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Partial Cancel/Rejects
http://www.smartquant.com/forums/viewtopic.php?f=44&t=8410
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Author:  NtireTech [ Thu Sep 23, 2010 10:50 am ]
Post subject:  Partial Cancel/Rejects

Hi SQ Experts!!!

Has any one luck implementing following scenarios using the callbacks? This functionality isn't supported out of box in the current API of open quant, but I hope its included in the future releases.

Basically the OMS (order management system) we are working with has extended 'Partial' support from simply Partial Execution to both Partial Canceled and Partial Rejection messages.
These partials may have a variety of causes, but sequences like the following are now considered legal:

Scenario 1:
-> New Order (200 shares)
<- Ack (OMS)
<- Canceled (100 shares)
<- Filled (100 shares)

Scenario 2:
-> New Order (200 shares)
<- Ack (OMS)
<- Rejected (100 shares)
<- Canceled (100 shares)

We need to implement this functionality and then GO-Live...

Any suggestions/idea will be great.

Thanks
BR
NtireTech Team

Author:  NtireTech [ Thu Sep 23, 2010 11:17 am ]
Post subject:  Re: Partial Cancel/Rejects

Just to add some information...

Partial rejection is a real case that should be handled in a similar way. Certain cases that may generate partial rejections would include something like the following:

You have 100 shares IBM – which is hard to borrow

You sell 200 shares

You may get a rejection for 100 shares (security is hard to borrow), followed by an execution for 100 shares. There are others, they may not be common. Also partial cancel needs to be handled...

Although these scenarios wont be too frequent but we have to handle them to avoid any errors in real time trading.

Hoping to hear back soon...

BR
NtireTech Team

Author:  Alexei Kurov [ Thu Sep 23, 2010 11:49 am ]
Post subject:  Re: Partial Cancel/Rejects

Hi,

I understand the problem, but by FIX spec, rejected and cancelled states of the
order are final states, so the broker should send fills first and next cancels
or rejects remaining shares. We have never encountered such sequence of events -
what the broker does that?

Regards,
Alex

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