hardScenarioDesignMidSeniorStaff
A fill arrives for an order your system has already marked cancelled. What do you do?
5 min readUpdated 2026-08-15
Answer
Short answer
Book the fill. The venue decides what happened, so a fill against a cancelled order means your state was wrong, and the position, risk headroom and client record all have to be corrected from the venue's version.
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Likely follow-ups
- Where does the loss sit if you told the client the order was cancelled and they replaced it on another venue?
- How would you model an amend so that a failed replace cannot leave you with neither the old order nor the new one?
- Which of your order states are safe to display optimistically, and which must wait for the venue?
- How do you prove at end of day that your fills and the venue's trade file agree, and what do you do about a difference found after the cut-off?
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