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4.2 Changes
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Re: OrderCancelReplace after Partial Fill - Tag38
Ryan Pierce / Lehman Brothers
10 Oct 2008 2:31PM ETAn Order Cancel/Replace Request should always consider order quantity to include any shares already traded. In #4, assuming you only want to trade 74 shares in total, including the 1 share already traded, then 38=74. If you send 34=73, then you would be asking the exchange to reduce the order quantity by 1, and 72 shares would be open which, if filled, will result in 73 shares total trading for that order.
Assuming you don't want to reduce the total quantity, then in #4 you should send 38=74. Assuming you did that, #5-#7 are incorrect as 38=74, but the LeavesQty's appear correct for the LastShares values given.
The final trade should have 150=2 and 39=2, at least in FIX 4.2.
Plenty of examples of Cancel/Replace scenarios are in the FIX 4.2 Appendix D.
Re: OrderCancelReplace after Partial Fill - Tag38
Ryan Pierce / Lehman Brothers 10 Oct 2008 2:31PM ET
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