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Re: Partial fill after Cancel response (39=4)
FIX Query
18 Mar 2008 1:56AM ET Ismail,
But the problem is the fills are received after some seconds and not milliseconds. Therefore this may not be the viable solution.
What do you think of Sunil's solution to forward unsolicited cancel ER after receiving the trade?
Regards,
Sachin
> This is a common scenario in most exchange connections.
>
> One work around is to delay processing the "Cancel Accept" from the
> exchange by a configurable number of milliseconds.
>
> Some exchange "Cancel" messages includes a field called "Canceled
> Quantity"; which indicate how much of the order was remaining. You can
> compare that number with your order book remaining quantity. if they are
> equal; then there are no outstanding fills. If not; then you got to w
> wait for outstanding fills.
>
> hope this help.
>
> Ismail.
>
> > > 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
> >
> >
> > Thanks Sunil/Tushar,
> >
> > But as a sell side vendor we have multiple buy side connections and
> > luckily this buy side accepts the fills post cancel ER. But if another
> > buy side client do not accept fills post cancel, then how would that
> > need to be handled in FIX? We have also encountered that most of the
> > buy side do not support unsolicited messages.
> >
> > From a multiple connectivity perspective what could be the best
> > solution and acceptable to all?
> >
> > regards, Sachin
Re: Partial fill after Cancel response (39=4)
FIX Query 18 Mar 2008 1:56AM ET
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