Imported from previous forum
Chaps,
Can you help me with a question?
If an order that has already been cancelled successfully receives a late execution (e.g. from an exchange), should the execution report sent upstream have the tag 11 value of the cancel request (that was accepted) or the tag 11 value before that, i.e. the tag 41 of the cancel?
This is a bit like the scenarios D4 and D5 in FIX 4.2 appendix D, but not quite - hence the question.
Many thanks
Jim.
Hi Jim,
Once the exchange has send an orderStatus(39)=cancelled(4), clients should not expect any following execution reports of type: trade.
The exchange may send orderStatus(39)=PendingCancel(6) followed by execution reports of type: trade. In such a case, the CLOrderID(11) is still the last ID BEFORE the order was cancelled.
I’d recommend to follow table b.1.b, page 59 in: http://www.fixtradingcommunity.org/pg/file/fplpo/read/29958/fix-50-service-pack-2-with-20110818-errata-specification-volume-4
Also consider busted execution scenario in table J.1.b page 91.
I hope this helps,
Yuval