Order Cancel/Replace Request (a.k.a. Order Modification Request) is used to change the parameters of an existing order.
Do not use this message to cancel the remaining quantity of an outstanding order, use the Order Cancel Request <35=F> message for this purpose.
Cancel/Replace will be used to change any valid attribute of an open order (i.e. reduce/increase quantity, change limit price, change instructions, etc.) It can be used to re-open a filled order by increasing OrderQty (38).
An immediate response to this message is required. It is recommended that an Execution Report <35=8> with ExecType (150)='Pending Replace' be sent unless the Order Cancel/Replace Request can be immediately accepted (Execution Report <35=8> with ExecType (150)='Replaced') or rejected (Order Cancel Reject <35=9> message).
The Cancel/Replace request will only be accepted if the order can successfully be pulled back from the exchange floor without executing. Requests which cannot be processed will be rejected using the Order Cancel Reject <35=9> message. The Order Cancel Reject <35=9> message should provide the ClOrdID (11) and OrigClOrdID (41) values which were specified on the Cancel/Replace Request message for identification.
Note that while it is necessary for the ClOrdID (11) to change and be unique, the broker's OrderID (37) field does not necessarily have to change as a result of the Cancel/Replace request.
Only a limited number of fields can be changed via the cancel/replace request message. All other fields should be retransmitted as sent in the original order. The fields which can be changed via this message are:
When modifying ExecInst (18) fields in a replacement order, it is necessary to re-declare all ExecInst (18) in the replacement order. ExecInst (18)'s will not be carried forward from the original order to the replacement unless re-declared.
| Tag | Name | Type | Required | Description |
|---|---|---|---|---|
| Component | ||||
| 37 | String | Unique identifier of most recent order as assigned by broker | ||
| 109 | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID) | ||
| 76 | String | Used for firm identification in third-party transactions (should not be a substitute for OnBehalfOfCompID/DeliverToCompID) | ||
| 41 | String | ClOrdID of the previous order (NOT the initial order of the day) when canceling or replacing an order | ||
| 11 | String | Unique identifier of replacement order as assigned by institution. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected | ||
| 66 | String | Required for List Orders | ||
| 1 | String | |||
| Component | Number of repeating groups for pre-trade allocation | |||
| 63 | Char Enum | Absence of this field is interpreted as Regular | ||
| 64 | LocalMktDate | Required when SettlmntTyp = 6 (Future) or SettlmntTyp = 8 (Sellers Option) | ||
| 21 | Char Enum | |||
| 18 | String Enum | Can contain multiple instructions, space delimited. Replacement order must be created with new parameters (i.e. original order values will not be brought forward to replacement order unless redefined within this message) | ||
| 110 | Quantity | |||
| 111 | Quantity | |||
| 100 | Exchange | |||
| Component | Specifies the number of repeating TradingSessionIDs | |||
| 55 | String | Must match original order | ||
| 65 | String | |||
| 48 | String | Must match original order | ||
| 22 | String Enum | Must match original order | ||
| 167 | String Enum | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required | ||
| 200 | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified | ||
| 205 | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date | ||
| 201 | Int Enum | For Options | ||
| 202 | Price | For Options | ||
| 206 | Char | For Options | ||
| 231 | Float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount | ||
| 223 | Float | For Fixed Income | ||
| 207 | Exchange | Can be used to identify the security | ||
| 106 | String | |||
| 348 | Int | Must be set if EncodedIssuer field is specified and must immediately precede it | ||
| 349 | Data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field | ||
| 107 | String | |||
| 350 | Int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it | ||
| 351 | Data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field | ||
| 54 | Char Enum | Must match original side, however, Buy and Buy Minus can be interchanged as well as Sell and Sell Plus | ||
| 60 | UTCTimestamp | Time this order request was initiated/released by the trader or trading system | ||
| 38 | Quantity | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified. Should be the "Total Intended Order Quantity" (including the amount already executed for this chain of orders) | ||
| 152 | Quantity | Either CashOrderQty or OrderQty is required. Note that either, but not both, CashOrderQty or OrderQty should be specified. Specifies the approximate "monetary quantity" for the order. Broker is responsible for converting and calculating OrderQty in shares for subsequent messages | ||
| 40 | Char Enum | |||
| 44 | Price | Required for limit OrdTypes. For F/X orders, should be the "all-in" rate (spot rate adjusted for forward points). Can be used to specify a limit price for a pegged order, previously indicated, etc | ||
| 99 | Price | Required for OrdType = "Stop" or OrdType = "Stop limit" | ||
| 211 | PriceOffset | Amount (signed) added to the price of the peg | ||
| 388 | Char Enum | Code to identify the price a DiscretionOffset is related to and should be mathematically added to. Required if DiscretionOffset is specified | ||
| 389 | PriceOffset | Amount (signed) added to the "related to" price specified via DiscretionInst | ||
| 376 | String | |||
| 377 | Boolean Enum | |||
| 15 | Currency | Must match original order | ||
| 59 | Char Enum | Absence of this field indicates Day order | ||
| 168 | UTCTimestamp | Can specify the time at which the order should be considered valid | ||
| 432 | LocalMktDate | Conditionally required if TimeInForce = GTD and ExpireTime is not specified | ||
| 126 | UTCTimestamp | Conditionally required if TimeInForce = GTD and ExpireDate is not specified | ||
| 427 | Int Enum | States whether executions are booked out or accumulated on a partially filled GT order | ||
| 12 | Amount | |||
| 13 | Char Enum | |||
| 47 | Char Enum | Must match original order | ||
| 121 | Boolean Enum | Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade | ||
| 120 | Currency | Required if ForexReq = Y | ||
| 58 | String | |||
| 354 | Int | Must be set if EncodedText field is specified and must immediately precede it | ||
| 355 | Data | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field | ||
| 193 | LocalMktDate | Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of an F/X swap | ||
| 192 | Quantity | Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of an F/X swap | ||
| 77 | Char Enum | For options | ||
| 203 | Int Enum | For options | ||
| 204 | Int Enum | For options when delivering the order to execution system/exchange | ||
| 210 | Quantity | |||
| 114 | Boolean Enum | |||
| 439 | String | |||
| 440 | String | |||
| Component |