Unsolicited Exchange Modification

fixquery_x · January 7, 2009, 11:59am

Imported from previous forum

fixquery_x · January 7, 2009, 11:59am

Hi,
In 35=D, 207=XX, 100=XX.
Then there is an Unsolicited Modification (Exchange Modification), to change the exchange to ‘YY’.
Should this change will be taken care in Tag#207 and Tag#100 or ignored?? As in FIX4.2, Exchange Modification is not allowed.

If taken care, will it effects to both the Tags or only tag 100.
Then in fills (39=1 or 39=2) Tag#30 will contain which value - XX or YY?
If ignored, Tag#100 and Tag#207 will remain same i.e XX.
Then in fills (39=1 or 39=2) Tag#30 will contain which value - XX or YY?

Thanks in advance.
Sachin.

hanno.klein · January 13, 2009, 4:39pm

Tags 207 and 100 have different meanings/semantics. 207 SecurityExchange further identifies the instrument. If you change it you are saying that you want to trade a different instrument with the same order, does not really make sense.

100 ExDestination says where you want the order to execute. Changing it changes the marketplace. Seems strange to allow a modification of this value as the marketplace itself will certainly not accept it (it would have to “route” your order there, can’t really imagine that). A broker in between could obviously have tried your order in one place and then in another, informing you about the change. In my view, that would require you to have left tag 100 open, leaving it up to the recipient to choose the proper marketplace.

If you send tag 100, there should be no unsolicited modification of its value. You should be the only (if allowed) to change it. Typically, it is not allowed and you need to cancel the order and re-issue a new one.

Regards,
Hanno.

Hi, In 35=D, 207=XX, 100=XX. Then there is an Unsolicited Modification
(Exchange Modification), to change the exchange to ‘YY’. Should this
change will be taken care in Tag#207 and Tag#100 or ignored?? As in
FIX4.2, Exchange Modification is not allowed.

If taken care, will it effects to both the Tags or only tag 100. Then
in fills (39=1 or 39=2) Tag#30 will contain which value - XX or YY?

If ignored, Tag#100 and Tag#207 will remain same i.e XX. Then in
fills (39=1 or 39=2) Tag#30 will contain which value - XX or YY?

Thanks in advance. Sachin.

fplpo_x · January 14, 2009, 2:40am

[ original email was from Carfield Yim - carfield.w.yim@jpmorgan.com ]
> Hi, In 35=D, 207=XX, 100=XX. Then there is an Unsolicited Modification

(Exchange Modification), to change the exchange to ‘YY’. Should this
change will be taken care in Tag#207 and Tag#100 or ignored?? As in
FIX4.2, Exchange Modification is not allowed.

Sorry, which part of the specification saying that Exchange Modification is not allowed? The application I connected to always just send execution report ( 35=8 ) with execution type and order status are replaced ( 39=5 and 150=5 ) with the tag updated.

fixquery_x · January 14, 2009, 11:41am

Hi Yim,

Following has been narrated from FIX 4.2, page no. 105 for order modification request where fields which can be changed via this message are mentioned.

Sachin.

Order Cancel/Replace Request (a.k.a. Order Modification Request) -

The order cancel/replace request is used to change the parameters of an existing order.

Do not use this message to cancel the remaining quantity of an outstanding order, use the Cancel Request message for this purpose.

Cancel/Replace will be used to change any valid attribute of an open order (i.e. reduce/increase quantity, change limit price, change instructions, etc.) It can be used to re-open a filled order by increasing OrderQty.

An immediate response to this message is required. It is recommended that an ExecutionRpt with ExecType=Pending Replace be sent unless the Order Cancel/Replace Request can be immediately accepted (ExecutionRpt with ExecType=Replaced) or rejected (Order Cancel Reject message).

The Cancel/Replace request will only be accepted if the order can successfully be pulled back from the exchange floor without executing. Requests which cannot be processed will be rejected using the Cancel Reject message. The Cancel Reject message should provide the ClOrdID and OrigClOrdID values which were specified on the Cancel/Replace Request message for identification.

Note that while it is necessary for the ClOrdID to change and be unique, the broker’s OrderID field does not necessarily have to change as a result of the Cancel/Replace request.

Only a limited number of fields can be changed via the cancel/replace request message. All other fields should be retransmitted as sent in the original order. The fields which can be changed via this message are:
ExecInst
OrderQty
OrdType
Price
HandlInst
TimeInForce
TradingSessionID
EffectiveTime
ExpireDate
ExpireTime
MinQty
MaxFloor
StopPx
PegDifference
DiscretionInst
DiscretionOffset
CashOrderQty
OrderQty2
OpenClose
CoveredOrUncovered
Side (i.e. sell to sell plus)
MaxShow
LocateReqd

fplpo_x · January 15, 2009, 1:31am

[ original email was from Carfield Yim - carfield.w.yim@jpmorgan.com ]
I think what discussing here is unsol amend from exchange, which is difference from Order Cancel/Replace Request from buy side, isn’t it?

Hi Yim,

Following has been narrated from FIX 4.2, page no. 105 for order
modification request where fields which can be changed via this message
are mentioned.

Sachin.

Order Cancel/Replace Request (a.k.a. Order Modification Request) -

The order cancel/replace request is used to change the parameters of an
existing order.

Do not use this message to cancel the remaining quantity of an
outstanding order, use the Cancel Request message for this purpose.

Cancel/Replace will be used to change any valid attribute of an open
order (i.e. reduce/increase quantity, change limit price, change
instructions, etc.) It can be used to re-open a filled order by
increasing OrderQty.

An immediate response to this message is required. It is recommended
that an ExecutionRpt with ExecType=Pending Replace be sent unless the
Order Cancel/Replace Request can be immediately accepted (ExecutionRpt
with ExecType=Replaced) or rejected (Order Cancel Reject message).

The Cancel/Replace request will only be accepted if the order can
successfully be pulled back from the exchange floor without executing.
Requests which cannot be processed will be rejected using the Cancel
Reject message. The Cancel Reject message should provide the ClOrdID and
OrigClOrdID values which were specified on the Cancel/Replace Request
message for identification.

Note that while it is necessary for the ClOrdID to change and be unique,
the broker’s OrderID field does not necessarily have to change as a
result of the Cancel/Replace request.

Only a limited number of fields can be changed via the cancel/replace
request message. All other fields should be retransmitted as sent in the
original order. The fields which can be changed via this message are:
ExecInst OrderQty OrdType Price HandlInst TimeInForce TradingSessionID
EffectiveTime ExpireDate ExpireTime MinQty MaxFloor StopPx PegDifference
DiscretionInst DiscretionOffset CashOrderQty OrderQty2 OpenClose
CoveredOrUncovered Side (i.e. sell to sell plus) MaxShow LocateReqd

fixquery_x · January 14, 2009, 11:45am