Rare case of busting and correcting the execution report

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1

Imported from previous forum

2

Hi,

I am wondering how to send reports in the following scenario:

  • Client sent an order of 1000 shares
  • The order got acknowledged by
  • The client received a partial of 200 shares
  • The second partial of 200 shares was sent to client but let’s say for some reason it got lost and only after the close this report was resent. At that time client doesn’t want to have this report so this trade will be taken into error account by the client’s counterparty.

In other words, the second partial needs to be busted and at the same time it is the unsolicited reduction of the order quantity by 200.

Questions (FIX.4.2)

  1. Is it necessary to send 1 or 2 reports in this case?
  2. What values should be sent in the OrdStatus, ExecTransType, ExecType, OrderQty?

Many thanks,

Alexander

3

[ original email was from Terrence Kim - terrencekim@consultant.com ]
Hello Alexander,

I believe you can view the below situation in several different aspect.

I guess this all depends on what you mean by "lost". Did it get lost in the network? or did it get lost inside your Order management system? Lost between the exchange <–> trader?

I’m sure Mr. Atwell & Pierce can give you more clarification as well.

Hope this helps.

One:
Assuming that In the below situation the client only received 200 shares, most likely the buy-side will require a DFD (done for day) to close out the partially filled order. (Unless we are talking about warehousing, which in US is illegal)
In which case, anything after that will be automatically rejected from the buy-side system. For the buy-side the order is considered a closed order for the day. (We are also assuming that this is an intraday order.)

Two:
If we are talking about Amend/Busting an order you have two options. Both basically revolves around Tag 20. One way is to amend the order where you just amend the previous execution. The other way (which seems to be lot cleaner) is to bust the execution (meaning cancel 20=1) and then replace it (39=5) with a new execution.

I believe the ExecTransType field introduced in FIX 2.7 no longer exists and if I recall correctly the ExecType field introduced in FIX 4.1 has had several values removed and introduced.

Also note that starting from FIX 4.3 this no longer applies.

Terrence C. Kim
WestLB Panmure Limited.

> Hi,
>
> I am wondering how to send reports in the following scenario:
> - Client sent an order of 1000 shares
> - The order got acknowledged by
> - The client received a partial of 200 shares
> - The second partial of 200 shares was sent to client but let’s say for some reason it got lost and only after the close this report was resent. At that time client doesn’t want to have this report so this trade will be taken into error account by the client’s counterparty.
>
> In other words, the second partial needs to be busted and at the same time it is the unsolicited reduction of the order quantity by 200.
>
> Questions (FIX.4.2)
> 1. Is it necessary to send 1 or 2 reports in this case?
> 2. What values should be sent in the OrdStatus, ExecTransType, ExecType, OrderQty?
>
> Many thanks,
>
> Alexander
>

4

I’m not sure I completely understand this scenario.

  1. Why would busting the 200 shares imply a reduction in OrderQty? OrderQty was 1000. After the first partial OrderQty was still 1000 and LeavesQty was 800. After the second partial OrderQty was still 1000 and LeavesQty was 600. You indicated that the market had closed. If this was a day order, the order is effectively having it’s balance eliminated automatically (OrderQty being reduced by LeavesQty). Thus I do not see any reason to communicate a change in FIX OrderQty.

  2. This seems like a business issue as you refer to “got lost”, “client doesn’t want to have this report”, etc. I think many business relationships and the specific circumstance (fault) will dictate whether or not the client can simply “not want it”.

  3. My preference for a corrective action in a "rare case", after the close, and involving a business relationship discussion/decision would be to make the necessary amends out-of-band manually on both ends if necessary.

  4. Refer to the Order State Change Matrices in Appendix D for how to bust an execution.

> Hi,
>
> I am wondering how to send reports in the following scenario:
> - Client sent an order of 1000 shares
> - The order got acknowledged by
> - The client received a partial of 200 shares
> - The second partial of 200 shares was sent to client but let’s say for some reason it got lost and only after the close this report was resent. At that time client doesn’t want to have this report so this trade will be taken into error account by the client’s counterparty.
>
> In other words, the second partial needs to be busted and at the same time it is the unsolicited reduction of the order quantity by 200.
>
> Questions (FIX.4.2)
> 1. Is it necessary to send 1 or 2 reports in this case?
> 2. What values should be sent in the OrdStatus, ExecTransType, ExecType, OrderQty?
>
> Many thanks,
>
> Alexander
>

5

Hello,

many thanks for prompt responses.

It is indeed a business issue, I should say instead of getting lost, a report was filled with with unacceptable price and the client noticed it only later and refused to take that partial.

So the situation is the following:

  • The order was filled by some exchange and our company as an intermediary has this execution but client refuses to take it.
  • OrderQty was 1000.
  • First partial - OrderQty still 1000, LeavesQty 800.
  • Second partial - LeavesQty 600.
  • The order was filled by some exchange and our company as an intermediary has this execution but client refuses to take it.
  • Our business practice requires us to take this trade into error/accomodation account. This is equivalent to busting second partial + reducing the total number of shares by 200.

Now the client has LeavesQty 600, CumQty 200 - total order quantity is 800 (not 1000). And I am still not sure what reports need to be sent and what fields need to be populated in this situation. Currently, this is indeed handled manually on both sides but we are looking for ways to automate this process.

> I’m not sure I completely understand this scenario.
>
> 1) Why would busting the 200 shares imply a reduction in OrderQty? OrderQty was 1000. After the first partial OrderQty was still 1000 and LeavesQty was 800. After the second partial OrderQty was still 1000 and LeavesQty was 600. You indicated that the market had closed. If this was a day order, the order is effectively having it’s balance eliminated automatically (OrderQty being reduced by LeavesQty). Thus I do not see any reason to communicate a change in FIX OrderQty.
>
> 2) This seems like a business issue as you refer to “got lost”, “client doesn’t want to have this report”, etc. I think many business relationships and the specific circumstance (fault) will dictate whether or not the client can simply “not want it”.
>
> 3) My preference for a corrective action in a “rare case”, after the close, and involving a business relationship discussion/decision would be to make the necessary amends out-of-band manually on both ends if necessary.
>
> 4) Refer to the Order State Change Matrices in Appendix D for how to bust an execution.