Pending cancel/modify in Bloomberg

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Imported from previous forum

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Hi all,

Currently I’m developing a routing system so we can translate fix orders (bloomberg) into our own in-house developed message format. I’m in doubt because the document I have describing this version of the protocol tells that “Bloomberg expects either an Order Cancel Reject or immediate Execution Report-Filling Status Cancel Pending confirming the arrival of our message”, but I can’t find any mention of OrdStatus for Cancel Pending.

I already saw the implementation of FIX in many markets and I think that the right flow is: OrderCancelRequest --> ExecutionReport(Pending cancel)-as soon as we receive the message --> ExecutionReport(Cancelled)-as soon as the order is cancelled in market.

By now I can’t see any log, I also have no access to integration environment. So, my question is: does Bloomberg really expects such messages (Pending cancel, pending modify)?

Thanks in advance.

3

[ original email was from Herby Raynaud - herby.raynaud@transacttools.net ]
Alexander

I think there is a bit of confusion. Very often FIX execution reports are referred to by their abbrevated functional description so an Execution Report Pending Cancel, 35=8, OrdStatus =6 is simply referred to as the “Pending Cancel” message. Likewise and Execution Report Pending Replace 35=8, OrdStatus=E, is often referred to as a “Pending Replace” message

Separate Pending Cancel and Pending Replace message types do not exist for orders and executions.

The flow you describe below is correct.

Regards

Hi all,

Currently I’m developing a routing system so we can translate fix
orders (bloomberg) into our own in-house developed message format. I’m
in doubt because the document I have describing this version of the
protocol tells that “Bloomberg expects either an Order Cancel Reject or
immediate Execution Report-Filling Status Cancel Pending confirming the
arrival of our message”, but I can’t find any mention of OrdStatus for
Cancel Pending.

I already saw the implementation of FIX in many markets and I think that
the right flow is: OrderCancelRequest → ExecutionReport(Pending cancel)-
as soon as we receive the message → ExecutionReport(Cancelled)-as soon
as the order is cancelled in market.

By now I can’t see any log, I also have no access to integration
environment. So, my question is: does Bloomberg really expects such
messages (Pending cancel, pending modify)?

Thanks in advance.

4

Thank you very much, Herby.

Best regards,
Alexander Vavilin.

Alexander

I think there is a bit of confusion. Very often FIX execution reports
are referred to by their abbrevated functional description so an
Execution Report Pending Cancel, 35=8, OrdStatus =6 is simply referred
to as the “Pending Cancel” message. Likewise and Execution Report
Pending Replace 35=8, OrdStatus=E, is often referred to as a “Pending
Replace” message

Separate Pending Cancel and Pending Replace message types do not exist
for orders and executions.

The flow you describe below is correct.

Regards

Hi all,

Currently I’m developing a routing system so we can translate fix
orders (bloomberg) into our own in-house developed message format. I’m
in doubt because the document I have describing this version of the
protocol tells that “Bloomberg expects either an Order Cancel Reject
or immediate Execution Report-Filling Status Cancel Pending confirming
the arrival of our message”, but I can’t find any mention of OrdStatus
for Cancel Pending.

I already saw the implementation of FIX in many markets and I think
that the right flow is: OrderCancelRequest → ExecutionReport(Pending
cancel)- as soon as we receive the message → ExecutionReport(Cancelled)-
as soon as the order is cancelled in market.

By now I can’t see any log, I also have no access to integration
environment. So, my question is: does Bloomberg really expects such
messages (Pending cancel, pending modify)?

Thanks in advance.