Mass Order Amend

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1

Imported from previous forum

2

Is there any message in FIX that can support mass order amendment? The requirement is to mass amend the price of a number of orders. I believe a list ID will have to be maintained for these orders, but is there a message I can utilize for this purpose?

3

There is a OrderMassActionRequest 35=CA, where the only values for MassActionType (1373) are suspend, unsuspend and Cancel, so that would not be appropriate.

In case the orders were placed as a NewOrderList 35=E, I see a ListCancelRequest 35=K, but I could not find a ListCancelReplaceRequest.

In OrderCancelReplaceRequest 35=G, ListID (66) is a conditionally required field to CancelReplace Orders submitted as part of NewOrderList

So I see the following choices

  1. Send a List Cancel, wait for Executions to be received then place a NewOrderList for the unexecuted portion of the original NewOrderList + any new orders

  2. Send series of OrderCancelReplaceRequest, one for each Order in the List

  3. Propose to GTC a new message type to handle ListCancelReplaceRequest

  4. Create a custom message (I would say this is the worst solution)

Is there any message in FIX that can support mass order amendment? The
requirement is to mass amend the price of a number of orders. I believe
a list ID will have to be maintained for these orders, but is there a
message I can utilize for this purpose?