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The Order Cancel/Replace Request (G) 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 (F) 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 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 (8) with ExecType (150) =Pending Replace be sent unless the Order Cancel/Replace Request (G) can be immediately accepted ( ExecutionRpt (8) with ExecType (150) =Replace) or rejected ( Order Cancel Reject (9) message).
The Order Cancel/Replace Request (G) 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 (9) message. The Cancel Reject (9) message should provide the ClOrdID (11) and OrigClOrdID (41) values which were specified on the Cancel/Replace Request (G) message for identification.
Note that while it is necessary for the ClOrdID (11) to change and be unique, the broker's OrderID (37) field does not necessarily have to change as a result of the Cancel/Replace request (G) .
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 an Order Cancel/Replace Request (G) when there is one or more cancel/replaces which have not been accepted or rejected - in general:
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 (G) , 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 (G) 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 (9) 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.
|<Standard Message Header>||Y||MsgType = G|
|37||OrderID||@OrdID||N||Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN).|
|41||OrigClOrdID||@OrigClOrdID||Y||ClOrdID (11) of the previous non rejected order (NOT the initial order of the day) when canceling or replacing an order.|
|11||ClOrdID||@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 (9) message if the replacement request is rejected.|
|66||ListID||@ListID||N||Required for List Orders|
|586||OrigOrdModTime||@OrigOrdModTm||N||TransactTime of the last state change that occurred to the original order|
|70||AllocID||@AllocID||N||Used to assign an overall allocation id to the block of preallocations|
|78||NoAllocs||PreAll||N||Number of repeating groups for pre-trade allocation|
|=>||79||AllocAccount||@Acct||C||Required if NoAllocs (78) > 0. Must be first field in repeating group.|
|64||SettlDate||@SettlDt||C||Takes precedence over SettlType (63) value and conditionally required/omitted for specific SettlType (63) values.|
|18||ExecInst||@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).|
|386||NoTradingSessions||TrdSes||N||Specifies the number of repeating TradingSessionIDs|
|=>||336||TradingSessionID||@SesID||C||Required if NoTradingSessions (386) is > 0.|
|<Instrument>||Y||Must match original order|
|<Financing Details>||N||Must match original order|
|711||NoUnderlyings||Undly||N||Number of underlyings|
|=>||<Underlying Instrument>||C||Must be provided if Number of underlyings > 0|
|54||Side||@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||@TxnTm||Y||Time this order request was initiated/released by the trader or trading system.|
|<Order Qty Data>||Y|
|44||Price||@Px||C||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||@StopPx||C||Required for OrdType (40) = "Stop" or OrdType (40) = "Stop limit".|
|<Spread or Benchmark Curve Data>||N|
|847||TargetStrategy||@TgtStrategy||N||The target strategy of the order|
|848||TargetStrategyParameters||@TgtStrategyParameters||N||For further specification of the TargetStrategy (847)|
|849||ParticipationRate||@ParticipationRt||C||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)|
|15||Currency||@Ccy||N||Must match original order.|
|59||TimeInForce||@TmInForce||N||Absence of this field indicates Day order|
|168||EffectiveTime||@EfctvTm||N||Can specify the time at which the order should be considered valid|
|432||ExpireDate||@ExpireDt||C||Conditionally required if TimeInForce (59) = GTD and ExpireTime (126) is not specified.|
|126||ExpireTime||@ExpireTm||C||Conditionally required if TimeInForce (59) = GTD and ExpireDate (432) is not specified.|
|427||GTBookingInst||@GTBkngInst||N||States whether executions are booked out or accumulated on a partially filled GT order|
|121||ForexReq||@ForexReq||N||Indicates that broker is requested to execute a Forex accommodation trade in conjunction with the security trade.|
|120||SettlCurrency||@SettlCcy||C||Required if ForexReq (121) = Y.|
|775||BookingType||@BkngTyp||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.|
|354||EncodedTextLen||@EncTxtLen||C||Must be set if EncodedText (355) field is specified and must immediately precede it.|
|355||EncodedText||@EncTxt||C||Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.|
|193||SettDate2||@SettlDt2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the "value date" for the future portion of a F/X swap.|
|192||OrderQty2||@Qty2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the order quantity for the future portion of a F/X swap.|
|640||Price2||@Px2||N||Can be used with OrdType (40) = "Forex - Swap" to specify the price for the future portion of a F/X swap.|
|77||PositionEffect||@PosEfct||N||For use in derivatives omnibus accounting|
|203||CoveredOrUncovered||@Covered||N||For use with derivatives, such as options|
|114||LocateReqd||@LocReqd||C||Required for short sell orders|
|480||CancellationRights||@CxllationRights||N||For CIV - Optional|
|513||RegistID||@RegistID||N||Reference to Registration Instructions (o) message for this Order.|
|494||Designation||@Designation||N||Supplementary registration information for this Order|
|<Standard Message Trailer>||Y|
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