[This message was posted by John Greenan of http://www.alignment-systems.com
<[email protected]> to the "4.2 Changes" discussion forum at
http://fixprotocol.org/discuss/5. You can reply to it on-line at
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Interesting....
There is at least one global Investment Bank that does not get 39/150 right
when busting full fills.
See below example. The full fill is bust but the bust has 30=2 (Filled)
This is live and in production today.
Outbound Message 2009-04-27 16:09:05,192 INFO
out.ORDERROUTINGHUB_BUYSIDE_COMPID - >297 OrderSingle (8=FIX.4.2 9=281 35=D
49=BUYSIDE_COMPID 56=ORDERROUTINGHUB 34=297 52=20090427-14:09:05 97=N
128=SELLSIDE_COMPID 50=BuySideDealerName 11=LZR1010570-1!FUT 21=3 100=XLIF
207=XLIF 54=1 60=20090427-14:09:05 38=5 40=1 15=GBP 59=0 439=JPMCLR 440=89567
107=90 DAY STERLING FUTURE 0609 200=200906 55=L M9 22=5 48=L M9 167=FUT
1=BOOKING_ACCOUNT 10=237 )
pending new
Inbound Message 2009-04-27 16:09:05,582 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID
- <370 ExecutionReport (8=FIX.4.2 9=361 35=8 49=ORDERROUTINGHUB
56=BUYSIDE_COMPID 115=SELLSIDE_COMPID 34=370 50=SELLSIDE_COMPID
57=BuySideDealerName 43=N 52=20090427-14:09:05 369=297
37=065867546-LN24:090427:96283 11=LZR1010570-1!FUT 109=BUYSIDE_COMPID
76=SELLSIDE_COMPID 17=12408316147001560 20=0 150=A 39=A 1=BOOKING_ACCOUNT 55=L
M9 48=L M9 22=5 167=FUT 200=200906 207=XLIF 54=1 38=5.0 40=1 15=GBP 59=0 32=0.0
31=0.0 151=5.0 14=0.0 6=0.0 60=20090427-14:09:05.000 10=191 )
new
Inbound Message 2009-04-27 16:09:09,317 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID
- <371 ExecutionReport (8=FIX.4.2 9=361 35=8 49=ORDERROUTINGHUB
56=BUYSIDE_COMPID 115=SELLSIDE_COMPID 34=371 50=SELLSIDE_COMPID
57=BuySideDealerName 43=N 52=20090427-14:09:08 369=297
37=065867546-LN24:090427:96283 11=LZR1010570-1!FUT 109=BUYSIDE_COMPID
76=SELLSIDE_COMPID 17=12408316147001570 20=0 150=0 39=0 1=BOOKING_ACCOUNT 55=L
M9 48=L M9 22=5 167=FUT 200=200906 207=XLIF 54=1 38=5.0 40=1 15=GBP 59=0 32=0.0
31=0.0 151=5.0 14=0.0 6=0.0 60=20090427-14:09:09.000 10=166 )
fill
Inbound Message 2009-04-27 16:09:30,145 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID
- <372 ExecutionReport (8=FIX.4.2 9=385 35=8 49=ORDERROUTINGHUB
56=BUYSIDE_COMPID 115=SELLSIDE_COMPID 34=372 50=SELLSIDE_COMPID
57=BuySideDealerName 43=N 52=20090427-14:09:29 369=297
37=065867546-LN24:090427:96283 11=LZR1010570-1!FUT 109=BUYSIDE_COMPID
76=SELLSIDE_COMPID 17=96283.LN24:090427:49107 20=0 150=2 39=2 1=BOOKING_ACCOUNT
55=L M9 48=L M9 22=5 167=FUT 200=200906 207=XLIF 54=1 38=5.0 40=1 15=GBP 59=0
32=5.0 31=2365.0 151=0.0 14=5.0 6=2365.0 75=20090427 60=20090427-14:09:29.000
10=196 )
fill - busted
Inbound Message 2009-04-27 16:09:36,145 INFO in.ORDERROUTINGHUB_BUYSIDE_COMPID
- <373 ExecutionReport (8=FIX.4.2 9=400 35=8 49=ORDERROUTINGHUB
56=BUYSIDE_COMPID 115=SELLSIDE_COMPID 34=373 50=SELLSIDE_COMPID
57=BuySideDealerName 43=N 52=20090427-14:09:35 369=297
37=065867546-LN24:090427:96283 11=LZR1010570-1!FUT 109=BUYSIDE_COMPID
76=SELLSIDE_COMPID 17=12408316147001580 20=1 19=96283.LN24:090427:49107 150=0
39=2 1=BOOKING_ACCOUNT 55=L M9 48=L M9 22=5 167=FUT 200=200906 207=XLIF 54=1
38=5.0 40=1 15=GBP 59=0 32=0.0 31=0.0 151=5.0 14=0.0 6=0.0 75=20090427
60=20090427-14:09:35.000 10=120 )
> Hi Elton,
>
> Tag 150 should reflect the status of the order once the bust has been
> taken into account. So if the bust is the only trade of a fully filled
> order then the message would be 150=0/20=1. A bust on the last fill of
> an order filled in several clips should go back as 150=1/20=1.
>
> Tag 39 could be different. A busted fill on a partially filled and
> cancelled order should generate 39=4/150=1/20=1 as per line 7 of example
> D35 in Appendix D.
>
> The comment below made in an earlier post is interesting, especially
> since I heard something similar recently -
>
> "One of our FIX partners told me that ExecType would be *always* 150=4
> when the Execution Report is busting an execution -- but I'm not sure
> about that."
>
> - I personally do not understand the logic of this. 150=4 (Cancelled)
> refers to the order not the fill, and does not follow the logic behind
> tag 20 in 4.2 to denote the transction type being reported (new,
> cancel, correct or status). 4.3 and later deprecate tag 20 and put the
> values into tag 150, but a cancelled order and a trade cancel are
> still distinct values (150=4 and 150=H respectively).
>
> A question for a wider audience - is there a common deviation from the
> spec with regards to reporting busts as 150=4 ?
>
> Regards,
>
> - Greg
>
>
>
> > Hello,
> >
> > Thanks, but my question is: when an ExecutionReport is busting an
> > execution (20=1), what value should I use in tag 150? Does it have the
> > same value of tag 39?
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