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General Q/A
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re: FIX 4.2, Transaction Matrix D8
John Greenan / Alignment Systems
17 Dec 2003 7:03PM ETHi,
A little surprising, maybe, but explainable...
Take this scenario. Buy side A places an order with sell-side B in the morning for 100k vodafone shares. This is a very liquid stock so lets suppose that the order is filled in three partial executions.
This would be communicated as a series of execution reports.
Later on that day A decides that they want a total of 200k of Vodafone.
Rather than send a new order they send a cancel/replace on the existing order to increase the size from 100k to 200k. The sell - side then receives this and rather than rejecting accepts this and gets another 100k of shares.
Why? In some cases the buy-side will pay a custodian based not on the number of executions but on the number of tickets (individual orders). By allowing the buy-side to increase the size the sell-side is helping out by reducing the cost of doing this deal to the buy-side.
I've seen this done a number of bulge bracket houses.
Typically the order would allow the D8 transition to occur up until a done for day has been sent to the buy-side - often at market close. This makes sense, as the market is still open so the sell-side would accept another order in the same stock.
Get in touch off-line if you'd like to discuss this further.
Regards,
John
> Does anyone else find the scenario in D8 a little surprising? Specifically, after an order is received and COMPLETELY filled, a Cancel/Replace is received which I would expect to be REJECTED, given that the order was completely filled and closed. However, the matrix shows the Cancel/Replace being accepted and applied, essentially re-opening the order for the incremental quantity? How long after an order is filled must it remain available for increases in quantity?
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> Any feedback or thoughts on this are greatly appreciated.
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re: FIX 4.2, Transaction Matrix D8
John Greenan / Alignment Systems 17 Dec 2003 7:03PM ET
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