FIX 5.0 SP1 : OrderCancelReplaceRequest <G> message

Structure | Related Messages

Description

The order cancel/replace request 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 the Order Cancel Request message for this purpose.

Cancel/Replace will be used to change any valid attribute of an open order (i.e. reduce/increase quantity, change limit price, change instructions, etc.), Subject <147> 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 ExecutionRpt with ExecType <150>=Pending Replace be sent unless the Order Cancel/Replace Request can be immediately accepted (ExecutionRpt with ExecType <150>=Replace) or rejected (Order Cancel Reject <3> message).

The Cancel/Replace request will only be accepted if the order can successfully be pulled back from the exchange floor without executing. Requests which cannot be processed will be rejected using the Cancel Reject <3> message. The Cancel Reject <3> message should provide the ClOrdID <11> and OrigClOrdID <41> values which were specified on the Cancel/Replace Request message for identification.

Note that while it is necessary for the ClOrdID <11> to change and be unique, the brokers OrderID <37> field does not necessarily have to change as a result of the Cancel/Replace 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 sender wishes to send a cancel/replace request when there is one or more cancel/replaces which have not 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 succesful application of a cancel/replace and Order Cancel Reject <3> messages to be the last accepted ClOrdID <11> (See "Order State Change Matrices" for examples of this)

In the event that the order sender wants to chain order cancel/replaces rapidly then they should ensure that each replace request contains the full details of the order as they would now like it to be. 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 replace request is rejected).

All of the application-level fields in the original order should be retransmitted with the original values in the Order Cancel/Replace 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), however, buy-side firms should note that sell-side firms may further restrict which fields they allow to change; hence bilateral agreement is required. For example, some sell-side firms may not allow fields such as Side <54>, SettlDate <64>, etc. to change. Sell-side firms should validate the Order Cancel/Replace Request to ensure that the client is not requesting a change for a field that the sell-side cannot change; in this case the sell-side should send a Cancel Reject <3> message with CxlRejReason <102> = 2 (Broker/Exchange Option).

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

The format of the Order Cancel/Replace Request message is:

Order Cancel/Replace Request (a.k.a. Order Modification Request)

Structure

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = G
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
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
41 OrigClOrdID N

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

Required when referring to orders that where electronically submitted over FIX or otherwise assigned a ClOrdID

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 field of the Cancel Reject message if the replacement request is rejected.
526 SecondaryClOrdID N
583 ClOrdLinkID N
66 ListID N Required for List Orders
586 OrigOrdModTime N TransactTime of the last state change that occurred to the original order
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 overall allocation id to the block of preallocations
Component Block - <PreAllocGrp> N Number of repeating groups for pre-trade allocation
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
544 CashMargin N
635 ClearingFeeIndicator N
21 HandlInst N
18 ExecInst N 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).
110 MinQty N
111 MaxFloor N
100 ExDestination N
Component Block - <TrdgSesGrp> N Specifies the number of repeating TradingSessionIDs
Component Block - <Instrument> Y

Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"

Must match original order

Component Block - <FinancingDetails> N

Insert here the set of "FinancingDetails" (symbology) fields defined in "Common Components of Application Messages"

Must match original order

Component Block - <UndInstrmtGrp> N Number of underlyings
54 Side Y

Should match original order's side, however, if bilaterally agreed to the following groups could potentially be interchanged:

Buy and Buy Minus

Sell, Sell Plus, Sell Short, and Sell Short Exempt

Cross, Cross Short, and Cross Short Exempt

60 TransactTime Y Time this order request was initiated/released by the trader or trading system.
854 QtyType N
Component Block - <OrderQtyData> Y

Insert here the set of "OrderQtyData" fields defined in "Common Components of Application Messages"

Note: OrderQty value should be the "Total Intended Order Quantity" (including the amount already executed for this chain of orders)

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 = "Stop" or OrdType = "Stop limit".
Component Block - <SpreadOrBenchmarkCurveData> N Insert here the set of "SpreadOrBenchmarkCurveData" (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
Component Block - <YieldData> N Insert here the set of "YieldData" (yield-related) fields defined in "Common Components of Application Messages"
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
849 ParticipationRate N

Mandatory for a TargetStrategy=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)

376 ComplianceID N
377 SolicitedFlag N
15 Currency N Must match original order.
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 = GTD and ExpireTime is not specified.
126 ExpireTime N Conditionally required if TimeInForce = GTD and ExpireDate 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 = 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 field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
193 SettlDate2 N Can be used with OrdType = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.
192 OrderQty2 N Can be used with OrdType = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.
640 Price2 N Can be used with OrdType = "Forex - Swap" to specify the price for the future portion of a F/X swap.
77 PositionEffect N For use in derivatives omnibus accounting
203 CoveredOrUncovered N For use with derivatives, such as options
210 MaxShow N
114 LocateReqd N Required for short sell orders
480 CancellationRights N For CIV - Optional
481 MoneyLaunderingStatus N
513 RegistID N Reference to Registration Instructions message for this Order.
494 Designation N Supplementary registration information for this Order
Component Block - <StrategyParametersGrp> N Strategy parameter block
1028 ManualOrderIndicator N
1029 CustDirectedOrder N
1030 ReceivedDeptID N
1031 CustOrderHandlingInst N
1032 OrderHandlingInstSource N
Component Block - <TrdRegTimestamps> N
1089 MatchIncrement N
1090 MaxPriceLevels N
Component Block - <DisplayInstruction> N Insert here the set of "DisplayInstruction" fields defined in "common components of application messages"
1092 PriceProtectionScope N
Component Block - <TriggeringInstruction> N Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages"
1091 PreTradeAnonymity N
1133 ExDestinationIDSource N
Component Block - <StandardTrailer> Y

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