[This message was posted by Hanno Klein of Deutsche Börse Systems <[EMAIL PROTECTED]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/f2af5bb0 - PLEASE DO NOT REPLY BY MAIL.]
Either way you are stuck with an inconsistency of data across all messages you receive. Receiving a Cancel confirmation with the (from your point of view) correct amount of 100K should imply that the order was canceled at a point in time when 100K had been executed. Additional fills would no longer be possible. Receiving a Cancel confirmation with the (from the broker point of view) correct amount of 500K should imply that the order was canceled at a point in time when 500K had been executed. As you expected a value of 100K you should deduct that you must have missed some fills. If this all happens across a single FIX session and the fills come with message sequence numbers higher than the one used for the cancel confirmation, I would talk to the broker about his application logic which seems to make life harder for his customers. Maybe his system queues the fills somewhere, adds information to them etc. which takes much longer than cancel confirmations which might be sent directly. The cancel confirmation compiled by the broker probably has no chance but to use the current cumQty of 500K if it is not synchronized with previous fills. The broker would need to keep track of outstanding Execution Reports for fills and ensure a consistent delivery of messages, i.e. queuing things in a way that reflect the sequence of events on his side. As a workaround you could set a flag for outstanding fills. You clear the flag once you have received the missing Execution Reports and throw an exception if this does not happen within x amount of time. Regards, Hanno. > > > > > > > > Does that make sence for the cacel to come before the fills? > > > > > > It does NOT make sense. Your broker seems to have a problem. You > > > will have to treat them as unsolicited trades and call your broker > > > up... you sure these are not trade busts&corrections? > > > > > > Yes, but then let me ask you what is the correct behavior on this > > order. If you get a partial fill of 100K and then a cancel of 500K w/o > > the fills for it. Do you go by the last fill amount or the amount of > > the cancel ticket. (the broker sends you a cancel w/ a cumqty=500K > > cumqty should be the total filled at the time of cxl. So it > should be 100K. [You can unsubscribe from this discussion group by sending a message to mailto:[EMAIL PROTECTED] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [EMAIL PROTECTED] For more options, visit this group at http://groups.google.com/group/FIX-Protocol?hl=en -~----------~----~----~----~------~----~------~--~---
