Modify Order Message Fields
Request to modify an order. 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 a new order) or Order Modified message (for a prior order modification) has been received. The BOE handler will reject a new Modify Order message if the prior order has not been accepted or the result of the prior modification from the Matching Engine has not been received. However, Modify Order requests that merely reduce OrderQty may be overlapped if the existing ClOrdID is reused - this is the only case where ClOrdID reuse is allowed. This exception only applies to orders currently on the local book. If the order has been routed away, a Modify Rejected message will be returned for the second or overlapping Modify Order.
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.
BOEv2 to BOEv3 Migration Note:
The BOEv3 Modify Order message must specify all values to apply to the update. This is unlike BOEv2, wherein the absence of optional fields implied that the values would be carried forward from the version of the order being modified (blank fields in BOEv3 will have port defaults applied when available).