The Order Cancel Reject <9> message is issued by the broker upon receipt of a cancel request or cancel/replace request 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> (or Cancel Request <F>), the Cancel Reject <9> message should provide the ClOrdID <11> which was specified on the Cancel/Replace Request (or Cancel Request) message for identification, and the OrigClOrdId should be that of the last accepted order (except in the case of CxlRejReason <102> = "Unknown Order".
When rejecting an Order Mass Cancel Request <q>, the ClOrdID <11> should be set to the ClOrdID <11> value of the Order Mass Cancel Request <q>. OrigClOrdID <41> is not specified for a rejected Order Mass Cancel Requests