[This message was posted by John Prewett of Lava Trading (Citi) <[email protected]> to the "4.0 Session" discussion forum at http://fixprotocol.org/discuss/12. You can reply to it on-line at http://fixprotocol.org/discuss/read/eb11d345 - PLEASE DO NOT REPLY BY MAIL.]
Using FIX should guarantee that no messages are lost or re-ordered. Putting an application between two streams of messages relies on the application also offering that guarantee. IMHO, after an outage is over, you have every right to expect that your broker sends you all the messages you have missed and in the appropriate sequence. .... However, anything can and will happen..... If you want to make your application robust, it should not only handle what is supposed to happen but also gracefully handle unexpected events too. Now that's very easy to say and often much more difficult to achieve. If you can interpret the messages received in an unambiguous manner, even though they may violate the state model, I would declare that life is fairly good. In your specific case, the fact that you have received a fill on the replacement version, clearly indicates the replacement version must have been accepted. At that point, I would immediately infer an ExecReport(replaced) "replace-ack" and process the fill. I would probably also raise an alert to indicate that the ExecReport(replaced) was missing as this is an unusual situation. I also check LeavesQty and CumQty and ensure that they agree with your understanding of where the order should be at this point. I hope this helps. JohnP > Hi Guys, > > I wonder if someone can help me here. > Yesterday I had a problem where we sent a cancel\replace for a price to our > broker, we did not recive an ACK back from the broker to say that they have > recived the price replace message, instead four minutes later we recive a > fill back for that order with the new price. > I am in discussion with the broker to find out why we did not recive the ACK > and why we had a four minute delay in the getting the fill back. > > Initial conversations seem to suggest that the broker might have suffered a > disconnection with the exchange after we sent the cancel replace. However > once the connection is restored I expect the messages to come back in a > sequence, i.e, ack for the replace first and then the fill execution report. > > Any one come across this behaviour before? > > Many Thanks > > Kofil [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.
