FIX 5.0 SP1 : CrossOrderCancelReplaceRequest <t> message

Structure | Related Messages

Description

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

Refer to the Order Cancel Replace Request (a.k.a. Order Modification Request) message for restrictions on what fields can be changed during a cancel replace.

The Cross Order-specific fields, CrossType <549> (tag 549) and CrossPrioritization <550> (tag 550), can not be modified using the Cross Order Cancel Replace Request.

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

Structure

Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = t (lowercase T)
37 OrderID N Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).
548 CrossID Y CrossID for the replacement order
551 OrigCrossID Y Must match the CrossID of the previous cross order. Same order chaining mechanism as ClOrdID/OrigClOrdID with single order Cancel/Replace.
549 CrossType Y
550 CrossPrioritization Y
Component Block - <SideCrossOrdModGrp> Y Must be 1 or 2
Component Block - <Instrument> Y Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Component Block - <UndInstrmtGrp> N Number of underlyings
Component Block - <InstrmtLegGrp> N Number of Legs
63 SettlType N
64 SettlDate N Takes precedence over SettlType value and conditionally required/omitted for specific SettlType values.
21 HandlInst N
18 ExecInst N Can contain multiple instructions, space delimited. If OrdType=P, exactly one of the following values (ExecInst = L, R, M, P, O, T, or W) must be specified.
110 MinQty N
111 MaxFloor N
100 ExDestination N
Component Block - <TrdgSesGrp> N Specifies the number of repeating TradingSessionIDs
81 ProcessCode N Used to identify soft trades at order entry.
140 PrevClosePx N Useful for verifying security identification
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.
Component Block - <Stipulations> N Insert here the set of "Stipulations" (repeating group of Fixed Income stipulations) 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 = "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"
15 Currency N
376 ComplianceID N
23 IOIID N Required for Previously Indicated Orders (OrdType=E)
117 QuoteID N Required for Previously Quoted Orders (OrdType=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 = 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
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
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)

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
961 HostCrossID N Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs
483 TransBkdTime N A date and time stamp to indicate when this order was booked with the agent prior to submission to the VMU
Component Block - <RootParties> N Insert here the set of "Root Parties" fields defined in "common components of application messages" Used for acting parties that applies to the whole message, not individual sides.
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"
1133 ExDestinationIDSource N
Component Block - <StandardTrailer> Y

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