Imported from previous forum
When sending an OrderCancelReject (Type=9) due to an unknown OrigClOrdID(t41) or a duplicate ClOrdID(t11), what should be placed in the OrderID(t37) field.
This field is optional on both the OrderCancelRequest and the OrderCancelReplace, however it is required on the OrderCancelReject.
(1) If the reason for reject is that the ClOrdID is a duplicate (i.e has been used before) then should this hold the original OrderID.? ( this does not really make sense as the place where the ClOrdID had been used before could be a completely different order…! )
(2) If the reason if due to unknown OrigClOrdID(t41) can I just put a new OrderID in there? This new OrderID will not then be used again by the broker, however it does not represent a real order.
(3) Ideally I would want to just not supply the OrderID(t37), however this is a required field
What do other FIX engines do in this scenario?
Thanks
John Agbai