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4.2 Changes
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OrderCancelReplace after Partial Fill - Tag38
Azmat Mohammed
10 Oct 2008 1:04PM ETAll,
I have a question about how this case should be handled. I looked in the spec and couldn't find this scenario.
1. I send a NOS (38=74, LIMIT, 44=107.6)
2. I receive ack that it is NEW.
3. I receive a partial fill (38=74, 32=1, 151=73, 44=107.59)
4. I then send a CancelReplaceRequest (44=107.6, 38=74???)
5. I receive a partial fill (38=73, 32=1, 151=72, 44=107.6)
6. I receive a partial fill (38=73, 32=19, 151=53, 44=107.6)
7. I receive a fill (38=73, 32=53, 151=0, 44=107.6).
I think there are a few problems with this. My issue is mostly with #4. When I send out the CancelReplace what should tag 38 be? Should it be 74 (original orderqty) OR should it be 73 (the unfilled quantity)?
And finally the last fill came in with 150=2, 39=2. Should I have received a final partial fill with a quantity of 53 and THEN received a fill?
There might be something wrong with the partial fills because of something we are doing. This is from a simulated exchange that we've created in house. I can change both sides, I just want to know how the FIX spec defines this scenario.
thanks!
OrderCancelReplace after Partial Fill - Tag38
Azmat Mohammed 10 Oct 2008 1:04PM ET
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