[This message was posted by Hanno Klein of Deutsche Börse Systems <hanno.kl...@deutsche-boerse.com> 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/1e557698 - PLEASE DO NOT REPLY BY MAIL.]
Igor, are you sure that LastQty is 10 and not 15 in your final bullet (ExecType=FILL)? The numbers do not seem to add up. The requirement to send current order status information as early as possible is certainly common. The problem is to align transaction models of a core exchange matching system and FIX. Sending out multiple ExecutionReport with intermediate states that never really existed for the matcher might lead to order modification or deletion requests that are useless. With FIX 5.0 SP1, an alternate message flow was described for exchange environments (see Volume 7). The replace request that leads to one or more immediate executions would only result in a single ExecutionReport that shows the latest LeavesQty and CumQty values. the component <FillsGrp> reports the individual executions and the replacement is not mentioned explicitly. However, the user knows that his replacement request was not rejected and can infer that the price must have successfully changed from A to B. Regards, Hanno. > Hi, > > We have seen an interesting behavior on CME recently: the tag CumQty > decreased between execution reports with REPLACE and PARTIAL_FILL. > > CME support clarified that it is an intentional deviation from FIX > spec, which might actually be very helpful for buy sides that would > like to know the latest order state as soon as possible in the chain of > order updates. > > Scenario: > - order 1...@a is accepted > - client issues replace request with the new price B > - venue replies with ExecType=REPLACE OrdStatus=REPLACED LeavesQty=0 > CumQty=17 price=B > - venue replies with ExecType=PARTIAL_FILL OrdStatus=PARTIALLY_FILLED > LeavesQty=15 CumQty=2 LastQty=2 price=B (note, CumQty decreased, > LeavesQty went from 0 to 15) > - ... another partial fill > - venue replies with ExecType=FILL OrdStatus=FILLED LeavesQty=0 > CumQty=17 LastQty=10 price=B > > I am just curious if this is indeed a FIX deviation or something that > may happen at other venues as well, that is, quite common practice? > > What is your experience? > > Thanks in advance, Igor [You can unsubscribe from this discussion group by sending a message to mailto:unsubscribe+100932...@fixprotocol.org] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to fix-proto...@googlegroups.com. To unsubscribe from this group, send email to fix-protocol+unsubscr...@googlegroups.com. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
