicating an unsolicited cancel."
>
> I would be interested which solution you found.
>
> Regards, Jörg
>
> P.S. Still using QuickFIX?
>
>