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4.2 Changes
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Re: ExecType in Bust Execution
John Greenan / http://www.alignment-systems.com
8 May 2009 11:43AM ET Interesting....
There is at least one global Investment Bank that does not get 39/150 right when busting full fills.
See below example. The full fill is bust but the bust has 30=2 (Filled)
This is live and in production today.
Outbound Message 2009-04-27 16:09:05,192 INFO out.ORDERROUTINGHUB_BUYSIDE_COMPID - >297 OrderSingle (8=FIX.4.29=28135=D49=BUYSIDE_COMPID56=ORDERROUTINGHUB34=29752=20090427-14:09:0597=N128=SELLSIDE_COMPID50=BuySideDealerName11=LZR1010570-1!FUT21=3100=XLIF207=XLIF54=160=20090427-14:09:0538=540=115=GBP59=0439=JPMCLR440=89567107=90 DAY STERLING FUTURE 0609200=20090655=L M922=548=L M9167=FUT1=BOOKING_ACCOUNT10=237)
pending new
Inbound Message 2009-04-27 16:09:05,582 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID - <370 ExecutionReport (8=FIX.4.29=36135=849=ORDERROUTINGHUB56=BUYSIDE_COMPID115=SELLSIDE_COMPID34=37050=SELLSIDE_COMPID57=BuySideDealerName43=N52=20090427-14:09:05369=29737=065867546-LN24:090427:9628311=LZR1010570-1!FUT109=BUYSIDE_COMPID76=SELLSIDE_COMPID17=1240831614700156020=0150=A39=A1=BOOKING_ACCOUNT55=L M948=L M922=5167=FUT200=200906207=XLIF54=138=5.040=115=GBP59=032=0.031=0.0151=5.014=0.06=0.060=20090427-14:09:05.00010=191)
new
Inbound Message 2009-04-27 16:09:09,317 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID - <371 ExecutionReport (8=FIX.4.29=36135=849=ORDERROUTINGHUB56=BUYSIDE_COMPID115=SELLSIDE_COMPID34=37150=SELLSIDE_COMPID57=BuySideDealerName43=N52=20090427-14:09:08369=29737=065867546-LN24:090427:9628311=LZR1010570-1!FUT109=BUYSIDE_COMPID76=SELLSIDE_COMPID17=1240831614700157020=0150=039=01=BOOKING_ACCOUNT55=L M948=L M922=5167=FUT200=200906207=XLIF54=138=5.040=115=GBP59=032=0.031=0.0151=5.014=0.06=0.060=20090427-14:09:09.00010=166)
fill
Inbound Message 2009-04-27 16:09:30,145 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID - <372 ExecutionReport (8=FIX.4.29=38535=849=ORDERROUTINGHUB56=BUYSIDE_COMPID115=SELLSIDE_COMPID34=37250=SELLSIDE_COMPID57=BuySideDealerName43=N52=20090427-14:09:29369=29737=065867546-LN24:090427:9628311=LZR1010570-1!FUT109=BUYSIDE_COMPID76=SELLSIDE_COMPID17=96283.LN24:090427:4910720=0150=239=21=BOOKING_ACCOUNT55=L M948=L M922=5167=FUT200=200906207=XLIF54=138=5.040=115=GBP59=032=5.031=2365.0151=0.014=5.06=2365.075=2009042760=20090427-14:09:29.00010=196)
fill - busted
Inbound Message 2009-04-27 16:09:36,145 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID - <373 ExecutionReport (8=FIX.4.29=40035=849=ORDERROUTINGHUB56=BUYSIDE_COMPID115=SELLSIDE_COMPID34=37350=SELLSIDE_COMPID57=BuySideDealerName43=N52=20090427-14:09:35369=29737=065867546-LN24:090427:9628311=LZR1010570-1!FUT109=BUYSIDE_COMPID76=SELLSIDE_COMPID17=1240831614700158020=119=96283.LN24:090427:49107150=039=21=BOOKING_ACCOUNT55=L M948=L M922=5167=FUT200=200906207=XLIF54=138=5.040=115=GBP59=032=0.031=0.0151=5.014=0.06=0.075=2009042760=20090427-14:09:35.00010=120)
> Hi Elton,
>
> Tag 150 should reflect the status of the order once the bust has been
> taken into account. So if the bust is the only trade of a fully filled
> order then the message would be 150=0/20=1. A bust on the last fill of
> an order filled in several clips should go back as 150=1/20=1.
>
> Tag 39 could be different. A busted fill on a partially filled and
> cancelled order should generate 39=4/150=1/20=1 as per line 7 of example
> D35 in Appendix D.
>
> The comment below made in an earlier post is interesting, especially
> since I heard something similar recently -
>
> "One of our FIX partners told me that ExecType would be *always* 150=4
> when the Execution Report is busting an execution -- but I'm not sure
> about that."
>
> - I personally do not understand the logic of this. 150=4 (Cancelled)
> refers to the order not the fill, and does not follow the logic behind
> tag 20 in 4.2 to denote the transction type being reported (new,
> cancel, correct or status). 4.3 and later deprecate tag 20 and put the
> values into tag 150, but a cancelled order and a trade cancel are
> still distinct values (150=4 and 150=H respectively).
>
> A question for a wider audience - is there a common deviation from the
> spec with regards to reporting busts as 150=4 ?
>
> Regards,
>
> - Greg
>
>
>
> > Hello,
> >
> > Thanks, but my question is: when an ExecutionReport is busting an
> > execution (20=1), what value should I use in tag 150? Does it have the
> > same value of tag 39?
Re: ExecType in Bust Execution
John Greenan / http://www.alignment-systems.com 8 May 2009 11:43AM ET
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@FIXProtocol
