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General Q/A
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Re: Order Qty/Fill Question
John Prewett / Lava Trading
9 Jun 2009 11:42AM ET> 1a. I send a Order to buy 1000 stocks which gets Partially
> filled by quantity 500. Now i send a Cancel/Replace for the
> same for quantity less than the actual fill ( <500).
> Would this work?
1a: Please look at the FIX.5.0 SP2 volume 4 Order State Change Matrices C.3.c.
Whether this will work as specified is a different issue. I suspect that almost no-one follows the FIX specification on this point. We (Lava) try to pass back an unsolicited cancel for the original order followed by a CancelReject as response to the ReplaceRequest. We do this because most OMSs are unable to follow the (tricky) FIX specification which suggests that the ExecReport(replaced) contains an altered OrderQty which is equal to the CumQty, not the value specified on the ReplaceRequest.
> 1b. What if i send Cancel otherwise, The partial filled order will
> get cancelled.
1b: I'm sorry, I don't understand the question.
> 2a. I send a Order to buy 1000 stocks which gets Fully filled.
> Now i send a Cancel/Replace for quantity 1500.
> Would this Cancel/replace work ?
2a: Please look at the FIX.5.0 SP2 volume 4 Order State Change Matrices C.1.c.
The execution venue will either honor the increase or more likely will decide to CancelReject your ReplaceRequest (TLTC).
JohnP
Re: Order Qty/Fill Question
John Prewett / Lava Trading 9 Jun 2009 11:42AM ET
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