Imported from previous forum
[ original email was from Jeff Yancey - jeff.yancey@computershare.com.au ]
It would be extremely useful to be able to request, with a single message, the recovery of all my orders and trades. An Order and Trade recovery message will vastly facilitate rebuilding the Market picture after disconnection. At the moment the recovery of all my orders and trades is tedious at best.
jy
In FIX 4.3 we introduced an Order Mass Cancel Request and an Order Mass Cancel Report. What you are describing sounds to me like an "Order Mass Status Request" (or "Mass Order Status Request") which would trigger a series of ExecutionReports with ExecType=Order Status. That would provide you with the status of each order. It sounds like you also need the ability to get all of your fills as well, so maybe this new message would have a field which control whether you just received ExecType=Order Status or you also received ExecType=Trade for the partial fills/fills which have executed thus far. Can you take a look at Order Mass Cancel Request and Order Status Request in presently in this draft of FIX 4.3 and take a first cut at what this might look like to meet your needs?
> It would be extremely useful to be able to request, with a single message, the recovery of all my orders and trades. An Order and Trade recovery message will vastly facilitate rebuilding the Market picture after disconnection. At the moment the recovery of all my orders and trades is tedious at best.
>
> jy
>
[ original email was from Jeff Yancey - jeff.yancey@computershare.com.au ]
Yes, a "Order Mass Status Request" message would provide the desired functionality if the same criteria that was used by "Order Mass Cancel Request" can be specified for Order/Trade retrieval. I presume that I would received a string of Order Status Messages for each Order. I would think that a separate message for "Trade Mass Status Request" or equivalent would be perhaps a cleaner solution rather than a field on an Order Status Request (but you could argue that it is a partially filled/filled Order - I can live with that!).
jy
> In FIX 4.3 we introduced an Order Mass Cancel Request and an Order Mass Cancel Report. What you are describing sounds to me like an "Order Mass Status Request" (or "Mass Order Status Request") which would trigger a series of ExecutionReports with ExecType=Order Status. That would provide you with the status of each order. It sounds like you also need the ability to get all of your fills as well, so maybe this new message would have a field which control whether you just received ExecType=Order Status or you also received ExecType=Trade for the partial fills/fills which have executed thus far. Can you take a look at Order Mass Cancel Request and Order Status Request in presently in this draft of FIX 4.3 and take a first cut at what this might look like to meet your needs?
>
>
> > It would be extremely useful to be able to request, with a single message, the recovery of all my orders and trades. An Order and Trade recovery message will vastly facilitate rebuilding the Market picture after disconnection. At the moment the recovery of all my orders and trades is tedious at best.
> >
> > jy
> >
>
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
We have a Trade Capture Report Request defined in the draft FIX 4.3 specification - you can specify criteria for retrieval of trades - so I think the notion of trades can be reported via this mechanism.
Is there anything incorrect (assuming that the order handling system or market can handle this) to report filled orders as Execution Reports with exectype of query and ordstatus=Filled? If this works - the order mass status request could be used to get status on orders, including filled orders.
> Yes, a "Order Mass Status Request" message would provide the desired functionality if the same criteria that was used by "Order Mass Cancel Request" can be specified for Order/Trade retrieval. I presume that I would received a string of Order Status Messages for each Order. I would think that a separate message for "Trade Mass Status Request" or equivalent would be perhaps a cleaner solution rather than a field on an Order Status Request (but you could argue that it is a partially filled/filled Order - I can live with that!).
>
> jy
>
> > In FIX 4.3 we introduced an Order Mass Cancel Request and an Order Mass Cancel Report. What you are describing sounds to me like an "Order Mass Status Request" (or "Mass Order Status Request") which would trigger a series of ExecutionReports with ExecType=Order Status. That would provide you with the status of each order. It sounds like you also need the ability to get all of your fills as well, so maybe this new message would have a field which control whether you just received ExecType=Order Status or you also received ExecType=Trade for the partial fills/fills which have executed thus far. Can you take a look at Order Mass Cancel Request and Order Status Request in presently in this draft of FIX 4.3 and take a first cut at what this might look like to meet your needs?
> >
> >
> > > It would be extremely useful to be able to request, with a single message, the recovery of all my orders and trades. An Order and Trade recovery message will vastly facilitate rebuilding the Market picture after disconnection. At the moment the recovery of all my orders and trades is tedious at best.
> > >
> > > jy
> > >
> >
>