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changes.mady.by.user Unknown User (aagoro)

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changes.mady.by.user Matthew Whitaker

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Comment: Published by Scroll Versions from this space and version 1.5.36

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CategoryOrdStatusExecTypeDescription
TransitionalPendingNewPendingNewVenue acknowledgement of receipt of Order.
ActiveNewNewVenue notification of acceptance of Order.
ReplacedVenue notification of acceptance of a replacement Order (including client-initiated Order release).
RestatedVenue notification of venue-initiated Order release.
ActivePartiallyFilledPendingMatchVenue notification of a potential match. E.g. EBS eFix.
TradeVenue notification of a done trade.
Replaced

Venue notification of acceptance of a replacement Order (including client-initiated Order release).

Note: Order Suspend/Release should not be combined with other parameter changes.

Restated

Venue notification of venue-initiated Order

release.

change eg:

  • Order pause/release
  • Trade correct/cancel
Active

SuspendedReplacedVenue notification of acceptance of client-initiated Order suspension. NOTE: 

Note: Order Suspend/Release should not be combined with other parameter changes.

Restated

Venue notification of venue-initiated Order change eg:

  • Trade correct/cancel
TerminalFilledPendingMatchVenue notification of a potential match. E.g. EBS eFix.
TradeVenue notification of a done trade.
TransitionalPendingCancelPendingCancelVenue acknowledgement of receipt of OrderCancelRequest.
TerminalCanceledCanceled

Venue notification of Order cancellation.

Restated

Venue notification of venue-initiated Order change eg:

  • Trade correct/cancel
TransitionalPendingReplacePendingReplaceVenue acknowledgement of receipt of OrderCancelReplaceRequest.
TerminalRejectedRejectedVenue rejection of order.
TerminalCalculatedTradeVenue notification of Fixing Order rate confirmations (EBS eFix), and notification of individual legs for spread instruments (CME).
TerminalExpiredExpiredVenue notification of the expiry of specified TimeInForce.
Restated

Venue notification of venue-initiated Order change eg:

  • Trade correct/cancel

Aggressive vs  Resting Orders

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  • OrdStatus: Calculated
  • ExecType: Calculated

Trade Correct/Cancel

A trade correct/cancel message can be sent on ExecutionReports with ExecType=Trade to notify the clients of any trade amendments or cancellations. 

Trade amendments are  mostly limited to the below ExecutionReport fields (support for these may vary by venue):

  • LegLastPx
  • LegLastQty
  • LegSettlDate

The correct/cancel messages to the clients are ExecutionReports with

  • ExecType=TradeCancel or ExecType=TradeCorrect
  • ExecRefID refers back to the ExecID of the original ExecutionReport for the trade being corrected or canceled. 

Order Session

Whisperer supports the trade correct/cancel on a best efforts basis.  Order attributes such as OrdType, TimeInForce, OrdStatus, LegCumQty, LegLeavesQty, LegAvgPx, etc are not mandatory for the correct/cancel ExecutionReports and may vary by venue.

In addition to the trade correct/cancel ExecutionReport, some venues (eg lseg_ftg#TradeCorrect/Cancel) will provide the final ExecutionReport with ExecType=Restated to reflect the state of the order. 

Note
titleQuantity amendment

When a trade is corrected (quantity reduction) or cancelled, the quantity corrected or cancelled does not go back to the order book and is not available for trading.

DropCopy Session

If the venue supports trade correct/cancel messages on DropCopy sessions, then clients will be notified of these as ExecutionReports containing the adjustments.