[Quickfix-developers] Correct handling of Cancel Replace Messages

[Joe R. <jo...@ya...>]

Hi,

I am writing an execution simulator and I am not sure how to handle Cancel
Replace messages correctly.

If I understand it correcvtly, such a message is send with the the order id
of the order to cancel in field "41  OrigClOrdID"  along with a new orderid
which the ISSUER (i.e the party which wants to replace an oprder)has to
submit in field "11  ClOrdID".

The problem now is what happens on that replace process. Lets say I am the
exchange and receive a cancel replace order. Its possible, that the replace
instruction is wrong and I have to reject the replacement (crossing the
market, wrong price etc.).

So if I cancel the original order first, and then try to execute the new
one, the old order is lost, if I have to reject the new one ! But if I
execute the replace order first, and cancel the old one if the new one is
valid, I might end up with two orders, if the first one is filled in the
meantime !!

Thanks for any info how I handle such a situation correctly !

joe Robe