FIX 4.4 : Multileg Order Cancel/Replace <AC> message

Structure | Related Messages

Description

Used to modify a multileg order previously submitted using the New Order - Multileg message. See Order Cancel Replace Request for details concerning message usage.

Multileg Order Cancel/Replace <AC> Request (a.k.a Multileg Order Modification Request)

Structure

Tag Field Name Req'd Comments
<MessageHeader> Y MsgType <35> = AC
37 OrderID N

Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).

41 OrigClOrdID Y

ClOrdID <11> of the previous order (NOT the initial order of the day) when canceling or replacing an order.

11 ClOrdID Y

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 <11> field of the Cancel Reject <3> message if the replacement request is rejected.

526 SecondaryClOrdID N
583 ClOrdLinkID N
586 OrigOrdModTime N
Component Block - <Parties> N

Insert here the set of "<Parties>" (firm identification) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

229 TradeOriginationDate N
75 TradeDate N
1 Account N
660 AcctIDSource N
581 AccountType N
589 DayBookingInst N
590 BookingUnit N
591 PreallocMethod N
70 AllocID N

Used to assign an identifier to the block of individual preallocations

78 NoAllocs N

Number of repeating groups for pre-trade allocation

=> 79 AllocAccount N

Required if NoAllocs <78> > 0. Must be first field in repeating group.

=> 661 AllocAcctIDSource N
=> 736 AllocSettlCurrency N
=> 467 IndividualAllocID N
=> Component Block - <NestedParties3> N

Insert here the set of "<NestedParties3>" (firm identification "nested" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> 80 AllocQty N
63 SettlType N
64 SettlDate N

Takes precedence over SettlType <63> value and conditionally required/omitted for specific SettlType <63> values.

544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N

Can contain multiple instructions, space delimited. If OrdType <40>=P, exactly one of the following values (ExecInst <18> = L, R, M, P, O, T, or W) must be specified.

110 MinQty N
111 MaxFloor N
100 ExDestination N
386 NoTradingSessions N

Specifies the number of repeating TradingSessionIDs

=> 336 TradingSessionID N

Required if NoTradingSessions <386> is > 0.

=> 625 TradingSessionSubID N
81 ProcessCode N

Used to identify soft trades at order entry.

54 Side Y

Additional enumeration that indicates this is an order for a multileg order and that the sides are specified in the <InstrumentLeg> component block.

Component Block - <Instrument> Y

Insert here the set of "<Instrument>" (symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

SecurityType <167>[167] = 'MLEG'

CFICode <461> should be set to the type of multileg product, such as 'O' - options, 'F' - Future or Swap.

711 NoUnderlyings N

Number of underlyings

=> Component Block - <UnderlyingInstrument> N

Must be provided if Number of underlyings > 0

140 PrevClosePx N

Useful for verifying security identification

555 NoLegs Y

Number of legs

Can be zero (e.g. standardized multileg instrument such as an Option strategy) - must be provided even if zero

=> Component Block - <InstrumentLeg> N

Must be provided if Number of legs > 0

=> 687 LegQty N
=> 690 LegSwapType N
=> Component Block - <LegStipulations> N
=> 670 NoLegAllocs N
=> => 671 LegAllocAccount N
=> => 672 LegIndividualAllocID N
=> => Component Block - <NestedParties2> N

Insert here the set of "<NestedParties> #2" (firm identification "second instance of nesting" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

=> => 673 LegAllocQty N
=> => 674 LegAllocAcctIDSource N
=> => 675 LegSettlCurrency N
=> 564 LegPositionEffect N

Provide if the PositionEffect <77> for the leg is different from that specified for the overall multileg security

=> 565 LegCoveredOrUncovered N

Provide if the CoveredOrUncovered <203> for the leg is different from that specified forthe overall multileg security.

=> Component Block - <NestedParties> N

Insert here the set of "<NestedParties>" (firm identification "nested" within additional repeating group) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Used for NestedPartyRole <538>=Leg Clearing Firm/Account <1>, Leg Account <1>/Account <1> Type

=> 654 LegRefID N

Used to identify a specific leg.

=> 566 LegPrice N

Provide only if a price is required for a specific leg. Used for anchoring the overall multileg security price to a specific leg price.

=> 587 LegSettlType N

Refer to values for SettlType <63> (63)

=> 588 LegSettlDate N

Refer to values for SettlDate <64> (64)

114 LocateReqd N

Required for short sell orders

60 TransactTime Y

Time this order request was initiated/released by the trader, trading system, or intermediary.

854 QtyType N
Component Block - <OrderQtyData> Y

Insert here the set of "<OrderQtyData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

40 OrdType Y
423 PriceType N
44 Price N

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 StopPx N

Required for OrdType <40> = 'Stop' or OrdType <40> = 'Stop limit'.

15 Currency N
376 ComplianceID N
377 SolicitedFlag N
23 IOIID N

Required for Previously Indicated Orders (OrdType <40>=E)

117 QuoteID N

Required for Previously Quoted Orders (OrdType <40>=D)

59 TimeInForce N

Absence of this field indicates Day order

168 EffectiveTime N

Can specify the time at which the order should be considered valid

432 ExpireDate N

Conditionally required if TimeInForce <59> = GTD and ExpireTime <126> is not specified.

126 ExpireTime N

Conditionally required if TimeInForce <59> = GTD and ExpireDate <432> is not specified.

427 GTBookingInst N

States whether executions are booked out or accumulated on a partially filled GT order

Component Block - <CommissionData> N

Insert here the set of "<CommissionData>" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

528 OrderCapacity N
529 OrderRestrictions N
582 CustOrderCapacity N
121 ForexReq N

Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.

120 SettlCurrency N

Required if ForexReq <121> = Y.

775 BookingType N

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 N
354 EncodedTextLen N

Must be set if EncodedText <355> field is specified and must immediately precede it.

355 EncodedText N

Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.

77 PositionEffect N

For use in derivatives omnibus accounting

203 CoveredOrUncovered N

For use with derivatives, such as options

210 MaxShow N
Component Block - <PegInstructions> N

Insert here the set of "PegInstruction" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

Component Block - <DiscretionInstructions> N

Insert here the set of "DiscretionInstruction" fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"

847 TargetStrategy N

The target strategy of the order

848 TargetStrategyParameters N

For further specification of the TargetStrategy <847>

849 ParticipationRate N

Mandatory for a TargetStrategy <847>=Participate order and specifies the target particpation rate.

For other order types optionally specifies a volume limit (i.e. do not be more than this percent of the market volume)

480 CancellationRights N

For CIV - Optional

481 MoneyLaunderingStatus N
513 RegistID N

Reference to Registration Instructions <o> message for this Order.

494 Designation N

Supplementary registration information for this Order

563 MultiLegRptTypeReq N

Indicates the method of execution reporting requested by issuer of the order.

<MessageTrailer> Y

 

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