Re: [Quickfix-developers] Replace versus cancel and resubmit

[Brian E. <azz...@ya...>]

Depending on the exchange, "cancel/replace" semantics are preferred to "can=
cel/new" semantics in that you keep your position within the order book. Du=
e to the advantage this confers (you could enter a GTC order months back an=
d replace it to something useful later, leapfrogging other orders due to yo=
ur age), most exchanges have pretty firm limits as to what can be changed i=
n a cancel/replace. Many exchanges only allow quantity revisions (some, onl=
y downward revisions), or price (but not price type) revisions, but very fe=
w allow wholesale changes (like account or CTI information).=0A=0AA cancel/=
new (which has actually been a unique message type in some systems, such as=
 the CME's CUBS system) loses position in the order book, which means you g=
o back to the bottom of the queue. This is less of an issue in exchanges th=
at don't do FIFO allocation (options can have pro-rata and other allocation=
 schemes that privilege certain types of users, such as market makers).=0A=
=0A- Brian Erst=0AThynk Software, Inc.=0A=0A----- Original Message ----=0AF=
rom: Charles Stangor <cst...@ch...>=0ATo: quickfix-developer=
s...@li...=0ASent: Tuesday, January 2, 2007 11:39:55 AM=0ASubj=
ect: [Quickfix-developers] Replace versus cancel and resubmit=0A=0AQuickFIX=
 Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html=
=0AQuickFIX Support: http://www.quickfixengine.org/services.html=0A=0A=0A=
=0A=0A =0A =0A=0A=0AIs there a particular advantage (other perhaps =0Athan =
commission fees) to replacing an order in QF rather than cancelling and =0A=
resubmitting a new order?  It seems that the replace sequence is basically =
=0Adoing a cancel/resubmit anyway.=0A=0A =0A=0Athanks=0A=0A =0A=0A =0A-----=
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