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

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

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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