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> and CrossPrioritization <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 <35> = t (lowercase T) | ||
| 37 | OrderID | N | Unique identifier of most recent order as assigned by sell-side (broker, exchange, ECN). | |
| 2422 | OrderRequestID | N |
Required if provided on the order being replaced (or cancelled). Echo back the value provided by the requester. |
|
| 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. | |
| 961 | HostCrossID | N | Host assigned entity ID that can be used to reference all components of a cross; sides + strategy + legs | |
| 549 | CrossType | Y | ||
| 550 | CrossPrioritization | Y | ||
| 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. | ||
| 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 | ||
| 1822 | MinQtyMethod | 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" | ||
| 111 | MaxFloor | N | ||
| 1300 | MarketSegmentID | N | ||
| 100 | ExDestination | N | ||
| 1133 | ExDestinationIDSource | 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. | |
| 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 - <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. | |
| 1092 | PriceProtectionScope | N | ||
| 99 | StopPx | N | Required for OrdType = "Stop" or OrdType = "Stop limit". | |
| Component Block - <TriggeringInstruction> | N | Insert here the set of "TriggeringInstruction" fields defined in "common components of application messages" | ||
| 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 | ||
| 2897 | CurrencyCodeSource | 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 | |
| 1629 | ExposureDuration | N |
Conditionally required when TimeInForce <59>=10 (Good for Time) |
|
| 1916 | ExposureDurationUnit | N | ||
| 1815 | TradingCapacity | N | ||
| 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 | |
| Component Block - <StrategyParametersGrp> | N | Strategy parameter block | ||
| 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 | |
| 1685 | ThrottleInst | N | ||
| Component Block - <StandardTrailer> | Y | |||