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ECNs, Exchanges
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Re: ClOrdID [11] value in trade capture reports
Aaron Pryce / Consultancy <>
22 Jul 2010 4:19PM ET Hi Natan,
Understand where you are coming from. Probably worth mentioning that the current FIX rules on TR are very open, presumably to allow for all the varied TR models in the marketplace.
One reason to use something like Tag 37 (OrderID) (unique public order ref as assigned by the venue/exchange) for the key order reference on trade report submissions is to get around linking back to a chained Tag 11 (ClOrdID).
What's your underlying issue around Tag 11 and Trade Reports? Are you experiencing issues when processing replies to TR's related to using Tag 11 as the key identifier?
> > What about using a venue assigned unique identifier that doesn't change like Tag 37 (OrderID)?
>
> The Trade Capture Report needs to carry the following references
> 1) ExecID [17] to point to the Execution Report Trade;
> 2) OrdID [37] to point to the exchange / broker associated ID - from client's prospective this is possibly a chain of order ammendments;
> 3) ClOrdID [11] as the associated order has been submitted electronically.
>
> Honoring the ClOrdId [11] an providing the matching the value with the original execution report has advantage of
> 1) unambiguously pointing to the appropriate link in the chain of ammendments made by client.
> 2) avoids race conditions in synchronizing back office sub-system with real-time trading / matching engine. Depending on the time Trade Capture Report is issued (if the client order is still alive) the current value in tag 11 may refer to any link in the chain and not necessarily be the last in the lifetime of the order. More over, the matching engine may be in he process of handling Cancel Replace request.
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Re: ClOrdID [11] value in trade capture reports
Aaron Pryce / Consultancy 22 Jul 2010 4:19PM ET
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