Orchimate 1.1

Orchestra Hub

The Replace Order Message allows you to alter most of the attributes of an order in a single message. This is more efficient than canceling an existing order and immediately succeeding it with a new order. Replacing an order always gives it a new timestamp for its time priority on the book. If you wish you simply partially cancel an order and retain its time priority, send a Cancel Order Message instead.

There are two Order UserRefNums in the Replace Order Message. The first must be filled out with the Order UserRefNum of the existing order; the second must be a new Order UserRefNum for the replacement. The replacement Order UserRefNum must be unique in the same way as Order UserRefNums are in the Enter Order Message, and replacement Order UserRefNums may not be the same as the UserRefNum sent in Enter Order Messages. Any replacement Order UserRefNum that has already been used in another Enter Order Message or Replace Order Message will be ignored.

NASDAQ may respond to the Replace Order Message in several ways:

1. If the order for the existing Order UserRefNum is no longer live or if the replacement Order UserRefNum was already used, the replacement will be silently ignored. The replacement Order UserRefNum will not be consumed and may be reused in this case.
2. If the order for the existing Order UserRefNum is live but the details of the replace are invalid (e.g.: new Shares >= 1,000,000), a Cancel Order Message will take the existing order out of the book. The replacement Order UserRefNum will not be consumed, and may be reused in this case.
3. If the order for the existing Order UserRefNum is live but the existing order cannot be canceled (e.g. the existing Order is a cross order in the late period), there will be an Order Reject Message. This reject message denotes that no change has occurred to the existing order; the existing order remains fully intact with its original instructions. The Order Reject Message consumes the replacement Order UserRefNum, so the replacement Order UserRefNum may not be reused.
4. If the order for the existing Order UserRefNum is live and can be replaced, you will receive either a Replaced Message or an Atomically Replaced and Canceled Message.

Replace Order Messages may be chained together, so that a single order is replaced over and over again. There is no limit to the number of replaces; however no single order/replace chain may execute more than 999,999 shares cumulatively.

The Shares on the replace denote the total number of shares liable for the whole chain. Here is an example:

• Enter Order Message for 500 shares
• Accepted Message for 500 shares
• Executed Message for 100 shares

At this point, you decide to replace the order. If you want to be exposed for

• the remaining 400 shares, send the Replace Order Message with 500 Shares. This 500 equals the 400 exposed plus the 100 previously executed.
• a new 500 shares, send the Replace Order Message with 600 Shares. This 600 equals the 500 new shares plus the 100 previously executed.

This may seem a bit confusing at first, but it inhibits the risk of double-liability throughout the order/replace chain.

The Cancel Order Message is used to request that an order be canceled or reduced. In the Cancel Order Message, you must specify the new "intended order size" for the order. The "intended order size" is the maximum number of shares that can be executed in total after the cancel is applied.

To cancel the entire balance of an order, you would enter a Cancel Order Message with a Shares field of zero.

Note that the only acknowledgement to a Cancel Order Message is the resulting Canceled Order Message. There is no “too late to cancel” message since by the time you received it, you would already have gotten the execution. Superfluous Cancel Order Messages are silently ignored.

This message acknowledges the receipt and acceptance of a valid Enter Order Message. The data fields from the Enter Order Message are echoed back in this message. Note that the accepted values may differ from the entered values for some fields.

Accepted Messages normally come before any Executed Messages or Canceled Messages for an order. However, when the Order State field of an Accepted Message is Order Dead (“D”), no additional messages will be received for that order, as Order Dead means that the order was accepted and automatically canceled.

This message acknowledges the receipt and acceptance of a valid Replace Order Message. The data fields from the Replace Order Message are echoed back in this message. Note that the accepted values may differ from the entered values for some fields. You will receive one and only one of these two for each replacement.

Like Accepted Messages, Replaced Messages use the Order State field to denote that a replace was accepted and then automatically canceled when the Order State is Order Dead (“D”). No further Executed Messages nor Canceled Messages will be received for the replaced order unless the Order State is not Order Dead.

The Shares field on the replace indicates how many shares were left exposed when the replacement completed. E.g.:

• Enter Order Message for 500 shares
• Accepted Message for 500 shares
• Executed Messages for 100 shares
• Replace Order Message for 500 shares
• Replaced Messages with 400 shares

The 400 shares in the Replace Message indicate that 400 shares exist on the book. This same scenario could happen if the execution was in flight back to you while the Replace Order Message was traveling to NASDAQ as follows:

• Enter Order Message for 500 shares
• Accepted Message for 500 shares
• Replace Order Message for 500 shares
• Executed Messages for 100 shares on original order
• Replaced Messages with 400 shares

A Canceled Message informs you that an order has been reduced or canceled. This could be acknowledging a Cancel Order Message, or it could be the result of the order timing out or being canceled automatically.

Please note that a Canceled Message does not necessarily mean the entire order is dead; some portion of the order may still be alive.

A Broken Trade Message informs you that an execution has been broken. The trade is no longer good and will not clear. The reason for the break is given.

You will always get an Executed Order Message prior to getting a Broken Trade Message for a given execution.

A Rejected Message may be sent in response to an Enter Order Message or Replace Order Message if the order or replace cannot be accepted at this time. The reason for the rejection is given.

The Order UserRefNum of a Rejected Message cannot be re-used.

A Cancel Pending Message is sent in response to a cancel request for a cross order during a pre-cross late period signifying that it cannot be canceled at this time, but any unexecuted portion of this order will automatically be canceled immediately after the cross completes.

This message will only be sent once for a given UserRefNum. Duplicate cancel requests for the same UserRefNum will be ignored by OUCH.

A Cancel Reject Message is sent in response to a partial cancel request (with non-zero “intended order size”) for a cross order during a pre-cross late period signifying that it cannot be partially canceled at this time. No automatic cancel will be scheduled for this order. Clients could repeat their request for any unexecuted portion of the order after the cross completes.

This message will only be sent once for a given UserRefNum. Duplicate cancel requests for the same UserRefNum will be ignored by OUCH.