IT – INET – Introducing a Replace Order Message for OUCH and changes to Native FIX OUCH Drop (47/12)

Listing and Trading Operations 

30.05.2012 13:10
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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        Significant       Four        Applies to all messages.             
 fields:      decimals only     decimals    Specification says four decimals    
AvgPx [6]     (or .00)                                                          
LastPx [31]                                                                     
Price [44]                                                                      
--------------------------------------------------------------------------------
DisplayInst  'Y'               Not passed  Applies to all messages. The 'Y'     
 [9140]                                     value is default and not passed     
--------------------------------------------------------------------------------
ExecBroker   'BOOK' not        'BOOK'      Applies to New Order Ack, Partial    
 [76]         passed                        Fill and Fill. The 'BOOK' enum      
                                            currently not passed                
--------------------------------------------------------------------------------
OrigClOrdID  'DROP'            Client      Applies to Cancels (and Cancel       
 [41]                           assigned    Replaces)                           
                                value                                           
--------------------------------------------------------------------------------
OrderQty     Cum quantity      Total       Applies to Cancels (and Cancel       
 [38]                           quantity    Replaces)                           
--------------------------------------------------------------------------------
Capacity:    Not passed        Passed      Applies to Cancels                   
OrderCapaci                                                                     
ty [528]                                                                        
OrderRestri                                                                     
ctions                                                                          
 [529]                                                                          
--------------------------------------------------------------------------------
AvgPx [6]    0                 0.0         Applies to Cancels. Specification    
LastPx [31]                                 says 0.0                            
--------------------------------------------------------------------------------
TimeInForce  4 (3)             3 (4)       Applies to Cancels. The IOC and FOK  
 [59]                                       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
News Source: NASDAQ OMX



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