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4.2 Changes
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Re: Partial fill after Cancel response (39=4)
Ismail Ferkous / Macquarie Securities
18 Mar 2008 2:15AM ET Sachin
If you know for sure that there are outstanding fills (by checking the Canceled Quantity field); then you have to wait for a given time period. I have seen some OMSs that waits for up to 1 minute (Fidessa for example).
After that period of time; you have to give up and process the Cancel request; and also issue an alert so manual intervention is required.
If we are talking straight-through-processing (aka DMA); the trades will always arrives in a reasonable time (below 1 minute). If it didn't then you have to assume the downstream system (in this case the Exchange) has problems.
In this case; you system should be able to send alerts to the Trader/System Administrator so appropriate action need to be taken to reconcile the order details with clients manually.
The solution you proposed may work with some OMSs; but certainly not all of them. Talking legal; once the order is canceled; it's canceled. Any trade received after that; it is up to the client to take it or not; depending if it is in their favour. You don't want to be in that position.
regards.
Ismail.
>
> 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)
Ismail Ferkous / Macquarie Securities 18 Mar 2008 2:15AM ET
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