学点FIX

Execution Report 的功能很多：不只是成交回报Relay Fill (execution) information etc。有以下：

– Used to confirm the receipt of an order

– Confirm changes to an existing order (in response to order cancel request etc)

– Relay order status information

– Reject orders

– Relay Fill (execution) information etc

几乎包含了所有Order的状态变化，可以看作是Exchange向Broker发送的Order变化确认Message。

主要字段：ExecType, ExecTransType and OrdStatus

ExecTransTypes：

Reports-- the status STATUS of the orders.

CORRECT-- Correction to the previously reported execution.

CANCEL-- Cancel previously reported execution due to error etc.

NEW-- Order Acknowledgement

 

Order Cancel/Replace

• Also known as Order Modification

• Only modifiable properties can be changed

–Order Qty, Order Price etc

• Filled order can also be reinstated by increasing the qty

• Used to increase the qty instead of sending new order

–To holds the position / seniority

 

OrdStatus和ExecType在大多数情况下是一样的。但是在少数情况下也有区别。

Cancel Order

Order Filled

Cancel Rejected

以上事件序列的最后一条成交回报里面execType = CancelRejected, OrdStatus = Filled.