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General Q/A
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Re: Population of tag 39 and 150 in ExecReport (after a Reject)
Hanno Klein / Deutsche Börse Systems <>
24 Feb 2010 12:11PM ET I respectfully disagree. We have been one of these exchanges in the past but changed out behaviour to be compliant with FIX on this issue. Rules of engagement should not be used to change key FIX concepts and I believe total order quantity is one of these concepts.
Another example is to add a user-defined field to the Order Cancel Request to convey a quantity that is supposed to reduce as opposed to cancel the entire order. FIX clearly states that this is what Order Cancel/Replace is for.
FIX fields are not just containers for values but in many cases FIX has attached a semantic to the field content. The issue at hand is one of them. FIX compliance is not just a matter of syntactical compliance, i.e. avoidance of session level Reject messages.
Regards,
Hanno.
> Behaviors such as this are subject to the rules of engagement. In the
> case of reduction in quantity - there are behaviors supported by some
> exchanges that allow the indicated quantity to be interpreted as the
> quantity remaining open to be filled. Again, this behavior and the
> corresponding messaging values are described in the rules of engagement
> for the exchange.
> > Hi Christian,
> >
> > Problems with quantity reduction are typically never trivial and cause
> > huge amounts of issues in trading systems (IMHO).
> >
> > According to the protocol, the CancelReplaceRequest should be
> > accepted.
> >
> > The ExecReport to convey this has the following fields: o
> > ExecType=replaced o OrdStatus=filled
> >
> > I will point you at the FIX.5.0SP2 docs which tend to show the latest
> > thinking, which is also probably applicable to whatever version of the
> > protocol you are using. Please read Volume 4 Appendix D example c.3.b.
> >
> > I hope this helps.
> >
> > JohnP
Re: Population of tag 39 and 150 in ExecReport (after a Reject)
Hanno Klein / Deutsche Börse Systems 24 Feb 2010 12:11PM ET
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