Imported from previous forum
Hi,
In Indian exchange, MKT (market) order is released to exchange with price as ZERO.
On receipt to it, exchange, in response sends back order confirmation but price as ZERO.
With order matching at exchange for this MKT order, exchange, in response sends back order confirmation with ACTUAL PRICE.
In this scenario, as SELL side FIX engine shall we send back two separate exection reports i.e. one with 39=0 but 44=0 and second 39=0 but 44=ACTUAL PRICE.
Is this right approach as per FIX 4.2 Specifications?
Otherwise kindly suggest alternative approach.
Hi,
I would advise sending only 1 report with 39=0,40=1 as the BUY side sent an order as MKT.
You shouldnt be worried about the MKT order unless the Exchange converts it into a LIMIT order on the unavailablity of the opposite side. If the exchange converts it to a LIMIT order, you could probably use a restated message 150=D, 378=3/4,40=2,44=.
Correct me if I am wrong here.
Thanks
James
Hi,
In Indian exchange, MKT (market) order is released to exchange with price as ZERO.
On receipt to it, exchange, in response sends back order confirmation but price as ZERO.
With order matching at exchange for this MKT order, exchange, in response sends back order confirmation with ACTUAL PRICE.In this scenario, as SELL side FIX engine shall we send back two separate exection reports i.e. one with 39=0 but 44=0 and second 39=0 but 44=ACTUAL PRICE.
Is this right approach as per FIX 4.2 Specifications?
Otherwise kindly suggest alternative approach.
A market order ^40=1^ does not required LimitPx 44 value on the message, since an Indian exchange has required the price field on every order message even if its market order where the price is meaningless, your Sellside FIX engine is "null"ing it to ZERO (all caps 
and the exchange echos it back as zero in the first exec report message.
What values of ExecType, ExecTransType & Order status are u getting in your Execution report messages from Exchange ? You have only mentioned values of OrdStatus 39=0 New
? From Exchange, are you getting
1st ExecReport with ^150=A^20=0^40=1^44=0^ Pending new and
2nd ExecReport with ^150=0^20=0^40=1^44=77.1234^ New
(where 77.1234 is a Random number out of my head)
Hi,
In Indian exchange, MKT (market) order is released to exchange with price as ZERO.
On receipt to it, exchange, in response sends back order confirmation but price as ZERO.
With order matching at exchange for this MKT order, exchange, in response sends back order confirmation with ACTUAL PRICE.In this scenario, as SELL side FIX engine shall we send back two separate exection reports i.e. one with 39=0 but 44=0 and second 39=0 but 44=ACTUAL PRICE.
Is this right approach as per FIX 4.2 Specifications?
Otherwise kindly suggest alternative approach.