The Order Cancel Reject <9> message is issued by the broker upon receipt of a Order Cancel Request <F> or Order Cancel/Replace Request <G> message which cannot be honored. Requests to change price or decrease quantity are executed only when an outstanding quantity exists. Filled orders cannot be changed (i.e quantity reduced or price change. However, the broker/sellside may support increasing the order quantity on a currently filled order).
When rejecting a Cancel/Replace Request <G>, the Cancel Reject <9> message should provide the ClOrdID <11> and OrigClOrdID <41> values which were specified on the Cancel/Replace Request message for identification