Scenarios - Partial/Change/Reverse

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Imported from previous forum

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Sequence

  1. Client A place order
  2.     Broker B partially executes order
  3. Client A changes order quantity
  4.     Broker B reverses original partial

Q. Should the reverse (4) reference the original order (1) which no longer exists or the replacement order (3)?

This scenario can be further complicated by the pending change state if 3 and 4 occur in close proximity to each other. However it is the basic state above that I am interested.

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[ original email was from scott gietler - scott@transacttools.net ]
You should review the order state change diagrams, cases D7-D10, in the FIX 4.X specs, they may help…

An execution should reference the original order if the replace has not been processed yet, the original order and the replacement order (via ClOrdId and origClOrdId), if the order replace is pending, and just the replacement order if the order replacement is complete.

So assuming you order replace has been accepted, it would reference the second order. It is also important to set execRefID and execTransType correctly.

There are examples of all all three of these cases in the state change diagrams.

Scott Gietler

> Sequence
> 1) Client A place order
> 2) Broker B partially executes order
> 3) Client A changes order quantity
> 4) Broker B reverses original partial
>
> Q. Should the reverse (4) reference the original order (1) which no longer exists or the replacement order (3)?
>
> This scenario can be further complicated by the pending change state if 3 and 4 occur in close proximity to each other. However it is the basic state above that I am interested.
>
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