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4.1 Changes
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re: Execution Report
Andrew Schorr
25 Feb 1998 10:10AM ETI have a couple of questions regarding changes to
the Execution Report in 4.1. First, there is a new
column labeled "Precedence" in the table of OrdStatus
values. The existence of a Precedence value implies that
these values should be used to resolve conflicts. I'm
probably missing something, but I don't see where it is
explained what conflicts are to be resolved by using those
Precedence values. Can someone please elaborate?
Also, regarding the addition of OrigClOrdID to the
Execution Report: this is a non-trivial change in behavior,
and I think this should be better explained. From studying
the Order State Change Matrices, I have deduced that
the ClOrdID field will no longer contain the ID of
the order affected by the Execution Report when the
OrdStatus value is Replaced, Canceled, or Pending Cancel.
In such cases, it would appear that the relevant order ID
will be contained in the OrigClOrdID field, and the ClOrdId
field will instead contain the ID of the message that
triggered the cancellation/replacement of the order
specified in the OrigClOrdID field. This change seems
questionable to me. Isn't it much simpler if the ClOrdID
field always contains the ID of the order to which this
Execution Report pertains? If it is necessary to identify
the message that triggered the cancellation, then a new
field should be used for that purpose, perhaps called
CxlClOrdId. That would be much clearer in my opinion.
Does anyone else agree? If this change is made as
documented, then the code that processes the Execution
Reports will have to look at the FIX version and the
OrdStatus value in order to determine which field to
look at (ClOrdID or OrigClOrdID) to identify the order
being impacted by this report. Or would you argue to always
look at the OrigClOrdID field if it is present? At the
very least, someone should enhance the documentation
for the ClOrdID in the table to show which message is
being identified by that value. Simply to say that it
is required is not a good explanation.
Andrew Schorr
schorr@ead.dsa.com
Daiwa Securities America Inc.
Execution Report Ryan Pierce / Townsend Analytics Ltd. / Archipelago LLC 17 Feb 1998 2:38PM ET re: Execution Report
Andrew Schorr 25 Feb 1998 10:10AM ET
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