Imported from previous forum
Good afternoon,
I’m fairly new to the FIX protocol and i managed to send market orders to my broker. After that worked i started to test with stop orders (new single order with ordtype(40) = A). That also did work and i got a execution report (8) and the ordstatus A (39=A) which means “Pending New”.
I closed my application and started it again. Now i’m wondering if there is a fix message that will let me retrieve my open orders? (for example the stop order that was received by the broker/exchange but not yet filled).
I looked at the fix docs but couldn’t find such a message. Am i overlooking it?
Kind regards,
James
[ original email was from Richard Ney - rney@innerex.com ]
Hi James,
You would have to keep track of the orders you sent on your side. You probably at least want to keep the CLORDERIDs for orders to sent to the market so you can associate exec report to the corresponding orders.
Although what you want is probably something close to an order management system, which would keep track of all orders sent and of their current status, displaying fills/cancels/…
You can develop the OMS yourself although it can be sometimes tricky.
Let me know if you need more information.
Regards,
Richard
Good afternoon,
I’m fairly new to the FIX protocol and i managed to send market
orders to my broker. After that worked i started to test with stop
orders (new single order with ordtype(40) = A). That also did work
and i got a execution report (8) and the ordstatus A (39=A) which
means “Pending New”.I closed my application and started it again. Now i’m wondering if
there is a fix message that will let me retrieve my open orders? (for
example the stop order that was received by the broker/exchange but not
yet filled).I looked at the fix docs but couldn’t find such a message. Am i
overlooking it?Kind regards, James
Good afternoon,
I’m fairly new to the FIX protocol and i managed to send market
orders to my broker. After that worked i started to test with stop
orders (new single order with ordtype(40) = A). That also did work
and i got a execution report (8) and the ordstatus A (39=A) which
means “Pending New”.I closed my application and started it again. Now i’m wondering if
there is a fix message that will let me retrieve my open orders? (for
example the stop order that was received by the broker/exchange but not
yet filled).I looked at the fix docs but couldn’t find such a message. Am i
overlooking it?
To request the status of a specific order you probably need OrderStatusRequest(MsgType=H), but you need at least a list of
ClOrdID values to query.
Since FIX 4.3 there is a new MsgType=AF (MassOrderStatusRequest) which IMHO fits your needs perfectly:
Send MassOrderStatusRequest( MassStatusReqType=7(StatusAllOrders) )
Go to http://fixprotocol.org/FIXimate3.0/ at this site, select FIX 4.3 or higher, supply “Message by type” with “AF” and [Go].
Remains the question whether your counter party implements it…
Cheers, Jörg
I would say that you are best off maintaining this list yourself. Broker support for OrderStatus messages is patchy at best, and in any case it is generally a good idea for YOU to have a pretty good idea of what you have open at any given time.
Obviously in the scenario that you have described, you get the pendingNew prior to disconnection, the rest of the trade messages (acks , fills, busts etc) should flow when you next connect to the sellside.
George
Good afternoon,
I’m fairly new to the FIX protocol and i managed to send market
orders to my broker. After that worked i started to test with stop
orders (new single order with ordtype(40) = A). That also did work
and i got a execution report (8) and the ordstatus A (39=A) which
means “Pending New”.I closed my application and started it again. Now i’m wondering if
there is a fix message that will let me retrieve my open orders? (for
example the stop order that was received by the broker/exchange but not
yet filled).I looked at the fix docs but couldn’t find such a message. Am i
overlooking it?Kind regards, James