Unknown Cancel or Replace Requests

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Imported from previous forum

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If a broker receives a cancel or replace request from another broker and we do not recognize the OrigClID specified for cancellation/replacement, we obviously need to reject the request.

The Order Execution Report however has particular required fields which we would be unable to meaningfully populate (ie/ leaves quantity, fill quantities, etc) with order specific detail, given we don’t recognize the OrigClID.

Is there a standard for populating these required fields where the order is unknown to the reciever?

Is the "correct" FIX solution to actually DK this request?

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[ original email was from Yevgeniy Tovshteyn - yevgeniy@javtech.com ]
If you can not procces cancel or replace, you reject it with OrderCancelReject message. There is very little collection of required field in this message, most of then you get from the cancel / replace message.

> If a broker receives a cancel or replace request from another broker and we do not recognize the OrigClID specified for cancellation/replacement, we obviously need to reject the request.
>
> The Order Execution Report however has particular required fields which we would be unable to meaningfully populate (ie/ leaves quantity, fill quantities, etc) with order specific detail, given we don’t recognize the OrigClID.
>
> Is there a standard for populating these required fields where the order is unknown to the reciever?
>
> Is the “correct” FIX solution to actually DK this request?
>

4

[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> If a broker receives a cancel or replace request from another broker and we do not recognize the OrigClID specified for cancellation/replacement, we obviously need to reject the request.
>
> The Order Execution Report however has particular required fields which we would be unable to meaningfully populate (ie/ leaves quantity, fill quantities, etc) with order specific detail, given we don’t recognize the OrigClID.
>
> Is there a standard for populating these required fields where the order is unknown to the reciever?
>
> Is the “correct” FIX solution to actually DK this request?

The way to reject a Cancel or a Cancel / Replace Request is an Order Cancel Reject (MsgType=9). The CxlRejReason field has an enumeration for Unknown Order.

You do NOT reject Cancels or Cancel / Replaces by sending an Execution. Nor do you use DK, which is used to reject an Execution Report.

In short: (hoping that the formatting will remain when I post this)

Message: Rejected with:

Order Execution
Cancel Order Cancel Reject
Cancel / Replace Order Cancel Reject
Execution DK