Order Modified Message Fields
Order Modified messages are sent in response to a Modify Request to indicate that the order has been successfully modified.
Note: You must opt-in to receiving LeavesQty in Order Modified messages. In some cases, the last message to be received on an order's lifecycle will be an Order Modified message. The way to know the order is no longer live is to inspect LeavesQty. An example of this would be modification of an order whilst an execution is being generated, resulting in the order being reduced to zero outstanding quantity.
Permitted return optional fields are described in Order Modified.
| Field | Offset | Length | Data Type | Description |
|---|---|---|---|---|
| StartOfMessage | 0 | 2 | Binary | Must be 0xBA 0xBA. |
| MessageLength | 2 | 2 | Binary | Number of bytes for the message, including this field but not including the two bytes for the StartOfMessage field. |
| MessageType | 4 | 1 | Binary | 0x27 |
| MatchingUnit | 5 | 1 | Binary | The Matching Unit which created this message. Matching units in BOE correspond to Matching Units on Multicast PITCH. |
| SequenceNumber | 6 | 4 | Binary | The sequence number for this message. Distinct per Matching Unit. |
| TransactionTime | 10 | 8 | DateTime | The time the event occurred in the Cboe Matching Engine (not the time the message was sent). |
| ClOrdID | 18 | 20 | Text | Client order ID. This is the ClOrdID from the Modify Order message. |
| OrderID | 38 | 8 | Binary |
|
| ReservedInternal | 46 | 1 | Binary | Reserved for Cboe internal use. |
| NumberOfReturn Bitfields | 47 | 1 | Binary | Number of bitfields to follow. |
| ReturnBitfield¹ | 48 | 1 | Binary | Bitfield identifying fields to return. |
| … | ||||
| ReturnBitfieldᶯ | 1 | Binary | Last bitfield. | |
| Optional fields. . . |
| Field Name | Hexadecimal | Notes |
|---|---|---|
| StartOfMessage | BA BA | Start of message bytes. |
| MessageLength | 35 00 | 63 bytes |
| MessageType | 27 | Order Modified |
| MatchingUnit | 03 | Matching Unit 3 |
| SequenceNumber | 64 00 00 00 | Sequence number 100 |
| TransactionTime | E0 FA 20 F7 36 71 F8 11 | 1,294,909,373,757,324,000 |
| ClOrdID | 41 42 43 31 32 33 00 00 00 00
00 00 00 00 00 00 00 00 00 00 | ABC123 |
| OrderID | 05 10 1E B7 5E 39 2F 02 | 171WC1000005 (base 36) |
| ReservedInternal | 00 | Ignore |
| NumberOfReturn Bitfields | 05 | 5 bitfields to follow |
| ReturnBitfield1 | 04 | Price |
| ReturnBitfield2 | 00 | No fields from byte 2 |
| ReturnBitfield3 | 00 | No fields from byte 3 |
| ReturnBitfield4 | 00 | No fields from byte 4 |
| ReturnBitfield5 | 02 | LeavesQty |
| Price | 08 E2 01 00 00 00 00 00 | $12.34 |
| LeavesQty | 00 00 00 00 | 0 (order done) |