Appendix D: Order State Change Matrices – FIX 4.1 – FIX Dictionary

The following matrices are included to clarify the sequence of messages and the status of orders involved in the submission and processing of new orders, executions, cancel requests and cancel/replace requests. These state diagrams are presented from the broker’s view. (Note: x refers to the original order, y refers to the cancel/replacing order)

1. Filled Order
2. Partially Filled Order
3. Canceled Order
4. Partially Filled Order followed by Replace Request to Decrease Order Quantity
5. Replaced Order
6. Filled Order followed by a CancelReject
7. Partially Filled Order followed by a Cancel Request
8. Partially Filled Order followed by Replace Request to Increase Quantity
9. Filled Order followed by Replace Request to Increase Quantity
10. Rejected Order due to Duplicate ClOrdID

Any fills which occur and need to be communicated to the customer while an order is 'pending' and waiting to achieve a new state (i.e. via a Order Cancel Replace (aka Order Modification) Request <G>) must contain the "original" (current order prior to state change request) order parameters (i.e. ClOrdID <11>, OrderQty <38>, LeavesQty <151>, Price <44>, etc). An order cannot be considered replaced until it has been explicitly accepted and confirmed to have reached the replaced status (i.e OrdStatus <39> ='Replaced')--Care should be taken as the replaced order could still have reports coming which will update the CumQty <14> and AvgPx <6> of both the original and replacement, however, the effect on the replacement (ClOrdID <11>, new quantity or limit price, etc.) will not be seen until a report on the replacement has been generated.

When a 'Fill Or Kill' (FOK) order cannot be filled or an 'Immediate Or Cancel' (IOC) order cannot be Immediately hit, the proper response to "kill" the order is an ExecutionRpt with ExecType <150> ='Cancelled'. Note that this is the equivalent of an "UNSOLICITED UR OUT" CMS message.

The equivalent of a "NOTHING DONE" CMS message should be sent as a "status report", i.e. an ExecutionRpt message with ExecTransType <20> ='Status' and ExecType <150> /OrdStatus <39> that of the previous ExecutionRpt <8> message for this order (usually 'New' or 'Replaced' when "nothing has been done").

1. Filled order:

2. Partially Filled Order:

3. Canceled Order:

* information only transmitted as the result of an Order Status Request on this order

4. Partially Filled Order followed by Replace Request to Decrease Order Quantity:

* information only transmitted as the result of an Order Status Request on this order

5. Replaced Order:

* information only transmitted as the result of an Order Status Request on this order

6. Filled Order followed by a CancelReject:

7. Partially Filled Order followed by a Cancel Request:

8. Partially Filled Order followed by Replace Request to Increase Quantity:

9. Filled Order followed by Replace Request to Increase Quantity:

10. Rejected Order due to Duplicate ClOrdID: