IT – INET – Introducing a Replace Order Message for OUCH and changes to Native FIX OUCH Drop (47/12)
As previously communicated in the Exchange Notice IT 22/12, NASDAQ OMX Nordic will introduce the Replace Order Message in OUCH allowing member firms to alter an order in a single measure; current practice requires a firm to delete the existing order and enter a revised order.
The Replace Order Message is an extension of current OUCH functionality and is not a mandatory change.
At the same time the data sent over the FIX OUCH Drop will be aligned with the specification and the other FIX connections, please see “Changes to the (Native) FIX OUCH Drop” below for details.
Time schedule
-
INET Test - August 20, 2012
-
INET Prod - October 22, 2012
Description of the functionality for Replace Order Message
The Replace Order Message is added to the standard ASCII OUCH protocol. With the Replace Order Message, updating an order is significantly quicker as it is done in one single transaction.
You can change all the order attributes except “Buy/Sell Indicator”.
When sending a Replace Order, you need to provide the Order Token of the order you want to replace and give a new Order Token for the modified order.
Protocol changes
OUCH Order Entry
OUCH Order Entry 1.14R.3 is available on NASDAQ OMX’s member pages. The version is labeled 1.14R.3 but will be renamed when formally released (no further changes are however expected).
The following changes are introduced:
-
A new (inbound to NASDAQ OMX) Order Replace message is introduced
-
A new (outbound from NASDAQ OMX) Replaced Order message is introduced
No changes on ITCH
ITCH ports are not affected since we are not implementing the ITCH replace message, rather, ITCH is doing the “legacy cancel + new”. This means that ITCH consumers are unaffected by this change.
Changes to the OUCH Drop
The version published is labeled 1.9R.1 but will be renamed when formally released (no further changes are expected).
The OUCH Drop has always included the ability to relay replace messages. There is however one change to the specification:
-
The “Replaced Token” field length is extended in order to cover the full token length.
Changes to the (Native) FIX OUCH Drop
There are no changes to specifications. However, the data sent over the FIX OUCH Drop will be aligned with the specification and the other FIX connections. The reason for the change is to have the messaging of the FIX OUCH Drop harmonized with the FIX Order Entry and FIX Drop.
We do not anticipate that clients should need to change.
The below table describes changes in the data passed over FIX OUCH Drop.
|
Field |
Currently |
Changed to |
Comment |
Price fields:
AvgPx [6]
LastPx [31]
Price [44] |
Significant decimals only (or .00) |
Four decimals |
Applies to all messages. Specification says four decimals |
|
DisplayInst [9140] |
“Y” |
Not passed |
Applies to all messages. The “Y” value is default and not passed |
|
ExecBroker [76] |
“BOOK” not passed |
“BOOK” |
Applies to New Order Ack, Partial Fill and Fill. The “BOOK” enum currently not passed |
|
OrigClOrdID [41] |
“DROP” |
Client assigned value |
Applies to Cancels (and Cancel Replaces) |
|
OrderQty [38] |
Cum quantity |
Total quantity |
Applies to Cancels (and Cancel Replaces) |
Capacity:
OrderCapacity [528]
OrderRestrictions [529] |
Not passed |
Passed |
Applies to Cancels |
AvgPx [6]
LastPx [31] |
0 |
0.0 |
Applies to Cancels. Specification says 0.0 |
|
TimeInForce [59] |
4 (3) |
3 (4) |
Applies to Cancels. The IOC and FOK values are swapped. |
Support
For questions and assistance regarding this Exchange Notice, as well as any technical queries, please contact NASDAQ OMX Tech Support at: +46 8 405 64 10, operator@nasdaqomx.com
Best regards,
NASDAQ OMX Nordic
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