OrderStatusRequest after disconnect

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1

Imported from previous forum

2

Hi all,

considers the following scenario:

client sends NewOrderSingle/OrderCancelRequest

client disconnects before getting ExecReports

logs in again

Shall the client get unsolicited ExecReports then
or shall it request status using OrderStatusRequest
for every single order?

Is there another FIX protocol way to request status of all orders / subscribe to status changes?

And how about orders send by other means and which have to be communicated to the FIX interface?

Any comments or "common usage" are welcome!

Regards, Jörg

3

Execution Reports should be queued up and sent upon re-connect. Note that some systems will specify that live orders are immediately cancelled if connectivity is lost.

FIX Version 4.3 introduced an "Order Mass Status Request" (MsgType=AF).

> Hi all,
>
> considers the following scenario:
>
> client sends NewOrderSingle/OrderCancelRequest
>
> client disconnects before getting ExecReports
>
> logs in again
>
> Shall the client get unsolicited ExecReports then
> or shall it request status using OrderStatusRequest
> for every single order?
>
> Is there another FIX protocol way to request status of all orders / subscribe to status changes?
>
> And how about orders send by other means and which have to be communicated to the FIX interface?
>
> Any comments or "common usage" are welcome!
>
> Regards, Jörg
>
>

4

[ original email was from John Prewett - jprewett@lavatrading.com ]
Hi Jörg,

Once the client logs in again, all outstanding FIX messages (from client or execution venue sides) should be (re)transmitted by the FIX engines. This should include untransmitted requests from the client as well as untransmitted ExecReports from the execution venue that were generated during the period the client was disconnected. Therefore sending OrderStatusRequest(s) shouldn’t be necessary with well-behaved systems.

With FIX.4.2 and earlier, if you want to discover the status of all your orders for whatever reason, you would need to submit one OrderStatusRequest message per order. If you had lost your order book, that would be effectively impossible.

With FIX.4.3 and later (assuming it is supported by the execution venue), you can send a single OrderMassStatusRequest to inquire about the status of all of your orders.

I hope this helps.

> Hi all,
>
> considers the following scenario:
>
> client sends NewOrderSingle/OrderCancelRequest
>
> client disconnects before getting ExecReports
>
> logs in again
>
> Shall the client get unsolicited ExecReports then
> or shall it request status using OrderStatusRequest
> for every single order?
>
> Is there another FIX protocol way to request status of all orders / subscribe to status changes?
>
> And how about orders send by other means and which have to be communicated to the FIX interface?
>
> Any comments or "common usage" are welcome!
>
> Regards, Jörg
>
>

5

Thanks, Scott and John!

> And how about orders send by other means and which have to be communicated to the FIX interface?

Should unsolicited ExecReport (eg generated by orders inserted/deleted via a GUI) reported in the same way? Are there any new mechanism in FIX 4.3 or FIX 4.4?

Thanks, Jörg