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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 1:44AM ET 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 1:44AM ET
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