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4.0 Session
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Re: Client Order ID of Order In Cancel Pending
Marcello Cultrera / Reuters
28 Sep 2007 4:24AM ET> I have a situation where a broker is sending me trades using the Client
> Order ID in my Order Cancel Request Message.
>
> Send: New Order Single - Client Order Id X Recv: Execution Message
> (order acknowledged) - Client Order Id X Send: Order Cancel Request -
> Client Order Id Y referencing X Recv: Execution Message (cancel pending)
> - Client Order Id Y Recv: Execution Message (trade) - Client Order Id Y
>
> This is causing havoc with my systems since there is no order message
> with client order id Y so my system is rejecting the trade. The broker
> is saying that it's valid to send a trade with the client order id of
> the cancel message. I say it is not valid. Who is correct?
HI Xavier as described in the Appendix D (Order State Change Matrix) of the FIX 4.0 specifics; for a New Order Single with ClOrdID = X and an Order Cancel Request with ClOrdID = Y, the state of the original order becomes Pending Cancel/Replace(6) and the state of the cancel becomes New(0). The broker is correct stating that the CIorderID mapped in tag 11 in the 35=F message (cancel request from your side) should be the reference in all the following sell fixout side replies (Y); Pending Cancel/Replace (35=8 39=6), cancelled (35=8 39=4), replaced (35=8 39=5), (35=8 39=1) and/or (35=8 39=2). Please let me know if you need more details.
regards,
Marcello Cultrera
Reuters FIX Equity Transactions Desk
Re: Client Order ID of Order In Cancel Pending
Marcello Cultrera / Reuters 28 Sep 2007 4:24AM ET
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