Modify Order Message Fields

Request to modify an order. The order attributes to be modified are selected using NumberOfModifyBitfields and some number of bitfields to follow.

Only Price, Side, OrderQty, StopPx, MaxFloor, and OrdType may be adjusted. Modifies will result in a loss of time priority unless the modification involves a decrease in OrderQty, a change to MaxFloor, a change to StopPx, or a change in Side from sell long to sell short or vice-versa.

Other fields (including ExecInst will be ignored, and the value from the original order will be reused. In particular, note that when a Day ISO is modified, the ISO designation is applied to the new order.

A change in MaxFloor takes effect on the next reserve reload. A zero value for MaxFloor will be ignored. If MaxFloor is to be removed completely, then the order should be cancelled and a new order sent.

Changes in OrderQty result in an adjustment of the current order's OrderQty. The new OrderQty does not directly replace the current order's LeavesQty. Rather, a delta is computed from the current OrderQty and the replacement OrderQty. This delta is then applied to the current LeavesQty. If the resulting LeavesQty is less than or equal to zero, the order is cancelled. This results in safer behavior when the modification request overlaps partial fills for the current order, leaving the Member in total control of the share exposure of the order.

A Modify Order message should not be issued until the Order Acknowledgment message for the previous New Order or Order Modified message for the previous Modify Order message has been received. The BOE handler will reject a new Modify Order message if it has not been accepted or it has not seen the result of the prior modification from the Matching Engine. However, Modify Order message requests that merely reduce OrderQty may be overlapped if the existing ClOrdID is reused, as long as the trading identifier has not been opted-in to daily limit trading risk controls. This is the only case where reuse of the ClOrdID is allowed.

The OrderQty and Price fields in the optional field block must be present on all Modify Order message requests. Messages sent without OrderQty or Price fields will be rejected. Price is optional for market orders.

A maximum of 1,295 Modify Order message requests may be made to a single order each trading day. Once the 1,295th modification is made, the next user-generated message on the order should be a Cancel Order message request.

Permitted input optional fields are described in Modify Order.