Modifying a limit order to a market order

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Imported from previous forum

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In 4.2 should you be able to place a basic limit order that gets acknowledged, and then then modify that order with a 35=G to a market order or do you need to cancel the original and send in a new order as a market?

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[ original email was from John Prewett - jprewett@lavatrading.com ]
> In 4.2 should you be able to place a basic limit order that gets

acknowledged, and then then modify that order with a 35=G to a market
order or do you need to cancel the original and send in a new order
as a market?

As a general rule, you should be able to do a Cancel/Replace to modify a limit order to a market order.
In the specific case, you should read the FIX interface of the venue where you are sending the order to see if that is supported.
In my experience, most (all?) of the venues I have connected to support this behavior.

JohnP

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When you say cancel/replace do you mean a 35=G or a cancel (35=F) of the original and a new order as a market? Several exchanges told us they require a cancel of the limit order and then a new order as a market.

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[ original email was from John Prewett - jprewett@lavatrading.com ]
> When you say cancel/replace do you mean a 35=G or a cancel (35=F) of the

original and a new order as a market? Several exchanges told us they
require a cancel of the limit order and then a new order as a market.

35=G

Official name of this message type is OrderCancelReplaceRequest.
I always have referred to it as a Cancel/Replace for historical reasons here in the USA although I do believe this is totally archaic jargon and it would be better named OrderReplaceRequest.

Sorry for any confusion.

JohnP

6

thank you

7

thank you

Hi,

There are instances where certain execution venues request you to send a cancel to a previous order and send a fresh order. The underlying cause, in most of the cases is related to priority maintenance.

35 = G is also known as “CancelReplaceRequest” as John mentioned. When you send a 35=G, it is a replace request for a previous order, that doesn;t modify the time priority of the previous original order. Venues that are comfortable to keep the time priority in certain modification scenarios (qty reduction, parametric changes that do not offer additional previldege due to time priority) recommend 35=G in such situations.

The same venue, on different scenario like “quantity increase”, might state to send a “Cancel” followed by a “Fresh new order”. In this case, since the quantuty window is increased, the broker is not allowed to take undue advantage of the time priority of the original order. Cancelling and sending a fresh order invalidates the previous order totally. (Time priority is lost)

Regards,
Thaya.