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For those who learned FIX. I wonder if any way to retrieve execution report (MsgType = 8) without doing something related to order like: New Order Single (D), Order Cancel Replace Request bla bla bla..

I do some research, but no one could give me satisfy answer. Many thanks.

Hobas Matius
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  • Does your counterparty support unsolicited fills via FIX? – MD-Tech Nov 09 '15 at 12:40
  • Their documentation says User will receive an ExecutionReport message in following cases: - To confirm the receipt an order - To confirm changes to an existing order(i.e. accept cancel) - To relay order status information - To reject orders – Hobas Matius Nov 10 '15 at 07:57
  • CTS FIX sends unsolicited messages as Execution Reports in the following cases: - To relay order fill information on working orders - To relay order cancellation (ok or failed) – Hobas Matius Nov 10 '15 at 07:58

4 Answers4

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The answer to this would be counterparty-specific.

Some counterparties may implement a mechanism for this, perhaps via a custom FIX message (or some standard FIX message that I'm not aware of).

If you're wondering about the features of a specific counterparty, you should check their documentation or ask their support.

Grant Birchmeier
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It is hard to give you correct recipe without knowledge who is your counterparty.

But if we are talking about general trading session of abstract sell side, you may request list of currently open orders(which will usually be returned as list of ExecutionReports) with OrderMassStatusRequest. OrderStatusRequest can be used to request status for particular order.

If you are in DropCopy session, in most of the cases ExecutionReports will be streamed to you automatically.

I strongly suggest you to follow Grant Birchmeier recommendation and start with documentation. Or you can disclose your counterparty name and I will tell you what message to use(if it available)

rimas
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You could receive execution reports or other message types when your FIX client session reconnects or otherwise requests resynchronization with a server.

JimmyNJ
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Under normal circumstances you cannot receive an execution report that is not a response to an order, as you would need the original order id on tag 11 (or 41 for cancel reports). Tag 11 is required for all electronically submitted orders.

The specification does allow for an exception which happens when an order is manually entered by the broker. If it is possible to receive an execution report without a previous order it would have to be in the context of this exception.

FIX 4.2 Execution Report documentation

PabTorre
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