An issue related to Match ID for FIX has been discovered in the Genium INET 4.0201 release.
The issue occurs in the following scenario. When a deal originates from outright order vs implied (i.e. combo vs outright) the TrdMatchID (tag no 880*) might get duplicated when implied order is replenished. This only applies for the FIX protocol – members should be aware that this might cause incorrect data in front-end applications if the application groups trades on Match ID. This issue might also have implications on reconciliation if the members Back-office receives trades via drop copy (since the drop copy will show correct Match IDs).
This issue will be corrected in an upcoming service release.
*http://www.nasdaqomx.com/digitalAssets/89/89350_fix-for-genium-inet-for-nasdaq-omx-nordic.pdf
Example of scenario where the issue occurs:
Combination order book B/A (Buying B, Selling A. Ratio 1:1)
Bid orders:
100@1
100@1
A
Ask orders:
100@1145 (implied)
50@1145 (implied)
10@1145,25
100@1145,50
B
Ask orders:
150@1146
100@1146,25
Enter bid order 200@1145,50 in A
This results in the following deals:
Correct Match ID:
- B UgAAAIH04gBSAAAA 150 1 146,00
- Combo B/A UwAAAIH04gBSAAAA 100 1,00
- A VAAAAIH04gBSAAAA 150 1 145,00
- Combo B/A VgAAAIH04gBSAAAA 50 1,00
- A WAAAAIH04gAAAAAA 10 1 145,25
- B WQAAAIH04gBTAAAA 40 1 146,25
- Combo B/A WgAAAIH04gBTAAAA 40 1,00
- A WwAAAIH04gBTAAAA 40 1 145,25 (Replenished)
Match ID via FIX will differ on the last two deals as FIX will re-use Match ID from the previously used Match Ids in earlier deals (see Match ID # 4 and # 6 above in bold).
Incorrect Match ID:
- Combo B/A VgAAAIH04gBSAAAA 40 1,00
- A WQAAAIH04gBTAAAA 40 1 145,25
For questions or comments, please contact:
Technical Support technicalsupport@nasdaqomx.com
+46 8 405 67 50
