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4.0 Session
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Re: ClOrdID while accepting Cancel Request Messages
Marcello Cultrera / Reuters
6 Sep 2007 2:31AM ET> Hi
>
> I have a question regarding Order State change matrix in Appendix D of
> the Fix 4.0 specification.
>
> This question is for implementing Fix4.0 protocol. The sequence of
> events is as follows New Order Received - ClOrdID X Partial fill -
> execution report Cancel Request - ClOrdID - Y If i accept the Cancel
> Request I am currently reporting ClOrdID Y , with OrdStatus = 4
> (Cancelled).
>
> Based on the Fix 4.0 matrix is it also correct to accept a cancel
> request by setting ClOrdID - X, OrdStaus = 4.
>
> Please advice on which is more appropriate and if the second response
> with ClOrdID X is also acceptable
>
> thanks
HI Nam, according to fix specifics if you wish to process the cancel request from the fixin side (35=F) the next 2 options could be 1> follow with a Pending Cancel/Replace (35=8 39=6) and from here with the cancelled (35=8 39=4) or replaced (35=8 39=5) acknowledgements to the Institution. If not suitable because there was a previous fill for the full quantity or the order was executed on the market then simply reply to the cancel request with a 35=9 order cancel reject.
Also in case of 35=F : Order Cancel Request or 35= G : Order Cancel/Replace please be aware that the message will mapp two attributes tag 41 and tag 11 both compulsory; 41 (OrigCIorID) will mapp the initial 35=D orderid and 11(OrderID) would mapp a new order id which will be the reference for the cancelled or replaced order.
Hope it makes sense and answeres your questions,
best regards,
Marcello Cultrera
Transactions support Executive
Reuters
Re: ClOrdID while accepting Cancel Request Messages
Marcello Cultrera / Reuters 6 Sep 2007 2:31AM ET
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