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Re: ClOrdId value for replaced/cancelled on fix 4.0
Himanshu Sharma / Self
19 Apr 2012 5:53AM ET

> I'd like a simple clarification on valid fix 4.0 behaviour based on counterparty behaviour for cancels.
> Scenario
> FIX.4.0
> NewOrderSingle: 11=X
> ExecRpt Ack: 11=X, 39=0
> Cancel: 11=Y, 41=X
> ExecRpt PendingCancel: 11=Y, 39=6
> Now the point of debate
> ExecRpt Cancelled: 11=X, 39=4
>
> In FIX 4.2, tag 41 is introduced in the execRpt so in the order state matrix clearly states the cancelled (39=4) should have in the above case 11=Y, 41=X
>
> In the FIX 4.0 spec appendix D the value of 11 isn't defined so I assume it was left for firms to interpret?
>
> This should be a case where the later FIX version clarifies explicitly the behaviour in FIX 4.2
>
> So, is the above FIX 4.0 scenario invalid for a solicited cancel scenario? Right now we see because of 11=X this execRpt as an unsolicited cancel...
>
> Any thoughts?
> Thanks
> Dan

ExecRpt Cancelled: 11=X, 39=4 should be
ExecRpt Cancelled: 11=Y, 39=4

You should ask counterparty to send 11=Y (39=4) as they have rightly sent 11=Y on 39=6. Tag 37 should remain thru all exec rpts.

ClOrdId value for replaced/cancelled on fix 4.0
Daniel Benninger / Bloomberg L.P.   29 Mar 2012 2:49AM ET

Re: ClOrdId value for replaced/cancelled on fix 4.0
Himanshu Sharma / Self   19 Apr 2012 5:53AM ET