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4.2 Changes
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Re: Order Status
SriPavan Thayaparan / Millennium Information Technolog <>
31 Jul 2008 2:02AM ETShakir,
My view is, it conforms to FIX. Here is an extract from the FIX 4.2 specs :-
"A Cancel on an execution (trade bust) happening the same day of the trade will result in CumQty and
DayCumQty each decreasing by the quantity busted, and LeavesQty increasing by the quantity busted.
OrderQty and DayOrderQty will remain unchanged. If the business rules allow for a trade bust to be
reported on a later date than the trade being busted, the OrderQty and DayCumQty will remain
unchanged, the LeavesQty and DayOrderQty will increase by the quantity busted, and the CumQty will
decrease by the quantity busted."
If the leaves can be increased in this manner, for a bust that results in Order Qty = Leaves implies, the order status is NEW.
What I meant by "deny" is that some systems, keep the order status in PFILL, even when this condition is met. I think if your system is an "Order Router" you must ignore the exchange stamped order status, and display a FIX compliant order status all the time for your clients. i.e NEW.
Hope this helped. I couldn't find a order status change matrix table for trade bust resulting in Order Qty = Leaves Qty. Hard luck!
Rgds,
Thaya.
> Thanks Thaya.
>
> Does this confirm to FIX? As you pointed out that certain systems may
> deny, then it would create issue in handling multiple connectivities.
>
> Regards, Shakir
>
> > Hi Shakir,
> >
> > If trade cancels can happen with reinstatements (executed qty added
> > back to the book upon cancellation), your scenario in question is
> > valid. Though certain systems may deny to communicate it as Order
> > status = NEW, in a case where ...
> >
> > Order Qty = Leaves Qty the order status should be NEW.
> >
> > Rgds, Thaya.
> >
> >
> > > Hi,
> > >
> > > We have come across a unique case where the status of the order is
> > > changed from partial fill to New. As per my understanding this
> > > should not happen. Please help to clarify.
> > >
> > > Following is an example: For an order there is a trade which has
> > > resulted in partial fill. This trade is removed from the order which
> > > resulted in no executions.
> > >
> > > Regards, Shakir
Re: Order Status SriPavan Thayaparan / Millennium Information Technolog 30 Jul 2008 7:19AM ET Re: Order Status
SriPavan Thayaparan / Millennium Information Technolog 31 Jul 2008 2:02AM ET Re: Order Status Scott Atwell / American Century Investments 31 Jul 2008 8:57AM ET
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