Auction Cancel Messages

Auction Cancel messages are used to disseminate the cancellation of an earlier Auction Notification message as a result of a user cancellation of the original order, a user modification request to change the price or increase the original order quantity, a fading of the NBBO, or a cancellation of any remaining order quantity from the original Auction Notification following the auction termination.

A user request to modify the order price or to increase the original order quantity will result in a cancellation of the auction followed by a new Auction Notification message. Auction Cancel messages will not be issued for order quantity decrements.