Execution Report

The execution report message is very versatile and is used to: 1. confirm the receipt of an order not immediately executable 2. confirm changes or cancellation of an existing order (i.e. accept cancel and replace requests) 3. relay order status information 4. relay fill information on working orders 6. reject orders

Repos are traded atomically. The OrdQty, LeavesQty, CumQty, AvgPx apply to the overall strategy. Quantities of each individual leg are identical (LegRatioQty always 1).

The instrument leg repeating group is used to report: · Each leg of a Repo · The User supplied per leg information for Settlement allocation · Reporting of last sales price per leg, settlement type, and settlement date.

Important: Each execution report contains two fields which are used to communicate both the current state of the order (OrdStatus) and the purpose of the message (ExecType). If an order simultaneously exists in more than one order state, the value with highest precedence is the value that is reported in the OrdStatus field. The order statuses are as follows (in highest to lowest precedence):

The ExecType is used to identify the purpose of the execution report message. To transmit a change in OrdStatus for an order, XCDE will send an Execution Report with the new OrdStatus value in both the ExecType AND the OrdStatus fields to signify this message is changing the state of the order. The only exception to this rule is that when rejecting a cancel or cancel/replace request the CancelReject message is used both to reject the request and to communicate the current OrdStatus. An ExecType of Canceled or Replace is used to indicate that the cancel or cancel/replace request has been successfully processed.

Execution information (e.g. new partial fill or complete fill) will be communicated in a separate report from one which communicates other state changes (such as canceled, replaced, accepted etc).

An order cannot be considered replaced until it has been explicitly accepted and confirmed to have reached the replaced status via an execution report with ExecType = ‘Replace’, at which time the effect of the replacement (ClOrdID, new quantity or limit price etc) will be seen.

Requests to cancel or cancel/replace an order are only acted upon when there is an outstanding order quantity. Requests to replace the OrderQty to a level less than the CumQty (amount already filled) will be interpreted by XCDE as requests to stop executing the rest of the order.

Requests to change price on a filled order will be rejected (see Order Cancel Reject message type). The OrderQty, CumQty, LeavesQty, and AvgPx fields will be calculated to reflect the cumulative result of all versions of an order. For example, if a partially filled order A were replaced by order B, the OrderQty, CumQty, LeavesQty, and AvgPx on order B’s fills should represent the cumulative result of order A plus those on order B.

The general rule is: OrderQty = CumQty + LeavesQty.

There can be exceptions to this rule when ExecType and/or OrdStatus are Canceled, Expired or Rejected, the order is no longer active and LeavesQty could be 0.

Communication of information about a new fill is via the Execution report with ExecType = Trade. Execution Reports with ExecType = Trade Cancel are used to cancel a previously modified execution report as follows:

An ExecType of Order Status indicates that the execution messages contains no new information, only summary information regarding order status. It is used, for example, in response to an Order Status request message

The field ClOrdID is provided for Users to add their own identification number wich will be echoed back during the lifetime of the Order. Instead, the OrderID field is populated by XCDE with a self-generated order number. The ClOrdID/OrigClOrdID requires a chaining through Cancel/Replaces and Cancels, as opposed to the OrderID which is not changing during the lifecycle of the order.

When the ExpireDate or ExpireTime of a Good Till Date order is reached, the order is considered expired and XCDE will send an Execution Report with ExecType and OrdStatus = Expired(C).

In handling GT orders, the OrderQty, CumQty and AvgPx fields will represent the entirety of the order over all days. Requests to change or cancel an order must be made in terms of the initial total quantity for the order, not the quantity remaining now. For example, on an order where OrderQty = 100 and 20 have been filled, a request to change OrderQty to 150 will mean that only 130 will remain working (150 - 20 already filled). The ExecutionReport is also used to accept CancelRequest and cancel/replace request messages

Message format: