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. Price, OrderQty, OrdType, MaxFloor (C1 and C2 only), and StopPx may be adjusted. OrdType may be adjusted from Limit to Market (market and stop/stop limit orders are not supported during GTH or Curb sessions).

• Time priority will be maintained on an order modification in the following cases:
  • A decrease in OrderQty with no other changes
  • An update to StopPx on an unelected stop order with no other changes
  • An update to MaxFloor with no other changes
• An order modification combining two or more of the specific items above will not lose priority.
• An order modification involving one of the items above and changes to any other attribute will lose priority.
• An order modification with no change to any attribute will lose priority.

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 Acknowledgement 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 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 allModify Ordermessage 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 1,295^th 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.