For cancellation, there are two order updates from the OMS. Are you referring to the one that has status as UPDATE or cancelled? I would suggest using the order update as an event to fetch orderbook and check the updated order details.
in context of ws msg, i am referring to the one with status as 'CANCELLED'. Btw both the updates from oms has status as CANCELLED. only diff is one has pending qty = qty to be canceled and other has pending = 0
We will inform the OMS team to take a look at this. Since it is a fix from vendor, it might take a while. For now, I would suggest using order update as an event to fetch orderbook and check the updated order details.
Ok . that's fine. Can we have the update timestamped with microsecond granularity ? It would simplify my order state mgmt. I am sure it would help other traders.
I would suggest using the order update as an event to fetch orderbook and check the updated order details.