Fill Reconciliation

Critical Warning

A healthy FIX session does not guarantee accurate executions.

Verify the order reached the exchange before anything else Compare every Execution Report (35=8) — not just totals Match using ExecID (17) before anything else — it is the primary deduplication key Never manually book or remove trades until reconciliation is complete

Quick Triage

1 Is the order missing, or just the execution? Confirm the order was accepted (39=0) before assuming a fill was lost. A rejected order produces no fills.
2 Compare total filled quantity on both sides. Pull your CumQty and compare it to the broker's position. The difference tells you how many shares are unaccounted for.
3 Match every ExecID (17). Build a list of ExecIDs from your logs and compare against the broker's list. A gap identifies the exact execution that was missed.
4 Verify CumQty (14) progression. Each Execution Report should increase CumQty monotonically. A jump or repetition indicates a missing or duplicate message.
5 Check for recent Resend Requests or Gap Fills. A session recovery during active trading is the most common cause of duplicate or missing executions.
6 Compare Drop Copy if available. Drop Copy is an independent feed — if your order-entry session has a gap, Drop Copy may have the missing Execution Reports.

Common Problems

Symptom	Likely Cause	First Check
Missing execution	Execution Report not received	Session logs — look for a gap in inbound messages
Duplicate fill booked	Resent message processed twice	`ExecID (17)` and `PossDupFlag (43)`
Quantity mismatch	Missing partial fill	`CumQty (14)` progression across all Execution Reports
Broker shows more fills	Session gap during trading	Resend Requests and Gap Fill messages in session log
Client shows extra fill	Duplicate processing of resent message	ExecID uniqueness — same ID should only be booked once
Average price mismatch	One execution missing from sequence	Reconstruct AvgPx (`6`) from individual fill prices

Key Execution Report Fields

These are the fields used during reconciliation. Pull them for every 35=8 in the sequence.

17 (ExecID) unique identifier — primary deduplication key; never book the same ExecID twice

37 (OrderID) exchange-assigned order identifier — links executions back to the order

11 (ClOrdID) your client order ID — use alongside OrderID to identify which order was filled

150 (ExecType) 2 = Fill (FIX 4.2), F = Trade/fill (FIX 4.4+), 1 = Partial fill; filter for these when counting executions

32 (LastQty) shares filled in this specific execution

31 (LastPx) price of this specific execution

14 (CumQty) cumulative shares filled as of this message — should increase monotonically

151 (LeavesQty) shares still open; CumQty + LeavesQty should always equal the original order quantity

6 (AvgPx) running average execution price — recalculate manually if a fill is missing

Reading the Logs

Example 1 — Partial fill Execution Report:

35=8|150=1|39=1|17=ABC12345|32=100|31=185.50|14=300|151=700|

• 100 shares executed at 185.50 in this fill.
• CumQty is now 300 — this means 200 shares were filled in earlier Execution Reports. If your position shows less than 300, you are missing at least one prior execution.
• 700 shares remain open. CumQty + LeavesQty = 1000 — the original order quantity checks out.

Example 2 — Retransmitted Execution Report:

35=8|17=ABC12345|43=Y|122=20240714-13:45:22|

• PossDupFlag (43) = Y signals this message was retransmitted — it may have already been processed.
• ExecID = ABC12345 is the same as Example 1. If you already booked that ExecID, discard this message. Do not book another fill.

Recovery Checklist

Work through this in order. Do not adjust positions until step 8 confirms both sides match.

Fill Reconciliation — Recovery

Export all Execution Reports from session logs — every 35=8 for the affected order Compare ExecIDs against broker's list — identify any gaps or duplicates Verify CumQty progression is monotonically increasing with no jumps or repetitions Recalculate AvgPx from individual LastQty and LastPx values — confirm it matches both sides Review PossDupFlag on all retransmitted messages — confirm no ExecID was booked twice Compare Drop Copy feed — if your order-entry session had a gap, Drop Copy may have the missing executions Identify the first missing or duplicate execution — resolve from that point forward, not backward Confirm both sides now reconcile before booking, removing, or correcting any positions

5-Minute Diagnosis

Fill Reconciliation — TL;DR

Who has more fills — you or the broker?
Match ExecIDs — are there gaps or duplicates?
Does CumQty tell the same story on both sides?
Were there Resend Requests or Gap Fills during active trading?
Compare Drop Copy before booking or removing any positions.