Order Matching/Partial Fills

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Imported from previous forum

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Hi,

Could someone highlight on the below scenario.

  1. Place a Buy Order Limit 2000@20
  2. Place a Sell Order Market 3000
  3. We get a partial fill for the step 2 and a complete fill for step 1 which is correct.

Now, What should happen to the remaining 1000@market left out in step 2.

a) some say, it should be turned into 1000@Limit(Price will be fill price)- Dubai Stock exchange adapted this.

b) Some say, cancel the remainder - Egyptian Stock Exchange adapted this.

Being a vendor to both the Exchanges, we had to cater for both the scenarios.

Any comments??

Thanks,
Jayaram

3

Hi,

Could someone highlight on the below scenario.

  1. Place a Buy Order Limit 2000@20
  2. Place a Sell Order Market 3000
  3. We get a partial fill for the step 2 and a complete fill for step 1
    which is correct.

Now, What should happen to the remaining 1000@market left out in step 2.

a) some say, it should be turned into 1000@Limit(Price will be fill price)-
Dubai Stock exchange adapted this.

b) Some say, cancel the remainder - Egyptian Stock Exchange
adapted this.

Being a vendor to both the Exchanges, we had to cater for both the
scenarios.

Any comments??

Thanks, Jayaram

It depends on your role:
_ If you are gateway vendor you have not to do anything more: Exchange will provide every response: in first case you will receive an unsolicited cancelation from Exchange (equal to an execution report with 39 = 4); the second one is like to step 1: your order will wait on book for an execution until end of day (or expiration if it’s a GTD order).
_ If you are the Exchange matching engine vendor, in first case you have to send an unsolicited execution report (Canceled) for qty 1000, in second one you are in a case similar to step one: you have to wait an order to execute your remaining qty or send an execution report Expired at the end of day if this order has Time In Force = Day; if it is a GTD order you should send a Done For Day.

I hope this helps you

Lanfranco