Appendix D: Order State Change Matrices

16 – One cancel/replace request is issued which is rejected before order becomes pending replace — then another one is issued which is accepted

Time Message Received (ClOrdID, OrigClOrdID) Message Sent (ClOrdID, OrigClOrdID) Exec Type OrdStatus Order Qty Cum Qty Leaves Qty Last Qty Comment
1 New Order(X)       10000        
2   Execution(X) Rejected Rejected 10000 0 0 0 If order is rejected by sell-side (broker, exchange, ECN)
2   Execution(X) New New 10000 0 10000 0  
3   Execution(X) Trade Partially Filled 10000 1000 9000 1000 Execution for 1000
4 Replace Request(Y,X)       8000       Request decrease in order quantity to 8000, leaving 7000 open
5   Cancel Reject (Y,X) Partially Filled Request is rejected
6   Execution(X) Trade Partially Filled 10000 1500 8500 500 Execution for 500
7   Execution(X) Trade Partially Filled 10000 3500 6500 2000 Execution for 2000
8 Replace Request(Z,X)       6000       Request decrease in order quantity to 6000, leaving 2500 open. Note that OrigClOrdID = X , as this is the last non rejected ClOrdID
9   Execution (Z,X) Pending Replace Pending Replace 10000 3500 6500 0 Note that OrigClOrdID = X
10   Execution (Z,X) Replace Partially Filled 6000 3500 2500 0 Note that OrigClOrdID = X
11   Execution(Z) Trade Partially Filled 6000 5000 1000 1500 Execution for 1500

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