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4.2 Changes
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Re: Partial fill after Cancel response (39=4)
Sunil Singh / Tata Consultancy Services <>
17 Mar 2008 11:37PM ET Sachin,
Ideally speaking in a scenario like this, the buy side OMS has to DK any subsequent fills recieved on an already cancelled order. In your case its a good thing for your side that the client OMS is able to accept the partial fills after receiving the cancelled ER. The problem with Exchange interface is that there is a latency involved in sending the ER's due to which the cancelled ER is sent prior to sending the partial fills on the order. I have also seen this kind of scenario in practice.
One way to have a work-around on this is to generate an unsolicited cancel ER after having sent the partial fills on the cancelled order. Since the client OMS is able to take the partial-fills, it will also be able to take the unsol cxl. The logic of sending an auto Unsol Cxl from your side is something which you need to look at and build in your system.
Regards,
Sunil Singh
Re: Partial fill after Cancel response (39=4)
Sunil Singh / Tata Consultancy Services 17 Mar 2008 11:37PM ET
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@FIXProtocol
