Order Cancel/Replace Request message

G Order Cancel/Replace Request

This message 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 Order Cancel Request <35=F> instead.

This request can be used to change any valid attribute of an open order, e.g. to reduce or increase quantity, to change limit price, or to change instructions. Subject to agreement between counterparties, 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 request can be immediately accepted or rejected.

The request will only be accepted if the order can successfully be pulled from the exchange 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 request.

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 an accepted request.

The protocol supports the chaining of multiple cancel/replace requests, though trading counterparties may not support this functionality. Care should be taken if the order owner wishes to send a cancel/replace request when there is any cancel/replace requests which have not yet been accepted or rejected. In general:

The order sender should chain client order ids on an 'optimistic' basis, i.e. set the OrigClOrdID (41) to the last non-rejected ClOrdID (11) sent
The order receiver should chain client order ids on a 'pessimistic' basis, i.e. set the OrigClOrdID (41) on execution reports that convey the receipt or successful application of a cancel/replace and Order Cancel Reject <35=9> messages to be the last 'accepted' ClOrdID (11)

In the event that an application chains order cancel/replaces rapidly, it should ensure that each request contains the desirable state of the order in full. For example, if an attempt is made to change the limit price and then an immediate request to change the quantity is issued, then if the desired behaviour is that both the limit price and quantity should be changed then the second request should include the revised limit price, in case the first request is rejected.

All of the application-level fields in the original order should be retransmitted with the original values in the request, except the fields that are being changed.

Any field may be changed with this message except those in the Instrument component block and limited changes to the Side (54) field, noted below. Applications may further restrict which fields are allowed to change, so bilateral agreement is required. For example, some firms may not allow fields such as Side (54) to change. Applications should validate the request to ensure that it does not attempt to change a field that cannot change; if it does, a Order Cancel Reject <35=9> with CxlRejReason (102) = 2 should be sent.

When modifying ExecInst (18) values in a replacement order, it is necessary to re-declare all ExecInst (18)s. ExecInst (18) values will not be carried forward from the original order to the replacement unless re-declared.

Structure

Tag	Name	Type	Description
	StandardHeader	Component
37	OrderID	String	Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN)
2422	OrderRequestID	Int	Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester
	Parties	Component	This is party information related to the submitter of the request
	TargetParties	Component	Identifies parties not directly associated with or owning the order, who are to be informed to effect processing of the order
229	TradeOriginationDate	LocalMktDate
75	TradeDate	LocalMktDate
41	OrigClOrdID	String	ClOrdID(11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order
11	ClOrdID	String	Unique identifier of replacement order as assigned by institution or by the intermediary with closest association with the investor. Note that this identifier will be used in ClOrdID field of the Cancel Reject message if the replacement request is rejected
526	SecondaryClOrdID	String
583	ClOrdLinkID	String
2829	DuplicateClOrdIDIndicator	Boolean Enum
66	ListID	String	Required for List Orders
586	OrigOrdModTime	UTCTimestamp	TransactTime of the last state change that occurred to the original order
1	Account	String
660	AcctIDSource	Int Enum
581	AccountType	Int Enum
589	DayBookingInst	Char Enum
590	BookingUnit	Char Enum
591	PreallocMethod	Char Enum
70	AllocID	String	Used to assign an overall allocation id to the block of preallocations
	PreAllocGrp	Component	Number of repeating groups for pre-trade allocation
63	SettlType	String Enum	For NDFs either SettlType or SettlDate should be specified
64	SettlDate	LocalMktDate	Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values
544	CashMargin	Char Enum
635	ClearingFeeIndicator	String Enum
21	HandlInst	Char Enum
18	ExecInst	MultipleCharValue 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)
1805	AuctionInstruction	Int Enum
110	MinQty	Quantity
1822	MinQtyMethod	Int Enum
1089	MatchIncrement	Quantity
1090	MaxPriceLevels	Int
2676	MaximumPriceDeviation	Percentage
	ValueChecksGrp	Component
	MatchingInstructions	Component
2362	SelfMatchPreventionID	String	May be used as an alternative to MatchingInstructions when the identifier does not appear in another field
2964	SelfMatchPreventionInstruction	Int Enum
	DisplayInstruction	Component
	DisclosureInstructionGrp	Component	Specifies instructions to disclose certain order level information in market data
111	MaxFloor	Quantity
1300	MarketSegmentID	String
100	ExDestination	Exchange
1133	ExDestinationIDSource	Char Enum
2704	ExDestinationType	Int Enum
	TrdgSesGrp	Component	Specifies the number of repeating TradingSessionIDs
	Instrument	Component	Must match original order
	FinancingDetails	Component	Must match original order
	UndInstrmtGrp	Component	Number of underlyings
54	Side	Char Enum	Should match original order's side, however, if bilaterally agreed to the following groups could potentially be interchanged:
2102	ShortMarkingExemptIndicator	Boolean
1688	ShortSaleExemptionReason	Int Enum	Available for optional use when Side(54) = 6(Sell short exempt)
60	TransactTime	UTCTimestamp	Time this order request was initiated/released by the trader or trading system
	Stipulations	Component
854	QtyType	Int Enum
	OrderQtyData	Component	OrderQty(38) value should be the "Total Intended Order Quantity" (including the amount already executed for this chain of orders)
40	OrdType	Char Enum
423	PriceType	Int Enum
44	Price	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
2838	CurrentWorkingPrice	Price	May be used to correct the initial working price of the parent order when this (child) order was entered
1092	PriceProtectionScope	Char Enum
99	StopPx	Price	Required for OrdType = "Stop" or OrdType = "Stop limit"
	TriggeringInstruction	Component	The set of "TriggeringInstruction" fields defined in "common components of application messages"
	SpreadOrBenchmarkCurveData	Component
	YieldData	Component
	PegInstructions	Component
	DiscretionInstructions	Component
847	TargetStrategy	Int Enum	The target strategy of the order
	StrategyParametersGrp	Component	Strategy parameter block
848	TargetStrategyParameters	String	For further specification of the TargetStrategy
849	ParticipationRate	Percentage	Mandatory for a TargetStrategy=Participate order and specifies the target particpation rate
376	ComplianceID	String
2404	ComplianceText	String
2351	EncodedComplianceTextLen	Length	Must be set if EncodedComplianceText(2352) field is specified and must immediately precede it
2352	EncodedComplianceText	Data	Encoded (non-ASCII characters) representation of the ComplianceText(2404) field in the encoded format specified via the MessageEncoding(347) field
377	SolicitedFlag	Boolean Enum
15	Currency	Currency	Must match original order
2897	CurrencyCodeSource	String Enum
59	TimeInForce	Char Enum	Absence of this field indicates Day order
168	EffectiveTime	UTCTimestamp	Can specify the time at which the order should be considered valid
432	ExpireDate	LocalMktDate	Conditionally required if TimeInForce = GTD and ExpireTime is not specified
126	ExpireTime	UTCTimestamp	Conditionally required if TimeInForce = GTD and ExpireDate is not specified
427	GTBookingInst	Int Enum	States whether executions are booked out or accumulated on a partially filled GT order
1629	ExposureDuration	Int	Conditionally required when TimeInForce(59)=10 (Good for Time)
1916	ExposureDurationUnit	Int Enum
	CommissionData	Component
	CommissionDataGrp	Component	Use as an alternative to CommissionData component if multiple commissions or enhanced attributes are needed
528	OrderCapacity	Char Enum
529	OrderRestrictions	MultipleCharValue Enum
1815	TradingCapacity	Int Enum
1091	PreTradeAnonymity	Boolean
1390	TradePublishIndicator	Int Enum	Applies to trades resulting from the order
582	CustOrderCapacity	Int Enum
	OrderAttributeGrp	Component
121	ForexReq	Boolean Enum	Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade
120	SettlCurrency	Currency	Required if ForexReq=Y
2899	SettlCurrencyCodeSource	String Enum
	RateSource	Component
2795	OffshoreIndicator	Int Enum
775	BookingType	Int Enum	Method for booking out this order. Used when notifying a broker that an order to be settled by that broker is to be booked out as an OTC derivative (e.g. CFD or similar). Absence of this field implies regular booking
58	Text	String
354	EncodedTextLen	Length	Must be set if EncodedText field is specified and must immediately precede it
355	EncodedText	Data	Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field
193	SettlDate2	LocalMktDate	Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap
192	OrderQty2	Quantity	Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap
640	Price2	Price	Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap
1816	ClearingAccountType	Int Enum
77	PositionEffect	Char Enum	For use in derivatives omnibus accounting
203	CoveredOrUncovered	Int Enum	For use with derivatives, such as options
210	MaxShow	Quantity
114	LocateReqd	Boolean Enum	Required for short sell orders
480	CancellationRights	Char Enum	For CIV - Optional
481	MoneyLaunderingStatus	Char Enum
513	RegistID	String	Reference to Registration Instructions message for this Order
494	Designation	String	Supplementary registration information for this Order
1028	ManualOrderIndicator	Boolean
1029	CustDirectedOrder	Boolean
1030	ReceivedDeptID	String
1031	CustOrderHandlingInst	MultipleStringValue Enum
1032	OrderHandlingInstSource	Int Enum
1724	OrderOrigination	Int Enum
2882	ContraOrderOrigination	Int Enum	May be used for cross orders submitted with single order messages
1725	OriginatingDeptID	String
1726	ReceivingDeptID	String
2883	RoutingArrangmentIndicator	Int Enum
2884	ContraRoutingArrangmentIndicator	Int Enum	May be used for cross orders submitted with single order messages
522	OwnerType	Int Enum
2679	OrderOwnershipIndicator	Int Enum	Can be used to request change of order ownership
	TrdRegTimestamps	Component
1685	ThrottleInst	Int Enum
1803	AuctionType	Int Enum	Conditionally required for auction orders
1804	AuctionAllocationPct	Percentage
1810	ReleaseInstruction	Int Enum
1811	ReleaseQty	Quantity
	StandardTrailer	Component

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