I was hoping to get some feedback of the use of OrdStatus(39)=A and ExecType(150)=A pending new being reported using an ExecutionReport(35=8) from the perspective of a modern electronic trading venue.
There was a FIX exchange working group that Hanno Klein and some folks from OMX and BVMF in Brazil led years ago that agreed that reporting OrdStatus(39)=A and ExecType(150)=A were not required for electronic trading venues. Their work preceded the extreme reductions in latency and increases in order volumes, which seems to push even further elimination of the pending new state.
Would you agree that it is probably best for exchanges to omit reporting of Pending New order status and execution type, instead acknowledging the order using OrdStatus(39)=0 and ExecType(150)=0 (New)? Any feedback is appreciated.
Hi Jim,
AFAIK Pending New is returned when the exchange backend shortly omits trading of an instrument due to its market model. So the order is queued for a glimpse of a second and thereafter enters the order book. This second change is then stated by another Execution Report 150=New. Order book may be closed shortly in a market model where an order book match and as a result a new trading price is executed.
Regards
Uli
I think it depends on the transactional boundaries whether Pending New makes sense. A single transaction on the side of the order recipient should not require him to issue more than one ExecutionReport(35=8) message for that transaction. That only increases verbosity without adding value. Note that FIX added the OrderEventGrp component with EP131 where you can use a single ExecutionReport(35=8) message to convey multiple events back to the order submitter, e.g. an order that is added, partially filled and then suspended. OrderEventReason(1798) identifies the initial event which could be from the submitter. e.g. 1=Add Order Request but also from the exchange, e.g. 12=Start of Day.
The EEWG Recommended Practices document talked about performance and the reduction of the number of messages required for a given business workflow. Risk management was mentioned as one of the exceptions to the rule of avoiding Pending New. Pre-trade risk checks are part of some of the regulatory environments around the globe and may cause a delay.
@111s mentions another use case, i.e. whenever the recipient is able to accept a transaction but cannot act on it immediately. The Pending New allows the submitter to amend or even cancel the transaction prior to its actual execution.