Status of Orders after a successful reconnection

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Imported from previous forum

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[ original email was from Ainhoa Dewisme - ainhoa.dewisme@reuters.com ]
Hi,

If after a comms failure a FIX user successfully reconnects, what is the recommended workflow to notify the FIX user the status of their orders?

Is it the responsibility of the FIX user to send an OrderStatusRequest message for each order? Is ECN/Exchanges recommended behaviour to provide the appropriate status via ExecutionResults for Open Orders only? Or should ECNs also provide execution results for Matched/Unconfirmed Orders?

I reviewed some of the docs on this site that I thought would contain this information, but could not see it (mainly the recommended pratices document for ECNS …)

Thanks and Regards

Ainhoa

3

There is no single answer to your question as it depends on the environment and the risk a user wants to take. The situation is quite different for exchanges than for single connections between buy- and sell-side.

Some exchanges offer an automatic suspension or even cancellation of orders upon a loss of connection. If the market moves during your own outage, you might not want your orders to be active any more until you confirm it.

Then there is the issue of efficiency, e.g. is it a good idea to restate all orders in the morning prior to trading to enable consistency checks at the other end? The question applies in a similar way to restatements after connection failures. I would expect the side receiving orders, e.g. an exchange, to implement a reliable mechanism to ensure that you receive update notifications. This requires queuing messages until you are re-connected and have the ability to process these messages. A full-scale synchronization of orders between both sides is only applicable to small scale environments.

Exchanges typically also offer some form of end-of-day reports which can be used for reconciliation. Theoretically, OrderMassStatusRequests can give you the full picture during the day too but I would not see this as a best practice. The Global Exchanges and Markets Committee discussed this in the Recommended Best Practices document (chapter 3.3.3 Restatement of Orders)

Regards,
Hanno.

Hi,

If after a comms failure a FIX user successfully reconnects, what is the
recommended workflow to notify the FIX user the status of their orders?

Is it the responsibility of the FIX user to send an OrderStatusRequest
message for each order? Is ECN/Exchanges recommended behaviour to
provide the appropriate status via ExecutionResults for Open Orders
only? Or should ECNs also provide execution results for
Matched/Unconfirmed Orders?

I reviewed some of the docs on this site that I thought would contain
this information, but could not see it (mainly the recommended pratices
document for ECNS …)

Thanks and Regards

Ainhoa

4

[ original email was from Ainhoa Dewisme - ainhoa.dewisme@reuters.com ]
Hi Hanno,

Thank you very much for your answer. From what you are saying, if a match took place at the ECN (prior to the ECN detecting a user disconnection) and the message never made it to the persistence store at the ECN, Small venues could offer a reliable mechanism that push those unconfirmed matches back to the user upon ECN reconnection. Larger venues can offer end-of-day reports which can
be used for reconciliation. The latter option seems most appropriate.

Thanks and Regards

Ainhoa

There is no single answer to your question as it depends on the
environment and the risk a user wants to take. The situation is quite
different for exchanges than for single connections between buy- and
sell-side.

Some exchanges offer an automatic suspension or even cancellation of
orders upon a loss of connection. If the market moves during your own
outage, you might not want your orders to be active any more until you
confirm it.

Then there is the issue of efficiency, e.g. is it a good idea to restate
all orders in the morning prior to trading to enable consistency checks
at the other end? The question applies in a similar way to restatements
after connection failures. I would expect the side receiving orders,
e.g. an exchange, to implement a reliable mechanism to ensure that you
receive update notifications. This requires queuing messages until you
are re-connected and have the ability to process these messages. A full-
scale synchronization of orders between both sides is only applicable to
small scale environments.

Exchanges typically also offer some form of end-of-day reports which can
be used for reconciliation. Theoretically, OrderMassStatusRequests can
give you the full picture during the day too but I would not see this as
a best practice. The Global Exchanges and Markets Committee discussed
this in the Recommended Best Practices document (chapter 3.3.3
Restatement of Orders)

Regards, Hanno.

Hi,

If after a comms failure a FIX user successfully reconnects, what
is the recommended workflow to notify the FIX user the status of
their orders?

Is it the responsibility of the FIX user to send an OrderStatusRequest
message for each order? Is ECN/Exchanges recommended behaviour to
provide the appropriate status via ExecutionResults for Open Orders
only? Or should ECNs also provide execution results for
Matched/Unconfirmed Orders?

I reviewed some of the docs on this site that I thought would contain
this information, but could not see it (mainly the recommended
pratices document for ECNS …)

Thanks and Regards

Ainhoa