RE: [Quickfix-developers] Re: [Quickfix-users] how to send response to a client

[James C. D. <jc...@co...>]

Brian,
This is a great example of how all the differences in business requirements
from implementation to implementation cannot be completely covered by a
standard protocol. This is also a good real world example for those who are
new to FIX struggling with the map between the protocol and business needs
and how that gap is bridged. 

Would you mind commenting on the general reaction of a new counterparty to
your system when they are presented with custom field values (at the
application level)? Is it an education process as to the value the custom
values bring to the implementation?

Thanks,
Jim

-----Original Message-----
From: Brian Erst [mailto:azz...@ya...] 
Sent: Friday, June 03, 2005 9:39 AM
To: James C. Downs; azz...@ya...; 'rohan joel pais';
qui...@li...;
qui...@li...
Subject: RE: [Quickfix-developers] Re: [Quickfix-users] how to send response
to a client

James -

The problem occurs when you have a fairly sophisticated order management
system that acts as more than just a proxy pass-through to an exchange.
Here's an example of an issue that (so far) has best been resolved through
additional OrdStatus values.

The system I work on has connections to 12 different futures exchanges.
We attempt to deliver a consistent interface for all these exchanges, even
when any particular underlying exchange may not support the superset of
functionality across the many exchanges. For instance, not all of the
exchange systems support stop orders (even though the use of such orders is
widespread throughout the industry). For those exchanges that do not support
stop orders, we have created a process that simulates stop order processing
within our order management system.
Essentially, we hold the orders, listen to the price feed and submit the
orders once the trigger price has been touched.

For these orders, they may NEVER reach the exchange system (price is not
matched). We need a consistent way of telling our users when orders have
been accepted into our system for management, when (if) they have been
diverted to our internal stop processing ssytem, when the orders get elected
into the market and when the order actually reaches the market.

The simplest way to handle this (by far) was to add a few additional
OrdStatus/ExecType values. We define "NEW" as being accepted by OUR
application and add three new values ('l' for locally working stops, 'e' for
stop order election and 'x' for at the exchange).

In this way, our clients know where an order is at all times. Just as
importantly, our helpdesk knows where that order is as well. If the client
experiences a communications failure and needs to work their orders, they
should still have some idea as to what their current market risk is while
talking with our helpdesk to manage their open orders.

- Brian Erst
Thynk Software, Inc.

--- "James C. Downs" <jc...@co...> wrote:

> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX FAQ:
> http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ
> QuickFIX Support: http://www.quickfixengine.org/services.html
> 
> Brian,
> I'm curious why in your case the OrdStatus = "NEW" was not sufficient 
> to indicate that the order was accepted by the exchange and in the 
> market? What exchange/venue was most problematic for you in this 
> regard?
> 
> Thanks,
> Jim
> 
> -----Original Message-----
> From: qui...@li...
> [mailto:qui...@li...] On Behalf Of 
> Brian Erst
> Sent: Friday, June 03, 2005 7:45 AM
> To: rohan joel pais; qui...@li...;
> qui...@li...
> Subject: [Quickfix-developers] Re: [Quickfix-users] how to send 
> response to a client
> 
> QuickFIX Documentation:
> http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX FAQ:
> http://www.quickfixengine.org/wikifix/index.php?QuickFixFAQ
> QuickFIX Support: http://www.quickfixengine.org/services.html
> 
> I have a very similar application and I eventually decided that the 
> "better"
> way was to add additional ExecType/OrdStatus values and use those to 
> differentiate between "my application has received the order"
> and "the exchange has received the order".
> 
> In my particular case, I use Pending New (OrdStatus='0') to indicate 
> that my app received and databased the order. I created a new 
> OrdStatus ('x'
> for at
> the eXchange) to indicate that the order had been received by the 
> exchange.
> 
> FIX hasn't fully come to terms with third-party order management 
> systems acting as a bridge between clients and exchanges. Hopefully 
> they will start looking at that (if they haven't already) as most of 
> the ISVs out there are now adding some sort of FIX interface to their 
> order management systems.
> 
> - Brian Erst
> Thynk Software, Inc.
> 
> --- rohan joel pais <roh...@re...> wrote:
> 
> >   
> > Hi all,
> >        I need some help in developing a new project. It is like
> this
> > -  My application will act like a passer, which recieves fix
> messages
> > from the client and then converts it into another format and sends
> it
> > to the exchange.
> > But my problem here is i want to tell the client that i have
> recieved
> > his order, without sending him the execution report. so i am asking
> 
> > whether i can build my own response message and send it to the
> client.
> > 
> > with regards
> > rohan pais
> > 
> 
> 
> 
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