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quickfixfix-protocol

FIX order tracking

With respect to FIX 4.2 or greater:

Q1.a. How are incoming and outgoing sequence #’s correlated/linked? Is there a buyer specific FIX tag a buyer can embed/use explicitly for tracking upon submitting a buy order that is also included in subsequent incoming status message sequences from the broker?

Q1.b. If not, then how does a buyer manage/track individually several IOC buy orders that are submitted in quick succession or concurrently of securities which may or may not be identical, at different price levels, where units or shares are “filled” at varying rates?

Solution

  • Q1.a. How are incoming and outgoing sequence #’s correlated/linked?

    They are not linked (i.e. they are independant). Any FIX application/engine (such as the QuickFIX family) maintains two sequence numbers per session, one for incoming and one for outgoing. See also this answer on Stack Overflow which pretty much tells you the same.

    When using an engine like any of the QuickFIX family (QuickFIX, QuickFIX/J, QuickFIX/N), these will be managed for you and apart from some configuration vis-a-vis your counterparty you should not bother about managing these.

    Q1.a. Is there a buyer specific FIX tag a buyer can embed/use explicitly for tracking upon submitting a buy order that is also included in subsequent incoming status message sequences from the broker?

    These tags are already present in e.g. the FIX Order Single message (D) - ClOrdId:

    Unique identifier for Order as assigned by the buy-side (institution, broker, intermediary etc.) [...]. Uniqueness must be guaranteed within a single trading day. Firms, particularly those which electronically submit multi-day orders, trade globally or throughout market close periods, should ensure uniqueness across days, for example by embedding a date within the ClOrdID field.

    This field is mandatory when creating a new order using FIX Order Single, and is used the refer to the order in subsequent messaging (e.g. Execution Report, or Status messages).

    Note that the ClOrdId changes when an order is changed using an Order Cancel/Replace Request <G>, i.e. you assign a new ClOrdId to the order when changing or canceling it.