Imported from previous forum
If I get an incoming order that would trade except for the fact that the party with the resting order doesn’t want to trade with the aggressor, what would be the proper way to communicate that to the aggressor?
First, the party with the resting order has to convey to the execution venue that it does not want to trade with the aggressor by using the Parties block with PartyRole = 57 = Unacceptable Counterparty. These kind of orders are typically hidden as they otherwise create a crossed book (especially bad for price level market data), i.e. a match is possible based on price but other restrictions prevent it from happening.
Normally, the aggressor would thus not even realize that there is somebody who does not want to trade with him. You could obviously send out the order of the first party together with its restrictions as public market data. Then the aggressor can find out why it does not match. An easier example is a MinQty condition where the aggressor just does not have enough qty in his order.
I would advise against trying to tell the aggressor explicitly why he has not traded. There could be so many reasons. Rather provide all necessary details via market data for him to find out on his own.
You cannot reject the incoming order because it might trade against another order that is just about to come in. The aggressor’s order becomes a resting order.
If I get an incoming order that would trade except for the fact that the party with the resting order doesn’t want to trade with the aggressor, what would be the proper way to communicate that to the aggressor?