ways to handle order > 3,000 board lots in SEHK

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Imported from previous forum

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The maximum allowed size of an order in SEHK is 3,000 board lots. If we send an order > 3,000 board lots, it will be rejected by the exchange.

What are the common ways to handle SEHK DMA orders > 3,000 board lots?

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The maximum allowed size of an order in SEHK is 3,000 board lots. If > we send an order > 3,000 board lots, it will be rejected by the
exchange.

What are the common ways to handle SEHK DMA orders > 3,000 board lots?

Typically if you are executing DMA through a broker (eg. MS) the broker will manage this in their SOR. If you are executing through your own membership then typically a developer would listen for an outgoing transaction greater than 3000 lots and slice multiple new orders from there (ie. If {{/lot size from static data} > 3000}, then cycle through the parent order slicing into 2+ 35=D new orders of 3000 lots or less}).

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[ original email was from Carfield Yim - carfield.w.yim@jpmorgan.com ]
> The maximum allowed size of an order in SEHK is 3,000 board lots. If we

send an order > 3,000 board lots, it will be rejected by the exchange.

What are the common ways to handle SEHK DMA orders > 3,000 board lots?

I think usually just reject as according to exchange, if trader like OMS handle this automatically, he should assign it to Algo trading engine.

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[ original email was from Greg Lee - greg.lee@ubs.com ]
> The maximum allowed size of an order in SEHK is 3,000 board lots. If we

send an order > 3,000 board lots, it will be rejected by the exchange.

What are the common ways to handle SEHK DMA orders > 3,000 board lots?
Pretty much all major providers will split this order automatically for the client. Often it’s something you can configure to be on or off (off for clients who don’t want to risk additional latency in checking this).

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The maximum allowed size of an order in SEHK is 3,000 board lots. If
we send an order > 3,000 board lots, it will be rejected by the
exchange.

What are the common ways to handle SEHK DMA orders > 3,000 board lots?
Pretty much all major providers will split this order automatically for
the client. Often it’s something you can configure to be on or off (off
for clients who don’t want to risk additional latency in checking this).

Thanks for all of your comments.
Do you see any difficulty when manipulating the cancel/amend request for the DMA order which has been sliced by your Algo/SOR into multiple floor orders in this case?

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The maximum allowed size of an order in SEHK is 3,000 board lots. If
we send an order > 3,000 board lots, it will be rejected by the
exchange.

What are the common ways to handle SEHK DMA orders > 3,000
board lots?
Pretty much all major providers will split this order automatically
for the client. Often it’s something you can configure to be on or
off (off for clients who don’t want to risk additional latency in
checking this).

Thanks for all of your comments. Do you see any difficulty when
manipulating the cancel/amend request for the DMA order which has been
sliced by your Algo/SOR into multiple floor orders in this case?

Indeed, theres a couple of ways you could manage this depending on your order flow baring in mind each order going to the exchange will have a unique <37> you may want a mapping table or if thats too much overhead simply reducing the <38> value to less than 3000 lots and alerting the trader etc.