Imported from previous forum
[ original email was from Nick Kopan - nkopan@attain.com ]
How do other Exchanges handle order receipt during resequencing?
When Exchanges receive orders with the PossDupFlag set to ‘Y’ as responses to a Resend Request, do you accept the orders as live, or simply use this data for sequence number / logging purposes?
-Nick
Nick Kopan
Systems Programming and Database Development
Attain ECN
nkopan@attain.com
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> How do other Exchanges handle order receipt during resequencing?
>
> When Exchanges receive orders with the PossDupFlag set to ‘Y’ as responses to a Resend Request, do you accept the orders as live, or simply use this data for sequence number / logging purposes?
Archipelago considers them as live orders. Most systems I know of will usually consider them live orders.
Clients have a choice whether or not to resend orders as a result of a resend request. If the client wishes to resend the order, it usually makes sense to accept it.
However, not all FIX engines give clients the choice of whether orders should be resent as a result of a Resend Request, hence it sometimes makes sense to attempt to protect the client in this case. Hence sell-sides, ECNs/Exchanges might want to check to see if the order is visibly stale. FIX 4.2 introduces TransactTime as a required field on the order; this allows the them to look at the time the order was originated by the client’s business process, and if that time is significantly old, reject the order.
It is possible that this same function could be done in pre-4.2 versions using OrigSendingTime, assuming the client populates it properly when responding to a Resend Request.