Order req unknown code 7

[Kayne88]

Hi,

I am encountering the following issue: When modifying an existing, active limit order I receive modify code = 0 (successful). Then in the next iteration I see in the list of orders that an order pops up with same order id but request code 7. I couldn't find the definition of this request code. In fact, this modify operation leaves the active order (no ongoing request) unchanged. What is happening?

Here's a sample print out:
`
-> Iteration 117263

Limit Orders with status NEW

Asset 1 id 1 | side -1 | px 114312.6 | qty 131.219 | status 1 | req 0
Asset 1 id 0 | side 1 | px 113942.70000000001 | qty 131.645 | status 1 | req 0

Modify Order

Asset: 1 Order Id: 0 Price: 114019.7 Qty: 919.57
Modify Response 0

-> Iteration 117264

Limit Orders with status NEW

Asset 1 id 1 | side -1 | px 114049.3 | qty 131.522 | status 1 | req 7
Asset 1 id 0 | side 1 | px 114019.70000000001 | qty 919.57 | status 1 | req 7

-> Iteration 117265

Limit Orders with status NEW

Asset 1 id 1 | side -1 | px 114312.6 | qty 131.219 | status 1 | req 0
Asset 1 id 0 | side 1 | px 113942.70000000001 | qty 131.645 | status 1 | req 0

Modify Order

Asset: 1 Order Id: 0 Price: 114019.7 Qty: 919.57
Modify Response 0

-> Iteration 117266

Limit Orders with status NEW

Asset 1 id 1 | side -1 | px 114049.3 | qty 131.522 | status 1 | req 7
Asset 1 id 0 | side 1 | px 114019.70000000001 | qty 919.57 | status 1 | req 7

-> Iteration 117267

Limit Orders with status NEW

Asset 1 id 1 | side -1 | px 114312.6 | qty 131.219 | status 1 | req 0
Asset 1 id 0 | side 1 | px 113942.70000000001 | qty 131.645 | status 1 | req 0

Modify Order

Asset: 1 Order Id: 0 Price: 114019.7 Qty: 919.57
Modify Response 0
`

[nkaz001]

req status 7 corresponds to Replaced, which indicates a modify request. I'll update the Python code accordingly.
https://github.com/nkaz001/hftbacktest/blob/master/hftbacktest/src/types.rs#L403

First, you tried to modify the order with order id 0 only, but both orders — id 0 and 1 — have the Replaced req status?

Second, a modify request can be rejected if the order has already been filled. The bot might not have received the fill yet, but the modify request could have reached the exchange after the fill. However, in that case, the order status should be Filled, not New.

There might be a bug. Which exchange model did you use? NoPartiallFillExchange or PartialFillExchange? Was the order GTC or GTX? Can you check whether the position has changed?

[Kayne88]

Yes, both of them get the replaced status since I adjust both, but only log the bid.

NoPartialFillExchange and GTX orders.

The positions of both assets are not changing from iteration to iteration, when code 7 occurs

[nkaz001]

I think this causes the problem. ack_modify calls ack_cancel and ack_new, ack_cancel replaces the requested order with an existing canceled order (code), which causes an incorrect update in the subsequent ack_new. I will fix this.