Message seq on changing OrdType on CancelReplace

, ,
1

Imported from previous forum

2

[ original email was from Jeffrey Croft - jeff.croft@plusmarketsgroup.com ]
If I change the OrdType to Market from Limit then should I still expect a NEW followed by a CANCEL Execution Report? That’s assuming that there is nothing to match on the other side of the book.

3

If I change the OrdType to Market from Limit then should I still expect a NEW followed by a CANCEL Execution Report? That’s assuming that there is nothing to match on the other side of the book.

If you send an OrderCancelReplaceRequest to change the OrdType,
you should expect an ExecutionReport(Replaced) to acknowlegde this
(or an OrderCancelReject(434/CxlRejResponseTo=2)).

Or what type of message do you intend to send?

Cheers, Jörg

4

[ original email was from Jeffrey Croft - jeff.croft@plusmarketsgroup.com ]
Thanks for this, Jorg, but what should be the value in tag 39 OrdStatus?

If I change the OrdType to Market from Limit then should I still expect a NEW followed by a CANCEL Execution Report? That’s assuming that there is nothing to match on the other side of the book.

If you send an OrderCancelReplaceRequest to change the OrdType,
you should expect an ExecutionReport(Replaced) to acknowlegde this
(or an OrderCancelReject(434/CxlRejResponseTo=2)).

Or what type of message do you intend to send?

Cheers, Jörg

5

You should expect an execution report:

  • ExecType = 5 or D (replace or restated, depending on if the change was solicited or not)
  • OrdStatus = 0 or 1 (new or partially filled, depending on the limit order status when it has been changed)

Some exchange may send OrdStatus = 4 as a shortcut to acknowledge the order type change and cancel the order in the same message.

Thanks for this, Jorg, but what should be the value in tag 39 OrdStatus?

If I change the OrdType to Market from Limit then should I still expect a NEW followed by a CANCEL Execution Report? That’s assuming that there is nothing to match on the other side of the book.

If you send an OrderCancelReplaceRequest to change the OrdType,
you should expect an ExecutionReport(Replaced) to acknowlegde this
(or an OrderCancelReject(434/CxlRejResponseTo=2)).

Or what type of message do you intend to send?

Cheers, Jörg