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4.2 Changes
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Re: CashOrderQty vs. OrderQty
John Prewett / Lava Trading
7 Oct 2005 2:25PM ETHi Roseate,
Changing OrderQty and LeavesQty (as a result of changing OrderQty) on successive ExecReports doesn't appear to break FIX protocol as far as I can see. Whether it will break the buy-side OMS that receives these ExecReports is another matter.
To avoid as many complications as possible with the buy-side OMS you could only calculate OrderQty one time when the NewOrderSingle is first received and thereafter keep it constant. Yet this could then exceed the CashOrderQty limitation were the price of the stock to rise during the life of the buy order!
You can't win here.
In my humble opinion, if the buy-side wants clean predictable behavior, all they have to do is send you OrderQty. If they really, really want to use CashOrderQty (which seems somewhat bleeding edge to me) they had better be prepared to bleed a little.
My best advice is: Certification testing had better be extensive...
JohnP
> John,
>
> Thanks for the nice response.
>
> In case of re-calculate the orderqty due to the market movement base on
> CashOrderQty, which will result changing of tag38(orderqty) of the order
> as well as the subsequent leaveQty of the order, does the fix protocal
> support such change for an order? - considering tag38 as one of the
> basic order attribute of an order, I'm concerned if the change if this
> value value will break the chain of msg.
>
> Is there any common practice for such scenario?
>
> Thanks, Roseate
Re: CashOrderQty vs. OrderQty
John Prewett / Lava Trading 7 Oct 2005 2:25PM ET
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