Re: [Quickfix-developers] Replace versus cancel and resubmit
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From: Brian E. <azz...@ya...> - 2007-01-02 21:20:16
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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-----= --------------------------------------------------------------------=0ATake= Surveys. Earn Cash. Influence the Future of IT=0AJoin SourceForge.net's Te= chsay panel and you'll get the chance to share your=0Aopinions on IT & busi= ness topics through brief surveys - and earn cash=0Ahttp://www.techsay.com/= default.php?page=3Djoin.php&p=3Dsourceforge&CID=3DDEVDEV=0A________________= _______________________________=0AQuickfix-developers mailing list=0AQuickf= ix-...@li...=0Ahttps://lists.sourceforge.net/lists/l= istinfo/quickfix-developers=0A=0A=0A=0A |