Partial fill with Kill Rest immedialy

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1

Imported from previous forum

2

We have a requirement for a new order to be flagged as "cancel rest" if a partial is done on it.

So partial Ok, remainder of order killed immediately.

I don’t see any specific tags that describes the above scenario for order messages.

which tag(s) do i use and what values?

TIA.
J.

3

[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> We have a requirement for a new order to be flagged as “cancel rest” if a partial is done on it.
>
> So partial Ok, remainder of order killed immediately.
>
> I don’t see any specific tags that describes the above scenario for order messages.
>
> which tag(s) do i use and what values?

Please clarify which of these two scenarios would best describe this:

A. An order is sent, and must receive an immediate response. Either it is immediately filled, part filled and the remainder immediately cancelled, or immediately cancelled.

B. An order is sent, and can stay on the books for minutes or hours. It may be filled. But if a partial fill happens, the remainder is immediately cancelled.

The former is common, and is represented with TimeInForce = Immediate or Cancel (3). The latter doesn’t, to my knowledge, exist conceptually in the FIX Protocol. I don’t know of any markets that support it, and I would be quite curious if it is supported, and for what business purpose it is used.

4

> > We have a requirement for a new order to be flagged as “cancel rest” if a partial is done on it.
> >
> > So partial Ok, remainder of order killed immediately.
> >
> > I don’t see any specific tags that describes the above scenario for order messages.
> >
> > which tag(s) do i use and what values?
>
> Please clarify which of these two scenarios would best describe this:
>
> A. An order is sent, and must receive an immediate response. Either it is immediately filled, part filled and the remainder immediately cancelled, or immediately cancelled.
>
> B. An order is sent, and can stay on the books for minutes or hours. It may be filled. But if a partial fill happens, the remainder is immediately cancelled.
>
> The former is common, and is represented with TimeInForce = Immediate or Cancel (3). The latter doesn’t, to my knowledge, exist conceptually in the FIX Protocol. I don’t know of any markets that support it, and I would be quite curious if it is supported, and for what business purpose it is used.
>
>

It is actually the B scenario as uncommon as it may seem. It is the OTC market, nasdaq bulletin board that support this.

an order could be flagged as I described, with a Day or time in force order so it can stay around for while.

any ideas anyone?

thanks