Carried Order Restatements
Good ‘til Cancel (GTC) orders, Good ‘til Date-Time (GTD) orders, and Day orders entered during partial holiday sessions can result in orders persisting between sessions. The CFE FIX protocol provides a mechanism for clients to request restatement of orders that have been carried forward from the previous business day trading session. See FIX Order Entry Port Attributes for information on available port attributes, including Carried Order Restatements.
When enabled, Carried Order Restatements are sent to connected clients for each product on the CFE for which orders have been carried forward from the previous business day trading session. Carried Order Restatements are sent approximately 10 minutes before the pre-open period for each product.
Carried Order Restatements are represented using Execution Report messages with the following optional attributes set:
- ExecTransType = 3 (Status)
- ExecType = D (Restated)
- ExecRestatementReason:
- GTC, GTD: ExecRestatementReason = 1 (GT renewal)
- Day: ExecRestatementReason = 4 (Day order restatement)
To receive Carried Order Restatements, the Carried Order Restatement port attribute must be set (contact CFE Trade Desk). Since the Carried Order Restatement Execution Report messages are delivered to the session handler before the TPH connects, the MsgSeqNum (34) field of the Logon Message received by the TPH reflects the number of Carried Order Restatements that are available to retrieve by using a subsequent Resend Request message.
Note that no notification is provided at the end of a trading session to indicate when GTC, GTD, or Day orders on partial holiday sessions are persisted to carry over to the next trading sessions. Instead, Carried Order Restatements can be used by members to be notified of orders that have persisted from the previous session.
The number of GTC/GTD orders in test classes that can be carried over from the prior business day is limited to three GTC/GTD orders per session per matching unit, for a total of six GTC/GTD orders per session.