CME DMA flow - 151 updates on trade cancels

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1

Imported from previous forum

2

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

3

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

4

Thank you Aditya - much appreciated.

regards,
Marcello

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

5

ISV’s are required to certify for Globex so they will be handling this from the exchange but I have no idea how their internal order management system might be interpreting the trade bust and updating the order. Since we don’t put the busted quantity back on the book it is likely that they too will process leaves quantity in the same manner but I don’t know how other aspects are represented like cumulative quantity – for example if they are decrementing busted quantity from cumulative quantity or not.

-Aditya Kapur

Thank you Aditya - much appreciated.

regards,
Marcello

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

6

A general comment on this topic. Orders and quotes are only “vehicles” to get to trades. Once you have a trade it is an entity in its own right and should not automatically impact the order or quote where it came from. Trade busts are likely to occur much later than the trade and the order may have reached the end of its lifetime. It gets highly complex and risky if you had to “resurrect” and order that has been cancelled by the user just because one of its trades prior to cancellation has been busted. Also, what time priority should this order have? Normally an order loses priority if you increase the quantity. Should you “reinstate” the priority back to the time when this portion of the order was not yet filled? I believe it is a much cleaner concept to treat this as a one-way street, i.e. orders/quotes ==> trades ==> trade busts.
Regards,
Hanno.

ISV’s are required to certify for Globex so they will be handling this from the exchange but I have no idea how their internal order management system might be interpreting the trade bust and updating the order. Since we don’t put the busted quantity back on the book it is likely that they too will process leaves quantity in the same manner but I don’t know how other aspects are represented like cumulative quantity – for example if they are decrementing busted quantity from cumulative quantity or not.

-Aditya Kapur

Thank you Aditya - much appreciated.

regards,
Marcello

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

7

Yep – totally agree – I was just referring to a worst case scenario in which a partial fill for an order that was still working is busted. If the order itself is no longer working then “game over” – we will never go back and touch it.

–Aditya Kapur

A general comment on this topic. Orders and quotes are only “vehicles” to get to trades. Once you have a trade it is an entity in its own right and should not automatically impact the order or quote where it came from. Trade busts are likely to occur much later than the trade and the order may have reached the end of its lifetime. It gets highly complex and risky if you had to “resurrect” and order that has been cancelled by the user just because one of its trades prior to cancellation has been busted. Also, what time priority should this order have? Normally an order loses priority if you increase the quantity. Should you “reinstate” the priority back to the time when this portion of the order was not yet filled? I believe it is a much cleaner concept to treat this as a one-way street, i.e. orders/quotes ==> trades ==> trade busts.
Regards,
Hanno.

ISV’s are required to certify for Globex so they will be handling this from the exchange but I have no idea how their internal order management system might be interpreting the trade bust and updating the order. Since we don’t put the busted quantity back on the book it is likely that they too will process leaves quantity in the same manner but I don’t know how other aspects are represented like cumulative quantity – for example if they are decrementing busted quantity from cumulative quantity or not.

-Aditya Kapur

Thank you Aditya - much appreciated.

regards,
Marcello

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

8

Thank you Gentlemen, that was most helpful

regards,
Marcello

Yep – totally agree – I was just referring to a worst case scenario in which a partial fill for an order that was still working is busted. If the order itself is no longer working then “game over” – we will never go back and touch it.

–Aditya Kapur

A general comment on this topic. Orders and quotes are only “vehicles” to get to trades. Once you have a trade it is an entity in its own right and should not automatically impact the order or quote where it came from. Trade busts are likely to occur much later than the trade and the order may have reached the end of its lifetime. It gets highly complex and risky if you had to “resurrect” and order that has been cancelled by the user just because one of its trades prior to cancellation has been busted. Also, what time priority should this order have? Normally an order loses priority if you increase the quantity. Should you “reinstate” the priority back to the time when this portion of the order was not yet filled? I believe it is a much cleaner concept to treat this as a one-way street, i.e. orders/quotes ==> trades ==> trade busts.
Regards,
Hanno.

ISV’s are required to certify for Globex so they will be handling this from the exchange but I have no idea how their internal order management system might be interpreting the trade bust and updating the order. Since we don’t put the busted quantity back on the book it is likely that they too will process leaves quantity in the same manner but I don’t know how other aspects are represented like cumulative quantity – for example if they are decrementing busted quantity from cumulative quantity or not.

-Aditya Kapur

Thank you Aditya - much appreciated.

regards,
Marcello

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

9

Though trade cancels with a busted quantity not back in the book are not documented, what I extrapolate about what we could expect from the “standard” FIX point of view is:

  • LastQty=0 (there is no standard FIX tag to specify the busted quantity, to my knowledge),
  • CumQty=.

A tricky point is what the order status should be after such trade cancel (quantity not back in the book). On our side, we decided that a busted quantity not back in the book doesn’t change the order status - for example, a partially filled order which is fully busted remains partially filled.

Regards,
Xavier.

ISV’s are required to certify for Globex so they will be handling this from the exchange but I have no idea how their internal order management system might be interpreting the trade bust and updating the order. Since we don’t put the busted quantity back on the book it is likely that they too will process leaves quantity in the same manner but I don’t know how other aspects are represented like cumulative quantity – for example if they are decrementing busted quantity from cumulative quantity or not.

-Aditya Kapur

Thank you Aditya - much appreciated.

regards,
Marcello

In the trade bust message itself – tag 38 will refer to the order quantity, tag 14 will be zero, tag 151 will be absent and tag 32 will refer to the fill quantity being busted.

In the order chain itself the leaves quantity is not rolled back in case of trade cancel so in the example mentioned below as you noted – tag 151 will stay at 80 after the partial trade of 20 is busted.

Also the busted quantity is not decremented from the cumulative quantity so tag 14 will continue to show as 20.

-Aditya Kapur

Hi,

could you please advise on the correct workflow in case of trade cancels (20=1) done at the CME on derivatives DMA flow?
What should be the behavior of 38, 14, 151, 32 in case a single trade of 20 was shortly after cancelled at the CME - this on an order quantity of 100?
I understand that any busted amounts will be deducted from 151 due to market regulation - so if 20 lots are busted only 80 will be accepted by the market on the order for further execution.

Thanks for your time,
regards,
Marcello

10

OrdStatus needs to be aligned with the quantity fields. For example, if you decide to change CumQty of an order after a bust and the order only had a single partial fill, you would have to set OrdStatus back to “New”, a transition that is not really supported by standard FIX. The bigger problem is that the market situation may have completely changed between the original execution and the bust and it is quite likely that you do not want the busted quantity to become available again. Scenario J.1.a in Volume 4 of the FIX Spec shows a transition from “Filled” to “Partially Filled” due to a bust. This is not common practice for exchanges, i.e. an order that has reached a terminal state coming back to life due to a busted quantity. The price of the order may have nothing to do with the current market situation and I doubt that a trader would want a bust to automatically make part of the order available again at the old price. Modifying a filled order does not make sense so it is like a catch 22 in an electronic market.
I would therefore argue that the order execution took place, only the resulting trade was later busted and that orders should result in trades but not vice versa (busted trades resulting in modified orders).

Though trade cancels with a busted quantity not back in the book are not documented, what I extrapolate about what we could expect from the “standard” FIX point of view is:

  • LastQty=0 (there is no standard FIX tag to specify the busted quantity, to my knowledge),
  • CumQty=.

A tricky point is what the order status should be after such trade cancel (quantity not back in the book). On our side, we decided that a busted quantity not back in the book doesn’t change the order status - for example, a partially filled order which is fully busted remains partially filled.

Regards,
Xavier.

11

I agree with both of you gentlemen that this is a minefield (which I would not touch with a ten-foot pole). We should probably let sleeping dogs lie so to speak and not try to resurrect the order or revert its status back to the previous state even though J.1.a says otherwise.

–Aditya Kapur

OrdStatus needs to be aligned with the quantity fields. For example, if you decide to change CumQty of an order after a bust and the order only had a single partial fill, you would have to set OrdStatus back to “New”, a transition that is not really supported by standard FIX. The bigger problem is that the market situation may have completely changed between the original execution and the bust and it is quite likely that you do not want the busted quantity to become available again. Scenario J.1.a in Volume 4 of the FIX Spec shows a transition from “Filled” to “Partially Filled” due to a bust. This is not common practice for exchanges, i.e. an order that has reached a terminal state coming back to life due to a busted quantity. The price of the order may have nothing to do with the current market situation and I doubt that a trader would want a bust to automatically make part of the order available again at the old price. Modifying a filled order does not make sense so it is like a catch 22 in an electronic market.
I would therefore argue that the order execution took place, only the resulting trade was later busted and that orders should result in trades but not vice versa (busted trades resulting in modified orders).

Though trade cancels with a busted quantity not back in the book are not documented, what I extrapolate about what we could expect from the “standard” FIX point of view is:

  • LastQty=0 (there is no standard FIX tag to specify the busted quantity, to my knowledge),
  • CumQty=.

A tricky point is what the order status should be after such trade cancel (quantity not back in the book). On our side, we decided that a busted quantity not back in the book doesn’t change the order status - for example, a partially filled order which is fully busted remains partially filled.

Regards,
Xavier.